Three straight days with one new 52-week low

The one tape statistic which caught my eye today was the fact that although the S&P began the week with two modest losses, the number of issues making New 52 Week Lows on the S&P 500 has held constant at one for each of the last 3 days for an average of 0.2% of the issues under consideration.

THIS WEEK'S S&P TAPE DATA

DATE ADV DEC UNC ADV VOL DEC VOL NHS NLS
20110720 227 271 02 14629229 12683288 025 000
20110721 441 57 02 30536564 06282214 050 003
20110722 244 248 08 13502512 11526568 031 001
20110725 104 394 02 05679391 18243325 019 001
20110726 149 343 08 09240325 17799133 016 001

Define NH3D% = 100 [sum new lows / sum of issues], over 3 days, we have
= 100 * 3 / (500*3) = 0.20%

The current intermediate trend as defined by XMA01 is +0.781. XMA01 is an exponentially smoothed moving average of price with a smoothing factor 0.01, normalized to -3 to +3 standard deviations, which somewhat replicates a 100 day, front weighted price trend measure.

I scanned for the 30 days where NL3% was 0.20 and matched as closely as possible to the 0.781 XMA01. Those 30 data points are given below.

S&P PERFORMANCE AFTER 3 NEW LOWS IN THREE DAYS
WHEN XMA01 IS BETWEEN 0.690 AND 0.872

FORWARD S&P PERFORMANCE DDOWN FROM
# DATE RNK NL3D% XMA01 1MT 3MT 6MT 12MT SIGNAL
1 19750728 3 0.200 0.784 -2.58 2.05 11.09 16.19 -8.77
2 19751027 17 0.200 0.829 1.35 10.41 13.52 13.41 -3.47
3 19760730 29 0.200 0.866 -1.32 -0.52 -1.46 -4.44 -7.08
4 19761228 26 0.200 0.861 -4.53 -7.28 -6.21 -11.26 -16.92
5 19780523 13 0.200 0.742 -2.24 7.00 -2.62 1.88 -7.14
6 19780919 7 0.200 0.789 -3.12 -8.09 -1.43 5.61 -11.59
7 19790406 9 0.200 0.763 -2.41 0.43 7.84 -1.00 -5.30
8 19790911 27 0.200 0.863 -2.29 -0.02 0.25 16.88 -10.13
9 19810304 24 0.200 0.705 3.54 0.08 -8.25 -16.03 -17.08
10 19831116 11 0.200 0.760 -2.22 -5.99 -4.87 -1.19 -11.87
11 19841108 1 0.200 0.782 -3.81 8.01 7.08 14.84 -4.55
12 19850114 12 0.200 0.812 6.98 5.88 13.36 21.19 0.00
13 19850808 2 0.200 0.783 -0.38 2.52 13.55 25.37 -3.89
14 19881007 14 0.200 0.823 -1.49 0.94 6.87 29.03 -3.25
15 19910515 30 0.200 0.872 3.72 5.63 3.81 11.27 -0.83
16 19910723 25 0.200 0.860 3.89 2.25 9.37 8.61 -2.04
17 19910930 10 0.200 0.763 1.31 7.03 3.90 7.72 -2.85
18 19920507 5 0.200 0.775 -0.57 0.73 0.42 6.36 -3.95
19 19920803 20 0.200 0.838 -1.67 -1.22 5.20 5.69 -5.35
20 19921231 15 0.200 0.738 0.70 3.66 3.40 7.06 -2.28
21 19930830 16 0.200 0.734 -0.64 -0.02 1.13 3.07 -4.93
22 19950216 4 0.200 0.777 2.10 8.86 15.41 33.54 -0.53
23 19960808 18 0.200 0.829 -1.04 10.30 19.16 40.89 -2.27
24 20030807 19 0.200 0.729 4.85 8.12 17.31 9.22 0.00
25 20031120 23 0.200 0.852 5.32 10.69 5.37 13.22 -0.85
26 20050721 28 0.200 0.698 -0.60 -3.87 2.81 1.08 -4.96
27 20060927 8 0.200 0.792 3.05 6.75 6.88 14.57 -0.37
28 20070322 6 0.200 0.788 3.47 4.74 6.36 -7.32 -12.70
29 20090602 22 0.200 0.851 -5.02 5.29 17.41 16.26 -7.21
30 20100211 21 0.200 0.716 6.65 7.17 1.02 23.24 -4.45
31 20110726 00 0.200 0.781 ? ? ? ? ?

#UP-DN = 13-17 22- 8 24- 6 24- 6
AVG%CHG= 0.11 3.43 6.60 11.89 -5.30
MED%CHG= -0.58 3.09 5.29 8.92 -4.50

S&P Tape Data Courtesy NDR Inc.

The S&P had mixed average performance over the following month, but direction tended to resolve itself to a positive intermediate outcome. Not a study for the archives, but the Sistine Chapel does not avail itself on a daily basis.

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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