Intraday Stats - Posted on Tuesday, January 12, 2010, 3:30 PM GMT +1

1 Comment


Jan Tuesday 12

'Overbougth' w/strong Uptrend

(ES E-Mini S&P 500) Futures are currently down -0.75% at time of writing (01/12/2010 09:11 AM) forecasting a potential (probably) lower close today (Tuesday).

But although a lower close today seemed likely (after a streak of higher closes, a series of higher highs and higher lows and the market’s ability to shrug off early weakness posting a higher close), any significant weakness today might provide a short-term buying opportunity.

Table I below shows the SPY‘ historical performance (since 01/01/1990) over the course of the then following 1 to 5 sessions when the SPY‘s 2-day RSI closed above 96 (a so-called ‘overbought‘ market indicating that it’s becoming increasingly difficult to find the ‘greater fool’ willing to buy your shares for an even higher price) and Wilder’s 2-day DX (Directional Movement Index, not to be mistaken for the Average Directional Movement Index (ADX)) closed above 95 (on the same session) indicating a strong underlying uptrend.

Interesting to note that upside potential on the then following session (today) was regularly limited (max. gain +0.51% the next day despite the run-up in the markets), but at least during 2009 the index always posted a higher close (than the trigger day’s close, in this event Monday’s close) 4 and 5 sessions later (but regularly already 3 sessions later) providing a short-term buying opportunity. So the timeframe between Friday this week and Monday next week might indicate if the recent run-up in the markets might persist for the time being …

Successful trading,
Frank

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

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

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Comments (1)

 

  1. Anonymous says:

    looking at these dates they are in 2009. Do you think that has any bearing on the statistical sample?

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