S&P 500 has closed down five days -- What now?

The S&P 500 has closed down five straight days and my XMA100 trend indicator is +0.39. Below are the thirty closest matches to this same scenario over the last 30 years. They are listed in order of best match. The market was up at least 2/3rds of the time on the next Day, Week, Month or Quarter. Bears will pick up on this fact: One of the occurrences was on the week before the '87 Crash.

FIVE STRAIGHT DAYS OF LOWER CLOSES
When XMA100 is between -0.14 and 0.92

XMA FORWARD S&P PERFORMANCE
DATE 100 DAY WEEK MONTH QRTR
20110607 0.39 ? ? ? ?
1 20100519 0.38 -3.90 -4.23 0.22 -3.44
2 20070227 0.45 0.55 -0.26 2.11 8.34
3 19860911 0.46 -1.92 -1.22 0.13 5.52
4 19841113 0.51 0.01 -1.08 -2.51 10.47
5 20040324 0.53 1.64 3.19 4.45 4.52
6 19930423 0.24 -0.80 0.72 2.02 2.30
7 19931022 0.56 0.20 0.99 -0.89 2.47
8 19930706 0.19 0.32 1.51 1.64 4.38
9 19990804 0.59 0.64 -0.26 3.97 4.39
10 19860912 0.16 0.55 0.67 2.09 7.23
11 19850916 0.13 -0.83 0.78 2.79 15.93
12 19930426 0.11 1.03 2.06 4.59 3.59
13 19921216 0.67 0.91 1.74 1.30 4.60
14 19940922 0.10 -0.35 0.21 0.78 -0.34
15 19891027 0.67 0.00 0.76 3.15 -2.76
16 19921215 0.72 -0.24 1.79 1.06 4.36
17 19940923 0.05 0.25 0.66 1.14 0.03
18 19910910 0.73 0.14 0.24 -1.04 -1.73
19 19871012 0.75 1.66 -27.33 -19.67 -20.68
20 19850917 0.00 0.19 0.69 3.47 16.15
21 20000926 -0.01 -0.04 -0.05 -4.40 -7.85
22 20000927 -0.02 2.22 0.54 -3.29 -6.85
23 20000523 -0.04 1.83 3.40 4.92 9.62
24 19960411 0.85 0.87 1.97 3.31 2.29
25 19880810 -0.08 0.32 -0.43 1.89 4.50
26 19900423 -0.08 -0.21 -0.08 8.53 7.33
27 19900424 -0.12 0.51 0.57 8.49 7.70
28 20000414 -0.12 3.25 5.35 4.69 11.25
29 19910909 0.90 -1.03 -0.72 -3.03 -2.65
30 19921007 -0.14 0.87 1.27 3.30 6.55

#UP-DN = 21- 9 20-10 23- 7 22- 8
AVG%CHG= 0.29 -0.22 1.17 3.24
MED%CHG= 0.28 0.66 1.95 4.38

XMA100 is a 100 day exponentially smoothed moving average
normalized to range from -3 to +3 standard deviations

Five Straight Days of Lower Highs/Lows/Closes

Taking the above study into one additional degree of detail, not only have we had five straight days of Lower Closes, but we have also had five straight days of lower Lows and lower Highs. There have been 14 occasions in the last 30 years, where you had five consecutive days of Lower Highs, Lows, and Closes at the same time. This study does not consider the trailing trend. In this case the S&P was up at least 2/3rd of the time One Day, Week, Month and Quarter later, with a strong 14-4 on the following day. We again picked up the Date on the week before the 87 crash.


FIVE STRAIGHT DAYS OF LOWER HIGHS/LOWS/CLOSES

FORWARD S&P PERFORMANCE
DATE DAY WEEK MONTH QTR
19840724 0.68 1.92 13.32 13.11
19860912 0.55 0.67 2.09 7.23
19871012 1.66 -27.33 -19.67 -20.68
19890615 0.40 0.70 3.67 7.80
19930423 -0.80 0.72 2.02 2.30
19930426 1.03 2.06 4.59 3.59
19940330 0.05 1.20 1.20 -0.29
19941123 0.56 -0.22 2.20 8.22
19960618 -0.02 0.97 -2.79 2.93
19960619 0.02 0.37 -3.51 3.18
19990804 0.64 -0.26 3.97 4.39
20001012 3.34 4.44 2.72 -0.84
20010223 1.75 -0.94 -8.53 3.51
20010921 3.90 7.78 11.15 18.54
20080122 2.14 3.95 3.25 4.99
20081008 -7.62 -7.83 -5.82 -7.64
20081009 -0.64 4.01 1.95 -2.15
20081010 10.98 4.04 1.69 -1.52
20110607 ? ? ? ?

#UP-DN = 14- 4 13- 5 13- 5 12- 6
AVG%CHG= 1.03 -0.21 0.75 2.59
MED%CHG= 0.60 0.85 2.05 3.35

I mentioned yesterday, I was getting very strong reads on the combined Five and Twenty Day read of Price and Breadth and that study remained extremely strong today. The Five Day Mix of Indicators remains strong as well. I won't duplicate the same studies two days in row.

Turnaround Wednesdays

We have mentioned before that Turnaround Tuesday has the reputation but Wednesdays have a better record of turning around the Shortterm Trend. The S&P is down 2.13% over the last three days. Below are the 30 closest matches to this trailing Three Day Trend.

Wednesdays When the Trailing Three Days
Are -2.35 to -1.92%

# DATE DYOFWK SPTRAIL TOMRWS%
1 20080625 WED -2.13 0.58
2 20050105 WED -2.10 -0.36
3 20020424 WED -2.09 -0.71
4 20100127 WED -2.18 0.49
5 19960410 WED -2.09 -1.35
6 20021113 WED -2.18 -0.05
7 20001004 WED -2.18 0.55
8 19921007 WED -2.19 -0.72
9 20021127 WED -2.19 2.80
10 20010822 WED -2.06 0.70
11 20070829 WED -2.06 2.19
12 20090211 WED -2.21 0.80
13 20110525 WED -2.03 0.32
14 20080820 WED -2.03 0.62
15 20071219 WED -2.25 -0.14
16 20020605 WED -2.25 0.88
17 19940209 WED -2.01 0.37
18 20090819 WED -2.28 0.69
19 19991201 WED -1.98 0.62
20 20100428 WED -2.29 0.88
21 20031119 WED -2.29 0.80
22 19940622 WED -2.29 0.39
23 20071212 WED -1.97 0.61
24 19990721 WED -2.31 0.16
25 20100825 WED -2.31 0.33
26 20080102 WED -1.96 -1.44
27 20091104 WED -1.94 0.10
28 20021204 WED -1.93 -0.35
29 20070627 WED -1.92 0.90
30 20080416 WED -1.92 2.27
20110608 WED -2.13 ?

#UP-DN = 22- 8
AVG%CHG= 0.43
MED%CHG= 0.52
1%MOVES= 3- 2

Something for the Bears

The Wednesday on the week before the June Option Expiration has been down seven years in a row. This is the Wednesday in June which occurs between the 6th and the 12th. The Wednesday performance is in the last column.

THE WEDNESDAY ON THE WEEK BEFORE THE JUNE OPEX

RATING=34.1 NUM UP=12 NUM DN=18 MED%CHG=-0.24 AVG%CHG=-0.25

DATE YDAY TODY TOMR NEXT MONTH WEEK SPMT%CH TOTAL WEDNESDAY
TODAY MON TUE WED THU 6 3 -4.123 WEIGHT SP%CHG

19810610 MON TUE WED THU 6 3 0.24 0.027 0.27
19820609 MON TUE WED THU 6 3 -8.21 0.029 -0.59
19830608 MON TUE WED THU 6 3 -2.00 0.033 -0.87
19840606 MON TUE WED THU 6 3 -3.43 0.039 0.89
19850612 MON TUE WED THU 6 3 2.58 0.017 -0.76
19860611 MON TUE WED THU 6 3 0.73 0.028 0.65
19870610 MON TUE WED THU 6 3 1.33 0.026 0.06
19880608 MON TUE WED THU 6 3 2.99 0.015 2.39
19890607 MON TUE WED THU 6 3 5.41 0.014 0.84
19900606 MON TUE WED THU 6 3 8.35 0.013 -0.46
19910612 MON TUE WED THU 6 3 1.41 0.026 -1.15
19920610 MON TUE WED THU 6 3 -1.44 0.039 -0.69
19930609 MON TUE WED THU 6 3 0.54 0.035 0.24
19940608 MON TUE WED THU 6 3 2.32 0.022 -0.25
19950607 MON TUE WED THU 6 3 2.97 0.019 -0.45
19960612 MON TUE WED THU 6 3 2.90 0.021 -0.29
19970611 MON TUE WED THU 6 3 4.91 0.017 0.50
19980610 MON TUE WED THU 6 3 0.93 0.035 -0.55
19990609 MON TUE WED THU 6 3 -2.06 0.051 0.10
20000607 MON TUE WED THU 6 3 1.76 0.028 0.93
20010606 MON TUE WED THU 6 3 1.34 0.035 -1.05
20020612 MON TUE WED THU 6 3 -3.92 0.070 0.66
20030611 MON TUE WED THU 6 3 5.51 0.018 1.28
20040609 MON TUE WED THU 6 3 3.96 0.022 -0.95
20050608 MON TUE WED THU 6 3 2.21 0.030 -0.22
20060607 MON TUE WED THU 6 3 -4.67 0.070 -0.61
20070606 MON TUE WED THU 6 3 1.68 0.035 -0.89
20080611 MON TUE WED THU 6 3 -2.15 0.067 -1.69
20090610 MON TUE WED THU 6 3 1.42 0.038 -0.35
20100609 MON TUE WED THU 6 3 -4.40 0.082 -0.59

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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