09/04/2009 白天灌水

Cobra

NND，介么小的空，俺本来准备今天大大高开呢。统计数据，可能对牛牛不利，等会儿俺贴出来。

 

 

 

 

Chart A:  Daily Volume trending on the SPY

Some of the Institutional investors were concerned about the dropping volume as the market rallied.  This first chart below, show's the SPY and its volume with a 14 day simple moving average.  During this bear market, there were 6 occasions where the volume's 14 SMA moved down and then broke a resistance line to the upside.  On all 6 occasions, the SPY went lower afterwards.

Today: For the past few weeks, the SPY's Volume has been ABOVE its resistance line (a caution) ... but note that was not rising or falling, but going sideways. (The SPY's Volume was NOT shooting up like past instances and is meandering sideways.  This was not the same profile of the past conditions yet.)  Yesterday, the NYA Down Volume was above its blue resistance line for the fourth day, so this is an "under duress" Caution condition.  Also, the SPY's Volume started to move higher but not aggressively.  This is a short term down condition right now

 

Chart B:  Liquidity Inflows and Outflows

Liquidity inflows are critical to the market's action.   If indicators are weakening while Liquidity is flowing in, then the liquidity inflow will take precedence and hold the market up.   Liquidity inflows had an up tick while in extreme high territory.  This is still very high, so we could see some unusually high volatility in the markets.

 

Chart C:  Institutional Accumulation/Distribution

The Institutional Investors were in Accumulation with the Buy/Sell spread increasing slightly.  Institutional buying increased, and Institutional selling decreased.   This is now a WARNING condition, because Institutional Investors have their buying in a down trend with lower/highs and lower/lows.   Institutional Investors are very smart ... how many times have we seen them take the buying and selling lines to equal (just touching each other), and then whipsaw Accumulation back up faking everyone out?  So, this is a cautionary warning where we need to watch what they do carefully.

*** Conclusion on above charts:  Conditions are still net positive but showing considerable deterioration.  Also, the major indexes are showing MACD negative divergences building which have been increasing risks levels.

Cooker

First

Cobra

If the S&P gapped up more than +0.5% the morning of the September report, then it closed the day higher than the open half the time (there were only four instances), but over the next week it was negative three of the four times by an average of -1.0% (the one exception was a gain of +0.2%, which quickly lost those gains and then some in the days ahead).



Forgetting about September, when the S&P gapped up that much after any months' payroll report, then it closed higher than the open 51% of the time, but the next week was up only 39% of the time with an average return of -0.9%.  Over the past decade, that winning percentage has been a lowly 24% with -1.8% average return.

imegy

1# Cobra

skipjack

Ding

Cobra

But let's look at how the S&P has done when the Economic Surprise Index was above 50 on a day that the Payroll Report was released.

 

When the index was above 50, the S&P futures gapped up on the opening of the payroll report day 55% of the time - nothing too outstanding there - but they closed above the open only 36% of the time with an average return of -0.4%, as the positive initial reaction was rarely sustained.

 

Now let's look at the next six days, and see how the S&P was able to hold up.

 

S&P 500 Performance When Economic Surprise Index > 50 On Payroll Report Day
Date	6 Days Later	Max Loss	Max Gain
09/04/03	-1.3%	-2.0%	0.4%
11/06/03	-1.4%	-2.3%	0.5%
12/04/03	-0.1%	-1.5%	1.5%
05/06/04	-2.5%	-3.4%	0.3%
06/03/04	1.7%	0.0%	2.5%
12/01/05	-0.3%	-1.0%	0.8%
02/01/07	-0.9%	-1.1%	0.5%
08/02/07	-1.8%	-3.3%	1.9%
09/04/08	-3.4%	-3.4%	3.4%
06/04/09	-1.8%	-2.3%	1.7%
08/06/09	-1.7%	-1.9%	2.1%
Average	-1.2%	-2.0%	1.4%

 

Well, that's not very good.  Out of 11 occurrences, the index was able to post a gain only one time, five years ago.  After that instance in 2004, the S&P basically topped out 2 days after the report and proceeded to give back the gains over the next few weeks.

river168

Thanks.

sjxzl87

thx

flovestock

xiexie

noenoe

gardener2000

happyface

COS

zpwang

zao

被踩死的小螞蟻

jannychai

thanks

pearl0

thanks

jackyking

1st page

ddwrt

传说中的沙发总也坐不上

daxiong

THX & GM!