S&P Futures Testing the 20-day Moving Average
By
Rennie on Wednesday, November 16th, 2011 at 12:14 pm
S&P futures traded below its rising 20-day moving average on Tuesday before rebounding to settle above the average. The same scenario is playing out today, as S&P futures traded below 1247 intraday before rebounding back over that level. If December S&Ps can remain above 1247 at today’s close, it would suggest a successful test of the moving average. Historically, this has had bullish implications looking out over the following week. 30 out of 36 occurrences since 2000 (83%) led to a higher S&P close one week later, a significant edge over the 53% random odds.
S&P Futures Low < Rising 20-day Average, Close > Avg Two Days in a Row
07/15/11… S&P futures +2.0% one week later
05/12/11… S&P futures -0.4% one week later
11/19/10… S&P futures -1.0% one week later
11/30/09… S&P futures +0.7% one week later
10/07/09… S&P futures +3.3% one week later
08/19/09… S&P futures +3.2% one week later
05/12/08… S&P futures +1.6% one week later
02/25/08… S&P futures -3.0% one week later
02/15/08… S&P futures +1.6% one week later
05/25/07… S&P futures +1.6% one week later
01/31/07… S&P futures +0.8% one week later
01/23/07… S&P futures +0.1% one week later
09/25/06… S&P futures +0.4% one week later
08/11/06… S&P futures +2.8% one week later
07/25/06… S&P futures +0.2% one week later
04/26/06… S&P futures +0.2% one week later
04/04/06… S&P futures -1.5% one week later
03/14/06… S&P futures -0.0% one week later
12/09/05… S&P futures +0.6% one week later
05/17/05… S&P futures +1.7% one week later
12/09/04… S&P futures +1.2% one week later
06/29/04… S&P futures -1.6% one week later
04/15/04… S&P futures +1.0% one week later
02/26/04… S&P futures +0.9% one week later
08/14/03… S&P futures +1.3% one week later
05/23/03… S&P futures +3.6% one week later
04/10/03… S&P futures +2.5% one week later
04/01/03… S&P futures +2.3% one week later
03/14/03… S&P futures +7.5% one week later
11/20/02… S&P futures +2.7% one week later
11/15/02… S&P futures +2.3% one week later
02/27/02… S&P futures +4.8% one week later
01/02/02… S&P futures +0.0% one week later
12/19/01… S&P futures +0.7% one week later
11/02/01… S&P futures +3.1% one week later
05/14/01… S&P futures +5.1% one week later
2% moves are 13-1, avg gain 2.0%, avg loss 1.3%
An interactive chart of the continuous S&P futures contract along with the 20-day average can be found via this link.
S&P Futures Testing the 20-day Moving Average
By Rennie on Wednesday, November 16th, 2011 at 12:14 pmS&P futures traded below its rising 20-day moving average on Tuesday before rebounding to settle above the average. The same scenario is playing out today, as S&P futures traded below 1247 intraday before rebounding back over that level. If December S&Ps can remain above 1247 at today’s close, it would suggest a successful test of the moving average. Historically, this has had bullish implications looking out over the following week. 30 out of 36 occurrences since 2000 (83%) led to a higher S&P close one week later, a significant edge over the 53% random odds.
S&P Futures Low < Rising 20-day Average, Close > Avg Two Days in a Row
07/15/11… S&P futures +2.0% one week later
05/12/11… S&P futures -0.4% one week later
11/19/10… S&P futures -1.0% one week later
11/30/09… S&P futures +0.7% one week later
10/07/09… S&P futures +3.3% one week later
08/19/09… S&P futures +3.2% one week later
05/12/08… S&P futures +1.6% one week later
02/25/08… S&P futures -3.0% one week later
02/15/08… S&P futures +1.6% one week later
05/25/07… S&P futures +1.6% one week later
01/31/07… S&P futures +0.8% one week later
01/23/07… S&P futures +0.1% one week later
09/25/06… S&P futures +0.4% one week later
08/11/06… S&P futures +2.8% one week later
07/25/06… S&P futures +0.2% one week later
04/26/06… S&P futures +0.2% one week later
04/04/06… S&P futures -1.5% one week later
03/14/06… S&P futures -0.0% one week later
12/09/05… S&P futures +0.6% one week later
05/17/05… S&P futures +1.7% one week later
12/09/04… S&P futures +1.2% one week later
06/29/04… S&P futures -1.6% one week later
04/15/04… S&P futures +1.0% one week later
02/26/04… S&P futures +0.9% one week later
08/14/03… S&P futures +1.3% one week later
05/23/03… S&P futures +3.6% one week later
04/10/03… S&P futures +2.5% one week later
04/01/03… S&P futures +2.3% one week later
03/14/03… S&P futures +7.5% one week later
11/20/02… S&P futures +2.7% one week later
11/15/02… S&P futures +2.3% one week later
02/27/02… S&P futures +4.8% one week later
01/02/02… S&P futures +0.0% one week later
12/19/01… S&P futures +0.7% one week later
11/02/01… S&P futures +3.1% one week later
05/14/01… S&P futures +5.1% one week later
2% moves are 13-1, avg gain 2.0%, avg loss 1.3%
An interactive chart of the continuous S&P futures contract along with the 20-day average can be found via this link.