New Charts: Wayne’s Confusion Index & McClellan Price Oscillator
By
Rennie on Wednesday, April 20th, 2011 at 1:18 pm
With Thursday being the last session before the long weekend, it’s worth noting that from a seasonal perspective, downside potential is typically limited on the session prior to Good Friday. In the table below is a rundown of the S&P’s performance on the session prior to Good Friday every year since 1980. Note that in only one year out of the last thirty-one did the S&P close down more than 0.5%…
Session Prior to Good Friday Holiday
04/03/80… S&P500 -0.5%
04/16/81… S&P500 +0.4%
04/08/82… S&P500 +0.7%
03/31/83… S&P500 -0.3%
04/19/84… S&P500 +0.1%
04/04/85… S&P500 -0.0%
03/27/86… S&P500 +0.7%
04/16/87… S&P500 +0.9%
03/31/88… S&P500 +0.3%
03/23/89… S&P500 -0.5%
04/12/90… S&P500 +0.7%
03/28/91… S&P500 -0.0%
04/16/92… S&P500 -0.1%
04/08/93… S&P500 -0.2%
03/31/94… S&P500 +0.1%
04/13/95… S&P500 +0.4%
04/04/96… S&P500 -0.0%
03/27/97… S&P500 -2.1% (*)
04/09/98… S&P500 +0.8%
04/01/99… S&P500 +0.6%
04/20/00… S&P500 +0.5%
04/12/01… S&P500 +1.5%
03/28/02… S&P500 +0.2%
04/17/03… S&P500 +1.6%
04/08/04… S&P500 -0.1%
03/24/05… S&P500 -0.1%
04/13/06… S&P500 +0.1%
04/05/07… S&P500 +0.3%
03/20/08… S&P500 +2.4%
04/09/09… S&P500 +3.8%
04/01/10… S&P500 +0.7%
04/21/11… S&P500 ???
A couple of new charts are available in the interactive charting section. First up is the McClellan Price Oscillator, discussed by Tom McClellan in this March 11th blog post. Essentially it replaces the advance/decline data normally used in the calculations with price data, and looks like a promising indicator to monitor. I’m using S&P500 data for the Price Oscillator shown here rather than Dow Industrials data.
Also available is an early version of Wayne Whaley’s Confusion Index (WCI). You’ll notice three different Confusion Index links on the interactive chart page, one based on SPX components, one on NYSE common stocks and one utilizing traditional NYSE data. The latter is not recommended given that the Confusion Index relies exclusively on accurate new high/low data, and the NYSE data can be skewed by the large number of bond funds and other non-equity issues (a good example of this can be seen in August/September of last year when the NYSE version of the WCI nearly hit the 1.5% level while the common stock version didn’t top 1% and the SPX version didn’t even top 0.5%). Pull up the chart for the Confusion Index based on SPX components and note it’s been hovering at very low levels (<0.5%) for an extended period of time. That’s bullish territory, and you normally wouldn’t want to fight that trend until the indicator at least climbs back towards average territory. Historically, 1.5% is the level at which the indicator flashes a long-term red flag. If you extend the interactive chart to the maximum, you can see it exceeded 1.5% at the major market tops in 2000 and 2007.
New Charts: Wayne’s Confusion Index & McClellan Price Oscillator
By Rennie on Wednesday, April 20th, 2011 at 1:18 pmWith Thursday being the last session before the long weekend, it’s worth noting that from a seasonal perspective, downside potential is typically limited on the session prior to Good Friday. In the table below is a rundown of the S&P’s performance on the session prior to Good Friday every year since 1980. Note that in only one year out of the last thirty-one did the S&P close down more than 0.5%…
Session Prior to Good Friday Holiday
04/03/80… S&P500 -0.5%
04/16/81… S&P500 +0.4%
04/08/82… S&P500 +0.7%
03/31/83… S&P500 -0.3%
04/19/84… S&P500 +0.1%
04/04/85… S&P500 -0.0%
03/27/86… S&P500 +0.7%
04/16/87… S&P500 +0.9%
03/31/88… S&P500 +0.3%
03/23/89… S&P500 -0.5%
04/12/90… S&P500 +0.7%
03/28/91… S&P500 -0.0%
04/16/92… S&P500 -0.1%
04/08/93… S&P500 -0.2%
03/31/94… S&P500 +0.1%
04/13/95… S&P500 +0.4%
04/04/96… S&P500 -0.0%
03/27/97… S&P500 -2.1% (*)
04/09/98… S&P500 +0.8%
04/01/99… S&P500 +0.6%
04/20/00… S&P500 +0.5%
04/12/01… S&P500 +1.5%
03/28/02… S&P500 +0.2%
04/17/03… S&P500 +1.6%
04/08/04… S&P500 -0.1%
03/24/05… S&P500 -0.1%
04/13/06… S&P500 +0.1%
04/05/07… S&P500 +0.3%
03/20/08… S&P500 +2.4%
04/09/09… S&P500 +3.8%
04/01/10… S&P500 +0.7%
04/21/11… S&P500 ???
A couple of new charts are available in the interactive charting section. First up is the McClellan Price Oscillator, discussed by Tom McClellan in this March 11th blog post. Essentially it replaces the advance/decline data normally used in the calculations with price data, and looks like a promising indicator to monitor. I’m using S&P500 data for the Price Oscillator shown here rather than Dow Industrials data.
Also available is an early version of Wayne Whaley’s Confusion Index (WCI). You’ll notice three different Confusion Index links on the interactive chart page, one based on SPX components, one on NYSE common stocks and one utilizing traditional NYSE data. The latter is not recommended given that the Confusion Index relies exclusively on accurate new high/low data, and the NYSE data can be skewed by the large number of bond funds and other non-equity issues (a good example of this can be seen in August/September of last year when the NYSE version of the WCI nearly hit the 1.5% level while the common stock version didn’t top 1% and the SPX version didn’t even top 0.5%). Pull up the chart for the Confusion Index based on SPX components and note it’s been hovering at very low levels (<0.5%) for an extended period of time. That’s bullish territory, and you normally wouldn’t want to fight that trend until the indicator at least climbs back towards average territory. Historically, 1.5% is the level at which the indicator flashes a long-term red flag. If you extend the interactive chart to the maximum, you can see it exceeded 1.5% at the major market tops in 2000 and 2007.