Daily Commentary - Posted on Tuesday, August 11, 2009, 8:04 AM GMT +1

4 Comments


Aug Tuesday 11

Trading the Odds on Tuesday – August 11, 2009

Monday’s session marked the 21th consecutive session where the ES (E-MINI S&P 500) didn’t loose -0.60% or more on the close, the 13th out of the last 14 sessions where the BKX Philadelphia Bank Index closed up, and the 12th consecutive session where the BKX Bank Index out-performed the ES (E-MINI S&P 500).

The ES (E-MINI S&P 500) opened lower -0.37%, posted an intraday low of -0.82% below Friday’s close, but reversed course again and posted an intraday high of +0.12% above Friday’s close, and finally closed higher +0.10% on the day, while the Nasdaq 100 closed lower -0.56% (S&P 500 -0.33%, DJ Ind. -0.34%, Russel 2000 -0.09%, SOX Philadelphia Semiconductor Index -1.20%, BKX Philadelphia Bank Index+0.18%).

Market breadth on the NYSE and NASDAQ was mixed and inconspicuous (pertinent to the market’s performance), with NYSE Advancing Issues/Declining Issues at 0.92 and Advancing Volume/Declining Volume at 1.04 (NYSE TRIN / Arms Index at 0.88), and NASDAQ Advancing Issues/Declining Issues at 0.91 and NASDAQ Advancing Volume/Declining Volume at 1.01 (NASDAQ TRIN at 0.89). NYSE Advancing Volume accounted for 50.58% of NYSE volume.

____________

Monday’s session didn’t trigger much setups to lean on short-term (besides those ‘outliers’ mentioned on top of the page). Notably were the facts that

  • Setup S1: the ES (E-MINI S&P 500) posted it’s narrowest intraday range (0.94% between Monday’s intraday high and low) of the last 10 sessions,
  • Setup S2: NYSE Volume posted it’s lowest reading of the last 10 sessions,
  • Setup S3: the NYSE TRIN / Arms Index closed below 1 in regularly bullish territory on the 7th consecutive session,
  • Setup S4: the SOX Philadelphia Semiconductor Index closed lower the 4th day in a row,
  • Setup S5: the NDX Nasdaq 100 out-performed the SOX Philadelphia Semiconductor Index the 4th day in a row.

I therefore checked -as always from a historical and statistical perspective- for the market’s performance on the then following session(s) after those setups listed above had been triggered in the past. Table I shows the ES (E-MINI S&P 500) performance (since 01/01/2000) on the next session (in this event Tuesday, August 11) immediately following those sessions where setups S1 to S5 listed above had been triggered in the past.

2009-08-10-ES-S1-S5

With respect to the time frame since 01/01/2000, almost all setups are agreeing concerning their slightly negative bias on the then following session, but Setup S1 is the only setup which shows a t-score below the -1.645 mark in order to achieve statistical significance.

Table II shows the ES (E-MINI S&P 500) intraday performance (since 01/01/2000) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on those sessions (in this event Tuesday, August 11) where setup S1 (‘the ES (E-MINI S&P 500) posted it’s narrowest intraday range of the last 10 sessions ‘) had been triggered on close of the previous trading day.

2009-08-10-ES-S1i

With respect to intraday stats (open/high/low/close/close vs. open/) on those sessions (in this event Tuesday, August 11) where setup S1 had been triggered on close of the previous trading day (since 01/01/2000), it is especially remarkable that the ES (E-MINI S&P 500)

  • long-term shows a negative tendency on the intraday high (for limited upside potential), on the close and close versus open as well (with an associated t-score close to or below the -1.645 mark in comparison to the respective ES’ (E-MINI S&P 500) at-any-time performance), but
  • recently showed a positive tendency on the open (the ES (E-MINI S&P 500) opened up on 12 out of the last 14 occurrences), the intraday high, on the close and close versus open as well, means any kind of ‘indecision’ (a session with a tight range, closing almost unchanged) was recently regularly resolved to the upside, not to the downside.

________________________________

Bottom line:

From my perspective the outlook concerning the ES’ (E-MINI S&P 500) performance on Tuesday, August 11 is (at least slightly) positive due to

  • the fact that the ES (E-MINI S&P 500) recently showed a significant tendency to resolve any kind of ‘indecision’ with a breakout to the upside,
  • the fact that 7 consecutive sessions with a NYSE TRIN / Arms Index below 1 are indicative that there will probably be some additional upside in store,
  • the notably absence of sellers (not a single NYSE TICK reading below -1000 on Monday’s session despite a BKX Banking Index which lost almost -2.50% during the session between it’s intraday high and low) and
  • the market’s recent ability to recoup any significant intraday losses into the close (21 consecutive sessions up to now where a loss on the close -if any- didn’t exceed -0.60%).

Successful trading,

Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

Add to Technorati Favorites

Comments (4)

 

  1. Douglas says:

    Frank

    I think you are right.

    Sell signals don’t seem strong enough given the current market conditions…

    http://vvandymodels.wordpress.com/

    Douglas

  2. TheSmallFish says:

    Frank,
    Regarding the SOX, have a look at the 5 consecutive lower closes + when the SOX is trading above it’s 200MA. Though only 15 occurrences in its trading history, 14 of the 15 instances closed higher within 3 days

    http://smallfishbigodds.blogspot.com/2009/08/sox-still-in-play-with-even-better-odds.html

  3. TheSmallFish says:

    Thanks so much Frank. much appreciated. excellent call as usual today.

Leave a Reply

Your email address will not be published. Required fields are marked *