Five White Candles
By
Rennie on Tuesday, November 8th, 2011 at 12:50 am
The setup: S&P futures post five consecutive white candlesticks (close > open)
The trade: Short a higher open, cover at the close.
The idea: After five consecutive white candles, intraday buying power is often at a short-term exhaustion point. Buyers may step in on a down open, but will likely hold off participating on an up open, producing a relatively low-risk shorting opportunity.
The history: Date shown is the first higher open after 5+ white candles, followed by the performance of S&P futures from open to close that day. Note only one signal per series…
S&P Futures Open Higher after Five or More White Candlesticks
09/20/11… S&P futures close -0.6% from open
07/07/11… S&P futures close +0.4% from open (*)
04/21/11… S&P futures close -0.1% from open
02/16/11… S&P futures close +0.2% from open
12/07/10… S&P futures close -0.9% from open
11/09/10… S&P futures close -1.0% from open
09/17/10… S&P futures close -0.5% from open
02/22/10… S&P futures close -0.3% from open
01/11/10… S&P futures close -0.3% from open
12/03/09… S&P futures close -1.1% from open
10/12/09… S&P futures close -0.1% from open
07/30/09… S&P futures close -0.2% from open
07/17/09… S&P futures close +0.1% from open
04/30/09… S&P futures close -1.1% from open
01/06/09… S&P futures close -0.4% from open
10/29/07… S&P futures close +0.1% from open
04/20/07… S&P futures close +0.2% from open
02/22/07… S&P futures close -0.1% from open
02/06/07… S&P futures close -0.1% from open
10/26/06… S&P futures close +0.1% from open
10/10/06… S&P futures close +0.1% from open
09/15/06… S&P futures close -0.3% from open
03/17/06… S&P futures close -0.1% from open
01/11/06… S&P futures close +0.2% from open
11/28/05… S&P futures close -0.8% from open
07/14/05… S&P futures close -0.1% from open
02/17/05… S&P futures close -0.8% from open
12/20/04… S&P futures close -0.2% from open
11/01/04… S&P futures close -0.0% from open
05/18/04… S&P futures close +0.1% from open
Over the last 30 separate occurrences since 2004, S&P futures closed below the day’s open 70% of the time, a significant edge over the 46% random chance for a close below the open. In addition, note the extremely limited upside potential on those occasions when the signal produced a loss. The S&P closed more than 0.2% above the day’s open on only one occasion, and even that was less than 0.5%.
This signal goes into effect only on an open above SPZ 1257.50 on Tuesday. If we see a down open but another white candle at Tuesday’s close, this signal would still be triggered the next session on a higher open (continuing until either the string of white candlesticks is broken or S&P futures open higher).
Five White Candles
By Rennie on Tuesday, November 8th, 2011 at 12:50 amThe setup: S&P futures post five consecutive white candlesticks (close > open)
The trade: Short a higher open, cover at the close.
The idea: After five consecutive white candles, intraday buying power is often at a short-term exhaustion point. Buyers may step in on a down open, but will likely hold off participating on an up open, producing a relatively low-risk shorting opportunity.
The history: Date shown is the first higher open after 5+ white candles, followed by the performance of S&P futures from open to close that day. Note only one signal per series…
S&P Futures Open Higher after Five or More White Candlesticks
09/20/11… S&P futures close -0.6% from open
07/07/11… S&P futures close +0.4% from open (*)
04/21/11… S&P futures close -0.1% from open
02/16/11… S&P futures close +0.2% from open
12/07/10… S&P futures close -0.9% from open
11/09/10… S&P futures close -1.0% from open
09/17/10… S&P futures close -0.5% from open
02/22/10… S&P futures close -0.3% from open
01/11/10… S&P futures close -0.3% from open
12/03/09… S&P futures close -1.1% from open
10/12/09… S&P futures close -0.1% from open
07/30/09… S&P futures close -0.2% from open
07/17/09… S&P futures close +0.1% from open
04/30/09… S&P futures close -1.1% from open
01/06/09… S&P futures close -0.4% from open
10/29/07… S&P futures close +0.1% from open
04/20/07… S&P futures close +0.2% from open
02/22/07… S&P futures close -0.1% from open
02/06/07… S&P futures close -0.1% from open
10/26/06… S&P futures close +0.1% from open
10/10/06… S&P futures close +0.1% from open
09/15/06… S&P futures close -0.3% from open
03/17/06… S&P futures close -0.1% from open
01/11/06… S&P futures close +0.2% from open
11/28/05… S&P futures close -0.8% from open
07/14/05… S&P futures close -0.1% from open
02/17/05… S&P futures close -0.8% from open
12/20/04… S&P futures close -0.2% from open
11/01/04… S&P futures close -0.0% from open
05/18/04… S&P futures close +0.1% from open
Over the last 30 separate occurrences since 2004, S&P futures closed below the day’s open 70% of the time, a significant edge over the 46% random chance for a close below the open. In addition, note the extremely limited upside potential on those occasions when the signal produced a loss. The S&P closed more than 0.2% above the day’s open on only one occasion, and even that was less than 0.5%.
This signal goes into effect only on an open above SPZ 1257.50 on Tuesday. If we see a down open but another white candle at Tuesday’s close, this signal would still be triggered the next session on a higher open (continuing until either the string of white candlesticks is broken or S&P futures open higher).