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%

S&P500 McClellan Summation Index

S&P500 McClellan Summation Index pointing to a higher market on multiple time frames. Not first without a pull back.

Strong breadth numbers have pushed the traditional A-D line to new highs. Thus the ratio adjusted S&P summation index has pushed to highs not seen since 2014. When this happens the market is showing power and thrust akin to a rocketship leaving orbit. Simply put, when a strong thrust signal like this appears, it is worth noticing and on the longer time frames, the market is forcasting a higher S&P500 for an average gain of 4 to 13%, however, not first without a pull back, odds are 55% of a pullback over a 10 day period after a S&P summation reading over 2000, one of which were are in right now.

When the ratio adjusted S&P500 summation index is over 2000:

New Recent Highs For The Traditional S&P500 Advance Decline Line

This study is a precursor to use other timing tools to enter after a pull back.

Other studies are pointing to a higher S&P500 at the end of the year, more on this to follow.