Technical Market Report for March 30, 2013

By: Mike Burk | Sat, Mar 30, 2013
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The good news is:
• Many of the major indices closed at or near multi year or all time highs last Thursday.


The negatives

I have to be nitpicky to come up with negatives.

There were pretty good numbers of new highs last week, but, not enough to get the new high indicators to confirm the index highs.

The chart below covers the past 6 months showing the NASDAQ composite in blue and a 10% trend (19 day EMA) of NASDAQ new highs OTC NH in green. Dashed vertical lines have been drawn on the 1st trading day of each month.

OTC NH flattened out last week as the index hit a multi year high.

OTC New Highs Chart

The next chart is similar to the one above except it shows the S&P 500 (SPX) in red and NY NH, in green, has been calculated from NYSE data.

NY NH has been a little weaker than OTC NH. NY NH has been flattening out for about 2 months.

NY NH Chart


The positives

New lows remained insignificant last week.

The chart below covers the past 6 months showing the OTC in blue and a 40% trend (4 day EMA) of NASDAQ new highs / (new highs + new lows) (OTC HL Ratio) in red. Dashed horizontal lines have been drawn at 10% levels for the indicator; the line is solid at the neutral 50% level.

OTC HL Ratio fell slightly, but remains at a very strong 88%.

OTC HL Ratio Chart

There are trading systems that impose a No Sell filter when variations of this indicator are above 80%.

The chart below is similar to the one above except it shows SPX in red and NY HL Ratio, in blue, has been calculated from NYSE data.

NY HL Ratio rose a bit to a very strong 94%.

NYSE HL Ratio Chart


Seasonality

Next week includes the first 5 trading days of April during the 1st year of the Presidential Cycle.

The tables below show the daily return on a percentage basis for the first 5 trading days of April during the 1st year of the Presidential Cycle.

OTC data covers the period from 1963 - 2012 and SPX data covers the period from 1928 - 2012. There are summaries for both the 1st year of the Presidential Cycle and all years combined.

Average returns have been mixed, a little weaker during the 1st year of the Presidential Cycle than other years.

Report for the first 5 days of April.
The number following the year represents its position in the Presidential Cycle.
The number following the daily return represents the day of the week;
1 = Monday, 2 = Tuesday etc.

OTC Presidential Year 1
  Day1 Day2 Day3 Day4 Day5 Totals
1965-1 0.27% 4 0.21% 5 0.37% 1 0.18% 2 0.16% 3 1.20%
1969-1 0.74% 2 0.26% 3 -0.18% 4 -0.79% 1 -0.71% 2 -0.69%
 
1973-1 -1.42% 1 -1.14% 2 -1.38% 3 -0.77% 4 1.12% 5 -3.60%
1977-1 0.44% 5 -0.68% 1 -0.26% 2 0.25% 3 0.15% 4 -0.10%
1981-1 0.55% 3 0.29% 4 0.33% 5 -0.65% 1 0.23% 2 0.75%
1985-1 0.40% 1 -0.39% 2 -0.49% 3 -0.15% 4 -0.72% 1 -1.35%
1989-1 0.23% 1 -0.12% 2 0.28% 3 -0.02% 4 0.61% 5 0.98%
Avg 0.04% -0.40% -0.31% -0.27% 0.28% -0.66%
 
1993-1 -0.51% 4 -2.45% 5 0.13% 1 -0.98% 2 0.71% 3 -3.09%
1997-1 -0.39% 2 -1.31% 3 1.07% 4 1.89% 5 1.19% 1 2.44%
2001-1 -3.11% 1 -6.17% 2 -2.04% 3 8.92% 4 -3.62% 5 -6.03%
2005-1 -0.72% 5 0.32% 1 0.41% 2 -0.01% 3 0.98% 4 0.98%
2009-1 1.51% 3 3.29% 4 1.20% 5 -0.93% 1 -2.81% 2 2.25%
Avg -0.65% -1.26% 0.15% 1.78% -0.71% -0.69%
 
OTC summary for Presidential Year 1 1965 - 2009
Averages -0.17% -0.66% -0.05% 0.58% -0.22% -0.52%
% Winners 58% 42% 58% 33% 67% 50%
MDD 4/4/2001 10.95% -- 4/5/1973 4.63% -- 4/6/1993 3.77%
 
OTC summary for all years 1963 - 2012
Averages 0.00% 0.19% 0.16% 0.18% -0.11% 0.42%
% Winners 54% 64% 72% 58% 52% 62%
MDD 4/4/2001 10.95% -- 4/4/2000 9.27% -- 4/5/2002 4.97%
 
SPX Presidential Year 1
  Day1 Day2 Day3 Day4 Day5 Totals
1929-1 -2.55% 1 1.17% 2 -1.23% 3 1.77% 4 -0.99% 5 -1.83%
 
1933-1 0.51% 6 -0.17% 1 0.51% 2 0.85% 3 1.68% 4 3.38%
1937-1 -1.17% 4 -1.24% 5 0.29% 6 0.46% 1 -0.91% 2 -2.58%
1941-1 0.10% 2 0.40% 3 1.50% 4 -0.20% 5 -0.30% 6 1.51%
1945-1 0.95% 1 0.15% 2 -0.15% 3 -0.73% 4 0.73% 5 0.96%
1949-1 -0.80% 5 0.40% 6 -0.13% 1 -0.13% 2 -0.27% 3 -0.93%
Avg -0.08% -0.09% 0.40% 0.05% 0.19% 0.47%
 
1953-1 -0.16% 3 -0.08% 4 -2.46% 1 0.41% 2 0.89% 3 -1.40%
1957-1 0.07% 1 0.63% 2 0.27% 3 -0.22% 4 0.11% 5 0.86%
1961-1 0.83% 1 0.09% 2 -0.30% 3 0.23% 4 0.53% 5 1.38%
1965-1 0.19% 4 0.24% 5 0.00% 1 -0.03% 2 0.06% 3 0.45%
1969-1 -0.09% 2 -0.63% 3 -0.10% 4 -0.78% 1 0.25% 2 -1.35%
Avg 0.17% 0.05% -0.52% -0.08% 0.37% -0.01%
 
1973-1 -1.20% 1 -0.85% 2 -0.43% 3 -0.23% 4 0.70% 5 -2.01%
1977-1 0.80% 5 -0.99% 1 -0.22% 2 -0.10% 3 0.35% 4 -0.16%
1981-1 0.42% 3 -0.18% 4 -0.61% 5 -1.15% 1 -0.01% 2 -1.54%
1985-1 0.34% 1 -0.41% 2 -0.79% 3 -0.04% 4 -0.56% 1 -1.46%
1989-1 0.52% 1 -0.36% 2 0.31% 3 -0.32% 4 0.63% 5 0.78%
Avg 0.17% -0.56% -0.35% -0.37% 0.22% -0.88%
 
1993-1 -0.30% 4 -1.98% 5 0.20% 1 -0.26% 2 0.36% 3 -1.98%
1997-1 0.33% 2 -1.25% 3 0.03% 4 1.01% 5 0.56% 1 0.67%
2001-1 -1.25% 1 -3.44% 2 -0.29% 3 4.37% 4 -2.00% 5 -2.61%
2005-1 -0.65% 5 0.27% 1 0.45% 2 0.23% 3 0.60% 4 0.90%
2009-1 1.66% 3 2.87% 4 0.97% 5 -0.83% 1 -2.39% 2 2.28%
Avg -0.04% -0.71% 0.27% 0.90% -0.57% -0.15%
 
SPX summary for Presidential Year 1 1929 - 2009
Averages -0.07% -0.26% -0.10% 0.20% 0.00% -0.22%
% Winners 57% 43% 43% 38% 62% 48%
MDD 4/4/2001 4.92% -- 4/7/2009 3.20% -- 4/5/1973 2.69%
 
SPX summary for all years 1928 - 2012
Averages 0.17% 0.19% 0.10% 0.16% -0.13% 0.49%
% Winners 64% 58% 56% 61% 53% 64%
MDD 4/6/1932 10.67% -- 4/6/1939 5.33% -- 4/4/2001 4.92%


April

Since 1963, over all years, the OTC in April has been up 68% of the time with an average gain of 1.7%. During the 1st year of the Presidential Cycle April has been up 75% of the time with an average gain of 2.8% (helped considerably by a 15% gain in 2001 and a 12.3% gain in 2009). The best April ever for the OTC was 2001 (+15.0%), the worst 1970 (-18.5%).

The average month has 21 trading days. The chart below has been calculated by averaging the daily percentage change for each of the 1st 11 trading days and each of the last 10. In months when there were more than 21 trading days some of the days in the middle were not counted. In months when there were less than 21 trading days some of the days in the middle of the month were counted twice. Dashed vertical lines have been drawn after the 1st trading day and at 5 trading day intervals after that. The line is solid on the 11th trading day, the dividing point.

In the chart below the blue line shows the average daily performance of the OTC in April over all years since 1963 in blue, while the green line shows the average during the 1st year of the Presidential Cycle over the same period.

OTC 1963-2013 April Chart

Since 1928 the SPX has been up 61% of the time in April with an average gain of 1.3%. During the 1st year of the Presidential Cycle the SPX has been up 57% of the time with an average gain of 2.8%. The best April for the SPX was 1933 (+42.2%) the worst 1932 (-20.2%).

The chart below is similar to the one above except it shows the average daily average performance over all years since 1928 for the SPX in April in red and the average daily performance during the 1st year of the Presidential Cycle, over the same period, in green.

SPX 1928-2013 April Chart

Since 1979 the Russell 2000 (R2K) has been up 65% of the time in April with an average gain of 1.8%. During the 1st year of the Presidential Cycle the R2K has been up 63% of the time with an average gain of 2.5%. The best April for the R2K 2009 (+15.3%), the worst 2000 (-6.1%)

The chart below is similar to those above except it shows the average daily performance of the R2K, over all years since 1979, in April in magenta and the average daily performance during the 1st year of the Presidential Cycle in green.

Russell 2000 1979-2013 April Chart

Since 1885 the Dow Jones Industrial Average (DJIA) has been up 59% of the time in April with an average gain of 1.3%. During the 1st year of the Presidential Cycle the DJIA has been up 56% of the time in April with an average gain of 2.4%. The best April for the DJIA 1933 (+40.25%), the worst 1932 (-23.4%)

The chart below is similar to those above except it shows the average daily performance over all years for the DJIA in April in black and the average performance during the 1st year of the Presidential Cycle in green.

DJIA 1885-2013 April Chart


Conclusion

The breadth indicators are in good shape and seasonality for the coming week is a toss up.

I expect the major averages to be higher on Friday April 5 than they were on Thursday March 28.

This report is free to anyone who wants it, so please tell your friends. They can sign up at: http://alphaim.net/signup.html. If it is not for you, reply with REMOVE in the subject line.

Good Luck,

YTD W 6/L 3/T 4

 


 

Author: Mike Burk

Mike Burk

Mike Burk independently publishes a weekly newsletter on the stock market from a technical perspective.

Charts and figures presented herein are believed to be reliable but we cannot attest to their accuracy. Recent (last 10-15 yrs.) data has been supplied by CSI (csidata.com), FastTrack (fasttrack.net), Quotes Plus (qp2.com) and the Wall Street Journal (wsj.com). Historical data is from Barron's and ISI price books. The views expressed are provided for information purposes only and should not be construed in any way as investment advice. Furthermore, the opinions expressed may change without notice.

Copyright © 2003-2014 Mike Burk

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