Reversals like this always look ugly, but I thought I’d take a little closer look.
Using the SPY I checked all other times there was a gap up of over 1% and then a close at a 200-day low. Today was the first. So I loosened some parameters.
A choppy beginning but once you get out a few weeks things look very good. An average trade of over 5% in the next 4 weeks is impressive. Of course the number of instances is extremely small. So I lowered the gap requirement to 0.5%:
Nothing mind-blowing but over the next 1-2 weeks it showed a decent upside edge. Of course there has been a multitude of reasons the market should bounce for a while now.
5 comments:
A multitude of technical reasons, but seemingly no catalyst and more negative news flow. As Pisani said, we are sure to bounce of zero soon enough! ;)
An oversold indicator I've been waiting for could trigger today. Brett Steenbarger posted this indicator, based on the equity put/call ratio, back in December.
http://traderfeed.blogspot.com/2007/12/spikes-in-equity-putcall-ratio-signal.html
This indicator has kept me from taking an intermediate term bullish position. I might start that position today.
Brian
anon said.."An oversold indicator I've been waiting for could trigger today. Brett Steenbarger posted this indicator, based on the equity put/call ratio, back in December.""
I don't think the CBOE equity put/call ratio is showing this Steenbarger indicator. Is there more than one put/call ratio?
dave m., today the equity put/call ratio 5 day MA closed the day 19.18% higher than the 50 day MA. Very close but no signal yet. Here's a link to the chart.
http://tinyurl.com/6glxat
Brian
thanks brian for that chart!
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