Eight Unusually Strong Sessions
By
Rennie on Sunday, July 10th, 2011 at 11:31 pm
Prior to last month, S&P futures had never posted an unfilled downside gap immediately following an unfilled upside gap. Friday marked the second occurrence of this consecutive gap pattern in just the last month (6/15 the other instance).
Friday was only the 15th unfilled downside gap for S&P futures on a Friday employment report since 1990. Previous occurrences have led to a flat-to-down day for the S&P one day later in all but one case…
Unfilled Downside Gap on Jobs Report Friday
07/07/11… S&P futures ??? next session
06/04/10… S&P futures -1.7% next session
07/02/09… S&P futures +0.2% next session
01/04/08… S&P futures -0.1% next session
09/07/07… S&P futures -0.3% next session
08/05/05… S&P futures -0.2% next session
08/06/04… S&P futures +0.1% next session
07/06/01… S&P futures +0.5% next session
03/09/01… S&P futures -4.2% next session
11/07/97… S&P futures -0.6% next session
07/05/96… S&P futures -0.7% next session
04/08/96… S&P futures -0.3% next session
03/08/96… S&P futures +1.1% next session (*)
08/05/94… S&P futures +0.1% next session
05/06/94… S&P futures -1.0% next session
On the plus side for Monday, we have the bullish ‘gap at highs’ setup from last Thursday still in play.
Overall outlook remains bullish. SPX cumulative breadth is well into 52-week high territory. Price action was unusually strong in the eight sessions leading up to last Thursday. The Nasdaq100 posted eight consecutive higher closes as of July 7th. Every separate instance over the past two decades that the NDX closed higher eight sessions in a row is listed below, followed by the index’s performance over the following week. Despite overbought conditions, 21 out of 24 occurrences led to a higher NDX close one week later.
NDX Up Eight Consecutive Sessions
07/07/11… Nasdaq ??? one week later
09/17/10… Nasdaq +3.5% one week later
07/15/10… Nasdaq +0.4% one week later
03/05/10… Nasdaq +1.9% one week later
11/11/09… Nasdaq +1.1% one week later
10/14/09… Nasdaq -0.0% one week later
07/17/09… Nasdaq +4.1% one week later
05/24/05… Nasdaq +1.2% one week later
06/01/04… Nasdaq +1.9% one week later
12/27/99… Nasdaq +5.3% one week later
11/08/96… Nasdaq +0.1% one week later
09/20/96… Nasdaq +0.2% one week later
07/10/95… Nasdaq +4.1% one week later
08/17/94… Nasdaq +0.4% one week later
01/02/92… Nasdaq +5.1% one week later
05/31/91… Nasdaq -3.0% one week later
02/01/91… Nasdaq +4.3% one week later
12/03/90… Nasdaq +2.5% one week later
05/09/90… Nasdaq +4.5% one week later
10/09/89… Nasdaq -5.0% one week later
09/14/88… Nasdaq +0.5% one week later
01/13/87… Nasdaq +4.3% one week later
05/29/86… Nasdaq +0.5% one week later
04/17/86… Nasdaq +0.5% one week later
02/11/86… Nasdaq +1.0% one week later
Thursday also marked the eighth consecutive session in which SPY closed above its midpoint. That’s only the 14th occurrence since inception….
SPY Closes above Midpoint Eight Consecutive Sessions
07/07/11… SPY ??? one month later, ??? two months, ??? three months
04/26/11… SPY -2.1% one month later, -4.5% two months, -0.3% (open, ends 7/21)
02/14/11… SPY -3.7% one month later, -1.5% two months, +0.8% three months
12/28/10… SPY +3.1% one month later, +4.1% two months, +4.0% three months
02/19/10… SPY +4.4% one month later, +7.8% two months, +2.5% three months
07/28/09… SPY +5.4% one month later, +8.5% two months, +10.6% three months
02/23/07… SPY -1.3% one month later, +1.9% two months, +5.0% three months
02/08/07… SPY -2.9% one month later, -0.4% two months, +4.1% three months
11/21/06… SPY +1.1% one month later, +1.5% two months, +3.8% three months
10/12/06… SPY +1.4% one month later, +3.8% two months, +3.9% three months
06/20/05… SPY +1.3% one month later, +0.7% two months, +1.5% three months
03/21/03… SPY -0.0% one month later, +3.3% two months, +13.4% three months
06/17/97… SPY +4.6% one month later, +3.0% two months, +1.7% three months
09/08/95… SPY +1.5% one month later, +2.9% two months, +7.3% three months
02/26/93… SPY +1.1% one month later, -2.3% two months, +1.2% three months
Performance is only average in the one-month time frame but consistently improves heading into months two and three. Three months out has been profitable 13/13. If the recent signal on April 26th and the signal just triggered this past Thursday both prove correct we’re looking at an SPX over 1347 around the end of next week and an SPX over 1353 in early October.
Eight Unusually Strong Sessions
By Rennie on Sunday, July 10th, 2011 at 11:31 pmPrior to last month, S&P futures had never posted an unfilled downside gap immediately following an unfilled upside gap. Friday marked the second occurrence of this consecutive gap pattern in just the last month (6/15 the other instance).
Friday was only the 15th unfilled downside gap for S&P futures on a Friday employment report since 1990. Previous occurrences have led to a flat-to-down day for the S&P one day later in all but one case…
Unfilled Downside Gap on Jobs Report Friday
07/07/11… S&P futures ??? next session
06/04/10… S&P futures -1.7% next session
07/02/09… S&P futures +0.2% next session
01/04/08… S&P futures -0.1% next session
09/07/07… S&P futures -0.3% next session
08/05/05… S&P futures -0.2% next session
08/06/04… S&P futures +0.1% next session
07/06/01… S&P futures +0.5% next session
03/09/01… S&P futures -4.2% next session
11/07/97… S&P futures -0.6% next session
07/05/96… S&P futures -0.7% next session
04/08/96… S&P futures -0.3% next session
03/08/96… S&P futures +1.1% next session (*)
08/05/94… S&P futures +0.1% next session
05/06/94… S&P futures -1.0% next session
On the plus side for Monday, we have the bullish ‘gap at highs’ setup from last Thursday still in play.
Overall outlook remains bullish. SPX cumulative breadth is well into 52-week high territory. Price action was unusually strong in the eight sessions leading up to last Thursday. The Nasdaq100 posted eight consecutive higher closes as of July 7th. Every separate instance over the past two decades that the NDX closed higher eight sessions in a row is listed below, followed by the index’s performance over the following week. Despite overbought conditions, 21 out of 24 occurrences led to a higher NDX close one week later.
NDX Up Eight Consecutive Sessions
07/07/11… Nasdaq ??? one week later
09/17/10… Nasdaq +3.5% one week later
07/15/10… Nasdaq +0.4% one week later
03/05/10… Nasdaq +1.9% one week later
11/11/09… Nasdaq +1.1% one week later
10/14/09… Nasdaq -0.0% one week later
07/17/09… Nasdaq +4.1% one week later
05/24/05… Nasdaq +1.2% one week later
06/01/04… Nasdaq +1.9% one week later
12/27/99… Nasdaq +5.3% one week later
11/08/96… Nasdaq +0.1% one week later
09/20/96… Nasdaq +0.2% one week later
07/10/95… Nasdaq +4.1% one week later
08/17/94… Nasdaq +0.4% one week later
01/02/92… Nasdaq +5.1% one week later
05/31/91… Nasdaq -3.0% one week later
02/01/91… Nasdaq +4.3% one week later
12/03/90… Nasdaq +2.5% one week later
05/09/90… Nasdaq +4.5% one week later
10/09/89… Nasdaq -5.0% one week later
09/14/88… Nasdaq +0.5% one week later
01/13/87… Nasdaq +4.3% one week later
05/29/86… Nasdaq +0.5% one week later
04/17/86… Nasdaq +0.5% one week later
02/11/86… Nasdaq +1.0% one week later
Thursday also marked the eighth consecutive session in which SPY closed above its midpoint. That’s only the 14th occurrence since inception….
SPY Closes above Midpoint Eight Consecutive Sessions
07/07/11… SPY ??? one month later, ??? two months, ??? three months
04/26/11… SPY -2.1% one month later, -4.5% two months, -0.3% (open, ends 7/21)
02/14/11… SPY -3.7% one month later, -1.5% two months, +0.8% three months
12/28/10… SPY +3.1% one month later, +4.1% two months, +4.0% three months
02/19/10… SPY +4.4% one month later, +7.8% two months, +2.5% three months
07/28/09… SPY +5.4% one month later, +8.5% two months, +10.6% three months
02/23/07… SPY -1.3% one month later, +1.9% two months, +5.0% three months
02/08/07… SPY -2.9% one month later, -0.4% two months, +4.1% three months
11/21/06… SPY +1.1% one month later, +1.5% two months, +3.8% three months
10/12/06… SPY +1.4% one month later, +3.8% two months, +3.9% three months
06/20/05… SPY +1.3% one month later, +0.7% two months, +1.5% three months
03/21/03… SPY -0.0% one month later, +3.3% two months, +13.4% three months
06/17/97… SPY +4.6% one month later, +3.0% two months, +1.7% three months
09/08/95… SPY +1.5% one month later, +2.9% two months, +7.3% three months
02/26/93… SPY +1.1% one month later, -2.3% two months, +1.2% three months
Performance is only average in the one-month time frame but consistently improves heading into months two and three. Three months out has been profitable 13/13. If the recent signal on April 26th and the signal just triggered this past Thursday both prove correct we’re looking at an SPX over 1347 around the end of next week and an SPX over 1353 in early October.