Last week's 100-point range in the S&P 500 index futures (CME.SP) culminated with more indecisive base building as Friday's inside-day close of 936.25 pushed the S&P back north for a gain of 31.75 points, or 3.5%. After last week's wild back-and-forth, we took a day-by-day look at the vagaries of last week's trading, coming away with an empirical tell by asking the question:
Q: Over the course of its history, how does CME.SP perform after a week that saw two up days, followed by two down days, finally ending the week with an inside day, where the high and low prices of the day are contained within the high-low range of the previous trading day?
A: According to the nine previous occurrences of this event, EventEdge indicates that CME.SP has shown a very strong bullish edge that peaks 23 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Friday, Nov. 7, 2008) is Thursday, Dec. 11, 2008. CME.SP rallies in 100% of the cases (9 of 9) by an average of 3.2% relative to the close on the event date. The overall return of the nine cases is 3.2%, which, based on the close of CME.SP on the event date (936.2), provides a target price of 966.16.
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Mr. Jay Pasch is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
