Sign of Persistence from the Russell 2-day RSI

The Russell 2000 index posted its seventh consecutive higher close on Wednesday, keeping the 2-day RSI over 98 for the fourth day in a row. That’s only the third time in the last seven years that the RUT has managed such a persistent move. Historically, this type of action has usually led to further upside, with fourteen of the last fifteen signals leading to a higher Russell one week later, although the more accurate call overall has been for limited downside potential. The last 30 separate instances in which the RUT 2-day RSI closed over 98 four days in a row are listed in the table below. Note that in only two cases, or 7% of the time, did the RUT fall more than 1% over the following week, well below the 29% random chance for a 1% loss over any five-day period in the same time frame…

RUT 2-day RSI >98 Four Sessions
04/06/11… RUT ??? one week later
03/10/10… RUT +1.3% one week later
02/22/10… RUT +1.6% one week later
08/20/03… RUT +0.3% one week later
06/02/03… RUT +0.5% one week later
08/29/00… RUT +1.3% one week later
12/29/99… RUT -3.7% one week later (*)
11/05/99… RUT +1.7% one week later
11/04/98… RUT +0.1% one week later
10/23/98… RUT +3.0% one week later
02/11/98… RUT +0.5% one week later
10/07/97… RUT +0.0% one week later
09/23/97… RUT +1.0% one week later
09/05/97… RUT +1.6% one week later
05/28/97… RUT +1.3% one week later
05/17/96… RUT +1.1% one week later
04/26/96… RUT -0.3% one week later
01/29/96… RUT +2.1% one week later
12/04/95… RUT -0.1% one week later
09/11/95… RUT -0.5% one week later
07/11/95… RUT +0.9% one week later
06/20/95… RUT -0.8% one week later
02/10/95… RUT -0.3% one week later
08/26/94… RUT +0.6% one week later
01/19/94… RUT +0.1% one week later
12/08/93… RUT -1.8% one week later (*)
10/04/93… RUT +0.6% one week later
05/07/93… RUT -0.2% one week later
03/11/93… RUT -0.6% one week later
01/25/93… RUT -0.1% one week later
12/01/92… RUT +1.9% one week later

A couple of weeks ago I posted a big picture review highlighting some key intermediate and longer-term bullish signals in effect. Since then there have been a few more signals triggered that are worth adding to that list…

The cluster of high SPX ADT1′s on April 7th points to an SPX over 1309 on April 7th. See http://markettells.com/2011/03/cluster-of-lopsided-positive-breadth-days-for-spx/

The NYSE 10-day Up/Down Volume Thrust recently closed over 65, pointing to an SPX over 1328 on April 13th. See
http://markettells.com/2011/03/sp-futures-post-sixth-consecutive-higher-high/

Seven consecutive down days for the S&P100 Volatility Index (old VIX) indicates the S&P is likely to be trading above 1313 on May 20th. See http://markettells.com/2011/03/this-volatility-signal-has-always-led-to-a-higher-sp-two-months-later/

Also noteworthy is that the SPX ADT10 recently closed over 65, another positive development. Wayne Whaley recently discussed the fact that this was a bullish development on a number of time frames. Here’s a reproduction of the table from his email newsletter highlighting the S&P’s performance over the next 1,3,6 and 12 months…

  BREADTH THRUST (ADT10 > 66.25)

         DATE               FORWARD S&P PERFORMANCE
 #   YEARMTDY   ADT10     1 MT    3 MTS    6 MTS    1YEAR
 1   19701204   67.92     1.89     9.46    13.23     8.50
 2   19711208   66.41     6.76    12.42    10.69    22.64
 3   19741014   66.49     0.44    -1.46    17.68    22.74
 4   19750110   67.74     7.92    15.37    30.57    30.77
 5   19760106   67.48     6.34    10.51    10.70    12.28
 6   19771115   66.83    -2.48    -7.40     2.95    -3.36
 7   19780320   66.60     4.10     6.27    12.01    10.66
 8   19780417   67.42     5.45     3.53     7.21     7.19
 9   19780807   66.30     1.81    -9.37    -6.17     2.03
10   19790115   66.59    -1.95     1.30     1.62    10.38
11   19820823   68.60     6.65    14.51    26.44    40.21
12   19821013   68.32     2.09     6.61    14.70    24.28
13   19840807   67.10     1.01     3.96    11.74    15.34
14   19850121   66.93     2.83     3.36    11.36    17.44
15   19870114   70.00     6.50     6.29    18.29    -6.38
16   19871218   67.85     1.09     8.81     8.64    10.89
17   19900511   69.61     2.74    -4.68   -10.87     6.74
18   19910206   67.01     5.05     6.15     9.09    15.57
19   19920102   67.72    -2.03    -4.02    -1.32     4.42
20   19970505   66.67     1.58    14.70    13.55    34.37
21   20030604   67.65    -0.05     4.23     8.46    13.82
22   20031014   67.00     0.08     7.72     7.50     5.13
23   20041105   67.56     2.14     3.16     0.55     4.63
24   20081205   67.94     5.79   -22.15     7.23    26.14
25   20090323   68.76     3.52     8.77    28.92    42.68
26   20090721   66.75     7.50    13.29    16.96    12.05
27   20090916   70.11     1.77     3.78     8.49     5.23
28   20100720   66.39    -1.09     8.74    18.16    22.59*
29   20100914   68.31     4.70    10.75    15.64    18.48*
30   20110330   68.17      ?        ?        ?        ?

          NUMBER UP-DN = 24- 5    23- 6    26- 3    27- 2
          AVG % CHANGE =  2.83     4.64    10.83    15.08
          MED % CHANGE =  2.14     6.27    10.70    12.28

Would you like to see a chart of the SPX ADT10? It’s available in the interactive chart page. Pull up the SPX ADT chart, then look for the legend in the lower left corresponding to the lines on the chart. This legend is interactive – click on ADT2 for instance and you’ll see it disappear from the chart. Do this for all ADT’s except ADT10 and you’ll turn off the other lines on the chart, leaving just the one. You can then drag the chart backwards to look through the last few years of historical data.

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

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