SPY - tools for swing trading a cap-weighted index

Steven Berry Author is a PRO member Rank: 62 Followers: 6 Votes: 16 Years Member: 9 Last Update: 22 October 2017, 16:56 Categories: Swing Trading
Trend Analysis
Ratio Analysis

The 4 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


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 -


# of new 52-week lows expands to 20; a multi-month high for this metric

* bullish for SPY price action while the # of new lows is not routinely expanding
* firmly bearish only when the # of new lows expands for multiple weeks
* SPY closed today near the 55-day ema


declining # of new 52-week price highs since the 2nd half of April,
which is mildly bearish for the future SPY price action
until the declining trend actually reverses

* May vs. April sees a steady increase in the # of new 52-week price lows,
which is bearish in the near term

** Note: the top weighted 25 stocks in SPY comprise 34% of the SPY price action as of 5/12
top 10 = 19% of the SPY price action

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


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 the 11 years displayed on this 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 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 --- 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 total 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 daily 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 sustainable within the price direction context. 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
for a greater degree of price participation by the majority of the 500 symbols

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

positive % change -
negative % change -

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

000.3 - 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

10/04 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 .. and notice the attempt to advance in Sept/Oct to the current price level numbers 3 times

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 volume by the professionals

002 - S&P 500 Advance-Decline line with BB width


S&P 500 A-D line achieves a new record high, which
is bullish while the stair-stepping higher continues

4/25 end of day update -

* be alert for the future A-D line directional outcome
in late April and May:

the S&P 500 Advance-Decline line now displays multi-year record
narrow width for its 50,2 Bollinger Band ...

the BB narrowing during 2016
eventually had bearish implications after September which lasted until
early November, and an A-D line upward thrust followed

Note - the single other BB extreme narrowing took place in 2015,
and initially resulted in a new record A-D line high printed in May 2015,
followed by a downward thrust by the A-D line lasting many weeks

100 - S&P 500 Advance-Decline line with %b's

4/27 - * high vigilance until the S&P 500 A-D line shows steady improvement,
and lasting higher highs

4/19 - Objectivity is the trick here, in spite of the fact the majority of index McSum's currently remain above their neutral zero lines
What is most important is the ongoing printing of new March/April lows by important index McSum's including SPX, OEX, COMPQ, NDX, INDU
This opens the probability of future zero line tests from above by even more index McSum's,
which presents a high degree of technical uncertainty now on display by the internal indicators
for multiple indices, in spite of potential near-term bottoming price action evidence

4/13 - S&P 500 A-D line today displays lower lows violating its March/April lows for day #1,
which is the starting evidence for technically confirming a probable sustainable decline
by the A-D breadth line and by price action on an intermediate-term basis

day #2 SPY closes below its 50-day sma for 1st time since November 8th, bearish

SPY 15,3 BB has started to expand its width with this week's price decline, downside vigilance required especially if the expansion continues

4/11/17 - the A-D line 50,2 %b hovering near its 0.50 line reflects a high degree of uncertainty what will next follow
It is important whether the A-D line %b's remain abv or below the 0.50 line, and represents a high vigilance item for bulls & bears

*the S&P 100 A-D line printed a new March/April low again, bearish while this
downtrend continues

101 - NYSE common stock only Advance-Decline line with %b's


vigilance watch:

* April 5th price high above, bullish case depends on a lasting hold above
* un-tested horizontal price zone below
$11,249.28 remains below & is
the prior quadruple-resistance mark at the Dec. 13th close, January 4/5 & Jan. 24th daily closes
any future lasting price decline below this level will confirm an intermediate market 'top'
( Point & Figure charting 101 )


$11,343.78 January 25th close,
represents the January daily close high, an important prior breakout mark ...
bearish only while price holds below this level

4/12/17 - numerous bearish internals are evident in chart #103, so look for lower equity prices while this continues.
The NYSE Commons A-D line will eventually provide clear evidence whether a lasting advance is taking place or not
And this A-D line is recently showing slight near-term improvement
off its March/April lows, though its pattern structure is not yet resolved
for the intermediate term

High level of uncertainty at this time about which direction will be chosen on a lasting basis.
Be watchful regarding the A-D line March/April lows and the February 21st A-D line high with
the March 1st A-D line high, which was a slight negatively divergent &
'declining-tops technical event' at the time SPY and the S&P500 index
printed their record intraday price action on March 1st.

Since Friday, January 13 into January 20th - the /ES S&P 500 emini futures contract price range
& high or low Volume Node regions near $2242 downside vs. $2271.50 upside have contained the majority of the price action volume
for all January, and the technical read has been overly uncertain

The A-D line tends to move up & down firmly, as the %b's for the A-D line violate the 0.50 level

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