A three-day breadth signal for stocks

The Week after Easter

The S&P is up 3.07% over the last month (21 trading days). Over the last 40 years, when the trailing month was positive, the three days after the Easter weekend were 8-15 for a median loss of 0.42%.

THE THREE DAYS AFTER EASTER
WHEN THE TRAILING MONTH IS POSITIVE

DATE TRMONTH DAY1 DAY2 DAY3 DAY1-3
19710408 2.82 0.76 0.10 0.38 1.24
19730419 1.52 -0.53 -1.42 -1.50 -3.41
19750327 4.33 -0.58 -0.86 -0.25 -1.69
19780323 2.06 -0.55 0.71 0.16 0.31
19790412 2.30 -0.86 0.12 0.45 -0.29
19810416 0.36 0.56 -0.90 -0.07 -0.42
19820408 6.22 -0.19 -0.01 -0.14 -0.34
19830331 0.61 0.03 -0.73 -0.56 -1.25
19860327 6.66 -0.03 -1.57 0.24 -1.36
19900412 2.22 0.12 -0.02 -1.15 -1.05
19910328 2.03 -1.04 2.21 -0.15 0.99
19920416 1.68 -1.41 0.02 -0.11 -1.50
19950413 3.53 -0.61 -0.15 -0.09 -0.85
19960404 0.59 -1.77 -0.32 -1.35 -3.41
19980409 3.95 -0.09 0.55 0.32 0.78
19990401 5.38 2.12 -0.24 0.68 2.56
20010412 1.44 -0.32 1.00 3.92 4.62
20020328 3.38 -0.07 -0.85 -1.00 -1.92
20030417 2.24 -0.18 2.17 0.84 2.85
20040408 1.70 0.52 -1.38 -0.11 -0.98
20070405 3.72 0.06 0.26 -0.66 -0.34
20090409 18.74 0.25 -1.98 1.24 -0.53
20100401 5.30 0.79 0.17 -0.59 0.37
20100421 3.07 ? ? ? ?

#UP-DN = 9-14 10-13 9-14 8-15
AVG%CHG= -0.13 -0.14 0.02 -0.24
MED%CHG= -0.09 -0.02 -0.11 -0.42
1%MOVES= 1- 3 3- 4 2- 3 4- 8

Trailing Month = 21 trading days

I did a dozen different 'Last week of April' studies and found them to all yield mixed results.

The Last Monday of the Month

Monday's have a pretty good track record over the last decade, but the last Monday of the month has lagged a bit. The S&P is up 2.428% over the last three days. When the S&P is up 1.504 to 3.352% over the previous 3 days, Monday is 10-20 over the last 20 years for a median loss of 0.26%


THE LAST MONDAY OF THE MONTH
WHEN THE TRAILING 3 DAYS ARE 1.504-3.352%

DAYOF TRAILING FORWARD
# DATE WEEK SP%CHG SP%CHG
1 19911230 MON 2.43 2.14
2 19940131 MON 1.65 0.61
3 19940829 MON 2.00 0.17
4 19941031 MON 2.65 -0.30
5 19960226 MON 2.88 -1.31
6 19971124 MON 2.65 -1.70
7 19981228 MON 1.95 -0.06
8 19990329 MON 1.64 2.12
9 19991025 MON 3.20 -0.62
10 19991227 MON 2.84 -0.09
11 20000327 MON 2.25 -0.24
12 20000424 MON 2.36 -0.33
13 20010730 MON 2.92 -0.11
14 20010827 MON 2.39 -0.48
15 20011029 MON 1.83 -2.38
16 20040426 MON 1.95 -0.39
17 20050228 MON 2.30 -0.64
18 20060530 TUE 1.88 -1.59
19 20070326 MON 1.78 0.10
20 20070827 MON 2.23 -0.85
21 20080128 MON 1.53 1.75
22 20080428 MON 1.59 -0.11
23 20080825 MON 2.01 -1.96
24 20080929 MON 2.11 -8.81
25 20090126 MON 3.32 0.56
26 20090427 MON 1.90 -1.01
27 20090629 MON 2.66 0.91
28 20090727 MON 2.59 0.30
29 20100726 MON 1.77 1.12
30 20110328 MON 1.55 -0.27
20110424 MON 1.53 ?

#UP-DN = 10-20
AVG%CHG= -0.45
MED%CHG= -0.26
1%MOVES= 4- 7

An ADT3 B-List Signal

We have had three pretty good breadth days on the S&P 500.

THREE DAY BREADTH DATA

DATE ADV DEC UNC
20110419 343 147 10
20110420 438 60 02
20110421 340 157 03

ADT3= (343+438+340)/(343+438+340+147+60+157)

This yields an ADT3 of 75.49 which is not good enough to make any of my PTA model A-List. But interestingly, if I searched for all ADT3s between 75-76 and added the qualification that the Close on the day of interest had to be above both the 50 and 200 day moving averages, I came up with a pretty good set of data points

ADT3 BETWEEN 75 AND 76
Above the 50 and 200 Day Moving Averages
1970-2010

FORWARD S&P PERFORMANCE
# DATE ADT3 1MT 3MT 6MT 12MT
1 19750603 74.88 1.58 -7.39 -5.69 7.79
2 19751006 75.26 3.07 7.65 18.97 18.52
3 19790607 75.12 1.80 5.77 5.63 11.21
4 19801006 75.61 -2.14 4.85 1.67 -9.37
5 19820824 75.80 6.91 16.06 29.69 39.79
6 19850114 74.96 6.98 5.88 13.36 21.19
7 19860218 74.89 5.99 4.63 11.21 28.31
8 19861121 75.42 1.57 16.11 13.96 -1.57
9 19870218 75.26 2.58 0.43 15.36 -9.64
10 19881007 75.41 -1.49 0.94 6.87 29.03
11 19900508 74.86 4.88 -1.07 -10.06 10.67
12 19910822 75.17 -0.87 -3.88 5.14 6.01
13 19911015 75.15 -2.15 7.61 6.46 4.75
14 19941011 75.02 -0.74 -0.88 8.53 24.40
15 19960805 75.22 -1.63 8.17 17.88 44.25
16 19970505 75.18 1.58 14.70 13.55 34.37
17 19970820 75.97 1.19 2.09 10.10 16.21
18 19981102 75.38 5.37 13.53 20.11 21.24
19 19991029 75.05 3.29 -0.20 6.57 1.22
20 20030422 75.49 2.25 8.42 13.06 25.08
21 20040527 75.81 1.17 -1.20 5.47 6.91
22 20060216 75.34 1.24 0.21 0.47 12.89
23 20060703 74.87 0.00 4.21 10.66 19.11
24 20060817 74.98 1.73 7.99 12.18 11.44
25 20070713 74.87 -6.41 0.60 -9.76 -20.16
26 20090602 75.40 -5.02 5.29 17.41 16.26
27 20091007 75.57 1.11 7.95 11.81 9.50
28 20091223 75.19 -2.57 4.78 -2.55 12.15
29 20110421 74.49 ? ? ? ?

#UP-DN = 19- 9 22- 6 24- 4 24- 4
AVG%CHG= 1.12 4.76 8.86 13.98
MED%CHG= 1.41 4.82 10.38 12.52

G. Wayne Whaley has been executive vice-president for Witter & Lester since 1993 and principal since 1998. He holds a B. S. degree in the Science of Mathematics from Jacksonville State University and a M.S. degree in Operations Research (Applied Math) from Georgia Technological Institute. He has been registered with the Advisor as an Associated Person since July 14, 1995, and as a Principal since, March 20, 1998. More info: http://witterlester.com.

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