NYSE TICK Closes in Negative Territory Fifth Consecutive Session

New 20-day highs and lows across all exchanges closed at 130 and 1,059 respectively Thursday, an improvement over Wednesday’s readings but still heavily lopsided. When the S&P closes higher on a day when 20-day lows exceed 1,000 and more than double new 20-day highs, it tends to lead to a lower close the following session. Of the last 30 occurrences, two-thirds led to a lower SPX close the next day, significantly above the 45% random chance…

New 20-day Lows >1000 & more than 2x New 20-day Highs, SPX Closes Up
06/09/11… S&P500 ??? next day
05/25/11… S&P500 +0.4% next day
03/11/11… S&P500 -0.6% next day
08/25/10… S&P500 -0.8% next day
07/06/10… S&P500 +3.1% next day
06/08/10… S&P500 -0.6% next day
05/25/10… S&P500 -0.6% next day
05/21/10… S&P500 -1.3% next day
02/05/10… S&P500 -0.9% next day
01/27/10… S&P500 -1.2% next day
01/25/10… S&P500 -0.4% next day
11/02/09… S&P500 +0.2% next day
07/06/09… S&P500 -2.0% next day
06/23/09… S&P500 +0.7% next day
03/06/09… S&P500 -1.0% next day
03/04/09… S&P500 -4.3% next day
02/24/09… S&P500 -1.1% next day
01/23/09… S&P500 +0.6% next day
01/21/09… S&P500 -1.5% next day
01/15/09… S&P500 +0.8% next day
11/21/08… S&P500 +6.5% next day
11/18/08… S&P500 -6.1% next day
11/13/08… S&P500 -4.2% next day
10/28/08… S&P500 -1.1% next day
10/23/08… S&P500 -3.5% next day
09/18/08… S&P500 +4.0% next day
09/16/08… S&P500 -4.7% next day
09/10/08… S&P500 +1.4% next day
09/05/08… S&P500 +2.1% next day
07/10/08… S&P500 -1.1% next day

The Nasdaq is oversold, with the NDX 5-day RSI closing under 25 for a third consecutive session Thursday. This pattern has traditionally led to a higher NDX close (above the setup day’s close) within the next few sessions. So a selloff on Friday could lead to a short-term bounce. Every occurrence since 1995 is listed in the table below. Note that in 33 out of 36 cases, or 92% of the time, the Nasdaq was trading at a higher level when the RSI rebounded back over 25. Only three cases lasted more than three sessions, indicating we should see this signal fulfilled by next Tuesday at the latest.

Nasdaq 5-day RSI under 25 Three Consecutive Sessions
06/09/11… NDX ??? when RSI back over 25
08/16/10… NDX +1.3% when RSI back over 25 (one session)
07/01/10… NDX +3.2% when RSI back over 25 (three sessions)
10/08/08… NDX +7.4% when RSI back over 25 (three sessions)
09/05/08… NDX +0.3% when RSI back over 25 (four sessions)
01/22/08… NDX +1.7% when RSI back over 25 (two sessions)
01/08/08… NDX +2.0% when RSI back over 25 (one session)
11/12/07… NDX +4.2% when RSI back over 25 (one session)
03/01/07… NDX -0.6% when RSI back over 25 (three session)
07/17/06… NDX +0.3% when RSI back over 25 (one session)
05/15/06… NDX -3.3% when RSI back over 25 (seven sessions)
02/07/06… NDX +1.1% when RSI back over 25 (one session)
10/12/05… NDX +0.8% when RSI back over 25 (one session)
06/27/05… NDX +1.0% when RSI back over 25 (one session)
04/18/05… NDX +0.8% when RSI back over 25 (one session)
01/24/05… NDX +0.7% when RSI back over 25 (one session)
01/06/05… NDX +0.5% when RSI back over 25 (one session)
08/09/04… NDX +2.1% when RSI back over 25 (one session)
07/16/04… NDX +2.1% when RSI back over 25 (two sessions)
08/08/03… NDX +1.3% when RSI back over 25 (one session)
05/06/02… NDX +10.5% when RSI back over 25 (two sessions)
04/26/02… NDX +2.1% when RSI back over 25 (two sessions)
02/07/02… NDX +2.7% when RSI back over 25 (one session)
09/07/01… NDX -12.2% when RSI back over 25 (seven sessions)
06/18/01… NDX +3.3% when RSI back over 25 (two sessions)
02/22/01… NDX +1.2% when RSI back over 25 (one session)
02/09/01… NDX +2.1% when RSI back over 25 (three sessions)
12/21/00… NDX +9.5% when RSI back over 25 (one session)
10/12/00… NDX +9.1% when RSI back over 25 (one session)
04/14/00… NDX +10.0% when RSI back over 25 (one session)
10/07/98… NDX +4.2% when RSI back over 25 (two sessions)
08/31/98… NDX +6.6% when RSI back over 25 (one session)
12/15/97… NDX +1.3% when RSI back over 25 (one session)
07/15/96… NDX +4.0% when RSI back over 25 (two sessions)
06/20/96… NDX +1.2% when RSI back over 25 (one session)
12/18/95… NDX +4.9% when RSI back over 25 (one session)
11/22/95… NDX +1.6% when RSI back over 25 (one session)

In general, I don’t see much evidence opposing the idea that we’ll see the S&P test the March lows. The market is technically weaker now, with more stocks within the S&P500 hitting 52-week lows now than in March, and fewer SPX stocks are trading above their 20-day and 50-day averages compared to March. Also interesting to note that the NYSE TICK closed in negative territory for a fifth consecutive session Thursday. That’s only happened nine separate times since 1990, and all but one led to subsequent weakness over the next 4-5 sessions…

NYSE TICK Closes <0 Five Consecutive Sessions
06/09/11… SPX ???
04/12/11… SPX -0.7% four sessions later
05/20/10… SPX -0.3% four sessions later
02/23/09… SPX -1.1% four sessions later
10/27/08… SPX +13.8% five sessions later
10/08/08… SPX -7.8% five sessions later
09/26/08… SPX -8.1% four sessions later
09/27/00… SPX -0.0% four sessions later
03/29/00… SPX -0.9% four sessions later
12/08/99… SPX -0.1% four sessions later

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

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