pbull,
In the previous post, I forgot to mention something.
Over the last month, here's how the $COMPX and S&P performed two days after these peaks and valleys in the 2 day SMA of the $TICK:
After lows (i.e., relative extreme bullish readings) in the $TICK 2 SMA, the S&P lost 1.5% in two days on average, while the $COMPX lost 3.0% in two days on average.
After highs (i.e., relative extreme bearish readings) in the $TICK 2 SMA, the S&P gained 2.2% in two days on average, and the $COMPX gained 5.4% in two days on average.
Admittedly, this is not enough of a sample of highs and lows to be able to really conclude anything. Still, it suggests that relative extreme readings in the $TICK:
1) Are followed immediately by a sharp reversal in the $TICK, and therefore a reversal in market trend;
2) Have similar directional implications for both the S&P and the $COMPX indices (despite the fact that the calculation of the $TICK is not directly based on $COMPX data);
3) The impact on the $COMPX is greater than that for the SPX, likely a result of the differing inherent volatilities of these indices.
Again, the 2 day SMA of the $TICK on Friday began to rebound off another relative extreme low (i.e., bullish) reading and is headed sharply towards more bearish $TICK readings. Extrapolating the curve suggests the $TICK will close on Tuesday at around 1.20, continuing to solidly enter short-term bearish territory; this implies a short-term downtrend in both the SPX and the $COMPX ahead of from 2 to 4 days.
JMVHO............YMMV
Walkingshadow |
