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S&P 500 Index futures - Bouncing Back? 
Wednesday, February 3, 2010
By Gibbons Burke
The S&P 500 index futures market has rallied strongly so far this week, with 'big' one-day percentage gains on Monday (1.5%) and Tuesday (1.0%) totaling 2.5%. This move came after a 'nine down' pattern - 9 successive days where the 4-day rate of change has been negative, which occurs when there has been a sustained and grinding decline over the last two weeks.
Q: How have S&P 500 futures performed in the past when they have seen two 'big' rallies following a 'nine lower' pattern of decline?
A: According to the 7 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bearish edge that peaks 6 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 2 February 2010) is Wednesday, 10 February 2010. CME.SP declines in 86% of the cases (6 of 7) by an average of -3.3% relative to the close on the event date. The average of the 1 rally is 0.0%. The overall return of the 7 cases is -2.8%, which, based on the close of CME.SP on the event date (1097.2), provides a target price of 1066.48.
Click here3 to research this trading idea further in EventEdge®.
Gibbons Burke4 is editor of MarketHistory.com.
 |
Let variable values:
@ = SP
theEvent = IF
1 value ago {
1 value percent_move of @ is more 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 more than
(30 day average of 1 value percent_move of @ +
(1 * 30 day std_dev of 1 value percent_move of @
)
)
AND
1 value ago
{
4 value move of @ is less than 0
repeated for the previous 8 and current value
}
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t-2 t+1 t+2 t+3 t+6
09/11/1987 Fri 2.5 0.0 -1.6 -2.6 -3.6
10/21/1987 Wed 28.2 -5.3 -6.7 -14.7 -4.9
10/01/1990 Mon 5.1 0.0 -1.4 -0.9 -3.9
07/18/1996 Thu 2.4 -0.8 -1.5 -3.0 -1.3
09/26/2002 Thu 4.1 -3.4 -4.6 -0.0 -5.7
05/25/2006 Thu 1.9 0.5 -1.3 -0.3 -0.5
07/17/2008 Thu 3.5 0.6 0.7 1.7 0.0
02/02/2010 Tue 2.5 NaN NaN NaN NaN
Avg 6.3 -1.2 -2.3 -2.8 -2.8
AvgPos 6.3 0.4 0.7 1.7 0.0
AvgNeg NaN -3.2 -2.8 -3.6 -3.3
PctPos 100.0 42.9 14.3 14.3 14.3
PctNeg 0.0 42.9 85.7 85.7 85.7
Maximum 28.2 0.6 0.7 1.7 0.0
Minimum 1.9 -5.3 -6.7 -14.7 -5.7
StdDev 8.9 2.3 2.5 5.5 2.2
ZStat 0.7 -0.5 -1.0 -0.5 -1.3
Variance 79.4 5.2 6.0 29.9 5.0
8 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/analog/analog.html?ticker=CME.SP
3 http://www.markethistory.com/content/events/futures/chart.html?ticker=CME.SP&events=UpL1,UpL0,NineLow1
4 http://www.markethistory.com/staff/detail.html?s=gibbons