Daily Commentary - Posted on Thursday, February 25, 2010, 11:23 PM GMT +1

4 Comments


Feb Thursday 25

Recovery Days Revisited

The RSI-High/Low(2) indicator seems to provide a good indication that buyers will not let the market go down without a fight (see my posting Modified RSI(2), Buying Power and Intermediate-Term Outlook ).

But today’s recovery from a significant intraday low of -1.70% and a close not lower than -0.25% (the SPY recouped more than -1.50% of it’s intraday losses into the close) does – from a historical and statistical perspective – not provide a positive indication for Friday’s potential performance during the session and on the close.

Table I below shows the SPY‘s historical intraday performance (since 01/01/1990) on the open, the intraday low, during the first hour of the session, during the last hour of the session and on the close whenever the SPY had posted an intraday low of at least -1.70% below the previous sessions close in the past, but did not close lower than -0.25% on the day in conjunction with a close in the top 10th percentile of it’s daily intraday range (almost on the high):

Interesting to note that although on Friday’s session there is a good chance for an early (first hour) follow-through of today’s (Thursday’s) late strength, sellers regularly take the upper hand again during the second part of the then following session.

The SPY‘s last hour’s performance following a session when this setup had been triggered in the past is everything else than bullish: four sessions with a positive and 20 sessions with a – partly significantly – negative performance during the last hour (the SPY lost at least -0.50% on 17 out of those 20 sessions with a negative performance during the last hour), and a lower close on 17 out of the total of 24 occurrences since 1990 (the last time the setup was triggered was on 02/05/2010).

But as always: Everything is possible but not necessarily probable.

Successful trading,
Frank

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

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Comments (4)

 

  1. […] night get to test the idea this month as odds favor down tomorrow afternoon […]

  2. Tatankov says:

    Great analysis.
    A short during the last hour, seems tempting.

  3. ADD says:

    Dear Frank,

    Amazing work you do here. Thanks for everything and have a great weekend.

    Sincerely,
    -A.

  4. […] TTO – Revisiting Recovery Days […]

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