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Strategies & Market Trends : General market lab and commentary

SPY 675.37

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To: Robohogs who wrote (433)	5/23/2016 2:42:54 AM
From: Robohogs	Read Replies (4) of 668

Creating a TRIN indicator for XBI yields interesting results. There are 3 no value days because every single stock in the index was up. Average next day return was very negative with 1 up moderately (2%), 1 down even more (7%) and a third down 1ish%. TRIN below 1/2 was positive 55 bps the next day, up 68% of the time (19/28). Returns all other days were -4 bps. This is since start of 2015 so generally bear mkt. TRIN above 2 was negative 65 bps the next day, down 60% of the time (15/25). Returns ranged from -5% 2x to +4-5% 2x. All other days with TRIN below 2 yielded 6 bps. On the 293 days without either signal, returns averaged 1 bps. Results below round TRIN to nears tenth so some not buy signals are lumped in to the 0.5 category (say 0.53). Friday closed just above 1, so is in the generally favorable 1.0 group. Jon

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