Wednesday Marked Yet Another 90/90 Down Day

We just had our second 90/90 down day signal in the past seven sessions

Josh Selway

Jul 9, 2015 at 10:00 AM

After not seeing a 90/90 down day signal on the Desmond volume/price indicator for 132 days, we've now had two within seven sessions. On Wednesday, the S&P 500 Index (SPX) saw downside volume equal to more than 90% of the total upside volume plus downside volume, and the number of points lost exceeded more than 90% of the total points gained and lost. Don't make me repeat it. We saw this same signal on June 29.

DESMOND

As we noted last time, Schaeffer's Quantitative Analyst Chris Prybal has found that the signal can act as a bullish indicator. In the five sessions following the most recent signal, the SPX added 1.2%. Dating back to 2000, the index has averaged a five-day, post-signal gain of 1%, and posted a positive return 62% of the time. If you go out 63 days after a signal, the SPX has seen an average lead of 5.9%, and is positive 79% of the time.

We can compare these figures to the average five-day and 63-day returns of the SPX. The average five-day return for the index is just 0.1%, and the 63-day return comes in at 1%. You can see the entire set of findings in the table below.

SPX returns

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