12/04/2015 Next Day Edges


So far bulls had no 2 consecutive up days so I’ll need see a decent follow though the next Monday to be convinced that bears are over. A big up on Monday probably means bears are over, because a huge reversal of reversal is rare (we can have lots of small reversal of reversal of reversal… but not lots of 50 points of reversal of reversal) therefore I won’t hope another huge reversal down the next Tuesday and Wednesday should Monday is up. Anyway, from the statistics I’m about to present, Monday is a little more likely down than up.

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I made a mistake in the intraday update: There’s no breadth data before June 1, 2005 and this is why lots of cases appeared in year 2003 which looked very wrong. So testing all breadth data after June 1, 2005 does show that up huge on poor breadth matters as they all happened in bear market or near the major top.

  • SPY up 1.8%+ but NYSE Up Volume to NYSE Down Volume ratio is less than  2.5, the next day SPY down 7 of 8. The profit factor is 13 which is huge.

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  • SPY up 1.9%+ but NYSE Advancing Issues to NYSE Declining Issues ratio is less than 2, the next day SPY down 8 of 12. The profit factor is 2.1 which is not bad.

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VIX down 18% in a single day, short SPY at today’s close, HOLD until the day VIX is up less than 18%, you have 62% chances to make money. The profit factor is 0.9 which is not good.

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Routine statistics about SPY up 3 weeks. The next week SPY has 79% chances to make a higher high, so more up ahead.

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Routine statistics about SPY up 1 day.

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11 Comments on "12/04/2015 Next Day Edges"
  1. Comment left on:
    December 4, 2015 at 5:34 pm
    Out Of Bounds says:

    I think you meant VIX “down”, not “up”.

    • Comment left on:
      December 4, 2015 at 5:40 pm
      Cobra says:

      Fixed. Thank you!

    • Comment left on:
      December 4, 2015 at 5:41 pm
      Cobra says:

      This proves that I’m Sooooo used to write “up”. 🙂

  2. Comment left on:
    December 4, 2015 at 5:45 pm
    Out Of Bounds says:

    A couple of lines to consider

  3. Comment left on:
    December 4, 2015 at 6:15 pm
    Al Dente says:

    This week INDU the dow was up net +49 points (+0.28% on the week).
    And the standout performers, the ones pushing up the most (more than 1% up), were:
    hmmmmm…….. I find this a very odd bunch of leaders…… really?……….
    WEEK-TO-DATE sectors:

  4. Comment left on:
    December 4, 2015 at 6:34 pm
    uempel says:

    Bullish Percentages are weak, but SPX closed above the daily MA 20. Go figure.

    http://stockcharts.com/freecharts/candleglance.html?$BPNYA,$BPCOMPQ,$BPOEX,$BPNDX,$BPSPX,$BPINDU,$BPFINA,$BPENER|B|0

  5. Comment left on:
    December 4, 2015 at 7:05 pm
    ajvs says:

    My daily take:

    – The size of this bullish rebound was a surprise. Now what is next?

    – Hourly ROC is touching the the former channel again. Kiss and goodbye ?

    – Big banks did not suffer a lot yesterday. Today they lifted the market. By the way how is JPM performing?
    – MACD and CMF are negative. Charts are showing a huge divergence
    – Looks like its forming a triangle. Breakout is in the next corner

    – Long term charts (ADV/DEC), besides the rally, did not change

    Conclusion

    – I read this rally as a quite suspect. The same script played at September’s NFP.

  6. Comment left on:
    December 4, 2015 at 7:24 pm
    Al Dente says:

    SPY candle is “One White Soldier”
    Rules: stay in cash UNTIL THIS IS CONFIRMED
    “The confirmation level is defined as the last close [friday’s close]. Prices should cross above this level for confirmation.”

    http://www.candlesticker.com/Pattern.aspx?lang=en&Pattern=2111

  7. Comment left on:
    December 5, 2015 at 10:35 am
    Out Of Bounds says:
    • Comment left on:
      December 5, 2015 at 11:15 am
      Cobra says:

      Now my very first reaction to those kind of top call articles is: Come on, give me a break. Consider this is another top sign. 🙂

      • Comment left on:
        December 5, 2015 at 11:42 pm
        Out Of Bounds says:

        But wouldn’t your reaction indicate another leg up. But then that expectation would indicate the top again…

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