SPY - tools for swing trading a cap-weighted index

Steven Berry Author is a PRO member Rank: 76 Followers: 7 Votes: 2 Years Member: 9 Last Update: 30 November 2017, 21:44 Categories: Swing Trading
Trend Analysis
Ratio Analysis

The 6 pages of charts below display cumulative Advance-Decline breadth lines
which are the cumulative total of daily net Advance-Decline values

Common Stock Only indicators for the NYSE are calculated using approx.1800 common stocks
which are operating companies within the NYSE Composite Index (funds are excluded)
CSO indicators often present a more accurate internal picture for the NYSE Composite Index
The NYSE All Issues indicators are calculated using all issues traded on the NYSE

The McClellan Oscillator is the difference between the 19-EMA & 39-EMA of daily advances minus declines.
It reflects the short-term strength and direction of market liquidity.
A longer-term view is provided by the McClellan Summation Index, which is the cumulative total of the daily McClellan Oscillator values.
These indicators move within a trading range and often identify the overbought/oversold condition of the market

( McSum = McClellan Summation Index )

the dominant rule is: price will eventually follow the direction of the McSum, except for brief periods of price divergence

The McSum is neutral at the zero line,
bullish while above,
and confirmed bearish while below zero

* the distance down to the McSum zero line currently represents
one objective measure of the minimum downside risk

Confirmed sell signals are a lasting decline below the McSum zero line,
though price action has usually declined by a large amount by the time
zero is reached from the McSum peak above.

Large distances between the McSum daily chart values represent acceleration events in the A-D breadth decline or advance,
and the follow-on price impact has a high correlation with the McSum's direction, and usually has several days staying power


000.1 - S&P 500 # of New Highs & # of New Lows


Not a bullish condition for the price action while
the High-Low differential 10 day moving avg is sloping down


what the financial media calls 'Super Thursday' this year
is GOOGL, GOOG, AMZN, INTC, and MSFT which report earnings
today after the close and
which possess heavy % portfolio weight rankings in the
symbol sets composing the major US indices & sectors

10/25 Wednesday

today's new decline low for late October did NOT print
an hourly SPY price bar which closed below its 50,2 lower Bollinger Band
or below the SPY 60-minute 133 exponential
moving average, as is evident in this SPY 60-min chart link



SPY $256.78 and S&P 500 index $2571.38 = today's pivot low which must
be surpassed on a lasting basis by future daily closes in order to void the
recent late October price action negativity
S&P 500 index $2510.00 represents potential near-term horizontal support


XLK, XLI, & XLB achieve new price highs - their collective weighting is influential on the SPY daily % price change

XLF daily PMO indicator holds above its signal line & above zero line,
both of which are required conditions for a lasting bullish price outcome
for this heavily weighted influence on the S&P 500 index

a consolidated chart set for the US indices by Erin Heim showing PMO setups is located here -
the Chart Gallery for the S&P 500 index -

000.11 - SPY daily with Net SPX minus OEX new 52-wk highs & McSum & McO for the index


the ongoing bullish case for SPY price action has a weakening outlook
while the McSum and McO for the S&P 500 index continue to print
daily close weakness trend - be vigilant


81 = today's # of new 52-week price highs calculated from the S&P 500 index minus the S&P 100 index statistics for today ...
a higher Net # has printed on 3 days earlier in 2017


104 = the # of new highs for the S&P 500 index,
a higher # has printed on 3 days earlier in 2017


+1156.60 = today's level and new 2017 high for the S&P 500 McClellan Summation index.
Note the McSum has always reversed direction near or above this level
in 11 years ( a longer period than displayed on chart )

* The McClellan Oscillator for the S&P 500 has displayed during the recent 11 days:
a negatively divergent lower highs and lower lows pattern
the increasing price highs pattern
and this is more often than not
a reliable advance clue to an imminent intermediate-term price reversal
( Just as a positively divergent McO pattern vs. lower intraday price action is a reliable buy the dip tool )

000.12 - # of the S&P 500 symbols above their 50 & 200 day sma's

* it is very important to now watch whether the horizontal breakout achieved this week
actually holds above the March 1 to October 13th range for the # of S&P 500 symbols above their 50-day sma

top 25 stocks ranked by
Market Cap weighting --- S&P 500 index weighting factor
( updated for Oct 20 close )

AAPL 0.0364
MSFT 0.0274
FB 0.0187
AMZN 0.0177
JNJ 0.0172
BRK/B 0.0164
XOM 0.0159
JPM 0.0158
GOOGL 0.0135
GOOG 0.0134
BAC 0.0120
WFC 0.0111
PG 0.0101
CVX 0.0101
T 0.0098
PFE 0.0098
GE 0.0093
VZ 0.0091
UNH 0.0090
C 0.0090
V 0.0089
HD 0.0087
INTC 0.0086
KO 0.0080
CMCSA 0.0079

Total 0.3338 or 33% of the S&P 500 index
( an index whose price value is weighted by its components' Market Capitalization Value weighting factor )

000.13 - $SPXEW:$SPX daily ratio showing the extent of participation by 500 symbols in S&P 500 index


the generally declining ratio since the end of July 2017 displays evidence that the small minority of stocks having the greatest percentage portfolio weight
in the calculation of the capitalization weighted S&P 500 index prices are
having an even greater relative influence on the overall index than the
majority of the 500 symbols in the index.
In the past this condition has not been able to support lasting upward price action for SPY.
So, we await actual selling by the Mutual Fund holders, index ETF's and other holders of the largest capitalized stocks in the S&P 500 index
we wait for evidence of a greater degree of upward price participation by a larger percentage of the 500 symbols

the top 25 weighted stocks in the index, ranked by % of weighted contribution
to the total S&P 500 price change since the prior record SPY close on Oct 5th:

positive % change -
negative % change -
( updated for Oct 20 close )

000.14 - RSP daily with RSP:SPY ratio at extreme lows since early August 2017

11/01 at today's close and as of 12:59 pm ET

RSP daily chart displays:
* horizontal breakout failure today by the price action,
based on price range analysis using ONLY the most recent
days of price action *


the RSP to SPY ratio since the October 5th
SPY record price close displays:
what represents the firm opposite of bullish
evidence for a probable lasting price advance for RSP and for SPY:

1. ratio's pattern structure of steadily lower lows & lower bounce highs,
especially since early August is of most import to both bulls and bears
in the intermediate term and the very long term


2. the multi-year historic low levels for the ratio is
extremely mean reversion vulnerable ...
be prepared for price volatility which could easily be
violent and lasting

000.2 - SPY Weekly with key price horizontals

now four consecutive days the SPY traded in a daily range of less than 0.3% -
that has never happened before today (when looking back to 1970).

the SPY price range on both Friday and Thursday was 0.284%.


SPY price action reverses to the downside from its weekly upper BB location, potentially bearish at least in the near-term
*bulls want to see price hold very near a rising upper BB on the weekly chart


SPY 15-week simple moving average was tested by day's low & SPY price action reversed to the upside


RSP daily PMO declines below its signal line for the 1st day in May,
extremely bearish for SPY if PMO sell signal continues

* RSP weekly PMO has been on a sell signal since early April - moderately
bearish for SPY
* RSP:SPY daily ratio declines to a new low today,now at level not seen since Jan/Feb 2016, moderately bearish for the future SPY price action until ratio rises

RSP:SPY daily ratio displays a steady weakening participation level by
the 500 index components since April 11
Note - the top 25 stocks in SPY comprise 34% of the index price action as of 5/12, &
upside SPY price action does not often last for multiple quarters when only the top weighted stocks are causing the majority of the SPY price rise;
top 10 = 19% of the index price action:

* this is the reason for considering the RSP:SPY ratio chart

000.22 - SPY 1 hour with RSP & with RSP:SPY ratio for divergence ID


SPY $257.60 to $257.89 price zone MUST become lasting and firm
horizontal support during future intraday price declines in order
to have a high probability for the stair-stepping higher high and
higher low price structure evident in the intraday and daily close charts
to continue for many weeks/months into the future

a lasting hold below this zone is a minimum requirement
for a 1.5% price decline or more to occur

Once SPY price resides below, this zone will
be an important potential technical pivot
resistance for future bounces


RSP lower highs pattern is negatively divergent by a large % distance
the SPY advancing higher highs price pattern,
as is the RSP:SPY lower highs and
lower lows pattern for recent weeks

be alert because these divergences have historic norms
for being highly positively correlated
to the intermediate and long term SPY price direction
if not eventually resolved

000.23 - SPY monthly w/ 3 BB settings, BB width, plot of SPY 15 sma direction

000.3 - daily values for NYSE Advance-Decline & smoothed with 3 moving averages


bears are gaining ground as this week progresses, and bulls are losing significant amounts
of control over several important NYSE internals displayed in this chart

* time for vigilance if you are expecting an immediate upside reversal to
the prior June price highs for SPY and for the NYSE Composite index ...

** 13 to 17 days of additional downside for the price action is probable if these NYSE internals continue to deteriorate further

001 - QQQ daily showing % chg since Aug 1, 2016 for 5 components

the daily QQQ Full Stochastic indicator now hooked down from the upper levels
is not what the bullish case wants to see continue for more than 3 days

4/26 AAPL, AMZN, GOOG, GOOGL, MSFT, and FB are heavily weighted components
in the capitalization-weighted $SPX, $NDX and $COMPQ indices
... their steady upward % gains account for a large portion of the $SPX, $NDX and $COMPQ gains

* The majority of professional portfolio managers have been aware of
the percentage out performance by these largest capitalization stocks for
a # of months, so the actual longevity of this price up trend for the tech large caps depends only on an eventual willingness to sell these stocks
in sizable volume by the professionals

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