1% Down Day Following Unfilled Downside Gap
By
Rennie on Sunday, June 26th, 2011 at 6:34 pm
Friday’s 1% down day for S&P futures came on the heels of an unfilled downside gap the previous session. That’s usually not a positive combination for the short-term. Since 1990, there have only been 21 instances in which S&P futures lost more than 1% immediately following an unfilled downside gap. In every case but one the S&Ps proceeded to post another subsequently lower close (below the setup day’s close) within the next four sessions…
S&P Futures -1% following Unfilled Downside Gap
06/24/11… ???
06/07/10… No lower S&P close within four sessions
09/01/09… Lower S&P close one session later
06/16/09… Lower S&P close one session later
03/03/09… Lower S&P close two sessions later
10/07/08… Lower S&P close one session later
05/21/08… Lower S&P close two sessions later
11/18/03… Lower S&P close two sessions later
01/21/03… Lower S&P close one session later
09/24/02… Lower S&P close four sessions later
07/22/02… Lower S&P close one session later
03/12/01… Lower S&P close two sessions later
02/20/01… Lower S&P close one session later
09/15/99… Lower S&P close four sessions later
07/30/99… Lower S&P close two sessions later
05/06/98… Lower S&P close one session later
10/24/97… Lower S&P close one session later
12/12/96… Lower S&P close two sessions later
05/09/94… Lower S&P close two sessions later
03/25/94… Lower S&P close two sessions later
10/10/90… Lower S&P close one session later
08/22/90… Lower S&P close one session later
The S&P’s 200-day moving average is getting a lot of press as it’s hovering just below current levels, but keep in mind the 20-month moving average is still lies about 84 points lower. Historically, crosses of this 20-bar average on the monthly S&P chart have proven to be more reliable than crosses of the 200-day average. See this chart of the last twenty years for an example. Below I’ve listed every buy signal (based on the first monthly close above the average) & exit (based on first monthly close below the average) since 1950…
SPX Crosses Above/Below 20-Month Moving Average
11/30/09… Buy SPX 1095… Open (currently +15%)
07/31/03… Buy SPX 990… 01/31/08 Exit 1378… +39%
01/31/95… Buy SPX 470… 11/30/00 Exit 1314… +180%
07/29/94… Buy SPX 458… 11/30/94 Exit 453… -1%
04/29/94… Buy SPX 450… 06/30/94 Exit 444… -1%
01/31/91… Buy SPX 343… 03/31/94 Exit 445… +30%
12/30/88… Buy SPX 277… 08/31/90 Exit 322… +16%
10/31/88… Buy SPX 278… 11/30/88 Exit 273… -2%
08/31/84… Buy SPX 166… 10/30/87 Exit 251… +51%
10/29/82… Buy SPX 133… 05/31/84 Exit 150… +13%
11/30/81… Buy SPX 126… 12/31/81 Exit 122… -3%
04/30/80… Buy SPX 106… 08/31/81 Exit 122… +15%
12/29/78… Buy SPX 96… 03/31/80 Exit 102… +6%
07/31/78… Buy SPX 100… 10/31/78 Exit 93… -7% (*)
04/30/75… Buy SPX 87… 03/31/77 Exit 98… +13%
12/31/70… Buy SPX 92… 04/30/73 Exit 106… +15%
01/31/67… Buy SPX 86… 06/30/69 Exit 97… +13%
03/29/63… Buy SPX 66… 05/31/66 Exit 86… +30%
01/31/63… Buy SPX 66… 02/28/63 Exit 64… -3%
12/30/60… Buy SPX 58… 05/31/62 Exit 59… +2%
06/30/60… Buy SPX 56… 07/29/60 Exit 55… -2%
05/29/58… Buy SPX 44… 03/31/60 Exit 55… +25%
04/30/57… Buy SPX 45… 08/30/57 Exit 45… 0%
01/29/54… Buy SPX 26… 01/31/56 Exit 44… +69%
09/30/49… Buy SPX 15… 05/29/53 Exit 24… +60%
Out of 24 signals since 1950, note that only one led to a meaningful loss when the signal was closed out, and even that was less than 10%. By comparison, there were fourteen signals that generated a profit of more than 10%. Since 1970, this simple timing strategy matched the performance of buy & hold while only in the market two-thirds of the time.
Program trades executed as principal for member firms’ accounts accounted for over 50% of total program volume during the week ending 6/17, which I view as a generally supportive development. There are also four longer-term signals still in effect pointing to an S&P over 1325 around the end of Q3 and/or end of the year, which tends to suggest that monthly moving average will probably hold.
SPX ADT10 closed over 65 on March 30th, which points to an S&P above 1328 in late September. http://markettells.com/2011/04/sign-of-persistence-from-the-russell-2-day-rsi/
S&P YTD positive at the end of February points to an S&P above 1327 end of December. http://markettells.com/2011/03/spx-closes-below-its-50-day-sma-february-effect-reminder/
Seven higher lows on the monthly S&P chart indicates S&P will be above 1327 end of September. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
Three consecutive up quarters for the SPX indicates S&P will post a quarterly close above 1325 by end of 2011. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
1% Down Day Following Unfilled Downside Gap
By Rennie on Sunday, June 26th, 2011 at 6:34 pmFriday’s 1% down day for S&P futures came on the heels of an unfilled downside gap the previous session. That’s usually not a positive combination for the short-term. Since 1990, there have only been 21 instances in which S&P futures lost more than 1% immediately following an unfilled downside gap. In every case but one the S&Ps proceeded to post another subsequently lower close (below the setup day’s close) within the next four sessions…
S&P Futures -1% following Unfilled Downside Gap
06/24/11… ???
06/07/10… No lower S&P close within four sessions
09/01/09… Lower S&P close one session later
06/16/09… Lower S&P close one session later
03/03/09… Lower S&P close two sessions later
10/07/08… Lower S&P close one session later
05/21/08… Lower S&P close two sessions later
11/18/03… Lower S&P close two sessions later
01/21/03… Lower S&P close one session later
09/24/02… Lower S&P close four sessions later
07/22/02… Lower S&P close one session later
03/12/01… Lower S&P close two sessions later
02/20/01… Lower S&P close one session later
09/15/99… Lower S&P close four sessions later
07/30/99… Lower S&P close two sessions later
05/06/98… Lower S&P close one session later
10/24/97… Lower S&P close one session later
12/12/96… Lower S&P close two sessions later
05/09/94… Lower S&P close two sessions later
03/25/94… Lower S&P close two sessions later
10/10/90… Lower S&P close one session later
08/22/90… Lower S&P close one session later
The S&P’s 200-day moving average is getting a lot of press as it’s hovering just below current levels, but keep in mind the 20-month moving average is still lies about 84 points lower. Historically, crosses of this 20-bar average on the monthly S&P chart have proven to be more reliable than crosses of the 200-day average. See this chart of the last twenty years for an example. Below I’ve listed every buy signal (based on the first monthly close above the average) & exit (based on first monthly close below the average) since 1950…
SPX Crosses Above/Below 20-Month Moving Average
11/30/09… Buy SPX 1095… Open (currently +15%)
07/31/03… Buy SPX 990… 01/31/08 Exit 1378… +39%
01/31/95… Buy SPX 470… 11/30/00 Exit 1314… +180%
07/29/94… Buy SPX 458… 11/30/94 Exit 453… -1%
04/29/94… Buy SPX 450… 06/30/94 Exit 444… -1%
01/31/91… Buy SPX 343… 03/31/94 Exit 445… +30%
12/30/88… Buy SPX 277… 08/31/90 Exit 322… +16%
10/31/88… Buy SPX 278… 11/30/88 Exit 273… -2%
08/31/84… Buy SPX 166… 10/30/87 Exit 251… +51%
10/29/82… Buy SPX 133… 05/31/84 Exit 150… +13%
11/30/81… Buy SPX 126… 12/31/81 Exit 122… -3%
04/30/80… Buy SPX 106… 08/31/81 Exit 122… +15%
12/29/78… Buy SPX 96… 03/31/80 Exit 102… +6%
07/31/78… Buy SPX 100… 10/31/78 Exit 93… -7% (*)
04/30/75… Buy SPX 87… 03/31/77 Exit 98… +13%
12/31/70… Buy SPX 92… 04/30/73 Exit 106… +15%
01/31/67… Buy SPX 86… 06/30/69 Exit 97… +13%
03/29/63… Buy SPX 66… 05/31/66 Exit 86… +30%
01/31/63… Buy SPX 66… 02/28/63 Exit 64… -3%
12/30/60… Buy SPX 58… 05/31/62 Exit 59… +2%
06/30/60… Buy SPX 56… 07/29/60 Exit 55… -2%
05/29/58… Buy SPX 44… 03/31/60 Exit 55… +25%
04/30/57… Buy SPX 45… 08/30/57 Exit 45… 0%
01/29/54… Buy SPX 26… 01/31/56 Exit 44… +69%
09/30/49… Buy SPX 15… 05/29/53 Exit 24… +60%
Out of 24 signals since 1950, note that only one led to a meaningful loss when the signal was closed out, and even that was less than 10%. By comparison, there were fourteen signals that generated a profit of more than 10%. Since 1970, this simple timing strategy matched the performance of buy & hold while only in the market two-thirds of the time.
Program trades executed as principal for member firms’ accounts accounted for over 50% of total program volume during the week ending 6/17, which I view as a generally supportive development. There are also four longer-term signals still in effect pointing to an S&P over 1325 around the end of Q3 and/or end of the year, which tends to suggest that monthly moving average will probably hold.
SPX ADT10 closed over 65 on March 30th, which points to an S&P above 1328 in late September. http://markettells.com/2011/04/sign-of-persistence-from-the-russell-2-day-rsi/
S&P YTD positive at the end of February points to an S&P above 1327 end of December. http://markettells.com/2011/03/spx-closes-below-its-50-day-sma-february-effect-reminder/
Seven higher lows on the monthly S&P chart indicates S&P will be above 1327 end of September. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
Three consecutive up quarters for the SPX indicates S&P will post a quarterly close above 1325 by end of 2011. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/