Friday’s session looked like a playbook example concerning -form a historical and statictical perspective- the most probable outcome based on those setups which were trigged on close of Thursday’s session: ‘the SPY gave back at least -1.0% of its’s intraday gains until the close on two consecutive sessions‘ and ‘the SPY posted an intraday high at least +1.50% above the previous session’s close, but gave back at least -1.25% of its’s gains until the close to finally close near the low (max. +0.25% above the low) ‘ (see my post Trading the Odds on Friday – June 12, 2009):

The S&P 500 opened lower -0.15%, posted an intraday low -0.98% below Thursday’s close for the supposed weakness (based on probabilities and odds concerning the latter setup mentioned above) early in the session, but recouped all of it’s losses again to finally close higher +0.14% on the day (based on probabilities and odds concerning the former setup mentioned above), in compliance with Friday’s forecast (cit. ‘Therefore any (significant) weakness on or shortly after the open may provide a favorable buying opportunity especially with respect to the fact that setup S2 shows a significant tendency for an upside reversal (close – open) on any (probable) intraday weakness‘).

The S&P 500 closed higher +0.65% for the week, and although this might be nothing to write home about, it finally fulfilled the bullish ‘NYSE divergence‘ setup which was triggered on last Friday’s close (5 consecutive sessions with a NYSE TRIN above 1), where it (correctly) seemed that the path of least resistance for the last week would still be be up, not down (see my post Trading the Odds on Monday – June 8, 2009).

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On Friday’s session market breadth was notably negative with NYSE Advancing Issues/Declining Issues at 0.84, and NYSE Advancing Volume/Declining Volume at 0.85, both significantly below 1 for a significant negative divergence (NYSE TRIN at 1.00). Notably as well was the fact as well that  SPY volume came in at it’s lowest level since May 22, 2009, the second day in a row that the S&P 500 and SPY closed up while SPY volume contracted. Additionally new NYSE 52-week highs came in lower the second day in a row as well (despite the fact that the S&P 500 closed higher the second day in a row). And last but not least speculative interest as the ratio of Nasdaq Total Volume / NYSE Total Volume close above 2.4, the second highest reading since 01/02/1990 (and the 7th consecutive session with a ratio of Nasdaq Total Volume / NYSE Total Volume above 1.80).

I therefore checked for the following setups which were triggered on Friday’s close:

• the S&P 500 closed up while NYSE Advancing Issues/Declining Issues and NYSE Advancing Volume/Declining Volume both closed below 0.9 (in negative terrritory for a negative divergence) on the same day (Setup S1),
• the S&P 500 closed up on two consecutive sessions while new NYSE 52-week highs contracted on both sessions (Setup S2),
• the S&P 500 closed up on two consecutive sessions while SPY volume contracted on both sessions (Setup S3),
• SPY volume came in at least 20% below the previous session’s volume while speculative interest as the ratio of Nasdaq Total Volume / NYSE Total Volume closed above 1.8 on the same day (Setup S4), and
• speculative interest as the ratio of Nasdaq Total Volume / NYSE Total Volume closed above 1.80 on at least 4 consecutive sessions (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

Though sample sizes are a bit too small to be statistically relevant, setups S1 to S5 are all agreeing concerning their negative outlook on the then following session. Although chances for a higher/lower close are only slightly tilt in favor of a lower close, the at-any-time profit factor of 1.07 is remarkably undercut by almost all setups listed above, means the magnitude of change on a potential (probable) lower close regularly significantly exceeds the magnitude of change on a potential higher close (limited upside versus significant downside potential).

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Monday, June 15) immediately following those 93 sessions where ‘the S&P 500 closed up while NYSE Advancing Issues/Declining Issues and NYSE Advancing Volume/Declining Volume both closed below 0.9‘ (setup S1).

Concerning setup’s S1 (‘the S&P 500 closed up while NYSE Advancing Issues/Declining Issues and NYSE Advancing Volume/Declining Volume both closed below 0.9‘) intraday stats the then following session it is especially remarkable that

• with respect to the last 10 occurrences the ES (S&P 500 E-MINI) almost always opened lower with a (regularly significant) gap down the then following session (on 9 out of the last 10 occurrences),
• the profit factor on the high (means the potential magnitude of change on the intraday high compared to the previous session’s close) significantly undercuts the respective at-any-time profit factor, means upside potential (if any) is regularly limited the then following session,
• the profit factor on the low (means the potential magnitude of change on the intraday low compared to the previous session’s close) significantly undercuts the respective at-any-time profit factor as well, means downside potential regularly (significantly) exceeds the respective at-any-time magnitude of change on the low the then following session, and finally
• concerning the last 10 occurrences the ES (S&P 500 E-MINI) regularly closed lower the than following session (on 9 out of the last 10 occurrences), and the profit factor on the close (means the potential magnitude of change on the close compared to the previous session’s close) significantly undercuts the respective at-any-time profit factor (applies to the odds concerning a potential close above/below the open as well).

________________

I thought it would be interesting as well to check for those occurrences and the Nasdaq 100′ performance over the course of the then following 5 sessions (1 week) where speculative interest was running at a similar level like today.

Table III shows the NDX‘ (Nasdaq 100) performance (since 01/02/1990) over the course of the then following five sessions immediately following those 22 occurrences where ‘speculative interest as the ratio of Nasdaq Total Volume / NYSE Total Volume closed above 1.80 on at least 4 consecutive sessions‘ (setup S5).

Although probabilities and odds (profit factor/pay-off) are already significantly tilt in favor of lower closes and significantly downside potential over the course of the then following 5 sessions, the stats are still positively distorted due to the fact that all occurrences are included where the ratio closed above 1.80 on at least 4 consecutive sessions, not only the last occurrence of the respective sequence of those occurrences where the ratio closed above 1.8 on 5 consecutive sessions ore more (e.g. between 11/28/2000 and 12/01/2000 4 consecutive occurrences are included -the ratio closed above 1.80 on a total of 7 consecutive sessions- with a significant gain over the course of the the following 5 sessions on all of those 4 occurrences).

But some cautious is warranted: As it was the fact between 11/28/2000 and 12/01/2000, we could very well get a -from my perspective- last (significant) exponentially run-up before the excessive speculative interest will probably take its toll. I think Monday’s session will probably be indicative for the NDX’ performance over the course of the next week. If the NDX refuses to go down although -from a statistical perspective- it ‘should’ (as the SPX did over the course of the last couple of sessions), chances are good the we may get some accelaration on the up-side again.

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Bottom line:

With respect to Monday’s session and based on the respective probabilities and odds concerning those setups which were triggered on Friday’s close, the outlook is negative, and I’d be hesitant concerning any ‘buying the dip’ approach on Monday. Instead it seems that any strength on or shortly after the open might provide a favorable opportunity on the short side of the market due to the fact that any upside potential seems to be limited (at least) and the market shows a significant tendency for some (significant) weakness during the session and on the close.

Additionally the high running speculative interest doesn’t bode well for the NDX performance over the course of the then following 5 sessions, but the NDX performance on Monday’s session will probably be indicative for the major market indexes’ performance over the course of the following week (breaking lower in compliance with historical probabilities and odds concerning the high running speculative interest, or a probably last run-up before the high running speculative interest will probably take its toll). So on Monday watch the NDX’ intraday performance closely, and if the NDX under-performs the SPX again while the SPX shows some strength, this might provide the favorable opportunity on the short side and confirmation regarding the negative outlook for Monday’s session (and the negative outlook concerning the NDX’ performance over the next couple of sessions as well).

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing (but long volatility).

Although the S&P 500 couldn’t hold onto its intraday gains of +1.82% above Wednesday’s close and again reversed course (as it was the case on Wednesday’s sessions), the index closed up +0.61% on the day, in compliance with the positive bias which was triggered on Wednesday’s close based on the setup ‘the S&P 500 closed within a +/- 0.35% four days in a row AND the S&P 500 posted a higher high on two consecutive sessions, but closed almost flat (+/- 0.25%) in comparison to the close three sessions ago ‘ (see my post Trading the Odds on Thursday – June 11, 2009).

That the S&P 500 would possibly get into trouble during the session was noticeable due to the fact that the $SOX Semiconductor Index as well as the Nasdaq 100 (significantly) under-performed the S&P 500, and when the Nasdaq 100 started to post lower lows intraday it was time to took some money of the table and close any potential index long positions for the day (see my respective Twitter update at 01:35 PM CET).

Market breadth was positive with NYSE Advancing Issues/Declining Issues at 1.59, and NYSE Advancing Volume/Declining Volume at 1.91 (for a NYSE TRIN at 0.83 in positive territory). Notably was the fact that although the S&P 500 posted a higher high (above the previous session’s high) the third day in a row, and a high above the previous session’s close of at least +1.0% the second day in a row, new NYSE 52-week Highs came in lower on Thursday’s session (16) than on Wednesday’s session (18).

Notably as well was the fact as well that the SPY posted ’6 Highs’ today (higher open, higher high, higher low and a higher close than the previous session’s open/high/low/close, a close above the open AND a low above yesterday’s close) and left an unfilled opening gap on the upside.

I therefore checked for the following setups which were triggered on Thursday’s close:

• the SPY left an unfilled opening gap on the upside (intraday low above the previous session’s close) (Setup S1),
• the SPY posted an intraday high at least +1.50% above the previous session’s close, but gave back at least -1.25% of its’s gains until the close to finally close near the low (max. +0.25% above the low) (Setup S2),
• the SPY gave back at least -1.0% of its’s intraday gains until the close on two consecutive sessions (Setup S3),
• the S&P 500 posted a higher high on three consecutive sessions, a high of at least +1.0% above the previous session’s close on the last two consecutive sessions (both indicating a strong positive bias), while NYSE 52-week Highs came in lower on the most recent sessions then on the previous session (Setup S4), and
• Setup S2 and Setup S3 combined (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

Surprisingly and contrary to what one might have assumed, setups S1 to S5 are not all agreeing concerning a supposed negative bias for the then following session (e.g. a potential gap fill on the then following session concerning setup S1, or an assumed potential negative tendency due to the fact that the market couldn’t hold onto it’s intraday gains and gave back at least -1.0% on two consecutive sessions). Especially setup S3 (‘the SPY gave back at least -1.0% of its’s intraday gains until the close on two consecutive sessions‘) shows a significant positive tendency on the then following session, with the majority of occurrences since 10/01/2007 and especially during the most recent ralley which might give this setup additional weight. Only the very specific setups S2, S4 and S5 with a very small sample size (and too small to read any statistically significant into it) show a significant negative tendency on the then following session.

Table II shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) over the course of the then following five sessions immediately following those 253 sessions where ‘the SPY gave back at least -1.0% of its’s intraday gains until the close on two consecutive sessions‘ (setup S3).

Contrary to what one might have assumed, setup S3 shows a strong positive tendency over the course of the then following five sessions, and chances are good that the market closes (significantly) higher 5 sessions later (the profit factor almost doubles the respective at-any-time profit factor for a higher close 5 sessions later).

Table III now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Friday, June 12) immediately following those 253 sessions where ‘the SPY gave back at least -1.0% of its’s intraday gains until the close on two consecutive sessions ‘ (setup S3).

Probabilities and odds (profit factor) are above-average and positively tilt that the S&P will close higher and above the open on the then following session.

But cautious will probably be warranted, because especially setup S2 shows a significant negative tendency on the then following session.

Table IV shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Friday, June 12) immediately following those 14 sessions where ‘the SPY posted an intraday high at least +1.50% above the previous session’s close, but gave back at least -1.25% of its’s gains until the close to finally close near the low (max. +0.25% above the low) ‘ (setup S2).

Setup S2 shows a negative tendency the then following session due to the fact that on almost every second occurrence the ES left an unfilled opening gap on the downside (intraday high below the previous session’s close), and regularly a tendency for a significantly lower open as well. But remarkable is the positive tendency concerning the fact that although chances for a close above the open are below-average, the respective profit factor on the close – open doubles the respective at-any-time profit factor. So at least concerning this setup chances are significantly tilt in favor of a lower open and a low significantly below Thursday’s close, but any signifcant intraday weakness early in the session might provide a favorable intraday and short-term only buying opportunity.

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Bottom line:

1. With respect to Friday’s session is seems that the positive bias (concerning the close) is still alive (for the time being), although the market wasn’t able to hold onto it’s strong intraday gains during the last 2 sessions. Therefore any (significant) weakness on or shortly after the open may provide a favorable buying opportunity especially with respect to the fact that setup S2 shows a significant tendency for an upside reversal (close – open) on any (probable) intraday weakness, and concerning the (bullish) ‘NYSE divergence‘ setup which was triggered on last Friday’s close (5 consecutive sessions with a NYSE TRIN above 1), it seems that the path of least resistance might still be be up, not down (see my post Trading the Odds on Monday – June 8, 2009).

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

Although Wednesday’s session looked like a rollercoaster ride with a higher high and lower low than the previous session’s high/low and an intraday range of 2.31% (for theS&P 500), the S&P 500 closed almost flat again, and at least concerning it’s magnitude of change on the close in compliance with historcial probabilities and odds (cit. ‘… but notably is at least the fact that even 3 relatively flat sessions are regularly followed by another relatively quite session’, see my post Trading the Odds on Wednesday – June 10, 2009).

The S&P 500 opened higher +0.03%, posted an intraday high +0.78% above Tuesday’s close (and a higher high than Tuesday’s high as well), reversed course and posted an intraday low -1.53% below Tuesday’s close (and a lower low than Tuesday’s low as well), reversed course again and finally closed lower -0.35% only on the day.

Market breadth was mixed with NYSE Advancing Issues/Declining Issues at 0.84, and NYSE Advancing Volume/Declining Volume at 0.73 (for a NYSE TRIN at 1.15). Additionally NYSE Total Volume came in higher than on Tuesday’s session, and especially SPY volume closed at it’s highest level for the last four weeks (although I don’t have the final volume numbers at time of writing). Speculative interstest was once again running very high today, and Nasdaq Total Volume almost doubled NYSE Total Volume again (ratio of 1.97).

With Wednesday’s sesssion the SPX closed within a +/- 0.35% range the fourth sessions in a row.

I therefore checked for the following setups which were triggered on Wednesday’s close:

• the S&P 500 closed within a +/- 0.35% four sessions in a row (Setup S1),
• the S&P 500 posted a higher high on two consecutive sessions, but closed almost flat (+/- 0.25%) in comparison to the close three sessions ago  (Setup S2),
• the S&P 500 posted a higher high and a lower low than the previous session’s high/low, but closed almost flat (+/- 0.35%) on the day (Setup S3),
• the S&P 500 recouped at least 1.0% of it’s intraday losses (on the low) at the close, but closed still lower between -0.5% and 0% on the day (Setup S4), and
• Setup S1 and Setup S2 combined (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

With respect to all 5 setups chances are (slightly) tilt in favor of a higher close the then following session, but with respect to setups S1 (4 consecutive flat sessions) and S5 (the combination of 4 flat sessions and two consecutive higher highs) the profit factor (expectany and pay-off) dsignificantly exceeds the respective at-any-time profit factor.

Due to the fact that now the last 4 sessions looked like a consolidation period (or the calm before the strom again) before the market will finally either break higher or lower (it seemed to have tested both directions during Wednesday’s session) , I tought it would be especially interesting -concerning the next session’s intraday stats- to dig a bit deeper into setup S5 (again, like for Wednesday’s session, but now with 4 consecutive flat sessions and 2 consecutive higher highs).

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Thursday, June 11) immediately following those 19 sessions where ‘the S&P 500 closed within a +/- 0.35% four days in a row AND the S&P 500 posted a higher high on two consecutive sessions, but closed almost flat (+/- 0.25%) in comparison to the close three sessions ago ‘ (setups S1 and S2 combined).

Although chances for a higher open/high/low/close/close versus open are comparable to the respective at-any-time probabilities, it is at least remarkable that on all those 19 occurrences the maximum loss on the low and on the close did never exceed -1.0% , and the profit factor on the close and on the close versus open significantly exceed the respective at-any-time profit factor. Concerning setup S5 mentioned above it seems that at least downside potential will probably be limited the then following session.

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Bottom line:

1. With respect to Thursday’s session is seems that downside potential will probably be limited, and any weakness on or shortly after the open may provide a favorable buying opportunity especially with respect to the fact as well that concerning the (bullish) ‘NYSE divergence‘ setup which was triggered on last Friday’s close (5 consecutive sessions with a NYSE TRIN above 1), it seems that the path of least resistance might be be up, not down (see my post Trading the Odds on Monday – June 8, 2009), additionally supported by the fact that setup S5 (on Tuesday’s close) historically shows a significant tendency (approximately 2 out of 3 occurrences) for higher closes ahead over the course of the next couple of sessions.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

The market seems to have ‘known’ that -concerning the setups which were triggered on Tuesday’s close (see my post Trading the Odds on Tuesday – June 9, 2009)- no significant edge neither on the long nor on the short side was provided concerning Tuesday’s session (but nevertheless probabilities and odds were slighlty tilt in favor of the bullish side), and the S&P 500 reacted accordingly:

The S&P 500 opened higher +0.13%, posted an intraday low -0.32% below Monday’s close, posted an intraday high +0.83% above Monday’s close and finally closed higher +0.35% on the day (in compliance to the probabilities and odds which were slightly tilt in favor of the long side of the market). This was the third day in a row when the S&P 500 closed more or less flat within a +/- 0.35% range (compared to the previous session’s close).

Market breadth was relatively strong with NYSE Advancing Issues/Declining Issues at 1.53, and NYSE Advancing Volume/Declining Volume at 1.37 (for a NYSE TRIN at 1.11, with a ratio above 1 closing in regularly negative territory). Additionally NYSE Total Volume came in lower than on Monday’s session for a third consecutive session on lower NYSE Total Volume. Speculative interstest was once again running very high today, and Nasdaq Total Volume more than doubled NYSE Total Volume.

I therefore checked for the following setups which were triggered on Tuesday’s close:

• the S&P 500 closed higher on the same day when the NYSE TRIN closed in regularly negative territory above 1 (Setup S1),
• the S&P 500 closed within a +/- 0.35% three sessions in a row (Setup S2),
• NYSE Volume contracted on three consecutive sessions (Setup S3),
• the ratio of Nasdaq Total Volume / NYSE Total Volume closed above 2 (Setup S4), and
• Setup S2 and Setup S3 combined (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

With respect to all 5 setups chances for a higher/lower close the then following session are mixed only (and do not significantly deviate from the respective at-any-time probabilities for a higher/lower close the following session), and even the profit factor (expectany and pay-off) doesn’t show any significant tradable edge on either side of the market.

Due to the fact that the last 3 sessions looked like a consolidation period (or the calm before the strom) before the market will either break higher or lower, I tought it would be especially interesting -concerning the next session’s intraday stats- to dig a bit deeper into setup S5.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Wednesday, June 10) immediately following those 67 sessions where ‘the S&P 500 closed within a +/- 0.35% three days in a row AND NYSE Volume contracted on three consecutive sessions ‘ (setups S2 and S3 combined).

But even with respecto to the intraday stats no significant edge is provided, but notably is at least the fact that even 3 relatively flat sessions are regularly followed by another relatively quite session due to the fact that the average winning trade and the average losing trade on the open, high, low and close are (significantly) lower than the respective at-any-time winning/losing trade, means the magnitude of change on the open/high/low/close/close versus open on those session immediatley following those 67 sessions where the respective setup had been triggered is -on average- (partly significantly) lower than the respective at-any-time magnitude of change.

Table III now shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) over the course of the following five sessions immediately following those 67 sessions where ‘the S&P 500 closed within a +/- 0.35% three days in a row AND NYSE Volume contracted on three consecutive sessions ‘ (setups S2 and S3 combined).

With respect to the S&P 500′ performance over the course of the then following 5 sessions it is especially remarkable that at least in the past such consolidation periods (setup S5) have been regularly resolved to the upside. Not only probabilities for a higher close over the course of the next couple of sessions are -from a historically and statistically perspective- tilt in favor of higher closes ahead, especially the respective profit factor is significantly higher than the respective at-any-time profit factor.

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Bottom line:

1. With respect to Wednesday’s session is seems wise to keep the powder dry until the market provides a tradable edge again. Like in Blackjack and Poker you’ve to know when to hold, when to fold and when to go. On Wednesday’s session the deck will be shuffled again. But  keep in mind that with respect to the (bullish) ‘NYSE divergence‘ setup which was triggered on last Friday’s close (5 consecutive sessions with a NYSE TRIN above 1), it seems that the path of least resistance might be be up, not down (see my post Trading the Odds on Monday – June 8, 2009), additionally supported by the fact that setup S5 historically shows a significant tendency (approximately 2 out of 3 occurrences) for higher closes ahead over the course of the next couple of sessions.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

If it wouldn’t have been for the final two minutes of today’s regular session (when the SPX turned from slightly above to slightly below Friday’s close, but from my point of view that is negligible), I think Monday’s session not only fully complied again to the probabilities and odds concerning the  setup which was triggered on Friday’s close (‘the S&P 500 closed higher on at least 3 out of 5 sessions when the NYSE TRIN closed above 1.00 in negative territory on all five sessions’, see my post Trading the Odds on Monday – June 8, 2009), but the market first and foremost provided the favorable opportunity on the long side on any weakness at the earliest possible time.

The S&P 500 opened lower -0.21%, posted an intraday low -1.45% below Friday’s close early in the session, but reversed course to finally close lower -0.10% on the day providing the favorable buying opportunity early during today’s session.

Market breadth was mixed with NYSE Advancing Issues/Declining Issues at 0.59, and NYSE Advancing Volume/Declining Volume at 0.74 (for a relatively strong NYSE TRIN at 0.79, with a ratio below 1 closing in regularly bullish territory.) Additionally NYSE Total Volume came in significantly lower than on Friday’s session.

I therefore checked for the following setups which were all triggered on Monday’s close:

• the S&P 500 closed lower on two consecutive sessions (Setup S1),
• the S&P 500 closed lower on the same day when NYSE Total Volume came in below the previous session’s  NYSE Total Volume and the NYSE TRIN closed below 0.80 in regularly positive territory (Setup S2),
• the S&P 500 closed lower on the day, but recouped at least +1.0% from it’s intraday losses at the close (Setup S3),
• Setup S1 and Setup S2 combined (Setup S4), and
• Setup S2 and Setup S2 combined (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

Although chances for a higher/lower close the then following session are mixed concerning all 5 setups, the respective profit factor (expectany and pay-off) always exceeds the respective at-any-time profit factor, which means the sum of all potential gains on the upside exceeds the sum of all potential losses on the downside (being long the market) and show a (partly significant) higher profitability than a buy-and-hold approach or investing randomly.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Tuesday, June 9) immediately following those 21 sessions where ‘the S&P 500 closed lower on two consecutive sessions‘ on the same day when ‘NYSE Total Volume came in below the previous session’s NYSE Total Volume and the NYSE TRIN closed below 0.80 in regularly positive territory on the most recent session‘ (setups S1 and S2 combined).

Probabilities and odds are tilt in favor of a higher open (11 out of 17 occurrences), a high (significantly) above the previous session’s close (the respective profit factor on the ‘high’ -just for statistical purposes to visualize the potential magnitude of change on the upside- almost dounles the respective at-any-time profit factor on the ‘high’), but especially remarkable is the market’s historical tendency for leaving an unfilled opening gap on the upside the then following session (on 7 out of 21 occurrences).

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Bottom line:

1. Although there seems to be no significant edge on the long or short side of the market on Tuesday’s session, probabilities and odds seem to be at least slightly tilt in favor of the long side of the market additionally supporting the positive outlook for the week based on the ‘NYSE divergence’ setup which was triggered on Friday’s close. So again any weakness on or shortly after the open will probably provide a favorable short-term buying opportunity (especially due to the fact that ‘buying the dip’ seems to be -at least for the time being- the prevailing theme).

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

On Friday’s session we couldn’t have asked for more again. The market provided the favorable opportunity on the short side (see my post Trading the Odds on Friday – June 5, 2009) already before the open, and even the regular market open still presented the favorable (from a risk:reward perspective concerning the negative setup triggered on Thursday’s close) opportunity on the short side.

The ES (S&P 500 E-MINI) opened higher +1.06%, posted an intraday high +1.20% above Thursday’s close only to give back all of it’s gains and more to post an intraday low -0.80% below Thursday’s close, and finally closed unchanged on the day, confirming -from a historical perspective- the negative/weak tendency on the session after a negative setup (‘the S&P 500 closed higher at least +1.0%‘ on the same day when ‘NYSE TRIN closed above 1.25 in negative territory‘) had been triggered on Thursday’s close .

Market breadth was relatively weak with NYSE Advancing Issues/Declining Issues at 0.95, and NYSE Advancing Volume/Declining Volume at 0.60 (NYSE TRIN at 1.57). Speculative interest was again running very high on Friday’s session, with the ratio of Nasdaq Total Volume / NYSE Total Volume at 1.85.

From my perspective one of the (if not the) most remarkable observations and setups triggered during (and especially on the end of) the last week was the fact that although the S&P 500 closed higher +2.23% on the week with 3 higher and 2 lower closes, all of the last 5 sessions closed with a NYSE TRIN (significantly) above 1.25 in regularly negative territory. The NYSE TRIN (or ARMS INdex) is defined as the ratio of [NYSE Advancing Issues/Declining Issues / NYSE Advancing Volume/Declining Volume]. With a ratio of 1 supply and demand are regarded as in balance, a ratio above 1 indicates that more volume is going into declining stocks (regularly corresponding to a lower close in the major market indexes), and a ratio below 1 indicates that more volume is going into advancing stocks (regularly corresponding to a higher close in the major market indexes). Any divergence may provide a favorable and tradable edge concerning the next session(s).

But although any short-term (1 or 2 sessions) negative divergence (advancing major market indexes with a NYSE TRIN in negative territory above 1) regularly provides a favorable trading edge and opportunity on the short side (as it was the fact on Friday’ session), such a persistant negative divergence might indicate something different concerning the S&P 500′ performance over the next couple of sessions (not looking on the next session only), especially due to the fact that the market obviously refuses to go down although the first impression would’ve been it ‘should’ after the negative setup (concerning the NYSE TRIN) had been triggered more than once during the last week.

I checked for the following setups which were all triggered at least once during the last week:

• the S&P 500 closed higher on a day when the NYSE TRIN closed above 1.00 in negative territory (last Monday and Tuesday, Setup S1),
• the S&P 500 closed higher on 2 consecutive sessions when the NYSE TRIN closed above 1.00 in negative territory on both sessions (last Tuesday, Setup S2),
• the S&P 500 closed higher on at least 2 out of 3 sessions when the NYSE TRIN closed above 1.00 in negative territory on all three sessions (last Wednesday, Setup S3),
• the S&P 500 closed higher on at least 3 out of 4 sessions when the NYSE TRIN closed above 1.00 in negative territory on all four sessions (last Thursday, Setup S4), and
• the S&P 500 closed higher on at least 3 out of 5 sessions when the NYSE TRIN closed above 1.00 in negative territory on all five sessions (last Friday, Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session immediately following those sessions where setups S1 to S5 listed above had been triggered.

Not surprisingly -and as being a regular part of my daily posts- almost all (except setup S5) setups show a -regularly significant- negative tendency on the then following session, concerning both the probability for a lower close the next session as well as the respective odds (expectancy and pay-off) due to the fact that the average losing trade exceeds the average winning trade, and the maximum winning trade is significantly lower than the respective maximum losing trade.

Table II now shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) over the course of the then following five sessions immediately following those sessions where setups S1 to S5 listed above had been triggered (the respective occurrences are listed in table III below).

Although sample sizes are getting way too small to read anything statistically relevant into it, it is nonetheless more than remarkable that that S&P 500 shows a significant positive tendency over the course of the then following week (5 sessions) on those setups where the negative divergence between  an up-trending stock market and a NYSE TRIN in negative territory above 1 persists for 3 sessions or more during a (rolling) 5 sessions time frame. Especially setup S5 which was triggered on Friday’s close (the S&P 500 closed higher on at least 3 out of 5 sessions when the NYSE TRIN closed above 1.00 in negative territory on all five sessions) shows an extraordinary positive tendency, with an average losing trade of -0.19% only (5 sessions later), and an average and maximum winning trade 5-fold as much as the respecitve average and maximum losing trade (therefore the outstanding profit factor of 16.72).

Lust but not least table III shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) over the course of the then following five sessions immediately following those sessions where setup S5 had been triggered (as it was the fact on Friday’s close) , including a listing of all respective occurrences.

Probabilities and odds as well are (sometimes significantly) tilt in favor of higher closes ahead, and downside potential was historically limited with a maximum drawdown of -2.48% (at the close) during the entire then following trading week.

Only in order to visualize how the S&P 500 performed during and after those times when setup S5 had been triggered in 2005 and 2006 (but not to be mistaken for cause and effect), please find attached below the respective chart. Coincidence or not, the market performed well at least over the course of the then following week(s).

(Chart courtesy of www.stockcharts.com)

________________________________

Bottom line:

1. Although the sample size with 9 occurrences only since 02/01/1990 is way too small to read anything statisticall relevant into it, it is nonetheless remarkabel (to say the least) that the market historically shows a significant positive tendency over the course of the then follwoing 5 sessions after setup S5 (‘the S&P 500 closed higher on 3 out of 5 sessions when the NYSE TRIN closed above 1.00 in negative territory on all five sessions‘) had been triggered. So chances are good that the market will remain firm during the next week (as long as no other reliable setups will be triggered over the next couple of sessions), and probabilities are slightly tilt in favor of a higher close on Monday’s session as well. So -at least with respect to the persistent ‘NYSE TRIN divergence’ setup triggered on Friday’s close- any weakness at the beginning of next week may provide a favorable buying opportunity for the remainder of the next week.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

__________________

I’ll be on vacation (in Italy)

starting Sunday, May 31 and going through the end of next week.

While I’m away

frequency and extensiveness of blogging will mainly depend on the local availability of cellular broadband internet access and/or local WLAN (chances are good), but will probably be less frequent and shortened as well.

__________________

On Thursday’s session the market (S&P 500) almost perfectly complied again to the positive setup triggered on Wednesday’s close when ‘the S&P 500 left an unfilled opening gap on the downside and closed lower at least -1.25%‘ on the same day when ‘the NYSE TRIN closed above 2.5 ‘ (see my post Trading the Odds on Thursday – June 4, 2009). The one exception was the fact (better the ‘probability’) -although it was close- that the S&P 500 wasn’t able to fill the opening gap on the downside left open on Wednesday’s session (but I hope nobody wants to nit-pick).

The S&P 500 opened almost unchanged (+0.08%), posted an intraday low -0.26% below Wednesday’s close shortly after the open (which provided the forecasted favorable buying opportunity on a weak open), and closed higher +1.15% on the day.

Market breadth was relatively strong (but with a NYSE TRIN in regularly negative territory above 1) with NYSE Advancing Issues/Declining Issues at 3.48, and NYSE Advancing Volume/Declining Volume at 2.76 (NYSE TRIN at 1.26). Speculative interest was again running very high today, with the ratio of Nasdaq Total Volume / NYSE Total Volume at 1.87. Additionally the S&P 500 under-performed the S&P 500 Equal Weigthed Index ($SPXEW) by a wide margin of -1.38% today.

From a historical and statistical perspective, several setups with a negative tendency concerning the S&P 500′ next session’s performance were triggered on Thursday’s close:

• the S&P 500 closed higher at least +1.0% on the same day when NYSE TRIN closed above 1.25 in negative territory (Setup S1),
• the S&P 500 closed almost on the high (in the top quartile) on the same day when NYSE TRIN closed above 1.25 in negative territory (Setup S2),
• the S&P 500 under-performed the S&P 500 Equal Weighted index by at least -1.25% (Setup S3),
• speculative interest running high with the ratio of Nasdaq Total Volume / NYSE ToTal Volume > 1.75 (Setup S4), and
• the S&P 500 closed higher at least +1.0% on the same day when the S&P 500 under-performed the S&P 500 Equal Weighted index by at least -1.25% (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session (in this event Friday, June 5) immediately following those sessions where setups S1 to S5 listed above had been triggered.

It is especially notable that the market (E-mini S&P 500) shows a (sometimes significant) tendency of a lower close the then following session with respect to  almost all 5 setups, concerning both (but to a small extent only) the probability for a lower close the next session and (to a much higher extent) profit factor (expectancy and pay-off) as well. Especially setup S1 (the S&P 500 closed higher at least +1.0% on the same day when NYSE TRIN closed above 1.25 in negative territory) shows a significant negative tendency on the then following session with a probability (30.77%) and profit factor (0.20) significantly below the respective at-any-time probability for a higher close the then following session (52.63%) and at-any-time profit factor (1.07) as well.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Friday, June 5) immediately following those 13 sessions where ‘the S&P 500 closed higher at least +1.0%‘ on the same day when ‘NYSE TRIN closed above 1.25 in negative territory‘.

It is especially notable that

1. the market (S&P 500 E-MINI) regularly shows a notable tendency of an unfilled opening gap on the downside (on 4 out of 13 occurrences),
2. the average losing trade on the low, the close and the close versus the open significantly exceeds the respective at-any-time losing trade and the setup’s respective average winning trade  (one reason for the low profit factor) as well (forecasting some significant intraday weakness),
   
3. chances are high as well that the market will finally close lower on the day, with 9 lower closes out of 13 occurrences and a profit factor of 0.20 significantly below the respective at-any-time profit factor of 1.07 (and a close below the open as well with 9 lower closes out of 13 occurrences and a respective profit factor of 0.14 only even lower than the already worse profit factor on the close).

________________________________

Bottom line:

1. History suggests that we’ll see a weak tendency on Friday’s session, and any strength on or shortly after the open will probably provide a (short-term and intraday only) favorable selling opportunity.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

__________________

I’ll be on vacation (in Italy)

starting Sunday, May 31 and going through the end of next week.

While I’m away

frequency and extensiveness of blogging will mainly depend on the local availability of cellular broadband internet access and/or local WLAN (chances are good), but will probably be less frequent and shortened as well.

__________________

On Wednesday’s session the market (S&P 500) almost perfectly complied to the negative setup triggered on Tuesday’s close when ‘the S&P 500 closed higher four consecutive sessions‘ on the same day when ‘the NYSE TRIN closed above 1 the second consecutive session ‘ (see my post Trading the Odds on Wednesday – June 3, 2009).

The S&P 500 opened lower -0.24%, posted an intraday low -2.21% below Tuesday’s close (which is a bit more than what could have been expected from the market’s history concerning the setup triggered on Tuesday’s close), closed modestly lower -1.37% on the day and finally left an unfilled opening gap on the downside which has already been a regular pattern (now 5 out of 12 occurrences concerning the setup triggered on Tuesday’s close, see my post Trading the Odds on Wednesday – June 3, 2009 ).

Market breadth was notably weak with NYSE Advancing Issues/Declining Issues at 0.38, and NYSE Advancing Volume/Declining Volume at 0.14 (NYSE TRIN at 2.66) . Remarkable was the fact that the Nasdaq 100 out-performed the S&P 500 by a wide margin today (better than +1.0%).

With respect to normal market conditions, and as always from a historical and statistical perspective, several setups with (again) a (significantly) positive tendency concerning the S&P 500′ next session’s performance were triggered on Wednesday’s close:

• the S&P 500 left an unfilled opening gap on the downside (Setup S1),
• the S&P 500 closed lower at least -1.25% on the day (Setup S2),
• NYSE TRIN closed above 2.5 (Setup S3),
• the Nasdaq 100 out-performed the S&P 500 by at least +1.0%, and
• Setups S1 and S2 and S3 combind (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session (in this event Thursday, June 3) immediately following those sessions where setup S1 to S5 listed above had been triggered.

It is especially notable that the market (E-mini S&P 500) shows a (sometimes significant) tendency of a higher close the then following session with respect to all 5 setups, concerning both the probability for a higher close the next session and profit factor (expectancy and pay-off) as well. Especially setup S5 (S&P 500 left an unfilled opening gap on the downside, closed lower at least -1.25% with a NYSE TRIN above 2.5) shows a significant positive tendency on the then following session with a probability (69.57%) and profit factor (3.38) significantly above the respective at-any-time probability for a higher close the then following session (52.64%) and at-any-time profit factor (1.07) as well.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Thursday, June 4) immediately following those 46 sessions where ‘the S&P 500 left an unfilled opening gap on the downside and closed lower at least -1.25%‘ on the same day when ‘the NYSE TRIN closed above 2.5 ‘ (setups S1 and S2 and S3 combined).

It is especially notable that

1. the market (S&P 500 E-MINI) regularly shows a notable tendency of a higher open on the next session (on 32 out of 45 occurrences),
2. the market (S&P 500 E-MINI) regularly shows a notable tendency of a significantly above-average intraday upside potential during the next session due to the fact that the respectiv profit factor on the ‘high’ (78.98) significantly exceeds -almost five-fold- the respective at-any-time profit factor of 16.52 (for statistical purposes only in order to demonstrate the potential magnitude of change on the high),
3. chances are high as well that the market will finally close higher on the day, with 32 higher closes out of 46 occurrences and a profit factor of 3.38 significantly above the respective at-any-time profit factor of 1.07 (and a close above the open as well with 29 higher closes out of 46 occurrences and a respective profit factor which triples the respective at-any-time profit factor on a potential close above the open).

________________________________

Bottom line:

1. History suggests that we’ll see a rebound on Thursday’s session, and there is a good chance that the SPX will probably fill Wednesday’s unfilled opening gap on the downside at least sometimes during Thursday’s session (the average high concerning setup S5 mentioned above is +1.49% above the previous session’s close), if not on the close as well (the average close concerning setup S5 mentioned above is +1.37% above the previous session’s close).  Any weakness on or shortly after the open will probably provide a (short-term and intraday only) favorable buying opportunity.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No positions in the securities mentioned in this post at time of writing.

__________________

I’ll be on vacation (in Italy)

starting Sunday, May 31 and going through the end of next week.

While I’m away

frequency and extensiveness of blogging will mainly depend on the local availability of cellular broadband internet access and/or local WLAN (chances are good), but will probably be less frequent and shortened as well.

__________________

On Tuesday’s session the market confirmed the fact that we’re currently experiencing some abnormal market conditions due to the fact that it not followed the path of least resistance and closed down, based on the fact that the S&P 500 triggered an ontherwise reliable sell signal on Monday’s session when ‘the S&P 500 opened higher, posted a higher high, a higher low, a higher close than the previous session’s high/low/close, finally closed above the open and left an unfilled opening gap on the upside‘ on the same day when ‘the ratio of NYSE Advancing Issues/Declining Issues came in higher than 4, but the ratio of NYSE Advancing Volume/Declining Volume came in only higher than 3 below the ratio of NYSE Advancing Issues/Declining Issues, for a logically higher NYSE TRIN at 1.37‘, but followed those 3 sessions since 02/01/1990 when the S&P 500 had posted 3 consecutive higher closes at least +1.3% above the previous session’s close (04/02/2009, 01/02/2009, 08/08/2002, like Monday June 1, 2009) and posted a fourth higher close.

The market on Tuesday again build on last week’s and Monday’s gains and posted another higher close +0.20%, but could not hold onto its intraday high of +0.69% above Monday’s close.

But this time market breadth was (relatively) weak with NYSE Advancing Issues/Declining Issues at 1.46, and NYSE Advancing Volume/Declining Volume at 1.10 (NYSE TRIN at 1.33), the second consecutive session with a higher close for the S&P 500 but a NYSE TRIN in negative territory above 1.

With respect to normal market conditions, and as always from a historical and statistical perspective, several setups with (again) a (significantly) negative tendency concerning the S&P 500′ next session’s performance were triggered on Tuesday’s close:

• with Tuesday’s session the S&P 500 closed higher the fourth consecutive session (Setup S1),
• NYSE TRIN closed above 1 the second consecutive session at the same time when the S&P 500 had posted 2 consecutive higher closes,
• speculative interest is running very high, with the ratio of NASDAQ Total Volume / NYSE Total Volume above 1.75 on Tuesday’s session,
• Setups S1 and S2 combind (Setup S4),
• Setups S1 and S3 combind (Setup S5),

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session (in this event Wednesday, June 3) immediately following those sessions where setup S1 to S5 listed above had been triggered.

It is especially notable that the market (E-mini S&P 500) shows a significant tendency of a lower close the then following session with respect to all 5 setups, concerning both the probability for a lower close the next session and profit factor (expectancy and pay-off) as well. Especially setup S2 (S&P 500 with 2 consecutive higher closes with a NYSE TRIN above 1 on both sessions) shows a significant negative tendency on the then following session.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Tuesday, June 2) immediately following those 11 sessions where ‘the S&P 500 closed higher four consecutive sessions‘ on the same day when ‘the NYSE TRIN closed above 1 the second consecutive session ‘ (setups S1 and S2).

It is especially notable that

1. the market (S&P 500 E-MINI) regularly shows a notable tendency of an unfilled opening gap on the downside (on 4 out of 11 occurrences),
   
2. the market (S&P 500 E-MINI) regularly shows a notable tendency of limited intraday upside potential during the next session due to the fact that the respectiv profit factor on the ‘high’ (7.28) is less than half the respective at-any-time profit factor (for statistical purposes only in order to demonstrate the magnitude of change on the high),
3. chances are high as well that the market will finally close lower on the day, with 9 lower closes out of 11 occurrences and a profit factor of 0.53 significantly below the respective at-any-time profit factor of 1.07 (and a close below the open as well with 9 -especially the last 9- lower closes out of 11 occurrences), but
4. downside potential on the intraday low and on the close seems to be limited, with a maximum low of -2.17% below the previous session’s close, and maximum lower close of -1.40%. So chances for any kind of significant downside on Wednesday’s session are low.
   

________________________________

Bottom line:

1. History suggests that that market is currently even more (short-term only) extended on the upside. Under normal market conditions the S&P 500 would probably show some intraday weakness on Wednesday’s session and would probably close modestly lower as well, but downside potential (on the intraday low and close) will probably be limited.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Long BGZ (Daily Large Cap Bear 3x Shares ) at time of writing.

__________________

I’ll be on vacation (in Italy)

starting Sunday, May 31 and going through the end of next week.

While I’m away

frequency and extensiveness of blogging will mainly depend on the local availability of cellular broadband internet access and/or local WLAN (chances are good), but will probably be less frequent and shortened as well.

__________________

Currently we’re truly trading under abnormal market conditions, seemingly sometimes trading against all odds but not with the odds.

Although an otherwise reliable negative setup was triggered on Friday’s close due to the fact that ‘the S&P 500 closed higher at least +1.30% on two consecutive sessions‘ and ‘the S&P 500 opened higher, posted a higher high, a higher low and a higher close than the previous session’s high/low/close, and finally closed above it’s open‘, the market today build on last week’s gains and posted another higher close +2.58% above Friday’s close.

Market breadth was strong again (but with a TRIN in regularly bearish territory above 1, I’ll stick to that later in the post) with NYSE Advancing Issues/Declining Issues at 4.45, and NYSE Advancing Volume/Declining Volume at 3.26 (NYSE TRIN at 1.37). The S&P 500 opened higher, posted a higher high, a higher low, a higher close than the previous session’s high/low/close,  finally closed above the open and left an unfilled opening gap on the upside due to the fact that today’s low was +0.35% above Friday’s high.

It was only the fourth occurrence since 02/02/1990 that the S&P 500 posted 3 consecutive higher closes at least +1.3% above the previous session’s close (04/02/2009, 01/02/2009, 08/08/2002, and in all those 3 occurrences the E-mini S&P 500 closed higher on a fourth session as well).

But -with respect to normal market conditions,  and as always from a historical and statistical perspective- several setups with a (significantly) negative tendency concerning the S&P 500′ next session’s performance were triggered on Monday’s close:

• with Monday’s session the S&P 500 closed higher at least +1.00% on three consecutive sessions (Setup S1),
• the S&P 500 opened higher, posted a higher high, a higher low, a higher close than the previous session’s high/low/close, finally closed above the open and left an unfilled opening gap on the upside (Setup S2),
• the ratio of NYSE Advancing Issues/Declining Issues came in higher than 4, but the ratio of NYSE Advancing Volume/Declining Volume came in only higher than 3 below the ratio of NYSE Advancing Issues/Declining Issues, for a logically higher NYSE TRIN at 1.37 (Setup S3), and
  
• the S&P 500 closed higher, but NYSE TRIN closed higher than 1.35 (Setup S4) in regularly bearish territory, and finally
• Setups S2 and S3 combind (Setup S5).

Table I shows the ES‘ (S&P 500 E-MINI) performance (since 01/02/1990) on the next session (in this event Tuesday, June 2) immediately following those sessions where setup S1 to S5 listed above had been triggered.

It is especially notable that the market (E-mini S&P 500) shows a significant tendency of a lower close the then following session with respect to all 5 setups, concerning both the probability for a lower close the next session and profit factor (expectancy and pay-off) as well. Especially setup S5 as a combination of the 6 highs and a NYSE TRIN in regularly bearish territory shows  a profit factor (0.26) significantly below the at-any-time profit factor (1.07) on the next session.

Table II now shows the ES‘ (S&P 500 E-MINI) intraday performance (since 01/02/1990) concerning the open, high, low, close (compared to the previous’s session close) and close versus open on the next session (in this event Tuesday, June 2) immediately following those 35 sessions where ‘the S&P 500 opened higher, posted a higher high, a higher low, a higher close than the previous session’s high/low/close, finally closed above the open and left an unfilled opening gap on the upside‘ on the same day when ‘the ratio of NYSE Advancing Issues/Declining Issues came in higher than 4, but the ratio of NYSE Advancing Volume/Declining Volume came in only higher than 3 below the ratio of NYSE Advancing Issues/Declining Issues, for a logically higher NYSE TRIN at 1.37‘ (setups S2 and S3).

It is especially notable that

1. the market (S&P 500 E-MINI) regularly shows a notable tendency of a lower open the then following session (on 23 out of 35 occurrences),
   
2. the market (S&P 500 E-MINI) regularly shows a notable tendency of limited intraday upside potential during the next session due to the fact that the respectiv profit factor on the ‘high’  (9.88) is only half the respective at-any-time profit factor (for statistical purposes only in order to demonstrate that the magnitude of change on the high a),
3. the average losing trade concerning the low is significantly higher than the respective at-any-time losing trade factor due to the fact that intraday losses significantly exceed the respective at-any-time losses on the low on the following session,
   
4. chances are very high that the market will post an intraday low significantly below Monday’s close as well (the average losing trade on the low is greater than the respective winning trade on the high), and
5. chances are high as well that the market will finally close lower on the day, with a profit factor of 0.26 significantly below the respective at-any-time profit factor.  On those 35 sessions which fulfilled the setup mentioned above, the S&P 500 managed a higher close of at least +1.0% or more only once, while it closed lower  -1.0% or more on 12 out of those 35 occurrences.

________________________________

Bottom line:

1. History suggests that that market is currently even more (short-term only) extended on the upside. Under normal market conditions the S&P 500 would probably show some intraday weakness on Tuesday’s session and would probably close lower as well, but
2. with respect to those 3 sessions since 01/02/1990 when the S&P 500 had posted 3 consecutive higher closes at least +1.3% above the previous session’s close (04/02/2009, 01/02/2009, 08/08/2002, like Monday June 1, 2009), in all those 3 occurrences the E-mini S&P 500 closed higher on a fourth session as well.

Successful trading,

Frank

P.s.: WordPress recently implemented a Twitter widget, so I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: Long BGZ (Daily Large Cap Bear 3x Shares ) at time of writing.