© Copyright 2009-2012, MarketHistory.com
Unauthorized mirroring, photocopying, facsimile or any other
distribution of this copyrighted material is prohibited.
All rights reserved.
S&P 500 Index - One-two Punch 
Tuesday, August 18, 2009
By Gibbons Burke
Stocks continued to take a beating on Monday, dropping a 'very big' -2.4% to continue the slide which began on Friday with a 'big' 0.9% decline after gap-opening below the 1,000 level. The combined two-day decline amounts to -3.3%, closing Monday at 979.73, above its 200, 100, and 50-day averages, but crossing below the 20-day average on Monday. How has the index responded in the past when it has seen such a one-two punch?
Q: How has the S&P 500 index performed in the past when it drops by a 'very big' percentage amount on Monday after seeing a 'big' decline on Friday, and the index closes above its 200, 100 and 50 day moving averages?
A: According to the 14 previous occurrences of this event, EventEdge indicates that SPX has shown a strong bullish edge that peaks 2 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, 17 August 2009) is Wednesday, 19 August 2009. SPX rallies in 86% of the cases (12 of 14) by an average of 0.9% relative to the close on the event date. The average of the 2 declines is -0.1%. The overall return of the 14 cases is 0.8%, which, based on the close of SPX on the event date (979.73), provides a target price of 987.57.
Click here3to see this trading idea in EventEdge.
Gibbons Burke4 is editor of MarketHistory.com.
 |
Let variable values:
@ = SPX
theEvent = IF
Date is Monday
AND
1 value ago {
1 value percent_move of @ is less than
(30 day average of 1 value percent_move of @ -
(1 * 30 day std_dev of 1 value percent_move of @
)
) }
AND
1 value percent_move of @ is less than
(30 day average of 1 value percent_move of @ -
(2 * 30 day std_dev of 1 value percent_move of @
)
)
AND
@ is more than 200 value average of @
AND
@ is more than 100 value average of @
AND
@ is more than 50 value average of @
THEN 1
ENDIF
Date Day t-2 t+1 t+2 t+3 t+4
07/29/1929 Mon -1.4 0.5 1.8 2.5 4.2
08/13/1956 Mon -1.5 0.7 0.8 0.6 0.5
11/24/1958 Mon -3.5 -0.6 1.1 2.2 2.6
05/06/1963 Mon -0.9 -0.1 0.7 1.2 1.4
05/17/1965 Mon -0.8 -0.1 0.1 -0.4 -0.9
04/03/1967 Mon -1.6 -0.0 0.6 0.8 0.1
08/14/1967 Mon -0.9 0.1 -0.1 -0.0 0.1
12/23/1968 Mon -1.6 -0.2 -0.1 -0.4 -1.3
01/04/1971 Mon -1.2 0.7 1.3 1.3 1.1
02/22/1971 Mon -1.9 0.4 1.1 1.3 1.1
03/13/1972 Mon -1.5 0.3 0.4 0.2 0.5
03/30/1987 Mon -3.9 0.9 1.1 1.5 3.9
04/27/1998 Mon -3.0 -0.1 0.7 2.3 3.2
11/27/2006 Mon -1.7 0.3 1.3 1.4 1.1
08/17/2009 Mon -3.3 NaN NaN NaN NaN
Avg -1.9 0.2 0.8 1.0 1.3
AvgPos NaN 0.5 0.9 1.4 1.7
AvgNeg -1.9 -0.2 -0.1 -0.3 -1.1
PctPos 0.0 57.1 85.7 78.6 85.7
PctNeg 100.0 42.9 14.3 21.4 14.3
Maximum -0.8 0.9 1.8 2.5 4.2
Minimum -3.9 -0.6 -0.1 -0.4 -1.3
StdDev 1.0 0.4 0.5 1.0 1.7
ZStat -1.9 0.5 1.4 1.1 0.8
Variance 1.0 0.2 0.3 0.9 2.8
15 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/analog/analog.html?ticker=SPX
3 http://www.markethistory.com/content/events/chart.html?ticker=SPX&events=weekday,DownL1,DownXL0,AboveSMA2000,AboveSMA1000,AboveSMA500
4 http://www.markethistory.com/staff/detail.html?s=gibbons