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Technical Market Report for September 16, 2016

The good news is:
• Most of the major indices were up last week and new lows remained at benign levels.


The Negatives

The perfect storm.

New highs have been declining, new lows increasing and seasonality goes bad for the rest of the month.

The first chart covers the past 6 months showing the S&P 500 (SPX) in red and a 10% trend (19 day EMA) of NYSE new highs (NY NH) in green. Dashed vertical lines have been drawn on the 1st trading day of each month.

I mentioned last week how this indicator, when its value was above 130, implemented a No Sell Filter (NSF) in a timing program I developed years ago.

Last week, NY NH dropped below the NSF threshold for the first time since last June.

SPX and NY NH Chart

The next chart is similar to the one above except it shows the NASDAQ composite (OTC) in blue and OTC NH, in green, has been calculated from NASDAQ data.

In spite of an up week for the index, OTC NH is falling sharply.

OTC and OTC NH Chart


The positives

New lows increased a little last week, but remain well below threatening levels.

The next chart covers the past 6 months showing the OTC in blue and a 40% trend (4 day EMA) of NASDAQ new highs divided by 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 50%, neutral level.

OTC HL Ratio fell sharply last week, but at 58% remains positive.

OTC and OTC HL Ratio Chart

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

NY HL Ratio at 60% remained positive.

SPX and NY HL Ratio Chart


Seasonality

Next week includes the 5 trading days prior to the 4th Friday of September during the 4th year of the Presidential Cycle. The tables below show the daily change, on a percentage basis for that period.

OTC data covers the period from 1963 to 2015 while SPX data runs from 1953 to 2015. There are summaries for both the 4th year of the Presidential Cycle and all years combined. Prior to 1953 the market traded 6 days a week so that data has been ignored.

Average returns for the coming week have been negative by all measures.

Report for the week before the 4th Friday of September.
The number following the year is the position in the Presidential Cycle.
Daily returns from Monday through the 4th Friday.

OTC Presidential Year 4
Year Mon Tue Wed Thur Fri Totals
1964-4 0.28% 0.52% 0.33% 0.21% 0.56% 1.90%
1968-4 0.03% 0.14% 0.00% -0.09% -0.08% 0.00%
1972-4 -0.05% -0.15% 0.07% -0.16% 0.13% -0.16%
 
1976-4 0.31% 0.58% 0.02% -0.18% 0.04% 0.76%
1980-4 0.31% -0.45% 0.07% -0.58% -1.69% -2.34%
1984-4 -0.74% -0.31% 0.09% 0.02% -0.14% -1.09%
1988-4 -0.12% 0.17% 0.21% -0.01% 0.03% 0.28%
1992-4 -0.09% -0.95% -0.01% 0.51% -1.49% -2.03%
Avg -0.07% -0.19% 0.08% -0.05% -0.65% -0.88%
 
1996-4 -0.67% 0.31% 0.77% 0.27% 0.17% 0.86%
2000-4 -2.83% 3.73% 0.82% -1.76% -0.66% -0.69%
2004-4 -0.11% 0.69% -1.85% 0.04% -0.37% -1.60%
2008-4 -4.17% -1.18% 0.11% 1.43% -0.15% -3.96%
2012-4 -0.60% -1.36% -0.77% 1.39% -0.65% -2.00%
Avg -1.68% 0.44% -0.18% 0.27% -0.33% -1.48%
 
OTC summary for Presidential Year 4 1964 - 2012
Avg -0.65% 0.13% -0.01% 0.08% -0.33% -0.77%
Win% 31% 54% 75% 54% 38% 38%
 
OTC summary for all years 1963 - 2015
Avg -0.28% -0.10% 0.05% -0.37% -0.13% -0.83%
Win% 39% 49% 54% 37% 47% 41%
 
SPX Presidential Year 4
Year Mon Tue Wed Thur Fri Totals
1956-4 -0.39% -1.40% 0.15% -0.48% -0.55% -2.66%
Avg -0.39% -1.40% 0.15% -0.48% -0.55% -2.66%
 
1960-4 -2.27% 0.28% 1.04% -0.38% -0.85% -2.18%
1964-4 0.46% 0.04% 0.02% 0.11% 0.25% 0.87%
1968-4 0.57% 0.34% 0.00% -0.22% -0.05% 0.64%
1972-4 -0.18% -0.06% 0.05% -0.16% 0.08% -0.27%
1976-4 0.05% 1.42% -0.34% -0.50% -0.11% 0.51%
Avg -0.28% 0.40% 0.19% -0.23% -0.13% -0.09%
 
1980-4 0.89% -0.74% 0.73% -1.27% -1.84% -2.23%
1984-4 -0.24% 0.21% 0.40% 0.41% -0.52% 0.26%
1988-4 -0.68% 0.34% 0.16% -0.36% 0.22% -0.33%
1992-4 -0.19% -1.18% 0.07% 0.25% -0.98% -2.04%
1996-4 -0.08% -0.13% 0.03% 0.01% 0.05% -0.12%
Avg -0.06% -0.30% 0.28% -0.19% -0.62% -0.89%
 
2000-4 -1.45% 1.07% -0.59% -0.16% -0.02% -1.15%
2004-4 -0.56% 0.63% -1.39% -0.47% 0.16% -1.63%
2008-4 -3.82% -1.56% -0.20% 1.97% 0.32% -3.30%
2012-4 -0.22% -1.05% -0.57% 0.96% -0.45% -1.33%
 
SPX summary for Presidential Year 4 1956 - 2012
Avg -0.54% -0.12% -0.03% -0.02% -0.29% -1.00%
Win% 27% 53% 64% 40% 40% 27%
 
SPX summary for all years 1953 - 2015
Avg -0.43% -0.05% -0.06% -0.24% -0.14% -0.90%
Win% 31% 45% 50% 38% 41% 34%


Conclusion

Last week, while the major indices were up, the breadth indicators headed south. Beginning this week, seasonality heads south for the rest of the month.

I expect the major averages to be lower on Friday September 23 than they were on Friday September 16.

These reports are archived at: http://www.safehaven.com/

Good Luck,

YTD W 15 / L 15 / T 7

 

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