10-day breadth measure observation for stocks

Below is a 10 day Breadth analysis I was prepared to send out Wednesday before the power went off. I believe it is still worth a perusal. Also included is a 'First Monday of the Month in Bull Markets' analysis. Some of my tape indicators are reading oversold, such as the Five Day Mix of Five Tape Measures. I could see a pullback midweek after we get through the first two seasonally strong days of May, but we will reevaluate each day.

A 10 DAY BREADTH THRUST OBSERVATION

The 10 Day Breadth Rating (ADT10) came in Wednesday at 61.56 on the S&P, a respectable level that does not make any of my current PTA list. However in a PTA8 model I am working on, where I combine the thrust rating with the price trend, a 61.56 is very credible when the market is in a solid uptrend.

Let me introduce XMA100, an exponentially smoothed moving average of the last 100 days of price. I normalize the results, so that the rating ranges from -3 to +3 standard deviations. Today's XMA100 rating is +1.55. The PTA8 model searched for all ADT10s between 61.063 and 62.434 and at the same time required that the XMA100 be between 1.168 and 1.924. They are listed below in chronological order.

ADT10 BETWEEN 61.063-62.434
XMA100 BETWEEN 1.168 AND 1.924
IN CHRONOLOGICAL ORDER
FORWARD SP PERFORMANCE

# DATE RANK ADT10 XMA100 1MT 3MT 6MT 12MT

1 19710112 03 61.64 1.48 06.16 10.96 08.74 11.72

2 19760121 12 61.56 1.80 03.93 05.17 05.68 05.17

3 19760624 20 61.40 1.19 00.26 02.90 01.01 -2.51

4 19790820 14 61.52 1.21 01.54 -4.72 07.02 13.73

5 19800715 07 61.27 1.54 05.38 12.07 12.51 09.16

6 19810105 25 61.27 1.83 -6.04 -1.80 -6.76-12.99

7 19850128 08 61.51 1.33 02.13 02.69 08.46 18.27

8 19850522 16 61.91 1.39 00.56 -0.64 06.87 27.34

9 19851114 30 62.11 1.29 05.47 10.40 19.33 22.83

10 19860205 06 61.81 1.55 05.34 11.63 11.30 32.02

11 19860815 02 61.60 1.48 -6.15 -1.07 13.17 35.14

12 19870112 15 62.04 1.50 05.89 12.37 18.47 -5.72

13 19870615 24 61.71 1.92 02.40 04.82-19.90 -9.46

14 19890207 01 61.59 1.48 -1.92 02.66 16.61 11.39

15 19890524 05 61.62 1.67 20.78 10.15 07.78 12.30

16 19910603 29 62.43 1.54 -3.80 01.05 -1.83 06.84

17 19950915 23 61.24 1.77 00.20 05.66 09.96 16.66

18 19960206 21 61.48 1.92 00.88 -0.85 02.48 20.70

19 19960522 04 61.52 1.65 -1.71 -1.14 10.36 23.18

20 19961111 27 61.06 1.70 01.21 07.89 12.69 26.22

21 19970513 19 61.67 1.89 07.22 10.67 10.03 34.30

22 19980209 10 61.63 1.73 04.11 09.64 07.79 20.32

23 19981106 26 62.27 1.51 03.13 08.62 16.74 20.09

24 20031016 09 61.69 1.38 00.03 08.55 08.05 05.54

25 20031229 13 61.79 1.66 02.22 01.17 02.41 09.37

26 20061116 22 61.41 1.17 01.95 03.98 08.17 40.21

27 20070425 28 61.94 1.25 01.36 01.52 01.27 -6.53

28 20090730 17 61.18 1.38 04.27 05.01 08.83 11.64

29 20091228 18 61.35 1.80 -3.83 03.44 -4.72 11.59

30 20100323 11 61.46 1.72 03.67 -6.99 -4.20 10.51

31 20110427 00 61.56 1.55 ? ? ? ?

#UP-DN = 24- 6 23- 7 25- 5 25- 5
AVG%CHG= 01.74 04.67 07.86 14.64
MED%CHG= 02.04 04.40 08.11 11.68

Here is the same list in order of best match.

ADT10 BETWEEN 61.063-62.434
XMA100 BETWEEN 1.168 AND 1.924
IN ORDER OF BEST MATCH
FORWARD SP PERFORMANCE

# DATE RANK ADT10 XMA100 1MT 3MT 6MT 12MT

00 20110427 00 61.56 1.55 ? ? ? ?

01 19890207 01 61.59 1.48 -1.92 02.66 16.61 11.39

02 19860815 02 61.60 1.48 -6.15 -1.07 13.17 35.14

03 19710112 03 61.64 1.48 6.16 10.96 08.74 11.72

04 19960522 04 61.52 1.65 -1.71 -1.14 10.36 23.18

05 19890524 05 61.62 1.67 02.78 10.15 07.78 12.30

06 19860205 06 61.81 1.55 05.34 11.63 11.30 32.02

07 19800715 07 61.27 1.54 05.38 12.07 12.51 09.16

08 19850128 08 61.51 1.33 02.13 02.69 08.46 18.27

09 20031016 09 61.69 1.38 00.03 08.55 08.05 05.54

10 19980209 10 61.63 1.73 04.11 09.64 07.79 20.32

11 20100323 11 61.46 1.72 03.67 -6.99 -4.20 10.51

12 19760121 12 61.56 1.80 03.93 05.17 05.68 05.17

13 20031229 13 61.79 1.66 02.22 01.17 02.41 09.37

14 19790820 14 61.52 1.21 01.54 -4.72 07.02 13.73

15 19870112 15 62.04 1.50 05.89 12.37 18.47 -5.72

16 19850522 16 61.91 1.39 00.56 -0.64 06.87 27.34

17 20090730 17 61.18 1.38 04.27 05.01 08.83 11.64

18 20091228 18 61.35 1.80 -3.83 03.44 -4.72 11.59

19 19970513 19 61.67 1.89 07.22 10.67 10.03 34.30

20 19760624 20 61.40 1.19 00.26 02.90 01.01 -2.51

21 19960206 21 61.48 1.92 00.88 -0.85 02.48 20.70

22 20061116 22 61.41 1.17 01.95 03.98 08.17 04.21

23 19950915 23 61.24 1.77 00.20 05.66 09.96 16.66

24 19870615 24 61.71 1.92 02.40 04.82-19.90 -9.46

25 19810105 25 61.27 1.83 -6.04 -1.80 -6.76-12.99

26 19981106 26 62.27 1.51 03.13 08.62 16.74 20.09

27 19961111 27 61.06 1.70 10.21 07.89 12.69 26.22

28 20070425 28 61.94 1.25 01.36 01.52 01.27 -6.53

29 19910603 29 62.43 1.54 -3.80 01.05 -1.83 06.84

30 19851114 30 62.11 1.29 05.47 10.40 19.33 22.83

#UP-DN = 24- 6 23- 7 25- 5 25- 5
AVG%CHG= 01.74 04.67 07.86 14.64
MED%CHG= 02.04 04.40 08.11 11.68

Note, that the top 22 matches were all higher either six or 12 months later.

Monday's in Bull Markets

We have mentioned this one before. Monday's in Bull Markets have a good track record, especially the first one of the month. The S&P is up 6.829% over the last quarter. Below is a list of all the first Mondays of the Month over the last 20 years when the S&P was up 5.618 to 8.040% over the trailing quarter.

The First Monday of the Month
When the Trailing Quarter was 5.618 to 8.040%
1992-2011
DAYOF TRAILING MON

# DATE WEEK SP%CHG SP%CHG

01 19950807 MON 7.46 0.20

02 19951002 MON 7.28 -0.46

03 19951204 MON 7.65 1.10

04 19960205 MON 7.82 0.88

05 19960304 MON 6.44 1.00

06 19961007 MON 7.50 0.27

07 19961104 MON 6.59 0.42

08 19970106 MON 7.98 -0.05

09 19970602 MON 7.27 -0.23

10 19970902 MON 6.28 3.13

11 19971006 MON 5.79 0.76

12 19971201 MON 6.22 2.03

13 19980202 MON 6.65 2.14

14 20000501 MON 6.78 1.09

15 20020204 MON 5.89 -2.47

16 20021104 MON 7.95 0.82

17 20031103 MON 6.91 0.79

18 20040202 MON 7.92 0.37

19 20041206 MON 6.96 -0.08

20 20050103 MON 7.11 -0.81

21 20050801 MON 6.68 0.09

22 20061106 MON 6.94 1.13

23 20061204 MON 6.54 0.89

24 20070103 WED 6.17 -0.12

25 20070702 MON 5.81 1.07

26 20090504 MON 6.25 3.39

27 20090706 MON 7.73 0.16

28 20090901 TUE 8.03 -2.21

29 20110207 MON 7.36 0.62

30 20110404 MON 5.94 0.04

30 20110501 MON 6.83 ?

#UP-DN = 22- 8
AVG%CHG= 0.53
MED%CHG= 0.52
1%MOVES= 8- 2

Wayne Whaley is a Systems Engineering graduate from Georgia Tech who takes an engineering approach to tape analysis. He is a registered CTA, co-owner of Witter & Lester and the 2010 MTA Charles Dow Award winner for research surveying various tape measures. For more insight see www.witterlester.com.

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