Short-term Clues from SPY Volume and INTC Relative Strength

Wednesday marked the third consecutive session that SPY posted a lower high on lighter volume, a pattern that has usually led to a higher SPY 2-3 sessions later. Out of 18 occurrences since inception, 15 led to a higher SPY three days later. Of the three losing signals, note that SPY was higher two sessions later 2/3 times, meaning there was only one case out 18 in which the SPY was not higher 2 or 3 sessions later. The sample size is still a bit small, but the high level of accuracy and the 1.8% average gain (triple the 0.6% average loss) is compelling.

SPY Three Lower Highs on Successively Lighter Volume
03/09/11… SPY ??? three sessions later
08/16/10… SPY -0.4% three sessions later
04/07/09… SPY +5.1% three sessions later
12/23/08… SPY +0.9% three sessions later
08/04/08… SPY +1.6% three sessions later
07/28/08… SPY +2.6% three sessions later
09/24/07… SPY +0.9% three sessions later
03/21/05… SPY -0.8% three sessions later (*)
08/13/04… SPY +2.7% three sessions later
11/11/02… SPY +2.8% three sessions later
12/24/01… SPY +1.1% three sessions later
06/26/01… SPY +0.9% three sessions later
11/20/00… SPY +0.1% three sessions later
07/31/00… SPY +1.8% three sessions later
12/26/97… SPY +3.5% three sessions later
04/03/97… SPY +2.4% three sessions later
06/18/96… SPY +0.7% three sessions later
08/24/95… SPY +0.5% three sessions later
07/19/93… SPY -0.5% three sessions later

Also a positive sign to see Intel buck the trend of the semiconductor sector and manage a higher close Wednesday. When INTC closes higher in the face of a 2%+ down day for the SOX, it tends to precede a short-term rally. Of the last 30 occurrences, 23 (77%) led to a higher SOX close two sessions later, significantly above the 51% random chance. Average gain was 5.6%, double the 2.8% average loss.

SOX Down 2% or more, INTC Closes Up
03/09/11… SOX ??? two sessions later
03/09/09… SOX +10.3% two sessions later
10/18/06… SOX -0.8% two sessions later
07/21/06… SOX +2.9% two sessions later
02/21/06… SOX +0.1% two sessions later
04/20/05… SOX +1.4% two sessions later
06/24/03… SOX +2.3% two sessions later
10/31/02… SOX +10.5% two sessions later
10/07/02… SOX -2.7% two sessions later
11/30/01… SOX +4.9% two sessions later
08/07/01… SOX -4.7% two sessions later
11/21/00… SOX +7.0% two sessions later
10/27/00… SOX +8.2% two sessions later
10/17/00… SOX +17.1% two sessions later
10/12/00… SOX +3.7% two sessions later
10/03/00… SOX +2.4% two sessions later
09/12/00… SOX +1.6% two sessions later
08/21/00… SOX +4.1% two sessions later
07/11/00… SOX +6.0% two sessions later
05/18/00… SOX -6.0% two sessions later
04/24/00… SOX +6.8% two sessions later
04/04/00… SOX +8.2% two sessions later
03/20/00… SOX +8.4% two sessions later
03/15/00… SOX +4.5% two sessions later
01/11/00… SOX +4.5% two sessions later
11/22/99… SOX -0.6% two sessions later
10/08/99… SOX +1.2% two sessions later
07/19/99… SOX -2.8% two sessions later
03/12/99… SOX +4.3% two sessions later
09/03/98… SOX +7.3% two sessions later
07/22/98… SOX -1.7% two sessions later

Categories : Archived EOD Commentary, End-of-Day Commentary

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