Thursday, March 19, 2009

03.19.09 - Mild Pullback

We are back near the mid-point of yesterday's range.Cumulative Tick is negative, but fairly flat in slope. The A-D line is net strong, but downward sloping and down volume is slightly edging out up volume. Just now, price has put in a small higher low and is peaking out above the daily pivot. Should we test the VWAP, I would expect that first test to fail, and we'll take it from there. Meanwhile, markets remain short-term overbought.

Reading:

o Quantifiable Edges - 20% in Two Weeks
o Woodshedder - Variable Reversion Performance
o VIX & More - Put to Call Ratio at Lows

Research Update:

The last two times we had RSI-2 readings on the GSPC (S&P500 Cash) > 95 for six days in a row (such as today, RSI-2 > 99!), the subsequent price changes three, five and ten days later were:

1. 11/05/04 3-Day (-0.3%) 5-Day (+1.5%) 10-Day (+0.4%)
2. 10/22/98 3-Day (-1.2%) 5-Day (+0.7%) 10-Day (+5.1%) [LTCM?]

2004 - Close Up

2004 - Step Back

1998 - Close Up

1998 - Step Back


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