Tape action improves for stock indexes

One Day Breadth

There are all kind of 'One Day Breadth' one liners running through my head, but way too easy, so I'll give attempts at wit a day off. The market exhibited extremely broad participation today. There were 444 Advances today on the equity only S&P 500 vs only 52 Declines yielding an ADT1 of 89.516. The XMA100 Price Trend is 1.43. When the S&P can post an ADT1 of 89.52ish in a strong uptrend, the market has historically posted above average performance numbers across the range of intermediate time intervals. Below are the 30 best matches since 1970 listed in order of match. This does not meet my stringent PTA requirements for an intermediate signal, but I believe is worth noting.

SP PERFORMANCE
WHEN ADT1 = 86.837 - 91.064
AND XMA100 = 0.859 TO 2.040

FORWARD SP PERFORMANCE
# DATE RANK ADT1 XMA100 1MT 3MT 6MT 12MT
TODAY 89.516 1.430

1 19971230 1 89.366 1.430 0.97 12.64 16.79 26.89
2 19950531 2 89.429 1.509 2.13 5.34 13.49 25.44
3 19821006 3 90.022 1.404 12.85 15.32 19.91 35.18
4 20090904 4 90.081 1.470 0.87 8.80 10.49 8.67
5 20031218 5 88.844 1.453 4.65 3.04 4.21 9.64
6 19851204 6 88.962 1.527 3.26 9.87 19.44 23.90
7 19970502 7 90.021 1.624 4.11 16.50 12.50 37.89
8 20100301 8 89.738 1.146 5.59 -4.03 -3.17 17.09
9 20030916 9 88.571 1.312 2.02 4.45 7.91 9.15
10 19911230 10 88.542 1.532 -0.85 -2.92 -1.69 5.70
11 19990903 11 89.571 1.055 -5.48 5.61 3.83 12.06
12 20041228 12 88.844 1.196 -3.48 -3.24 -0.99 3.77
13 19760105 13 89.451 1.047 8.44 11.81 12.45 13.16
14 19870526 14 91.064 1.388 6.24 15.72 -15.57 -11.93
15 19890623 15 89.823 1.752 2.41 5.81 5.92 8.36
16 20030530 16 89.113 1.104 1.13 4.61 9.82 16.30
17 20061106 17 89.357 1.026 2.40 4.94 9.12 10.18
18 19881020 18 89.700 1.032 -5.80 1.33 8.24 22.72
19 20091221 19 88.710 1.675 0.22 4.12 -0.08 12.62
20 19850213 20 88.546 1.672 -2.81 0.69 2.15 18.57
21 19930308 21 90.234 1.099 -2.83 -2.20 0.43 2.46
22 19960318 22 88.197 1.612 -1.39 1.44 4.42 20.99
23 19750326 23 87.810 1.250 3.62 13.42 3.11 23.04
24 19960802 24 89.552 0.859 -1.58 6.23 18.67 42.97
25 19910701 25 89.130 0.930 2.43 2.98 10.36 9.25
26 19800903 26 90.260 1.833 2.55 8.40 3.52 -3.87
27 20040312 27 90.342 1.003 2.20 1.42 0.30 7.10
28 19860811 28 88.147 1.119 -2.29 2.66 15.31 38.50
29 19900102 29 86.837 1.405 -8.00 -5.84 -0.04 -9.24
30 19970916 30 89.409 2.040 1.01 2.37 14.13 10.56

#UP-DN = 20-10 25- 5 24- 6 27- 3
AVG%CHG= 2.13 6.25 7.64 16.40
MED%CHG= 1.57 4.53 6.91 12.34

Historical S&P Breadth Data Compliments NDR Inc.

XMA is an exponentially smoothed 100 Day Moving Average, normalized to range between -3 to 3.

Today's strong market breadth will most likely go largely unnoticed as the NYSE composite index Breadth numbers were decent, but lagged a bit, as the bond components of that index got whacked today.

The Five Day Sequence of Closes

After closing down four straight days, the S&P has closed higher three consecutive days. The XMA100 price trend is +1.43. Over the last 30 years, when the five day sequence of closes is Down, Down, Up, Up, Up and the XMA100 is 1.27 to 1.59, the S&P has closed higher one Month and Quarter later on 24 of the last 30 occasions. They are listed in order of best match below. Note the top 11 matches were all higher one Month and Quarter later.

When the Five Day Sequence of Closes is 00111
And the XMA100 Price Trend is +1.27 to 1.59

CLOSE XMA100 FORWARD S&P PERFORMANCE
DATE PATTERN TREND DAY WEEK MONTH QRTR
20110510 00111 1.43

1 19970430 00111 1.42 -0.35 1.78 5.86 18.84
2 19971230 00111 1.43 -0.04 -0.70 0.97 12.64
3 19971104 00111 1.42 0.21 -1.80 3.44 7.03
4 19950524 00111 1.42 0.00 0.92 3.99 5.46
5 19980129 00111 1.45 -0.53 1.83 6.48 11.07
6 19890428 00111 1.45 -0.17 -0.66 3.86 10.50
7 19981117 00111 1.40 0.45 3.83 3.57 7.44
8 19950614 00111 1.46 0.12 1.40 4.37 8.79
9 19870526 00111 1.39 -0.13 -0.22 6.24 15.72
10 19870429 00111 1.39 1.33 3.83 1.94 10.92
11 20101203 00111 1.39 -0.13 1.28 3.85 8.68
12 19990616 00111 1.38 0.71 0.20 6.64 -0.90
13 20040227 00111 1.47 0.96 1.04 -3.22 -2.07
14 19910502 00111 1.48 0.07 0.72 2.45 1.75
15 19951013 00111 1.49 -0.25 0.51 1.33 2.96
16 20090820 00111 1.49 1.86 2.34 6.05 8.34
17 19850712 00111 1.34 -0.29 0.95 -2.93 -4.66
18 19890706 00111 1.33 1.04 2.61 6.96 11.58
19 20000107 00111 1.33 1.12 1.64 -1.28 5.19
20 19950808 00111 1.53 -0.12 -0.32 2.19 5.59
21 20000317 00111 1.32 -0.54 4.30 -4.30 -0.02
22 19991203 00111 1.53 -0.69 -1.13 1.53 -1.68
23 20070530 00111 1.32 0.03 -0.84 -1.76 -4.74
24 19890512 00111 1.53 0.74 2.36 3.95 9.85
25 20030612 00111 1.55 -0.99 -0.38 -0.04 2.02
26 19951117 00111 1.55 -0.54 0.21 2.71 7.98
27 19961219 00111 1.56 0.42 1.48 4.08 5.36
28 19991217 00111 1.27 -0.21 2.54 3.10 3.06
29 20090908 00111 1.59 0.78 2.66 3.91 6.49
30 20090803 00111 1.59 0.30 0.45 0.06 4.27

#UP-DN = 15-15 22- 8 24- 6 24- 6
AVG%CHG= 0.17 1.09 2.53 5.91
MED%CHG= 0.01 1.00 3.27 6.04

XMA is an exponentially smoothed 100 Day Moving Average, normalized to range between -3 to 3.

The first day after this setup is a consolidation type 15-15 with no 1% down days,

But 29 of the 30 cases were higher either 1 week, month or quarter later.

The monthly average return is four times the norm.

There were five of these setups in 1995, which one might note was several years prior to the end of that decade's Bull run. Not a prediction on my part, simply an observation.

The One Day Mix of Five Tape Measures

We noted initially, that the one day breadth levels were conducive to additional gains, but looking at the combination of today's 1 day measures is also encouraging.

Today's S&P Tape Stats

ADV DEC UNC UPVOL DNVOL NHIGHS NLOWS
444 52 04 20596669 04928645 75 01

Scanning for the following five one day S&P Tape Measures

SPT1 = 100*(1357.16-1346.29)/1346.29 = 0.81
ADT1 = 100*444/(444+52) = 89.52
NHNLT1 = 100*75/(75+01) = 98.68
UDT1 = 100*20596669/(20596669+04928645) = 80.69
TRIN1 = (20596669/444)/(04928645/52) = 00.49

Yields the following 30 matches listed in order of best match

THE ONE DAY MIX OF TAPE MEASURES - S&P

DATE # SPT1 ADT1 NHNLT1 UDT1 TRIN1 FORWARD S&P PERFORMANCE
TODAY 0.81 89.52 98.68 80.69 0.49 DAY WEEK MONTH

20100301 1 1.02 89.74 100.00 81.76 0.51 0.23 2.04 5.59
19870213 2 1.48 89.15 100.00 80.87 0.51 2.07 0.96 3.64
20040422 3 1.41 88.58 100.00 80.00 0.52 0.00 -2.29 -4.07
20051201 4 1.22 89.74 95.00 79.56 0.45 0.03 -0.70 -1.31
20070420 5 0.93 86.55 100.00 78.40 0.56 -0.23 0.65 2.59
20071001 6 1.33 87.90 96.67 79.29 0.53 -0.03 0.36 -2.50
20041104 7 1.62 89.96 99.18 80.09 0.45 0.39 1.02 2.54
20050628 8 0.91 86.35 100.00 79.96 0.63 -0.14 -0.55 3.51
20070403 9 0.93 85.28 98.00 77.67 0.60 0.11 0.08 4.49
19890118 10 1.05 86.67 97.78 80.72 0.64 0.13 0.91 3.57
20100113 11 0.83 86.44 100.00 72.59 0.42 0.24 -2.55 -6.13
20041026 12 1.49 87.75 95.74 79.02 0.53 1.29 1.75 6.44
20091116 13 1.45 92.17 100.00 84.36 0.46 0.09 -0.28 -0.01
20051117 14 0.94 88.31 100.00 83.33 0.66 0.44 2.20 1.97
20070319 15 1.09 87.68 89.47 79.23 0.54 0.63 2.53 4.90
20091201 16 1.21 88.87 100.00 75.19 0.38 0.03 -1.53 0.56
20070702 17 1.07 86.56 96.08 80.61 0.65 0.36 -0.61 -3.11
20100209 18 1.30 91.31 90.00 83.52 0.48 -0.22 2.71 6.51
20061204 19 0.89 87.58 100.00 72.51 0.37 0.40 0.28 0.65
20040816 20 1.37 93.98 100.00 88.45 0.49 0.22 1.51 4.09
20100211 21 0.76 85.25 91.67 76.04 0.55 -0.07 3.06 6.88
20040820 22 0.65 84.55 93.33 74.40 0.53 -0.24 0.86 2.17
19980202 23 2.14 90.55 100.00 82.74 0.50 0.47 0.95 4.64
20060925 24 0.88 84.94 100.00 80.47 0.73 0.75 0.38 4.21
20090723 25 2.33 88.80 100.00 79.70 0.50 0.30 1.07 5.11
19880630 26 0.93 83.44 100.00 75.39 0.61 -0.63 -1.27 -0.54
20050131 27 0.85 85.34 90.74 77.32 0.59 0.69 1.73 1.89
20090720 28 1.14 86.55 100.00 71.96 0.40 0.36 3.26 5.91
20030611 29 1.28 84.14 98.59 70.84 0.46 0.10 1.26 0.07
20101118 30 1.54 90.36 88.89 80.37 0.44 0.25 -0.61 3.95

#UP-DN = 22- 8 21- 9 23- 7
AVG%CHG= 0.27 0.64 2.27
MED%CHG= 0.30 0.88 3.05
1%MOVES= 2- 0 12- 4 20- 5

Historical S&P Tape Data Compliments NDR Inc.

The following day after this setup was 22-8 with no 1% down days.

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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