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Technical Market Report for May 27, 2017

The good news is:
• The NASDAQ composite (OTC) and S&P500 (SPX) closed at all time highs last Friday.


The Negatives

New highs failed to confirm the new index highs in the OTC and SPX and the secondaries continued to under perform the blue chips.

The first chart covers the past 6 months showing the OTC 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 failed to confirm the new high.

OTC and OTC NH

The next chart is similar to the one above except it shows the SPX in red and NY NH, in green, has been calculated with NYSE data.

Ditto NY NH.

SPX and NY NH


The Positives

New highs outnumbered new lows by good margins every day last week.

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 recovered nicely, finishing the week at a comfortable 69%.

OTC and OTC HL Rati

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

NY HL Ratio followed a similar pattern finishing the week at a strong 80%.

SPX and NY HL Ratio


Seasonality

Next week includes the last 2 trading days of May and the first 2 trading days of June during the 1st 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 2016 while SPX data runs from 1928 to 2016. There are summaries for both the 1st year of the Presidential Cycle and all years combined.

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

Report for the last 2 days of May and first 2 days of June.

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
 Day2Day1Day1Day2Totals
1965-1-0.83% 4-0.36% 50.40% 2-1.17% 3-1.96%
1969-1-0.75% 3-0.27% 40.28% 1-0.49% 2-1.23%
1973-1-1.58% 3-0.53% 4-0.33% 5-1.50% 1-3.94%
 
1977-1-0.28% 5-0.32% 20.28% 3-0.06% 4-0.38%
1981-10.51% 40.07% 5-0.20% 1-1.54% 2-1.15%
1985-1-0.24% 40.30% 5-0.07% 10.14% 20.12%
1989-1-0.22% 20.44% 30.48% 40.74% 51.44%
1993-10.07% 4-0.58% 50.54% 20.22% 30.25%
Avg-0.03%-0.02%0.21%-0.10%0.05%
 
1997-1-0.51% 4-0.19% 50.32% 1-1.42% 2-1.80%
2001-1-4.18% 31.25% 41.84% 50.30% 1-0.79%
2005-10.22% 5-0.36% 20.95% 30.48% 41.28%
2009-11.20% 41.29% 53.06% 10.44% 25.99%
2013-10.69% 4-1.01% 50.27% 1-0.58% 2-0.63%
Avg-0.52%0.19%1.29%-0.15%0.81%
 
OTC summary for Presidential Year 1 1965 - 2013
Averages-0.46%-0.02%0.60%-0.34%-0.22%
% Winners38%38%77%46%38%
MDD 5/30/2001 4.18% -- 6/4/1973 3.89% -- 6/2/1965 1.95%
 
OTC summary for all years 1963 - 2016
Averages0.26%0.23%0.15%0.35%0.98%
% Winners59%67%58%69%63%
MDD 6/1/2012 4.30% -- 6/3/2002 4.25% -- 5/30/2001 4.18%
 
SPX Presidential Year 1
 Day2Day1Day1Day2Totals
1929-10.12% 30.85% 50.36% 61.40% 12.74%
1933-11.45% 1-1.43% 31.04% 44.00% 55.06%
 
1937-10.18% 40.00% 5-1.85% 20.69% 3-0.97%
1941-1-0.11% 4-0.32% 60.11% 11.18% 20.86%
1945-10.53% 2-0.66% 40.13% 50.20% 60.20%
1949-1-0.34% 5-2.21% 2-0.35% 30.00% 4-2.90%
1953-1-0.73% 40.33% 5-1.59% 10.29% 2-1.70%
Avg-0.09%-0.57%-0.71%0.47%-0.90%
 
1957-10.90% 30.68% 5-0.13% 1-0.19% 21.26%
1961-10.64% 50.20% 30.00% 40.26% 51.09%
1965-1-0.52% 40.66% 5-0.79% 2-0.72% 3-1.37%
1969-1-0.30% 30.19% 4-0.50% 1-0.30% 2-0.91%
1973-1-1.49% 3-0.91% 4-0.97% 5-0.92% 1-4.29%
Avg-0.15%0.16%-0.48%-0.38%-0.84%
 
1977-1-0.76% 5-0.16% 20.84% 3-0.20% 4-0.27%
1981-1-0.24% 4-0.64% 5-0.14% 1-1.35% 2-2.37%
1985-10.04% 40.96% 5-0.12% 10.38% 21.25%
1989-1-0.79% 20.46% 30.45% 41.10% 51.23%
1993-1-0.23% 4-0.49% 50.81% 20.00% 30.10%
Avg-0.40%0.03%0.37%-0.01%-0.01%
 
1997-1-0.37% 40.50% 5-0.23% 1-0.10% 2-0.20%
2001-1-1.57% 30.62% 40.39% 50.51% 1-0.05%
2005-10.10% 5-0.61% 20.90% 30.17% 40.56%
2009-11.54% 41.36% 52.58% 10.20% 25.68%
2013-10.37% 4-1.43% 50.59% 1-0.55% 2-1.02%
Avg0.01%0.09%0.85%0.05%0.99%
 
SPX summary for Presidential Year 1 1929 - 2013
Averages-0.07%-0.09%0.07%0.28%0.18%
% Winners45%50%50%59%50%
MDD 6/4/1973 4.22% -- 6/1/1949 2.88% -- 6/2/1981 2.35%
 
SPX summary for all years 1928 - 2016
Averages0.22%0.02%-0.03%0.20%0.41%
% Winners61%57%52%60%57%
MDD 6/1/1932 9.28% -- 6/2/1931 8.34% -- 6/2/1934 4.88%


June

Since 1963, over all years, the OTC in June has been up 56% of the time with an average gain of 0.4%. During the 1st year of the Presidential Cycle the OTC in June has been up 46% of the time with an average loss of -0.8% (helped considerably by 9.2% & 7.1% losses in 1965 & 1969 respectively). The best June ever for the OTC was 2000 (+16.6%), the worst 2002 (-9.4%).

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 June over all years since 1963, while the green line shows the average during the 1st year of the Presidential Cycle over the same period.

OTC June, All, Year 1 1963-2017

Since 1928 the SPX has been up 55% of the time in June with an average gain of 0.7%. During the 1st year of the Presidential Cycle the SPX has been up 36% of the time with an average gain of 0.6%. The best June ever for the SPX was 1938 (+24.7%) the worst 1930 (-16.5%).

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

S&P500 June, All, Year 1 1928-2017

Since 1979 the Russell 2000 (R2K) has been up 61% of the time in June with an average gain of 0.5%. During the 1st year of the Presidential Cycle the R2K has been up 67% of the time with an average gain of 0.9%. The best June ever for the R2K, 2000 (+8.6%), the worst 2010 (-7.9%)

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

Russell 2000 June, All, Year 1 1979-2017

Since 1885 the Dow Jones Industrial Average (DJIA) has been up 46% of the time in June with an average gain of 0.1%. During the 1st year of the Presidential Cycle the DJIA has been up 36% of the time in June with an average gain of 0.2%. The best June ever for the DJIA 1938 (+24.3%), the worst 1930 (-17.7%)

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

Dow Industrials June, All, Year 1 1885-2017


Conclusion

The market continued its topping pattern making new highs with diminishing numbers of new highs and lagging secondaries.

I expect the major averages to be lower on Friday June 2 than they were on Friday May 26.

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

Good Luck,
YTD W 8 / L 7 / T 6

 

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