CME.SP

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S&P Futures - Nine-day Runup    

The S&P 500 futures market has tied the record for the most number of successive daily gains in a row, at nine as of Wednesday's close. (The run in the underlying SPX index was interrupted by a single day's decline.)

The market rallied 0.4% on Wednesday, gaining 5.2 points to close at 1,145.7, and has gained 2.4% over the last five trading days. The market also managed to make a new 52-week high.

Q: When has the SP futures seen a nine-day run in the past?

A: According to the 1 previous occurrences of this event, EventEdge indicates that CME.SP has shown an insignificant edge that peaks 35 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, 10 March 2010) is Wednesday, 28 April 2010. CME.SP rallies in 100% of the cases (1 of 1) by an average of 10.2% relative to the close on the event date. The overall return of the 1 cases is 10.2%, which, based on the close of CME.SP on the event date (1145.7), provides a target price of 1262.56.

Of course, one prior example is not anything to hang your hat on, as far as making a trading decision - it is an interesting historical fact. The previous occurrence of this event occurred in January 1987, and it went on to make a 10-day run the next day, rallying 1.4%. The run ended after that, the next day was a decline, but as you can see from the event chart below, the market went on to gain 10.5% by 40 days later, and 13.1% by 50 days later.

Gibbons Burke is editor of MarketHistory.com.

Let variable values:
@	=	SP
theEvent	=	IF
   1 value move of @  is more than 0
   repeated for the previous 8 and current value
AND
  @ is DEFINED
THEN 1
ENDIF


      Date   Day            t+1           t+10           t+20           t+40           t+50

01/14/1987   Wed            1.4            5.4            5.5           10.5           13.1
03/10/2010   Wed            NaN            NaN            NaN            NaN            NaN

             Avg            1.4            5.4            5.5           10.5           13.1
          AvgPos            1.4            5.4            5.5           10.5           13.1
          AvgNeg            NaN            NaN            NaN            NaN            NaN
          PctPos          100.0          100.0          100.0          100.0          100.0
          PctNeg            0.0            0.0            0.0            0.0            0.0
         Maximum            1.4            5.4            5.5           10.5           13.1
         Minimum            1.4            5.4            5.5           10.5           13.1
          StdDev            NaN            NaN            NaN            NaN            NaN
           ZStat            NaN            NaN            NaN            NaN            NaN
        Variance            NaN            NaN            NaN            NaN            NaN


2 Occurrences

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