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Nasdaq Composite Index - Very Big Five Day Gain 
COMPThursday, September 10, 2009
By Gibbons Burke
The Nasdaq Composite index (COMP) rallied for the fourth trading day in a row on Wednesday, lofting the index above the 2,000 level on Friday and to a new six-month high before closing at 2060.39, up 62.8% from the 1265.52 low set in March. The five-day rate of change is 'very large' on our volatility-normalized scale (a two standard deviation move). Hovering above the close is the 52-week high (260 days), currently at 2413.11, but it has busted through the 13-week, 26-week and 52-week 50% retracement levels with confidence.
Q: How has the COMP index performed in the past when it has seen a 'very large' five-day percentage gain while closing above the 200-day average price?
A: According to the 76 previous occurrences of this event, EventEdge indicates that COMP has shown a weak bullish edge that peaks 18 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, 9 September 2009) is Monday, 5 October 2009. COMP rallies in 76% of the cases (58 of 76) by an average of 4.5% relative to the close on the event date. The average of the 18 declines is -2.6%. The overall return of the 76 cases is 2.8%, which, based on the close of COMP on the event date (2060.39), provides a target price of 2118.08.
While the EventEdge classifies this as a "weak" edge because of a relatively low ZStat (Sharpe ratio) of 0.66, this is mitigated by the very large number of occurrences. The T-score on this edge, which takes into account the number of occurrences, is a very strong 5.8, which produces an average return at the 90% confidence interval of 2.0% over the next 18 trading days.
Click here2 to investigate this trading idea further in EventEdge.
Gibbons Burke3 is editor of MarketHistory.com.
Let variable values:
@ = NASD
theEvent = IF
5 value percent_move of @ is more than
(30 day average of 5 value percent_move of @ +
(2 * 30 day std_dev of 5 value percent_move of @
)
)
AND
@ is more than 200 value average of @
THEN 1
ENDIF
Date Day t-5 t+1 t+5 t+10 t+18
02/02/1972 Wed 3.5 0.2 1.4 2.4 4.1
07/06/1972 Thu 1.8 -0.3 -2.1 -3.6 -2.6
09/28/1972 Thu 1.4 0.4 -0.9 -1.0 -0.2
10/23/1972 Mon 2.2 0.2 0.6 3.8 2.9
01/02/1973 Tue 2.7 0.6 1.0 -0.4 -4.6
01/29/1975 Wed 7.7 -0.1 2.9 3.6 4.3
04/14/1975 Mon 4.0 0.2 2.3 1.2 6.2
08/27/1975 Wed 1.4 1.9 2.0 -2.2 -0.8
01/07/1976 Wed 5.6 0.8 3.2 4.9 7.8
06/16/1976 Wed 2.3 0.9 0.3 1.6 3.4
11/22/1976 Mon 2.7 -0.3 0.7 2.8 4.6
03/07/1977 Mon 1.7 0.1 0.0 0.1 -2.1
04/14/1977 Thu 2.2 0.3 -0.1 -1.0 1.2
11/10/1977 Thu 3.6 1.0 1.9 4.4 2.9
04/14/1978 Fri 2.8 0.6 1.8 3.5 5.6
05/17/1978 Wed 3.6 -0.1 -1.7 -1.2 2.0
07/30/1979 Mon 2.2 0.6 1.3 3.9 6.1
01/10/1980 Thu 4.9 0.5 1.8 4.0 5.9
07/08/1980 Tue 3.7 0.3 2.1 3.8 5.4
09/17/1980 Wed 4.1 -0.2 0.6 -2.2 2.5
02/27/1981 Fri 3.0 0.5 0.9 2.1 5.7
10/08/1982 Fri 5.4 1.7 2.8 9.0 12.0
04/13/1983 Wed 3.6 1.0 3.2 4.7 9.7
09/06/1983 Tue 4.1 -0.2 -1.1 0.7 -1.5
12/19/1984 Wed 2.6 -0.2 0.3 0.5 6.3
01/14/1985 Mon 3.8 0.9 4.3 7.7 12.4
04/01/1985 Mon 1.5 -0.2 -1.3 0.7 1.4
05/10/1985 Fri 2.6 0.2 1.5 1.6 1.5
06/27/1985 Thu 2.8 0.3 1.1 2.4 2.8
10/16/1985 Wed 3.0 0.5 1.1 1.9 5.5
04/14/1986 Mon 3.2 0.2 2.7 2.8 1.7
08/13/1986 Wed 3.3 0.7 1.1 1.3 -2.0
01/08/1987 Thu 8.2 0.8 4.0 4.1 5.8
08/10/1987 Mon 3.0 0.7 1.2 1.7 0.5
06/01/1988 Wed 2.6 -0.0 2.3 3.8 3.8
09/09/1988 Fri 2.3 0.1 0.6 0.9 0.8
01/30/1989 Mon 2.4 0.5 1.7 0.5 0.2
10/04/1989 Wed 2.5 0.3 0.6 -3.3 -5.8
12/27/1989 Wed 3.3 0.3 2.4 0.0 -4.1
07/12/1991 Fri 3.9 0.7 1.0 -0.0 3.0
08/26/1991 Mon 4.8 0.1 -0.1 -1.9 1.1
10/15/1991 Tue 3.3 1.3 0.6 0.1 2.6
12/27/1991 Fri 5.8 2.5 5.7 9.2 10.1
04/14/1992 Tue 2.3 0.9 -2.8 -4.2 -1.3
05/04/1992 Mon 2.9 0.8 0.6 -1.2 0.3
09/14/1992 Mon 3.6 -1.1 -0.9 -3.2 -3.4
11/11/1992 Wed 4.9 -0.1 -0.0 2.1 5.1
05/03/1993 Mon 3.2 1.7 2.4 1.7 5.7
09/28/1993 Tue 4.1 -0.1 -0.2 1.2 1.2
02/06/1995 Mon 3.6 0.0 1.4 0.7 2.6
06/19/1995 Mon 3.8 0.8 0.5 1.3 8.4
12/26/1995 Tue 4.7 -0.1 -0.3 -5.6 -1.9
11/06/1996 Wed 3.3 0.7 1.2 1.6 4.4
04/07/1997 Mon 2.4 0.5 -2.7 -3.7 1.6
05/02/1997 Fri 7.9 2.6 2.3 2.7 7.5
07/16/1997 Wed 6.3 -0.7 -0.8 0.5 0.4
11/03/1997 Mon 6.2 0.1 -2.4 -1.0 -1.8
01/02/1998 Fri 5.5 0.8 -5.0 -1.2 2.4
06/22/1998 Mon 5.3 2.1 4.7 5.7 11.2
12/21/1998 Mon 8.7 -0.8 2.0 8.6 12.6
04/26/1999 Mon 13.1 -1.9 -4.4 -4.7 -4.1
06/21/1999 Mon 9.7 -1.9 -1.1 4.0 8.9
08/17/1999 Tue 7.3 -0.5 3.0 2.5 6.5
12/21/1999 Tue 9.5 0.7 3.3 -0.9 5.6
06/02/2000 Fri 19.0 0.2 1.6 1.2 3.3
03/17/2003 Mon 8.9 0.6 -1.6 -3.7 -1.9
03/29/2004 Mon 4.3 0.4 4.3 1.9 2.9
05/25/2004 Tue 3.5 0.6 1.2 1.3 1.5
07/08/2005 Fri 2.7 1.1 2.1 3.2 4.9
11/03/2005 Thu 4.7 0.4 1.7 2.8 3.4
01/05/2006 Thu 2.2 1.3 1.7 -1.3 1.5
01/12/2007 Fri 2.8 -0.2 -2.9 -2.5 -0.6
06/01/2007 Fri 3.0 0.2 -1.5 0.5 -0.3
08/11/2008 Mon 6.8 -0.4 -0.9 -3.0 -7.5
06/01/2009 Mon 8.1 0.4 0.8 -0.7 0.0
07/15/2009 Wed 6.6 1.2 3.4 5.6 6.9
09/09/2009 Wed 4.6 NaN NaN NaN NaN
Avg 4.4 0.4 0.9 1.2 2.8
AvgPos 4.4 0.7 1.9 2.8 4.5
AvgNeg NaN -0.5 -1.6 -2.2 -2.6
PctPos 100.0 73.7 71.1 68.4 76.3
PctNeg 0.0 26.3 28.9 31.6 23.7
Maximum 19.0 2.6 5.7 9.2 12.6
Minimum 1.4 -1.9 -5.0 -5.6 -7.5
StdDev 2.8 0.8 2.0 3.1 4.3
ZStat 1.6 0.5 0.4 0.4 0.7
Variance 7.9 0.6 4.1 9.7 18.1
77 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/events/stocks/chart.html?ticker=COMP&events=UpBigVL5day0,AboveSMA2000&date=2009-09-09
3 http://www.markethistory.com/staff/detail.html?s=gibbons