Three Strong Intermediate Tape Signals this Week zt

bigbadwolf

Friday, Dec 03,   5:30PM-C
  
Over the last three days, my models have identified three different Bullish Intermediate Tape Signals.   A summary of this week’ highlights are provided below.

1.  A Bullish Sequence of Lopsided Volume Days

On Wednesday Dec 01, I reported to you that we had a very significant pattern of Lopsided Volume Days.  We consider a lopsided Volume day as any day when there is a 9/1 ratio between Up and Down Volume or vice versa.  The four sequence pattern we now have is 10, 10, 90, 90 on Nov 16, Nov 23, Nov 24 and Dec 01, resp.  We noted that since 1970, this pattern had occurred 27 times and the S&P was 25-2 over the next 12 months for an average gain of 18.53%, with the only significant loss coming after 9/11.  

2.  A Two Day Volume Burst

Similarly Wednesday’s strong volume day was followed by a second strong day on Thursday (Dec 02), which resulted in what we call a UDT2 of 91.709 on S&P 500 tape data.  

UDT2= UPVOL/(UPVOL+DNVOL), summed over 2 days.

We showed that UDT2’s of 89.04 to 94.38, since 1970, were 19-1 six months later for an avg six month return of 13.28%.  Over the following 12 months, those same signals were 18-2 for an average gain of 21.35%


3.   A Three Day Breadth Thrust
Today (Dec 03), we got a very strong signal from ADT3, which is a three day Breadth signal where

ADT3= #of Adv/(#of Adv+Dec),  in this case, over 3 days

Below are the Advance Decline numbers on the S&P 500 over the last three days

                        S&P 500 Breadth Data
                        For Dec 01-03, 2010

           Date     Adv Dec
          Dec 01    484   16
          Dec 02    437   60
          Dec 03    310 180

          Sum       1231 256

     ADT3= 1231/(1231+256) = 82.78


The Model looks for the past ADT3 dates that look most similar to today’s and scanned for all occasions where ADT3 was between 80.28 and 85.28, within 2.5% of today’s reading.  Those results are given below.

          S&P 500 Perfomance after an ADT3 of 80.28 to 85.28
  
  #    DATE    ADT3     1WK%     1MT%     3MT%     6MT%     1YR%

  1  700529  82.75    -0.50    -4.78     6.94    12.25    30.15
  2  741011  80.57     1.60     5.64     2.07    18.33    23.99
  3  760105  81.46     4.05     8.44    11.81    12.45    13.16
  4  780417  82.22     1.40     5.45     3.53     7.21     7.19
  5  790104  81.50     0.53     0.93     4.13     3.56     8.05
  6  820817  82.03     5.84    12.44    26.55    35.28    51.66
  7  840802  82.64     4.78     5.50     5.97    13.06    21.20
  8  861124  81.64     2.65    -0.28    14.32    14.03    -0.43
  9  871209  81.61     3.85     1.89    12.63    13.11    15.97
10  901022  80.60    -4.09     0.40     4.30    21.03    23.21
11  911226  80.79     3.58     2.63     0.75    -0.34     8.63
12  960802  80.43    -0.06    -1.58     6.23    18.67    42.97
13  021014  80.51     6.93     7.47    10.72     5.20    24.72
14  030317  81.46     0.17     3.57    17.25    18.91    30.25
15  030902  80.78     0.12    -0.17     4.37    12.44     9.42
16  040818  83.46     0.89     3.05     8.07     9.72    11.31
17  050518  81.67     0.38     2.65     2.82     5.29     6.43
18  081125  80.88     1.55     1.25   -10.79     3.45    29.53
19  090312  83.48     4.51    14.10    26.04    38.89    53.18
20  090716  82.62     3.78     6.73    15.62    20.76    13.20
21  091109  80.55     1.48     0.26    -2.06     1.63    11.01
22  100708  81.29     2.45     4.80     8.87    14.43**  14.43**
23  101203  82.78      ?        ?        ?        ?        ?

              #UP-DN =19- 3    18- 4    20- 2    21- 1    21- 1
              AVG%CHG= 2.08     3.65     8.19    13.61    20.42

       Historical S&P 500 Tape Data courtesy Ned Davis Research Inc.


After perusing the results, there actually was not a bad intermediate signal in the group, as the one negative 23 month signal of -0.43% was a positive 14.03% at the end of six months.   This signal has an unusually good shortterm forecasting record as well, as 19-3 one week signals are extremely difficult to come by.

I have included Wednesday and Thursday’s aforementioned studies again at the bottom of this email.  For my daily readers looking for guidance next week, here is the seasonal study of the day.

csw2002

I think there is a serious issue with Wayne's methodoloy when he looks at ratio only without inspecting the net values. According to my calculations, this 3 day advances have the lowest net NYSE volume (up vol - down vol), the lowest net NYSE breadth (up issues - down issues), the lowest NYSE 1 min cumulative ticks for a stretch of 3 positive days since Apr 2010.

Wayne's reading on the strength of the market is in direct contrast to serious weaknesses underlying this rally when examined from lenses of auction market theory and market profile.

Unless the breadth and net volume data improves over the next couple of days, I am inclined to believe that this rally is running on fume and a sharp retracement is imminent (within the next week).

ppteam

牛市好戏还在后头。再过3-4周，周线均线排列組合。

greenback