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S&P 500 Index Futures - Fourth and Four 
Tuesday, February 9, 2010
By Jay Pasch
S&P 500 Index Futures (CME.SP) declined for a fourth consecutive day on Monday, declining 3.75 points for a -0.4% loss at the 1056.00 close after the bears attacked the afternoon session to claim the day. With four days of trading ahead this week, what's next? Looking to history as our guide, today we take a look at the market's current weakness with respect to the position of Commercial contract holders as indicated in the weekly Commitment of Traders (COT) report, which shows that Commercial Hedgers, whose net position is actually short the market, are within 10% of the longest they've been in the last 52 weeks, which we call "extremely long" (for them).
Q: What is the historical performance of the SP futures after 4 consecutive down days with the latest Commitment of Traders report indicating that Commercial Hedgers hold an Extremely Long net position?
A: According to the 11 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bullish edge that peaks 25 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, 8 February 2010) is Monday, 15 March 2010. CME.SP rallies in 100% of the cases (11 of 11) by an average of 6.4% relative to the close on the event date. The overall return of the 11 cases is 6.4%, which, based on the close of CME.SP on the event date (1055.9), provides a target price of 1123.48.
To view and modify the event parameters defining this study, click here3 to launch the EventEdge® tool.
Mr. Jay Pasch4 is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
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Let variable values:
@ = SP
theEvent = IF
3 values ago {
1 value move of @ is less than 0 }
AND
2 values ago {
1 value move of @ is less than 0 }
AND
1 value ago {
1 value move of @ is less than 0 }
AND
1 value move of @ is less than 0
AND
(100 * ((The weekly CoTCHL of @ 1 week ago - The weekly CoTCHS of @ 1
week ago ) - lowest ( The weekly CoTCHL of @ 1 week ago - The
weekly CoTCHS of @ 1 week ago, 52 weeks )
) /
(highest ( The weekly CoTCHL of @ 1 week ago - The weekly CoTCHS of @ 1
week ago, 52 weeks ) - lowest ( The weekly CoTCHL of @ 1 week ago -
The weekly CoTCHS of @ 1 week ago, 52 weeks )
)
) is at least 90
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t+3 t+10 t+20 t+25 t+30
10/22/1986 Wed 1.7 5.1 1.3 6.1 8.3
10/26/1989 Thu 1.1 -0.4 1.7 3.5 2.9
04/23/1990 Mon 0.8 3.0 7.9 9.0 10.6
10/23/1992 Fri 1.5 0.8 3.1 4.1 5.2
04/15/1994 Fri -0.7 1.6 -0.3 1.8 2.3
05/09/1994 Mon 0.2 2.7 3.6 4.6 2.1
08/31/1998 Mon 3.3 8.6 9.8 3.2 4.1
10/08/1998 Thu 3.5 12.1 17.7 15.9 19.5
10/07/2002 Mon 1.8 14.0 15.1 11.3 14.1
03/31/2003 Mon 3.1 4.6 8.2 10.4 11.3
06/23/2003 Mon 0.3 2.7 0.6 0.8 -2.2
02/08/2010 Mon NaN NaN NaN NaN NaN
Avg 1.5 5.0 6.2 6.4 7.1
AvgPos 1.7 5.5 6.9 6.4 8.0
AvgNeg -0.7 -0.4 -0.3 NaN -2.2
PctPos 90.9 90.9 90.9 100.0 90.9
PctNeg 9.1 9.1 9.1 0.0 9.1
Maximum 3.5 14.0 17.7 15.9 19.5
Minimum -0.7 -0.4 -0.3 0.8 -2.2
StdDev 1.4 4.7 6.0 4.7 6.3
ZStat 1.1 1.1 1.0 1.4 1.1
Variance 1.8 21.8 36.6 21.6 40.0
12 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=MyDown3,MyDown2,MyDown1,MyDown0,HedgersExtraLong0
4 http://www.markethistory.com/staff/detail.html?s=pasch