excel

2 Percent setting note values move location

4 percent setting

US Common Stock 5 Day Thrust Ratio Has Pushed Over 76%

5 Day Thrust >76%

Yesterday the US Common Stock 4% Up 4% Down on high volume 5 day thrust  pushed over 76%. When this happens and the S&P500 is above the 200ma, it usually results in a higher S&P500 with a 69% win rate over 5 days and 94% win rate 1 year later...

Additionally, The Zweig Breadth thrust generated a signal 20121223 and has a 86 and 88% probability of a higher S&P500 6 and 12 months later.... The Zweig breadth thrust criteria is strict. It must rise from below 0.4 to over 0.615 in a ten day period. A borderline signal generated 20160225 where it rose from 0.4 to over .615 over a ten day period, it was equal to .4 and not below, and thus does not satisfy the criteria and is not counted in the below stats.

The ROC50 rose over 14% on 20160425 and has a 85% probability of being up 12 months later....

S&P500 Price And Volume Contraction

S&P500 Price And Volume Contraction.

Last Thursday the S&P500 True Range dropped below the lower bollinger band, that is 2x standard deviations away from the 20day simple moving average. On Friday, 1 day later, volume contracted below the lower bollinger band. This price range contraction followed by volume contraction bodes well for the market on shorter and longer time periods.  Shorter time periods are calling for an average gain of 2.27% over a 5 to 10 day period at a 80 to 100% win rate.

Methodology: 
Days in sample: 23291
Data set inception: 1928
Search for SPX Total Volume < lower bollinger band, when SPX price >200ma and True Range < lower bollinger band within the previous 10 trading days.
Number of occurrences since 1928: 5
Filter Duplicate Days: 0

SPX Close >200ma, Total Volume Below Lower Bollinger Band When True Range Below Lower Bollinger Band During Previous 10 Trading Days

June Historically Has A 53.40% Proability Of Being An Up Month

A monthly S&P500 seasonality study was conducted on a data set going back to 1928. 

June historically has the probability of being an up month 53.40% of the time. With an average gain of 4.08% and average loss of 3.17%. The most frequent sized gain was in the 3% range.

Methodology:

Months In Sample: 1062

Total Junes In Sample: 88

Month Close - Previous Month Close / Previous Month Close *100

Total count positive and negative months

Dataset: 19280131 To Present

June Statistics

A Recent 20 Day Advance Decline Thrust Over 50 for 63 Consecutive Days

S&P500 20 Day Advance Decline Thrust Over 50 for 63 Consecutive Days.

On date 20160517 the 20 day advance decline thrust (ADT20) dropped below 50 for the first time in 63 days, a rare condition with only 6 occurrences since 1965, the last being in 2011 (See Results Below). To widen the data slightly I searched the database for when ADT20 was over 50 for 40+ consecutive days. The results are showing a solid edge of being up 70 to 90% of the time on shorter and longer time periods:

Methodology: 
Study 1:
Days in sample: 13510
ADT20 <50 when previous 63+ days >50
Number of occurrences since 1965: 6

Study 2:
ADT20 <50 when previous 40+ days >50
Number of occurrences since 1965: 31

Study 2: ADT20  <50 When Previous 40+ days  >50

Study 1: Rare Occurrence: ADT20 >50 for 63+ consecutive days

Active Study Pointing To a Higher S&P500 1 Month Later

A custom oscillator created from US common stock data recently hit historic oversold levels on 20160513 reaching a low of -115. I scanned the database for instances when the US Common Stocks up 4%+ - Stocks down 4%+ Oscillator crossed below -100. 

A 78% edge exists over a 1 month time period a solid edge versus random odds posting an average gain of 4.82% and calling for an S&P500 around 2132.17. The size of the data set is from 2007 to present. Despite the relatively small sample size, this edge has endured the financial meltdown of 08 and remains fairly robust with a 78% win rate.

Methodology: 
Days in sample:2328
US Common Stocks up 4%+ - Stocks down 4%+ Oscillator: <-100
Number of occurrences since 2007: 42
Dataset Inception: 20070216
Filter Duplicate Days: 15 day filter

A Rare AAII Investor Sentiment Survey Event

Data released today by the AAII sentiment survey showed that Bullish sentiment dropped below 18% and Neutral sentiment rose over 50%. This is a rare event with only 4 occurrences since the inception of the AAII dataset which stretches back to 1987. It is an interesting event which is forcasting a higher S&P500 6 and 12 months later with an average gain of 11.27 and 24.52%. 

On the shorter time frame, the 2 week time period is forcasting an average gain of 2% and forcasting an average gain of 2.84% 1 month later.

Methodology: 

Weeks In Sample: 1505

AAII Bullish Sentiment <18% When Neutral Sentiment >50% 

Number of occurrences since 1987: 4

Beginning date of dataset: 19870626

Filter: 2 week duplicate entries

AAII Bullish Sentiment <18% When Neutral Sentiment >50% 

Studied independently of each other when AAII bullish sentiment drops below 18%, an event that has occurred 15 times since 1987. It usually bodes well for the market looking beyond 2 months with a win rate of 85%+ a solid edge versus random odds. 

Bullish Sentiment <18%

Additionally when AAII Neutral sentiment rises over 50%, an event that has occurred 27 times since 1987. It usually bodes well for the market looking beyond 2 months with a win rate of 77%+.

Neutral Sentiment >50%

A Rare Occurrence - Bullish Sentiment Below 18% and Neutral Over 50%