S&P500 in Extreme Oversold Territory

Market has entered extreme oversold territory. The NYSE is working on a 3rd 90% down volume day in just the last five sessions, a pattern never seen prior to ’08 but a few times since, all of which led to significant gains over the next week (see tweet).

The SPX 2-day RSI is set to close under 2.0 (on a close below 1187.50) and will close under 1.0 (on a close below 1176.50). Buying the S&P on a 2-day RSI <2 and exiting on the first close >2 has been a reliable oversold buy signal, with only one significant loss over the last 30 signals…

S&P500 2-day RSI Closes Below 2.0
08/08/11… S&P500 +4.7% when 2day RSI >2 (one session)
08/01/11… S&P500 -2.1% when 2day RSI >2 (two sessions) *
04/12/11… S&P500 +0.0% when 2day RSI >2 (one session)
11/16/10… S&P500 +0.0% when 2day RSI >2 (one session)
06/30/10… S&P500 -0.3% when 2day RSI >2 (three sessions)
06/24/10… S&P500 +0.3% when 2day RSI >2 (one session)
05/20/10… S&P500 +1.5% when 2day RSI >2 (one session)
09/02/09… S&P500 +0.9% when 2day RSI >2 (one session)
02/20/09… S&P500 +0.4% when 2day RSI >2 (two sessions)
10/08/08… S&P500 +1.9% when 2day RSI >2 (three sessions)
01/22/08… S&P500 +2.1% when 2day RSI >2 (one session)
01/04/08… S&P500 +0.3% when 2day RSI >2 (one session)
02/27/07… S&P500 +0.6% when 2day RSI >2 (one session)
06/13/06… S&P500 +0.5% when 2day RSI >2 (one session)
01/04/05… S&P500 -0.0% when 2day RSI >2 (two sessions)
08/06/04… S&P500 +0.1% when 2day RSI >2 (one session)
03/11/04… S&P500 +1.3% when 2day RSI >2 (one session)
01/22/03… S&P500 +1.0% when 2day RSI >2 (one session)
09/19/02… S&P500 +0.3% when 2day RSI >2 (one session)
09/03/02… S&P500 +1.8% when 2day RSI >2 (one session)
07/22/02… S&P500 +3.0% when 2day RSI >2 (two sessions)
04/26/02… S&P500 +0.1% when 2day RSI >2 (two sessions)
09/20/01… S&P500 +2.0% when 2day RSI >2 (two sessions)
09/07/01… S&P500 +0.6% when 2day RSI >2 (one session)
06/15/01… S&P500 -0.1% when 2day RSI >2 (two sessions)
02/09/01… S&P500 +1.2% when 2day RSI >2 (one session)
11/10/00… S&P500 +1.3% when 2day RSI >2 (two sessions)
10/11/00… S&P500 +0.8% when 2day RSI >2 (two sessions)
09/18/00… S&P500 +1.1% when 2day RSI >2 (one session)
04/14/00… S&P500 +3.3% when 2day RSI >2 (one session)

Buying the S&P on a 2-day RSI <1 and exiting on the first close >1 has been even more reliable, with only one loss out of 25 signals since 1990 and an average gain of 2%…

S&P500 2-day RSI Closes Below 1.0
08/08/11… S&P500 +4.7% when 2day RSI >1 (one session)
08/02/11… S&P500 +0.5% when 2day RSI >1 (one session)
07/02/10… S&P500 +0.5% when 2day RSI >1 (one session)
02/23/09… S&P500 +4.0% when 2day RSI >1 (one session)
10/09/08… S&P500 +10.3% when 2day RSI >1 (two sessions)
01/04/08… S&P500 +0.3% when 2day RSI >1 (one session)
02/27/07… S&P500 +0.6% when 2day RSI >1 (one session)
09/03/02… S&P500 +1.8% when 2day RSI >1 (one session)
07/23/02… S&P500 +5.7% when 2day RSI >1 (one session)
04/26/02… S&P500 +0.1% when 2day RSI >1 (two sessions)
09/20/01… S&P500 +1.9% when 2day RSI >1 (two sessions)
09/07/01… S&P500 +0.6% when 2day RSI >1 (one session)
11/13/00… S&P500 +2.4% when 2day RSI >1 (one session)
10/12/00… S&P500 +3.3% when 2day RSI >1 (one session)
04/14/00… S&P500 +3.3% when 2day RSI >1 (one session)
08/31/98… S&P500 +3.8% when 2day RSI >1 (one session)
06/18/96… S&P500 +0.0% when 2day RSI >1 (two sessions)
11/22/94… S&P500 +0.5% when 2day RSI >1 (two sessions)
03/29/94… S&P500 -1.5% when 2day RSI >1 (two sessions)
04/23/93… S&P500 +0.2% when 2day RSI >1 (two sessions)
09/10/91… S&P500 +0.1% when 2day RSI >1 (one session)
01/09/91… S&P500 +1.0% when 2day RSI >1 (one session)
08/23/90… S&P500 +1.5% when 2day RSI >1 (one session)
08/06/90… S&P500 +0.1% when 2day RSI >1 (one session)
04/23/90… S&P500 +0.3% when 2day RSI >1 (two sessions)

Categories : Archived Intraday Commentary, Intraday Commentary

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