Gaps At High Places
By
Rennie on Friday, July 8th, 2011 at 1:51 am
Thursday’s pre-employment report gap coincided with a 40-day closing high for S&P futures. Gaps that occur at high points tend to see short-term follow-through. I went back and noted every instance since 2005 in which S&P futures posted an unfilled upside gap (low>prev day’s high) and that day’s close was the highest in forty sessions…
Unfilled Upside Gap & 40-Day Closing High
07/07/11… ???
04/26/11… Higher S&P close one session later
02/07/11… Higher S&P close one session later
02/01/11… Higher S&P close two sessions later
01/12/11… Higher S&P close two sessions later
01/03/11… Higher S&P close one session later
11/04/10… Higher S&P close one session later
10/25/10… Higher S&P close one session later
10/13/10… Higher S&P close two sessions later
09/24/10… No higher close next two sessions (S&P -0.1%)
08/02/10… Higher S&P close two sessions later
04/14/10… Higher S&P close one session later
03/17/10… Higher S&P close one session later
12/24/09… Higher S&P close one session later
12/14/09… No higher close next two sessions (S&P -0.3%)
11/16/09… Higher S&P close one session later
11/09/09… Higher S&P close one session later
10/14/09… Higher S&P close one session later
08/21/09… Higher S&P close two sessions later
07/30/09… Higher S&P close one session later
06/01/09… Higher S&P close one session later
05/04/09… Higher S&P close one session later
04/09/09… Higher S&P close one session later
04/18/08… Higher S&P close one session later
10/05/07… Higher S&P close two sessions later
09/19/07… No higher close next two sessions (S&P -0.5%)
07/12/07… Higher S&P close one session later
04/20/07… No higher close next two sessions (S&P -0.3%)
04/16/07… Higher S&P close one session later
02/14/07… Higher S&P close one session later
08/16/06… Higher S&P close one session later
05/05/06… Higher S&P close two sessions later
11/17/05… Higher S&P close one session later
06/17/05… Higher S&P close two sessions later
05/26/05… Higher S&P close one session later
In 30 out of 34 occurrences (88%) since 2005, S&P futures posted a higher close (above the setup day’s close) one or two sessions later, a significant edge over the 67% random chance. On the four losing signals, the S&P was never down more than 0.5% two sessions later.
Gaps At High Places
By Rennie on Friday, July 8th, 2011 at 1:51 amThursday’s pre-employment report gap coincided with a 40-day closing high for S&P futures. Gaps that occur at high points tend to see short-term follow-through. I went back and noted every instance since 2005 in which S&P futures posted an unfilled upside gap (low>prev day’s high) and that day’s close was the highest in forty sessions…
Unfilled Upside Gap & 40-Day Closing High
07/07/11… ???
04/26/11… Higher S&P close one session later
02/07/11… Higher S&P close one session later
02/01/11… Higher S&P close two sessions later
01/12/11… Higher S&P close two sessions later
01/03/11… Higher S&P close one session later
11/04/10… Higher S&P close one session later
10/25/10… Higher S&P close one session later
10/13/10… Higher S&P close two sessions later
09/24/10… No higher close next two sessions (S&P -0.1%)
08/02/10… Higher S&P close two sessions later
04/14/10… Higher S&P close one session later
03/17/10… Higher S&P close one session later
12/24/09… Higher S&P close one session later
12/14/09… No higher close next two sessions (S&P -0.3%)
11/16/09… Higher S&P close one session later
11/09/09… Higher S&P close one session later
10/14/09… Higher S&P close one session later
08/21/09… Higher S&P close two sessions later
07/30/09… Higher S&P close one session later
06/01/09… Higher S&P close one session later
05/04/09… Higher S&P close one session later
04/09/09… Higher S&P close one session later
04/18/08… Higher S&P close one session later
10/05/07… Higher S&P close two sessions later
09/19/07… No higher close next two sessions (S&P -0.5%)
07/12/07… Higher S&P close one session later
04/20/07… No higher close next two sessions (S&P -0.3%)
04/16/07… Higher S&P close one session later
02/14/07… Higher S&P close one session later
08/16/06… Higher S&P close one session later
05/05/06… Higher S&P close two sessions later
11/17/05… Higher S&P close one session later
06/17/05… Higher S&P close two sessions later
05/26/05… Higher S&P close one session later
In 30 out of 34 occurrences (88%) since 2005, S&P futures posted a higher close (above the setup day’s close) one or two sessions later, a significant edge over the 67% random chance. On the four losing signals, the S&P was never down more than 0.5% two sessions later.