Market action following nine down days in 10

Below are two studies which support our thesis of sideways action over the next month with an eventual positive resolution after the appropriate retest of the Lows.

S&P Down Nine of the Last Ten Days

The S&P closed marginally down today for the ninth negative close in the last 10 trading sessions. There have been 25 similar occasions since 1970 of only one positive day in the previous two weeks and the market usually traded sideways for the next couple of weeks, but was positive in 21 out the 25 following quarters that this setup occurred for a medium quarterly gain of 4.51%. The double digit quarterly moves were 7-0 to the positive side.

S&P Performance
After Recording 9 Losing Sessions in 10 days

DATE 5DAYS 21DAYS 63DAYS
1 19711021 -1.72 -4.17 8.66
2 19720426 -0.84 3.34 0.60
3 19740821 -3.74 -4.58 -7.22
4 19741003 12.06 18.63 13.54
5 19750728 -1.74 -5.33 1.29
6 19761005 -2.34 -0.79 1.48
7 19770330 -0.64 -0.10 1.59
8 19780116 -0.21 -0.44 5.61
9 19780222 -0.42 2.06 11.98
10 19781025 -0.47 -1.56 3.99
11 19801211 4.43 4.66 4.51
12 19810130 0.81 0.78 2.45
13 19810925 5.84 4.78 8.66
14 19820525 -2.06 -3.99 0.83
15 19820805 -2.62 16.66 35.85
16 19840522 -2.29 0.41 9.07
17 19871019 1.26 8.09 10.89
18 19910909 -0.72 -2.03 -2.44
19 19960619 0.37 -3.51 2.95
20 19961213 2.78 5.29 9.20
21 20000927 0.54 -4.36 -6.85
22 20010921 7.78 12.85 18.03
23 20081010 4.04 1.69 -3.74
24 20090227 -7.32 6.81 24.66
25 20100702 5.49 9.57 12.09

#UP-DN = 11-14 14-11 21- 4
AVG%CHG= 0.73 2.59 6.71
MED%CHG=-0.42 0.78 4.51

Forward S&P Performance When the Trailing Month is Negative

The S&P is down 11.37% over the last 21 Trading Days. On the Ten Occasions over the last 30 years when the S&P was down at least 1.5% over the previous month (21 trading days) at this point in August, the S&P was 5-5 over the next week, but 9-1 over the next quarter for a median 4.06% gain.

S&P Performance at this Point in August
When the Trailing Month was Down at Least 1.5%

YSTRDY TODAYS TOMRWS TOMR+1 TOMR+2 TRAILING FORWARD S&P PERFORMANCE
DATE DATE DATE DATE DATE MTSP%CHG 1DAY 5DAYS 1MONTH 1QTR
820804 820805 820806 820809 820810 -1.91 -1.38 -2.62 16.66 35.18
830804 830805 830808 830809 830810 -3.47 -1.58 0.26 2.02 0.43
860805 860806 860807 860808 860811 -1.97 0.08 3.73 5.75 3.81
900806 900807 900808 900809 900810 -6.87 1.05 1.36 -3.41 -8.61
980805 980806 980807 980810 980811 -6.58 -0.02 -1.35 -10.62 4.72
990804 990805 990806 990809 990810 -5.87 -1.02 -1.18 3.31 4.30
020806 020807 020808 020809 020812 -7.98 3.27 4.89 1.96 2.95
030805 030806 030807 030808 030811 -4.04 0.73 1.75 5.62 9.41
040804 040805 040806 040809 040810 -3.36 -1.55 -1.62 3.05 7.91
070806 070807 070808 070809 070810 -3.71 1.50 -3.29 -1.45 0.04
110804 110805 110808 110809 110810 -11.37 ? ? ? ?

#UP-DN = 5- 5 5- 5 7- 3 9- 1
AVG%CHG= 0.11 0.19 2.29 6.01
MED%CHG= 0.03 -0.46 2.53 4.06

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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