wayne whaley market commentaryfiles.ctctcdn.com/5f91c101101/d13a9cd4-cac3-4683-9cf8-51... · 2015....

Wayne Whaley

Market Commentary

The July Collection

Wayne Whaley

Witter & Lester Inc.

[email protected]

July 23, 2015

January 20, 2014

mailto:[email protected]

The July Studies - Summary

1. An 0-14 July Corn Seasonal Setup June 30

As of July 25, the September Corn Contract was down 6.66%

2. The July Multi Market Seasonal Summary June 30

3. A 13-3 First Half of July Study June 30 The first half of July (Jun30-July15) was up 2.15%

4. The Third Longest Post 1950 Advance Absent a 10% Correction July 06 Information only Study

5. A 2-17 Nikkei Study for Wednesday July 07 The Nikkei was down 3.14% on Wednesday July 8

6. The Five Day Tape Story (S&P Bearish) July 13 The S&P is down 0.96%, July 13-25

7. The Five Day Breadth Story (S&P Bullish) July 16 The S&P is down 2.10%, July 16-25

8. A 4-15 Day after July Opex Angle July 16 The S&P was up 0.07% on the following Monday after Opex

9. The Anatomy of a DTP Trade – Short 1 Sept Nikkei at 20713.33 July 16 The Nikkei Cash was up 0.70% on July 17

10. Wayne on Bonds, Dollar and the Pound July 19 (Bearish Intermediate Studies for Yields, Dollar and Pnd) (Outcome To Be Determined)

11. Tis a Tough Week to be an Ag (Corn, Wheat, Beans) July 20 July 20-26, Corn, Wheat and Beans down 3.08, 3.74 and 3.16%

12. Is Gold due for a Bounce July 20 July 20-26, August Gold Contract down 1.92%

13. A Bearish Nikkei Observation for Wednesday July 21 The Nikkei Cash was down 1.19% on Wednesday

14. Wayne on Current Equity Market Confusion July 22

The S&Ps are down 1.63% July 22-24

15. A Bearish Seasonal Bond Yield Observation (Bearish case for Ylds over next month – To Be Determined) July 23

16. Is Crude Oil Due a Bounce ? July 23 To Be Determined

An 0-14 July Corn Seasonal Setup

[email protected] June 30, 2015

I’ve got Crude Oil down 25.36% during the second quarter, (Apr-June). Over the last 30 years,

there have been 14 occasions where Crude was up at least 3% in the second quarter. In all 14

occasions, Corn was negative in July for a significant average/median loss of 9.87/10.36%.

Eight of the 14 cases had double digit July losses. Corn has the Ethanol relationship with

Crude, which could provide this angle’s causation, but interestingly, Soybeans come along

for the ride as well, 2-12 in Julys in this same setup, for an average/median loss of 5.80/5.52%.

CORN AND BEANS IN JULY WHEN SECOND QUARTER OIL WAS GREATER THAN 3%

SECOND QUARTER OIL JULY CORN PERFORMANCE JULY BEAN PERFORMANCE

YEAR MAR31 JUN30 QTR2% JUN30 JUL31 JUL% JUN30 JUL31 JUL%

1986 9.73 14.58 49.80 184.00 165.25 -10.19 488.75 500.25 2.35

1987 18.54 21.42 15.52 186.50 163.50 -12.33 543.50 524.50 -3.50

1989 20.06 23.80 18.64 255.50 222.50 -12.92 670.00 588.00 -12.24

1992 18.89 20.59 9.01 253.25 220.25 -13.03 611.00 555.50 -9.08

1994 14.58 20.81 42.73 244.50 218.75 -10.53 640.50 575.25 -10.19

1996 23.70 25.45 7.37 397.75 354.25 -10.94 757.50 747.00 -1.39

1999 16.35 19.05 16.47 216.25 203.25 -6.01 453.50 431.00 -4.96

2000 27.05 33.85 25.12 195.75 180.25 -7.92 473.25 444.50 -6.08

2003 32.73 34.15 4.37 223.75 206.00 -7.93 584.00 519.25 -11.09

2006 67.26 74.54 10.82 246.00 239.00 -2.85 608.00 585.50 -3.70

2007 60.51 64.33 6.32 340.00 325.75 -4.19 865.50 841.25 -2.80

2008 106.53 153.06 43.68 737.75 587.50 -20.37 1584.00 1394.25 -11.98

2009 45.57 64.26 41.00 354.50 339.50 -4.23 1030.00 1044.00 1.36

2014 101.48 105.21 3.68 418.75 357.00 -14.75 1193.75 1099.75 -7.87

2015 47.43 59.47 25.36

** As of June 20 #UP-DN = 0-14 #UP-DN = 2-12

AVG%CHG= -9.87 AVG%CHG= -5.80

MED%CHG= -10.36 MED%CHG= -5.52

The Corn Bulls may attempt to discredit the study by pointing out that Crude’s 25.36%

second quarter’s advance was simply a retracement of the previous 3½ month selloff, but

why muddle up a perfect study with such insight. Given that September Corn is 10-20 in

Julys regardless of the setup, I’m more inclined to look for spots to Short Corn in July than

attempt to acquire ownership, and will do so when my daily scans provideadequate support.

For the above study, I used the September Contracts for the Corn and Bean prices and a

perpetual contract I maintain for Crude Oil prices. When practical, I avoid using the

perpetualized Agricultural databases, since different contract months (in/out of ground) for

the Ags often behave like totally different markets, which is a story for another day.


The July Multi Market SEASONAL Summary


On the following page is a 30 year breakdown of a few of the below time periods in

those particular markets which merit additional detail.

MULTI MARKET JULY SEASONAL SUMMARY LAST 30 YEARS

MAR JULY PERFORMANCE WORST PERIOD PERFORMANCE BEST PERIOD PERFORMANCE

-KET #UP#DN AVG% MED% TIMEFRAME #UP#DN AVG% TIMEFRAME #UP#DN AVG%

S&PS 14-16 0.79 -0.50 714 TO 721 10-20 -0.47 708 TO 715 22- 8 0.32

NASDAQ 16-14 0.34 0.13 716 TO 724 7-23 -1.24 708 TO 715 22- 8 1.04

FTSE 17-13 1.16 0.87 708 TO 721 10-20 -0.06 712 TO 731 20-10 0.62

NIKKEI 14-17 -0.31 -0.26 714 TO 722 7-23 -1.33 706 TO 716 20-10 0.17

GOLD 14-16 0.67 -0.31 719 TO 730 10-20 -0.36 710 TO 719 23- 7 0.81

SILVER 19-11 2.55 1.54 713 TO 726 11-19 -0.09 707 TO 715 23- 7 1.69

OIL 20-10 1.01 1.02 716 TO 724 9-21 -1.26 708 TO 715 23- 7 1.95

TBDYLD 14-16 -0.04 -0.76 710 TO 720 9-21 0.02 717 TO 726 20-10 0.21

WHEAT 15-15 0.91 0.09 722 TO 729 9-21 -0.88 705 TO 721 18-12 0.70

CORN 10-20 -4.10 -7.93 719 TO 729 6-24 -1.85 721 TO 728 16-14 -0.88

SOYBNS 12-18 -2.33 -3.60 716 TO 726 6-24 -2.88 708 TO 715 18-12 1.46

DOLLAR 15-15 -0.64 0.01 715 TO 723 9-21 -0.28 700 TO 707 19-11 0.04

POUND 18-12 0.92 0.22 701 TO 711 10-20 0.15 709 TO 727 23- 7 0.76

YEN 15-15 0.66 -0.03 712 TO 723 10-20 0.08 706 TO 716 21- 9 0.65

The second week in July has historically been friendly to Equities, Metals, Beans and

the Dollar.

The third week in July has historically been tough on Equities, Metals,

Agriculturals, Oil, and the Dollar.


A Selection of Time Periods For Particular Markets in July of Possible Interest

S&Ps S&Ps S&Ps NASD NIKK CORN SYBN GOLD SLVR BPND

YEAR JULY JL08-15 JL14-21 JL16-24 JL14-22 JL19-29 JL16-26 JL10-19 JL07-15 JL09-27

1985 -0.48 0.41 0.95 -0.49 -0.53 -2.04 -4.90 0.94 3.42 4.14

1986 -5.87 -3.28 -0.79 -0.26 -1.02 -2.17 -2.23 2.35 0.17 -3.49

1987 4.82 0.69 -0.69 -0.95 -5.13 -1.22 1.12 0.81 4.30 -1.24

1988 -0.54 0.75 -1.33 -1.92 -2.85 -12.14 -22.96 1.54 5.52 1.67

1989 8.84 2.13 1.22 -0.65 0.97 -5.37 -8.55 -4.35 0.05 1.44

1990 -0.52 2.48 -1.55 -5.75 -0.68 0.67 -1.32 1.51 0.96 1.70

1991 4.49 1.18 1.04 -1.25 -1.87 12.12 3.95 0.07 -2.86 3.68

1992 3.94 1.66 -0.94 -1.84 -8.92 -2.29 -2.17 2.61 1.78 0.97

1993 -0.53 0.13 -0.64 0.07 -0.12 -1.65 -2.17 0.06 -1.03 0.45

1994 3.15 1.03 -0.12 -0.65 -1.23 -1.35 -2.46 0.58 0.74 -1.18

1995 3.18 0.63 -1.12 -2.08 0.43 -0.52 1.80 0.52 1.41 0.22

1996 -4.57 -3.48 -1.15 -1.05 -3.01 -2.31 -7.93 0.55 0.88 0.30

1997 7.81 0.76 -0.59 -0.73 -0.35 2.18 0.23 3.28 0.46 -1.29

1998 -1.16 0.72 -1.06 -3.48 -1.19 -7.17 -4.00 1.24 -1.16 1.44

1999 -3.22 1.09 -1.35 -6.01 -3.42 4.17 10.14 -1.59 -2.47 2.69

2000 -1.63 2.10 -1.97 -6.23 -1.93 -0.83 -0.11 -1.77 0.36 0.28

2001 -1.07 2.11 -0.40 -3.44 -3.62 1.85 -0.64 1.16 1.11 1.06

2002 -7.90 -6.04 -7.99 -6.18 -3.89 -1.60 -4.05 2.81 3.37 1.10

2003 1.62 -0.74 -2.50 -2.66 -2.76 1.94 -2.89 0.79 -1.61 -0.93

2004 -3.43 -0.22 -1.58 -1.81 -0.63 -7.81 -6.18 -0.50 8.89 -1.94

2005 3.60 1.33 0.04 1.06 -0.59 -4.83 -6.25 -0.80 0.12 0.65

2006 0.51 -2.31 0.33 1.20 -0.16 -3.06 -3.44 2.75 1.27 0.32

2007 -3.20 1.44 -1.19 -2.13 -0.44 -0.08 -5.84 2.12 2.86 0.43

2008 -0.99 -4.62 2.71 -0.21 1.34 -2.54 -10.88 1.72 6.19 0.40

2009 7.41 6.04 5.38 4.29 4.98 -0.47 3.88 2.75 -0.03 0.85

2010 6.88 2.45 -2.34 4.15 -5.86 -0.59 -2.33 -2.30 2.05 3.49

2011 -2.15 -2.06 2.67 2.47 1.97 -4.66 -0.20 3.87 6.94 1.88

2012 1.26 0.16 0.43 -1.17 -0.62 -1.15 -0.81 0.05 1.70 1.34

2013 4.95 2.56 0.71 -0.53 1.05 -10.06 -4.51 3.64 5.88 3.43

2014 -1.51 0.49 -0.18 1.04 0.30 -2.63 -0.69 -2.21 -0.57 -1.07

#UP-DN = 14-16 22- 8 10-20 7-23 7-23 6-24 6-24 23- 7 23- 7 23- 7

AVG%CHG= 0.79 0.32 -0.47 -1.24 -1.33 -1.85 -2.88 0.81 1.69 0.76

MED%CHG= -0.50 0.74 -0.66 -1.00 -0.66 -1.62 -2.28 0.88 1.04 0.75

A 13-3 First half of July Study


The S&P was down 1.02% over the second half of June. Over the last 30 years, when the

second half of June was negative, the first half of July was positive in 13 of those 16 years, for

an avg/med gain of 1.97/2.84%.

The First Half of July

When the Second Half of

June Was Negative

Year June15-30% June30-Jul15%

1988 -0.35 -0.53

1989 -0.66 4.36

1990 -1.35 2.59

1991 -2.91 3.03

1992 -0.52 2.20

1994 -3.55 2.23

1997 -0.91 4.59

2000 -1.62 3.81

2002 -1.73 -7.26

2003 -1.43 2.66

2005 -1.26 3.07

2007 -1.93 3.27

2008 -5.88 -5.09

2009 -0.56 1.45

2010 -7.58 6.38

2013 -1.26 4.75

2015 -1.02 ?

#UP-DN = 13- 3

AVG%CHG= 1.97

MED%CHG= 2.84


The Third Longest, Post 1950, Advance Without A Ten % Correction

[email protected] July 06, 2015

Ten Percent corrections occur on average about once every 18 months. In case you were

wondering, I have the last 10% selloff, putting in a bottom on October 03 of 2011, which

would put the current advance (as of July 6, 2015) at three years, nine months and 3 days

(45 months) without a 10% correction, which would put this advance as the 3rd longest post

1950 advance absent a 10% Correction.

If this advance continues to extend its advance, without pause, up and into the five year

variety, our children will likely look back at this advance and note, “Wow, five years with

zero percent interest rates, how easy could that have been”. Note to self; Sometimes, it

doesn’t pay to look a gift horse in the mouth. The two advances in the 1950’s were the most

similar to today in terms of low interest rate periods, with rates climbing from 1% at the

start of the decade to 4% in 1960. Rates very low and rising did not seem to present much of

a headwind.

THE SEVEN LONGEST S&P ADVANCES

ABSENT A 10% CORRECTION (1950-2015)

STARTDATE ENDDATE DURATION

# YEARMTDY YEARMTDY YRS MTS DYS

1 19901011 19971027 7 0 16

2 20030311 20071126 4 8 15

3 20111003 20150706 3 9 03

4 19621023 19660516 3 6 24

5 19840724 19871015 3 2 22

6 19500717 19530609 2 10 23

7 19571022 19600304 2 4 13

The longest post 1950 period, absent a 10% correction, occurred during the dot.com bubble

expansion of the 1990s, as the S&P went seven years without a double digit pullback from

1990 to 1997.


A 2-17 Nikkei Seasonal for Wednesday


Tomorrow is the third Wednesday of the four week monthly July option expiration cycle.

Over the last month (21 trading days), the Nikkei is down 0.41%. In those years where the

Nikkei was up or down less than 5% (-5 to +5%), the Nikkei was 2-17 over the last 30 years on

this third Wednesday of the July Options Expiration Cycle. The last 14 have been negative.

THE NIKKEI ON THE THIRD WEDNESDAY OF THE JULY OPEX CYCLE

WHEN THE TRAILING MONTH IS PLUS OR MINUS 5%

NUM UP= 2 NUM DN=17 AVG%CHG=-0.66

WEDDAYS YESTER YSTR TO NEXT NEXT TRLING WEDDAY

# DATE DAY-1 DAY DAY DAY DAY+1 1MT% PCTCH 0 MON TUE WED THU FRI -0.41 ?

1 19840711 MON TUE WED THU FRI 0.09 -0.31


3 19900711 MON TUE WED THU FRI -1.19 0.44


5 19880706 MON TUE WED THU FRI -1.50 0.69


7 19970709 MON TUE WED THU FRI -1.83 -0.79














The Five Day Tape Story


ADT (N) = Advance/Decline Thrust measure over the last N days

UDT(N) = Up Volume Thrust measure over the last N days

SPT(N) = Price Thrust measure over the last N days

Where each is calculated as

Define ADT(N) = 100 * (Sum of Daily Advances Over Last N Days) /

(Sum of Daily Advances + Declines Issues Over Last N Days)

Define UDT(N) = 100 * (Sum of Daily Up Volume Over Last N Days) /

(Sum of Daily Volume in Adv & Declining Issues Over Last N Days)

Define SPT(N) = % Change In the S&P Price Over The Last N Days

I ignore the handful of unchanged issues in the above calculations

The below market internal numbers for the last week are based on 4:15pmC estimates, and

will change ever so slightly overnight, but the story will not change.

Five Day S&P Market Internals

UP DOWN 52 WEEK NEW

YRMTDY ADV DEC VOLUME VOLUME HIGHS LOWS

150707 390 109 16156190 9701820 15 50

150708 16 482 558550 21755370 03 32

150709 314 182 12590270 9070600 08 17

150710 451 49 16647610 1956080 17 18

150713 440 59 16294468 2205232 43 11

As of Close of Business, today July 13, ADT5= 64.65, UDT5=58.21 and SPT5= 1.49

On the following page is a table of the 30 closest matches to these three levels on any given

day over the last 20 years listed in order of closest match.


Normally, the Up Thrust Measure UDTX (58.21) will exceed the Breadth Thrust number

ADTX (64.65) on the S&P 500 in both directions. That could certainly change over the next

few days. But the current combination of five day S&P Breadth, Up Volume and Price Move

suggest consolidation is in order over the next week. I shall pass this along to the Greek

Parliament, so they can act accordingly.

THE TOP 30 MATCHES TO TODAYS TAPE MEASURES OF

ADT5 = 64.65 UDT5 = 58.21 SPT5 = 1.49

TAPE MEASURES FORWARD S&P PERFORMA

# DATE ADT5 UDT5 SPT5 DAY WEEK MONTH QTR

0 20150713 64.64 58.23 1.49 ? ? ? ?

1 20130627 65.24 57.99 1.57 -0.43 1.16 4.86 4.87

2 20121018 65.17 58.52 1.62 -1.66 -3.04 -6.69 1.97

3 20070201 64.94 59.44 1.55 0.17 0.16 -2.96 2.79

4 20040301 64.78 58.98 1.31 -0.59 -0.76 -2.06 -3.00

5 20070206 63.67 58.27 1.34 0.14 -0.26 -3.63 3.98

6 20130328 62.82 58.00 1.51 -0.45 -1.01 0.83 2.37

7 20140703 62.80 57.52 1.44 -0.39 -0.90 -3.04 -0.88

8 20010308 64.49 57.38 1.89 -2.47 -7.20-10.77 0.02

9 20041112 62.36 57.67 1.54 -0.03 -1.17 0.32 1.78

10 20050202 62.42 58.23 1.63 -0.28 -0.10 1.42 -2.60

11 20031202 63.50 59.67 1.38 -0.18 -0.60 3.92 7.73

12 20121005 63.45 59.78 1.41 -0.35 -2.21 -2.99 0.38

13 20060508 61.87 57.29 1.48 0.05 -2.27 -5.03 -4.01

14 20050302 62.62 57.09 1.62 0.03 -0.25 -3.07 -0.48

15 20061009 61.39 58.30 1.45 0.20 1.36 2.05 4.55

16 20110303 64.06 59.36 1.90 -0.74 -2.69 0.11 -2.31

17 20120427 62.76 57.74 1.80 -0.39 -2.44 -6.10 -1.24

18 20031126 64.37 61.72 1.54 -0.02 1.06 3.54 8.17

19 20120525 63.44 59.62 1.74 1.11 -3.01 -0.31 7.08

20 19961227 61.06 58.31 1.48 -0.39 -1.21 1.09 2.26

21 20140620 64.72 61.70 1.38 -0.01 -0.10 0.78 2.42

22 20110512 63.74 57.34 1.01 -0.81 -0.37 -5.76-12.65

23 20041115 62.52 59.40 1.62 -0.71 -0.55 1.85 2.22

24 20041215 64.13 56.56 1.94 -0.21 0.32 -1.76 -0.66

25 20110404 66.49 56.99 1.73 -0.02 -0.63 1.08 0.51

26 20140220 63.41 59.32 1.13 -0.19 0.79 1.75 1.80

27 20141124 63.76 61.13 1.38 -0.12 -0.14 0.60 2.23

28 20141111 63.26 60.56 1.37 -0.07 0.59 -0.21 1.41

29 20150218 61.01 58.71 1.50 -0.11 0.68 -0.01 1.41

30 20061010 60.63 58.17 1.45 -0.26 0.79 2.03 4.54

#UP-DN = 6-24 9-21 15-15 21- 9

AVG%CHG= -0.31 -0.80 -0.94 1.22

MED%CHG= -0.20 -0.46 0.05 1.79

A 4-15 Day After July Opex S&P Angle


The S&P is up 0.98% over the trailing month (20 trading days). Over the last 30 years, when

the S&P was positive over the previous month, the Monday after the July Options Expiration

was 4-15 for an average/median loss of 0.40/0.45%.

The Post July Opex Week When Trailing Month is Positive

Year TrlMt% Mon% Tue% Wed% Thu% Fri% Week%

1985 4.50 -0.40 -0.93 -0.50 0.25 0.18 -1.40

1987 2.91 -1.02 -0.91 -0.03 -0.21 0.47 -1.69

1988 0.85 -0.57 -0.75 0.57 -1.24 -1.19 -3.14

1989 4.21 -0.66 0.06 1.25 1.17 0.05 1.86

1990 0.32 -1.74 0.14 0.37 -0.33 -0.69 -2.26

1991 2.34 -0.35 -0.90 -0.21 0.61 -0.01 -0.86

1992 3.66 -0.45 0.00 -0.68 0.28 -0.12 -0.97

1995 0.46 0.54 0.80 0.09 0.64 -0.41 1.68

1997 1.93 -0.26 2.30 0.28 0.40 -0.16 2.57

1998 7.27 -0.22 -1.61 -0.08 -2.09 0.09 -3.87

1999 5.89 -0.78 -2.17 0.16 -1.33 -0.30 -4.36

2000 1.93 -1.07 0.70 -1.50 -0.19 -2.05 -4.07

2005 1.40 -0.55 0.67 0.48 -0.66 0.54 0.47

2007 0.78 0.49 -1.98 0.47 -2.33 -1.60 -4.90

2009 2.40 1.14 0.36 -0.05 2.33 0.30 4.13

2011 3.83 -0.81 1.63 -0.07 1.35 0.09 2.19

2012 2.80 -0.89 -0.92 -0.02 1.65 1.91 1.71

2013 6.54 0.20 -0.18 -0.38 0.26 0.08 -0.02

2014 0.96 -0.23 0.50 0.18 0.05 -0.48 0.01

2015 0.98** ? ? ? ? ? ?

#UP-DN = 4-15 10- 9 9-10 11- 8 9-10 8-11

AVG%CHG= -0.40 -0.17 0.02 0.03 -0.17 -0.68

MED%CHG= -0.45 0.00 -0.02 0.25 -0.01 -0.86

** As of midday, Thursday Jul 16


The Anatomy of a DTP Trade – Short 1 Sept Nikkei at 20713.3333


Price Trend Analysis

The Nikkei Cash Index is up 0.67/3.75/1.69/3.59% over the last Day/Week/Month and Quarter,

defined as trailing 1/5/21/63 days. Examining the 30 closest matches to those four price

trends over the last twenty years, shows the Nikkei Cash is normally slightly overextended

in this setup, down on the next day in 20 of 30 occasions. On a scale of 0-100, with 50 as

neutral, the model gives price trend analysis a bearish rating of 36.

NIKKEI PRICE PATTERN ANALYSIS

TRAILING 1DAY % = 0.67 WEEK % = 3.75 MT % = 1.69 QTR % = 3.59

NUM UP= 7 NUM DN=13 NUM UN=10

MED%CHG=-0.29 AVG%CHG=-0.28

DATE TRAILING PRICE %CHANGE TOMRW

# YEARMTDY DAY WEEK MONTH QRTER PCTCH 0 20150716 0.67 3.75 1.69 3.59 ?

1 20060929 0.64 3.15 1.61 4.01 0.79

2 19970423 1.03 3.91 1.60 4.01 -0.20

3 19961112 0.67 2.98 1.14 3.19 -1.07

4 20061002 0.79 3.97 0.70 4.38 -0.08

5 20030217 0.80 3.83 1.89 0.93 -0.90

6 20110624 0.85 3.50 1.22 2.43 -1.04

7 19960521 0.51 3.71 1.26 6.20 -0.61

8 20060315 0.50 4.43 0.83 3.69 -1.37

9 20120913 0.39 3.62 0.79 4.97 1.83

10 20130806 1.00 3.83 2.07 1.56 -4.00

11 19991006 0.63 3.55 1.51 -0.85 1.34

12 20070312 0.75 3.91 0.00 5.63 -0.66

13 20020222 0.60 3.07 3.15 2.68 -0.58

14 20070118 0.63 3.16 3.22 5.05 -0.35

15 20000114 0.65 4.34 3.75 4.52 2.54

16 19960520 0.28 3.81 0.51 5.23 0.51

17 19960516 0.41 3.43 2.25 6.56 -1.04

18 20120809 1.10 3.76 1.36 0.28 -0.97

19 20071211 0.76 3.65 2.96 -0.48 -0.70

20 20040108 0.74 3.21 3.91 4.60 1.18

21 20061201 0.29 3.73 -0.47 2.83 -0.11

22 19961018 0.88 3.07 1.42 0.21 -1.43

23 20000301 0.61 2.88 2.77 6.17 -0.08

24 20061212 0.66 2.29 3.26 3.47 0.33

25 20050214 0.68 2.39 2.41 5.90 0.12

26 19951121 0.00 3.27 1.25 2.87 -0.79

27 20040827 0.72 2.94 0.83 -0.24 -0.22

28 19990125 0.38 2.92 0.39 4.73 1.22

29 20000322 0.67 3.09 0.97 8.96 -0.15

30 19951120 1.28 3.34 2.39 1.95 0.00


Seasonal Analysis 1 – Day of the Year

The closest match to the current five day Date Pattern shows the Nikkei 12-18 over the last 30

years on the best date match to tomorrow. I use a five day Date Pattern match, because the

market doesn’t always trade on July 17th, and I am trying to identify the closest Date match

each year. The model also noted that the big moves were normally to the down side as the

twelve 1% daily moves over the last 30 years were 2-10 tomorrow. The Nikkei is up 3.59%

over the last three months. You will notice in the table a column labeled Trend Weight.

Those years in which the Nikkei is in similar trend to this year are assigned a heavier

weighting than years in which the Nikkei was in a negative trend. The overall Day of the

Year rating was a negative 28.4.

THE NIKKEI ON TOMORROWS DAY OF JULY

TODAYS MTDAY= 716 TOMORROWS MTDAY= 717

TRAILING 3 MONTH (63 DAY) % CHANGE = 3.59

NUM UP= 4 NUM DN=13 NUM UNC=13 MED%CHG=-0.48 AVG%CHG=-0.47

DATE DATE DATE TR3MT TREND TIME TOTAL TOMRWS

# TODAY TOMORROW NEXTDAY %CHG WGHT WGHT WGHT PCTCHG 1 19850716 19850717 19850718 3.22 0.056 0.023 0.039 1.17

2 19860716 19860717 19860718 15.25 0.021 0.023 0.015 0.14

3 19870716 19870717 19870720 0.57 0.038 0.024 0.028 -0.08

4 19880718 19880719 19880720 2.03 0.046 0.025 0.034 -1.85

5 19890717 19890718 19890719 0.92 0.040 0.025 0.030 -0.34

6 19900717 19900718 19900719 16.54 0.019 0.026 0.015 -0.37

7 19910716 19910717 19910718-12.44 0.018 0.026 0.015 -1.35

8 19920716 19920717 19920720 -5.35 0.027 0.027 0.022 -2.59

9 19930716 19930719 19930720 -1.97 0.034 0.028 0.029 -0.89

10 19940718 19940719 19940720 3.65 0.062 0.028 0.053 0.28

11 19950717 19950718 19950719 4.95 0.049 0.029 0.043 -1.59

12 19960716 19960717 19960718 -2.18 0.033 0.030 0.030 0.03

13 19970716 19970717 19970718 12.91 0.026 0.031 0.024 0.79

14 19980716 19980717 19980721 2.65 0.054 0.031 0.051 -0.96

15 19990715 19990716 19990719 10.27 0.030 0.032 0.029 -1.00

16 20000717 20000718 20000719-15.40 0.017 0.033 0.017 -1.98

17 20010716 20010717 20010718 -7.79 0.023 0.034 0.024 -1.74

18 20020716 20020717 20020718 -7.96 0.022 0.035 0.023 0.44

19 20030716 20030717 20030718 23.56 0.015 0.036 0.016 -2.44

20 20040715 20040716 20040720 -5.93 0.025 0.036 0.027 0.24

21 20050715 20050719 20050720 1.04 0.042 0.037 0.047 0.05

22 20060718 20060719 20060720-16.23 0.016 0.038 0.018 0.44

23 20070717 20070718 20070719 4.91 0.051 0.039 0.061 -1.11

24 20080716 20080717 20080718 -1.77 0.036 0.040 0.044 1.00

25 20090716 20090717 20090721 5.67 0.044 0.041 0.055 0.55

26 20100715 20100716 20100720-13.22 0.017 0.042 0.022 -2.86

27 20110715 20110719 20110720 3.46 0.059 0.043 0.077 -0.85

28 20120717 20120718 20120719 -9.16 0.020 0.044 0.027 -0.32

29 20130716 20130717 20130718 10.42 0.028 0.045 0.039 0.11

30 20140716 20140717 20140718 9.88 0.031 0.047 0.044 -0.06

31 20150716 20150717 20150720 3.59 ? ? ? ?

Seasonal Model # 4 Day of the Week On This Week of this Month

Or possibly more simply stated (for U.S. markets) ; the day in this month’s Option Expiration

Cycle. I do five different seasonal evaluations. Four were negative for the Nikkei tomorrow

and one was neutral. I won’t go through them all, but here is the one other ugly one.

Tomorrow is the third Friday in July, which coincides with a monthly option expiration in

the U.S. markets. The Nikkei is 11-19 on July Third Fridays. The 1% moves, noted in red

below, are 0-10 for the Nikkei on the third Friday in July, over the last 30 years. The model

gives this indicator a rating of 20.2.

THE THIRD FRIDAY IN JULY

TRAILING 1 MONTH %CHG = 1.69

NUM UP= 5 NUM DN=15 NUM UNC=10 MED%CHG=-0.60 AVG%CHG=-0.70

# DATE YDAY TODY TOMR NEXT MT WK TRLMT% TOTAL TOMRWS

TODAY WED THU FRI MON 7 4 1.69 WEIGHT PCTCHG

1 19850718 WED THU FRI MON 7 4 0.62 0.022 -0.50

2 19860717 WED THU FRI MON 7 4 3.19 0.018 0.64

3 19870716 WED THU FRI MON 7 4 -7.43 0.008 -0.08

4 19880714 WED THU FRI MON 7 4 -0.03 0.018 -0.61

5 19890720 WED THU FRI MON 7 4 0.96 0.030 0.70

6 19900719 WED THU FRI MON 7 4 3.02 0.026 -1.92

7 19910718 WED THU FRI MON 7 4 -4.53 0.012 -0.18

8 19920716 WED THU FRI MON 7 4 3.29 0.022 -2.59

9 19930715 WED THU FRI MON 7 4 1.28 0.038 0.86

10 19940714 WED THU FRI MON 7 4 -2.65 0.018 0.25

11 19950720 WED THU FRI MON 7 4 10.05 0.013 0.82

12 19960718 WED THU FRI MON 7 4 -3.58 0.018 -0.42

13 19970717 WED THU FRI TUE 7 4 0.10 0.030 -1.32

14 19980716 WED THU FRI TUE 7 4 13.70 0.014 -0.96

15 19990715 WED THU FRI MON 7 4 7.10 0.020 -1.00

16 20000719 TUE WED FRI MON 7 4 0.45 0.044 -1.01

17 20010718 TUE WED THU MON 7 4 -5.42 0.018 0.13

18 20020718 WED THU FRI MON 7 4 0.21 0.042 -2.82

19 20030717 WED THU FRI TUE 7 4 4.46 0.032 0.30

20 20040715 WED THU FRI TUE 7 4 -2.00 0.030 0.24

21 20050714 WED THU FRI TUE 7 4 3.05 0.051 -0.05

22 20060720 WED THU FRI MON 7 4 2.04 0.076 -0.84

23 20070719 WED THU FRI MON 7 4 -0.26 0.042 0.23

24 20080718 WED THU FRI TUE 7 4 -9.39 0.025 -0.65

25 20090716 WED THU FRI TUE 7 4 -5.05 0.029 0.55

26 20100715 WED THU FRI TUE 7 4 -3.79 0.033 -2.86

27 20110714 WED THU FRI TUE 7 4 3.78 0.049 0.39

28 20120719 WED THU FRI MON 7 4 1.61 0.107 -1.43

29 20130718 WED THU FRI MON 7 4 13.85 0.027 -1.48

30 20140717 WED THU FRI MON 7 4 2.63 0.097 -1.01

Synergy Analysis

Synergy is the term I use to refer to how the market of interest normally does relative to have

other markets are currently trending. The Synergy studies were mixed, but given today’s

paper may serve as a description of the DTP evaluation process, I will share with you one of

the three synergy studies that were signaled out by the model for review. The Nikkei Cash

index was up 0.67% today while Oil was down 0.76%. The thirty best matches to that

combination of one day trends, has the Nikkei 6-24 over the next week. These type of studies

could simply be statistical noise and I look for support from several different market synergy

angles before drawing a strong conclusion.

TOMORROW’S NIKKEI PERFORMA WHEN TODAY’S NIKKEI WAS +0.67%

AND TODAY’S OIL WAS DOWN 0.76%

TRAILING FORWARD NIKKEI PERFORMANCE

# DATE NIKKEI% COIL% 1DAY 5DAYS 21DAYS 63DAY 0 20150716 0.67 -0.76 ? ?

1 20030808 0.67 -0.77 1.72 5.75 17.09 13.13

2 19960805 0.65 -0.76 -1.58 -1.95 -4.15 -2.11

3 20111230 0.67 -0.80 0.00 -0.77 4.19 19.57

4 20020611 0.70 -0.71 -1.07 -5.32 -8.42 -18.69

5 19991006 0.63 -0.76 1.34 -0.79 2.52 3.61

6 20070709 0.67 -0.82 -0.05 -0.13 -7.34 -6.55

7 20011105 0.61 -0.79 1.78 -3.50 2.55 -9.83

8 19960718 0.72 -0.78 -0.42 -3.17 -3.40 -0.78

9 20120613 0.60 -0.83 -0.22 1.92 1.59 4.33

10 20020107 0.65 -0.66 -2.26 -4.58 -13.90 1.57

11 19970731 0.59 -0.76 -2.59 -4.21 -10.34 -17.09

12 20021016 0.54 -0.85 0.84 -1.92 -6.54 -3.10

13 20140729 0.57 -0.71 0.18 -1.91 -0.53 -1.47

14 20120508 0.69 -0.94 -1.49 -3.06 -5.90 -4.12

15 20040302 0.80 -0.60 -0.08 1.50 3.11 -0.57

16 20020823 0.54 -0.74 2.03 -2.51 -5.53 -12.16

17 20130115 0.72 -0.90 -2.56 -3.60 3.94 23.01

18 19990803 0.81 -0.73 -1.58 -4.27 -0.93 0.15

19 20010626 0.64 -0.99 -1.15 -1.24 -8.63 -23.16

20 20010904 0.55 -0.99 -1.61 -11.77 -7.06 0.23

21 20020516 0.82 -0.72 0.93 2.05 -9.15 -16.55

22 20120823 0.51 -1.01 -1.17 -2.12 -1.19 2.30

23 20070809 0.83 -0.75 -2.37 -5.95 -8.19 -6.25

24 20060508 0.80 -0.50 -0.58 -4.65 -12.70 -12.36

25 19981022 0.56 -0.67 -1.06 -4.38 3.39 -0.61

26 20110309 0.61 -0.58 -1.46 -14.13 -9.43 -10.77

27 19970523 0.66 -1.03 -0.60 2.21 1.66 -6.79

28 19971031 0.57 -0.64 0.00 -3.78 2.74 3.43

29 20110113 0.73 -0.47 -0.86 -2.98 1.28 -8.84

30 19961226 0.68 -1.04 0.40 0.36 -10.14 -5.60

#UP-DN = 10-20 6-24 11-19 10-20

AVG%CHG= -0.52 -2.63 -2.98 -3.20

MED%CHG= -0.59 -2.75 -3.78 -2.61

Correlation Studies

The Nikkei’s performance is strongly correlated to other Equity Markets, as well as the

Dollar and is negatively correlated to the Yen. None of the ratings for those indexes were in

strong conflict with a Short Nikkei position, and I had very positive reads for the Yen

tomorrow, which is supportive of a short Nikkei position. I actually get a numerical

correlation rating each day for each index, with 99% of the daily correlation ratings ranging

from 47-53. The Nikkei correlation rating for tomorrow is 49.1. I would prefer a sub 49

rating, but 49.1 is not in conflict with our position.

Wayne on Bonds, Dollar and the Pound


Crude Oil is down 15.37% over the last month (21 trading days), while Treasury Bond Yields

(treated like a commodity price) are sideways, up 0.36% over the same time period. The

sharp one month drop in oil prices has traditionally led to lower Bond Yields, particularly

over the next week if Yields are sideways to up over that same period. Below is the forward

Bond Performance vs the 30 best matches over the last 30 years to a trailing 21 day 0.36/-

15.37% Bond Yield/Crude oil Trend.

BOND YIELD PERFORMA VS TRAILING ONE MONTH BOND/OIL TREND

TRAILING 21 DAY FORWARD TBDYLD PERFORMANCE

# DATE TBDYLD%OIL-CR% 1DAY% 5DAY% 21DAYS% 63DAYS%

0 20150717 0.36 -15.37 ? ? ? ?

1 20041115 0.82 -14.97 0.20 -1.23 -3.68 -8.38

2 20011011 -0.18 -15.78 0.37 -1.67 -9.63 -0.74

3 19980519 0.34 -16.52 -0.67 -1.85 -4.05 -6.41

4 20011121 -0.56 -16.53 0.37 -2.24 2.06 0.37

5 19970303 -0.58 -17.06 0.29 -0.15 3.66 0.88

6 20030319 0.82 -16.29 1.02 0.41 -0.41 -10.59

7 20030908 0.19 -13.45 -0.19 -1.34 -1.72 -3.63

8 20041228 0.61 -17.13 0.41 -0.81 -5.08 -2.24

9 19981123 1.55 -14.63 -0.38 -3.44 -0.76 7.06

10 19980123 1.36 -13.02 -1.34 -2.85 0.00 -0.50

11 19960206 1.66 -13.81 0.16 -1.95 5.05 15.15

12 19990210 0.95 -12.87 0.38 0.19 3.95 9.40

13 19970611 -0.58 -14.50 -0.88 -2.05 -4.25 -2.64

14 20021112 -0.62 -14.47 -0.21 1.25 1.46 0.21

15 20080801 1.56 -12.51 0.66 -0.44 -4.60 -6.35

16 20041207 -0.20 -18.26 -2.45 -2.45 -1.02 -1.63

17 20040628 0.56 -12.35 -0.74 -3.51 -1.85 -11.83

18 19991028 1.96 -13.14 -1.44 -2.40 0.96 3.04

19 20090107 -1.29 -15.56 -0.65 -5.86 19.87 19.22

20 20000417 -1.50 -18.17 0.00 0.34 4.40 0.00

21 20081114 0.00 -19.06 -0.47 -13.48 -32.15 -16.55

22 20000731 -1.70 -15.64 -0.69 -0.52 -0.52 -0.69

23 20001006 2.45 -11.23 0.00 -0.85 0.68 -7.52

24 20060215 1.33 -11.19 0.22 -1.31 3.28 15.32

25 20141202 -1.83 -17.33 -0.37 -4.29 -10.22 -9.59

26 20091211 2.04 -11.14 0.67 1.56 4.67 2.22

27 20141105 0.29 -11.07 0.91 0.49 -3.30 -17.81

28 19970207 -0.89 -13.23 -0.15 -2.68 1.94 2.53

29 19981023 0.39 -10.62 -0.58 -0.39 1.55 -0.78

30 20060920 -2.22 -15.34 -1.44 -2.47 1.24 -2.47

#UP-DN = 14-16 6-24 15-15 12-18

AVG%CHG= -0.23 -1.87 -0.95 -1.16

MED%CHG= -0.17 -1.50 -0.20 -0.76


The Dollar vs Trailing One Month Dollar and Silver Trends

THE DOLLAR VS TRAILING ONE MONTH DOLLAR/SILVER TRENDS

TRAILING FORWARD DOLLAR PERFORMANCE

# DATE DOLLAR% SILVR% 1DAY% 5DAY% 21DAY% 63DAY%

0 20150717 3.78 -7.07 ? ? ? ?

1 19990607 3.68 -7.13 -1.29 -0.94 0.80 -3.23

2 20091229 3.78 -6.61 0.11 -0.43 2.09 4.17

3 20081119 3.95 -7.41 0.76 -1.88 -6.88 -0.08

4 20081006 3.48 -8.25 -0.86 0.24 3.81 1.44

5 20120605 4.14 -6.54 -0.57 -0.89 0.02 -1.76

6 20120111 3.38 -7.14 -0.64 -1.52 -2.82 -2.40

7 20100224 3.40 -6.92 -0.08 -1.08 1.57 7.33

8 20110920 4.08 -5.55 0.41 0.62 0.14 4.29

9 19990309 3.47 -6.62 -0.55 -0.96 0.88 2.23

10 20140911 3.38 -6.84 -0.04 0.00 1.95 4.75

11 20141117 3.31 -7.29 -0.40 0.26 1.37 7.37

12 19970730 4.07 -5.40 0.08 1.84 -1.21 -3.52

13 19970430 3.28 -6.71 -0.52 -0.69 -2.40 2.45

14 20050706 3.17 -8.21 -0.11 -1.18 -2.85 -0.31

15 20130304 3.77 -9.21 -0.13 0.46 0.64 0.56

16 20100611 3.16 -7.19 -1.14 -2.07 -4.42 -5.50

17 20020131 3.13 -7.91 -0.42 -1.01 -1.22 -4.51

18 20111125 4.51 -6.84 -0.53 -1.33 0.19 -1.81

19 20090310 4.19 -4.48 -1.19 -2.24 -4.01 -10.28

20 20011025 3.02 -8.50 -0.04 -0.93 1.30 3.81

21 20050415 3.60 -4.95 -0.66 -1.25 1.84 6.10

22 20141001 3.50 -9.81 -0.31 -0.68 0.34 5.11

23 20081104 3.81 -9.84 -0.21 2.70 1.96 1.50

24 20050201 3.22 -6.10 0.08 1.98 -0.20 1.27

25 20081205 2.97 -10.14 -1.79 -3.99 -5.56 2.07

26 20130715 2.88 -8.10 -0.66 -0.99 -1.54 -3.23

27 20001026 4.69 -4.70 -0.92 -2.28 -1.11 -5.57

28 20100506 4.24 -3.87 -0.52 0.37 4.14 -4.79

29 19991115 3.69 -3.99 0.14 -0.02 1.69 3.98

30 20000202 4.42 -3.64 -0.92 -1.03 1.22 6.28

#UP-DN = 6-24 8-22 18-12 17-13

AVG%CHG= -0.43 -0.63 -0.28 0.59

MED%CHG= -0.47 -0.93 0.27 1.35

The Pound vs Trailing One Mt Pound, Gold and Dollar Trend

The Pound is down 1.35% over the last month (trailing 21 days). Over that same period Gold

is down 3.86% and the Dollar is up 3.78%. This has traditionally been a very bearish setup

for the Pound. The best 30 matches to those three trends over the last 20 years, has the Pound

4-26 over the next month for an avg/med loss of 1.81/1.31%.

The Pound vs Trailing One Month Pound, Gold and Dollar Trend

TRAILING TRENDS FORWARD BPOUND PERFORMANCE

# DATE BPOUND GOLD DOLLAR 1DAY% 5DAY% 21DAY% 63DAY%

0 20150717 -1.35 -3.86 3.78 ? ? ? ?

1 20050412 -1.60 -4.14 3.68 0.14 1.39 -1.04 -6.08

2 20001030 -1.21 -3.12 3.59 -0.19 -1.50 -1.61 1.09

3 20141001 -1.81 -3.90 3.50 -0.19 -0.09 -1.06 -3.69

4 20050201 -1.55 -3.87 3.22 0.15 -1.53 1.33 0.63

5 20010409 -1.21 -4.76 3.49 -0.85 -1.16 -1.88 -2.78

6 20000809 -0.63 -3.86 4.03 -0.26 0.08 -5.01 -7.78

7 20120111 -2.13 -4.32 3.38 0.16 1.01 2.81 4.16

8 19970122 -2.06 -3.40 4.29 -0.35 -0.83 -1.04 -0.67

9 19970731 -1.20 -1.50 3.95 -0.54 -3.16 -1.18 1.92

10 20100204 -1.47 -4.98 2.96 -0.96 -0.37 -4.27 -5.88

11 20051104 -1.68 -3.18 2.93 -0.34 -0.58 -0.58 -0.22

12 20120517 -1.30 -3.92 2.27 -0.08 -1.04 -0.92 -0.44

13 19970210 -2.13 -2.95 4.18 -0.34 -2.17 -2.70 -1.10

14 20070110 -1.70 -3.19 2.75 0.66 2.15 0.80 2.28

15 20030711 -1.98 -2.99 3.11 -0.89 -2.52 -1.54 1.98

16 20000425 -0.38 -2.17 3.77 -0.22 -1.21 -6.15 -2.90

17 20010221 -1.68 -3.19 2.65 0.17 0.17 -1.35 -1.15

18 19971205 -1.48 -6.73 3.53 -0.62 -0.35 -1.71 -0.90

19 20101208 -1.96 -1.45 3.84 -0.35 -2.18 -2.09 1.13

20 20141106 -1.99 -5.21 3.19 0.16 -0.75 -1.10 -3.82

21 20040420 -2.07 -3.57 2.64 -1.06 -0.09 -0.43 2.98

22 20011106 -1.36 -4.28 2.02 0.13 -1.16 -2.19 -3.26

23 20141231 -1.04 -2.74 2.64 -1.57 -3.19 -3.48 -4.85

24 19991217 -1.44 -4.03 1.96 0.06 0.81 2.59 -0.96

25 20011018 -1.65 -4.12 2.18 -0.74 -1.17 -1.19 -0.61

26 20000202 -1.56 -1.35 4.42 -0.70 0.54 -1.27 -1.39

27 19981116 -1.42 -1.71 2.81 0.01 -1.23 -0.32 -2.37

28 20080801 -1.03 -3.86 1.94 -0.53 -2.73 -9.69 -16.47

29 20140731 -1.57 -3.38 2.06 -0.30 -0.28 -1.89 -5.10

30 20000824 -1.83 -2.15 2.91 -0.71 -2.04 -6.23 -8.15

#UP-DN = 9-21 7-23 4-26 8-22

AVG%CHG= -0.34 -0.84 -1.81 -2.15

MED%CHG= -0.32 -0.94 -1.31 -1.13

Market Correlations

Below are the market correlations between the 14 markets I currently model based

on daily price moves over the last 12 months. The one that grabs your attention is

the SP/Dollar. There is the perception that equities and the Dollar are negatively

correlated and that may be the case over time, but not over the last 12 months.

The SP/Dollar relationship may eventually revert back to negative correlation over

time, as the Nikkei is strongly negatively correlated (-88) to its currency (the Yen)

and the FTSE currently shows a modest (-.34) correlation to its currency (the BP).

12 MT CORRELATION BETWEEN ROW AND COLUMN

S&PS NASD FTSE NIKY GOLD SLVR OILC TBDY BEAN CORN WHT DOLR BPND YEN

S&PS 1.00 0.96 0.65 0.89 -.62 -.62 -.73 -.36 -.37 -.04 -.31 0.80 -.67 -.84

NASDAQ 0.96 1.00 0.62 0.97 -.65 -.65 -.75 -.32 -.45 -.13 -.38 0.87 -.69 -.86

FTSE 0.65 0.62 1.00 0.56 -.08 0.00 -.28 -.20 -.35 -.34 -.54 0.48 -.34 -.29

NIKKEI 0.89 0.97 0.56 1.00 -.68 -.68 -.77 -.34 -.52 -.17 -.40 0.91 -.72 -.88

GOLD -.62 -.65 -.08 -.68 1.00 0.92 0.56 0.14 0.39 0.04 0.23 -.65 0.59 0.77

SILVER -.62 -.65 0.00 -.68 0.92 1.00 0.73 0.37 0.43 -.05 0.20 -.73 0.73 0.86

OILCRD -.73 -.75 -.28 -.77 0.56 0.73 1.00 0.78 0.43 -.18 0.21 -.92 0.92 0.91

TBDYLD -.36 -.32 -.20 -.34 0.14 0.37 0.78 1.00 0.32 -.24 0.19 -.64 0.80 0.52

BNSSOY -.37 -.45 -.35 -.52 0.39 0.43 0.43 0.32 1.00 0.72 0.76 -.59 0.55 0.49

CORN -.04 -.13 -.34 -.17 0.04 -.05 -.18 -.24 0.72 1.00 0.76 -.07 -.05 -.03

WHEAT -.31 -.38 -.54 -.40 0.23 0.20 0.21 0.19 0.76 0.76 1.00 -.46 0.36 0.25

DOLLAR 0.80 0.87 0.48 0.91 -.65 -.92 -.64 -.59 -.73 -.07 -.46 1.00 -.91 -.90

BPOUND -.67 -.69 -.34 -.72 0.59 0.73 0.92 0.80 0.55 -.05 0.36 -.91 1.00 0.85

YEN -.84 -.86 -.29 -.88 0.77 0.86 0.91 0.52 0.49 -.03 0.25 -.90 0.85 1.00

I suppose if we were curious enough, I could run the correlations over the last five or

even ten years and see what comes up?

Tis a Tough Week to be an Ag


The September contracts in Corn, Wheat and Beans were down 3.63, 3.84 and 0.75%

today. The seasonal prospects for the next week do not provide much relief.

AGs FROM JULY 20-27 – Last 30 years

YEAR CORN WHEAT SYBEANS

1985 -2.04 -3.27 -2.56

1986 0.87 0.69 -0.25

1987 -2.52 -0.58 -0.71

1988 -10.26 -4.99 -10.75

1989 -3.13 -2.01 -4.31

1990 1.25 -0.50 -1.01

1991 8.95 4.74 8.33

1992 -1.88 -1.40 -0.72

1993 1.14 4.47 -3.60

1994 -0.46 0.91 0.09

1995 0.43 -1.61 0.92

1996 -4.83 -5.44 -2.17

1997 -3.66 6.70 0.23

1998 -4.09 -5.53 -3.84

1999 0.51 1.92 0.23

2000 -2.69 -0.41 -0.33

2001 5.50 -1.06 5.38

2002 3.51 1.28 -3.71

2003 0.24 2.09 0.09

2004 -5.02 -3.02 -7.73

2005 -2.07 -0.83 -1.56

2006 -1.96 -4.61 -1.86

2007 0.86 6.00 -4.16

2008 -5.29 0.87 -4.80

2009 -0.31 -4.01 -1.61

2010 -3.01 3.12 -1.39

2011 0.51 1.11 -0.53

2012 -3.15 -4.80 -4.99

2013 -9.56 -2.14 -3.83

2014 -2.22 1.08 0.86

#UP-DN = 11-19 13-17 8-22

AVG%CHG= -1.48 -0.37 -1.68

MED%CHG= -2.00 -0.54 -1.48

You may recall, coming into the month, we had and 0-14 study in Corn for July when

Oil was at least +3% over the previous quarter (April-June).


Is Gold Due for a Bounce?


Gold is currently in a free fall with no support in sight, however, many of my studies

suggest, there is potential for a bounce. Gold is down 4.55% over the last week (5 trading

days) and similarly Crude is down 4.31%. The best 30 matches to 4.5ish one week sell offs

simultaneously in Gold and Crude, historically result in a bounce for Crude. The best 30

matches to those two trailing trends over the last 30 years are presented below, in order of

best match, with the subsequent 1/5/21/63 day Gold performance.

GOLD PERFORMA VS TRAILING 4.55/4.31 ONE WK GOLD/OIL DECLINES

TRAILING FORWARD GOLD PERFORMANCE

# DATE GOLD% OILCRD% 1DAY% 5DAY% 21DAY% 63DAY%

0 20150720 -4.55 -4.31 ? ? ? ?

1 20080912 -4.71 -4.53 3.00 13.17 10.36 8.57

2 20141106 -4.66 -4.08 2.38 1.67 4.35 8.29

3 20010316 -4.80 -4.52 0.66 1.30 1.15 5.25

4 20041210 -4.83 -4.60 1.16 1.79 -2.78 1.68

5 19991020 -4.50 -3.69 -0.58 -4.25 -3.86 -5.92

6 20000329 -4.24 -4.36 0.09 1.92 -0.72 6.32

7 20061006 -4.32 -4.56 1.06 2.92 9.44 7.15

8 20111219 -4.19 -3.85 1.33 -0.01 4.31 3.44

9 20030624 -4.65 -3.63 0.87 1.48 4.55 11.53

10 20080430 -4.79 -3.86 0.00 0.73 2.67 4.47

11 20060310 -4.65 -5.32 1.16 2.61 10.66 12.58

12 20080205 -4.21 -3.28 1.68 2.45 10.09 -1.19

13 20051220 -5.03 -5.39 -0.32 4.00 12.72 11.18

14 20101116 -5.08 -4.85 -0.11 2.93 2.41 2.75

15 19991202 -4.88 -3.87 -1.64 -2.18 1.32 1.59

16 20080403 -4.59 -3.25 0.45 2.60 -5.37 4.39

17 19970709 -4.42 -3.16 0.68 0.37 2.67 -11.06

18 20130220 -4.32 -3.06 0.04 1.13 2.26 -12.74

19 20120514 -4.76 -3.16 -0.25 1.78 3.69 3.15

20 20080807 -4.70 -3.04 -1.48 -7.15 -8.41 -14.80

21 20101021 -3.77 -3.28 -0.02 1.32 2.07 1.24

22 20120302 -3.74 -2.73 -0.34 0.11 -1.86 -5.19

23 20100122 -4.66 -6.04 0.55 -0.61 2.12 5.82

24 20010529 -4.14 -5.22 -2.99 -2.97 -0.55 -0.41

25 20081113 -3.69 -3.94 5.32 6.23 18.63 37.35

26 20110107 -3.69 -3.56 0.38 -0.61 -0.38 7.67

27 20060213 -5.42 -5.43 1.29 2.82 2.66 26.79

28 20100209 -3.64 -4.29 -0.08 3.98 2.88 13.29

29 20120622 -3.74 -4.61 1.37 2.39 0.62 13.36

30 20080529 -5.51 -4.69 1.16 -0.59 6.05 -5.50

#UP-DN = 20-10 22- 8 22- 8 22- 8

AVG%CHG= 0.56 1.38 3.13 4.70

MED%CHG= 0.50 1.57 2.54 4.43


Gold vs current Trailing One Month Gold and Dollar Trends

Gold is down 8.28% over the last month (20 trading days), while the Dollar has managed to

post a 4.17% gain over that period. This had historically been a setup that brings higher

Gold prices. The 30 best matches to those two price trends over the last 20 years are

presented below, in order of best match, with the subsequent Gold Performance 1/5/21 and

63 days later.

GOLD PERFORMA WHEN TRAILING GOLD/DOL TRENDS ARE -8.28/4.17%

TRAILING MT %CH FORWARD GOLD PERFORMANCE

# DATE GOLD DOLLAR 1DAY% 5DAY% 21DAY% 63DAY%

0 20150720 -8.28 4.17 ? ? ? ?

1 20100104 -8.20 3.88 0.00 2.96 -0.60 1.50

2 19971209 -7.62 4.17 1.42 0.61 -0.33 5.37

3 20130710 -9.44 3.61 2.60 2.41 5.06 6.16

4 20040430 -9.48 3.75 0.00 -2.15 1.90 1.22

5 20120529 -6.91 4.62 0.95 4.30 1.89 8.02

6 19991112 -7.59 3.79 0.14 1.27 -4.02 5.69

7 20090417 -9.50 3.43 2.26 5.34 6.20 8.06

8 20080908 -7.04 4.94 -1.30 -1.82 10.13 -5.86

9 19990604 -8.38 3.27 0.04 -1.66 -3.13 -3.84

10 20030407 -9.37 3.23 0.22 0.85 6.37 7.01

11 20111005 -9.60 4.57 0.71 2.51 7.57 -1.29

12 20081117 -5.85 4.46 -1.25 10.47 17.04 31.72

13 20030716 -5.57 4.45 0.32 4.52 6.67 9.66

14 20100209 -6.47 3.71 -0.08 3.98 2.88 13.29

15 20080514 -8.49 2.79 1.56 7.19 0.55 -4.70

16 20111214 -11.08 3.41 -0.61 1.75 4.45 4.44

17 20141112 -6.84 3.43 0.21 3.01 5.22 5.49

18 20130304 -5.84 3.88 0.16 0.35 -1.26 -10.26

19 20140926 -5.81 3.84 0.28 -1.82 1.21 -1.77

20 20060627 -10.87 2.60 -0.56 7.82 8.49 1.53

21 20120106 -7.18 3.12 -0.54 0.87 8.05 1.61

22 20050125 -5.28 4.05 1.14 -0.27 3.10 3.96

23 20040312 -4.38 4.49 1.01 4.34 2.95 -2.96

24 20050414 -4.40 4.14 0.22 2.16 -0.87 -0.97

25 20001025 -4.12 4.74 -0.47 -0.80 4.32 -1.72

26 20090115 -4.10 4.65 4.04 10.97 19.82 7.47

27 20131125 -8.23 2.11 0.02 -1.57 -2.19 7.55

28 20081017 -8.72 6.10 0.32 -7.11 -5.55 8.97

29 20030626 -6.93 2.64 0.38 2.07 6.04 12.05

30 19970130 -3.70 4.98 -0.28 -0.07 7.16 4.20

#UP-DN = 22- 8 21- 9 22- 8 21- 9

AVG%CHG= 0.43 2.08 3.97 4.05

MED%CHG= 0.21 1.91 3.71 4.32

Gold Performance vs Current Trailing One Week Gold/Bonds/SPs

Gold is down 4.55% over the last week while Bond Yields (when treated like a commodity

price are down 3.15% and the S&P is up 1.34%. This setup had historically been constructive

for Gold Prices over the very short term. The 30 best matches, over the last 20 years to those

there trends are listed below, along with subsequent Gold Performance.

GOLD PERFORMA VS CURRENT TRAILING GOLD/BONDYLD/S&P WEEK TRENDS

TRAILING 1 WEEK %CHG FORWARD GOLD PERFORMANCE

# DATE GOLD TBDYLD S&P 1DAY% 5DAY% 21DAY% 63DAY% 0 20150720 -4.55 -3.15 1.34 ? ? ? ?

1 20111229 -4.47 -3.00 1.55 1.68 4.93 12.81 8.35

2 19970709 -4.42 -2.67 1.85 0.68 0.37 2.67 -11.06

3 20140530 -3.83 -3.35 1.64 -0.17 0.52 6.15 3.52

4 19980106 -3.32 -3.38 1.39 0.86 0.57 6.26 9.82

5 20040116 -4.62 -1.81 1.60 1.45 -0.06 1.37 -1.44

6 20030612 -4.15 -3.87 0.85 0.94 2.27 -1.62 7.60

7 20130918 -4.10 -2.75 2.15 4.73 2.15 1.14 -5.90

8 20051216 -4.44 -1.90 0.63 0.05 -0.04 10.80 9.70

9 20010605 -2.97 -3.42 1.23 0.01 2.21 -0.11 2.29

10 19990318 -4.03 -1.62 1.45 0.36 -0.11 0.60 -8.54

11 20130628 -5.28 -1.96 0.87 2.61 0.91 8.18 9.37

12 20041210 -4.83 -2.43 -0.27 1.16 1.79 -2.78 1.68

13 19980506 -3.17 -2.14 0.94 -0.66 -0.76 -3.29 -4.41

14 19971024 -4.85 -2.18 -0.27 1.38 1.69 0.31 1.13

15 20060606 -3.70 -2.12 0.32 -0.31 -10.58 0.85 1.61

16 20080502 -3.55 -1.31 1.15 1.88 3.27 2.86 6.05

17 20130404 -3.39 -3.33 -0.18 1.52 0.80 -5.67 -19.38

18 20140324 -4.48 -1.57 -0.07 0.02 -2.11 -2.04 0.57

19 20120229 -3.38 -1.90 0.59 0.64 -1.59 -3.43 -8.61

20 20071119 -3.64 -2.40 -0.41 1.73 4.67 3.16 21.65

21 20101022 -3.40 -1.50 0.59 1.05 2.48 2.51 1.52

22 20131223 -3.78 -1.31 2.32 0.56 0.50 5.71 9.08

23 19990824 -3.25 -1.00 1.44 -0.19 0.94 4.51 16.08

24 20060818 -3.32 -2.36 2.83 2.23 1.67 -5.79 1.39

25 20050204 -2.73 -2.82 2.70 -0.09 1.61 6.42 3.07

26 19991105 -3.06 -1.79 0.54 0.04 0.41 -2.38 3.79

27 20080813 -5.75 -2.35 -0.26 -2.03 -1.76 -7.88 -11.25

28 20090402 -3.46 -1.92 0.00 -1.30 -2.77 -0.63 2.58

29 20060216 -3.22 -1.29 2.03 1.07 2.40 1.65 24.42

30 20090730 -2.08 -3.26 1.07 2.01 2.77 2.40 10.22

#UP-DN = 23- 7 21- 9 19-11 22- 8

AVG%CHG= 0.80 0.64 1.49 2.83

MED%CHG= 0.77 0.86 1.25 2.43

A Bearish Nikkei Observation for Wednesday


On my first pass through today’s scans the first study which caught my attention was the

seasonal bearishness for the Nikkei tomorrow, with the 1% moves over the last 30 years, 2-12

to the down side.

THE NIKKEI ON TOMORROWS BEST DATE MATCH

TRAILING 3 MONTH (63 DAY) % CHANGE = 4.69

NUM UP= 7 NUM DN=17 NUM UNC= 6 MED%CHG=-0.60 AVG%CHG=-0.42

DATE DATE DATE TR3MT TREND TIME TOTAL TOMRWS

# TODAY TOMORROW NEXTDAY %CHG WGHT WGHT WGHT PCTCHG 1 19850719 19850722 19850723 5.00 0.056 0.023 0.038 -0.13

2 19860721 19860722 19860723 10.71 0.028 0.023 0.020 0.67

3 19870721 19870722 19870723 -3.38 0.025 0.024 0.018 -1.63

4 19880721 19880722 19880725 3.82 0.051 0.025 0.038 -1.41

5 19890720 19890721 19890724 0.90 0.038 0.025 0.029 0.70

6 19900720 19900723 19900724 8.27 0.042 0.026 0.032 -1.62

7 19910719 19910722 19910723-14.67 0.016 0.026 0.013 -0.70

8 19920721 19920722 19920723 -6.26 0.022 0.027 0.018 -2.88

9 19930721 19930722 19930723 -1.07 0.030 0.028 0.025 0.17

10 19940721 19940722 19940725 2.13 0.046 0.028 0.039 -0.78

11 19950720 19950721 19950724 0.47 0.036 0.029 0.032 0.82

12 19960719 19960722 19960723 -1.54 0.027 0.030 0.024 -2.19

13 19970718 19970722 19970723 10.34 0.031 0.031 0.029 -0.46

14 19980721 19980722 19980723 5.43 0.054 0.031 0.050 -1.59

15 19990721 19990722 19990723 8.34 0.040 0.032 0.039 -2.89

16 20000719 20000721 20000724-10.47 0.020 0.033 0.020 -1.01

17 20010719 20010723 20010724-12.71 0.017 0.034 0.018 -2.51

18 20020719 20020722 20020723-11.86 0.018 0.035 0.019 -0.13

19 20030718 20030722 20030723 20.99 0.019 0.036 0.020 -0.44

20 20040721 20040722 20040723 -3.30 0.026 0.036 0.028 -1.30

21 20050721 20050722 20050725 7.76 0.044 0.037 0.049 -0.78

22 20060720 20060721 20060724-13.27 0.017 0.038 0.019 -0.84

23 20070720 20070723 20070724 2.78 0.049 0.039 0.057 -1.07

24 20080718 20080722 20080723 -4.44 0.023 0.040 0.028 2.98

25 20090721 20090722 20090723 10.24 0.033 0.041 0.041 0.74

26 20100721 20100722 20100723-16.42 0.015 0.042 0.019 -0.62

27 20110721 20110722 20110725 4.75 0.062 0.043 0.080 1.22

28 20120720 20120723 20120724-10.32 0.021 0.044 0.028 -1.86

29 20130719 20130722 20130723 9.56 0.034 0.045 0.047 0.47

30 20140721 20140722 20140723 4.84 0.059 0.047 0.082 0.84

31 20150721 20150722 20150723 4.69 ? ? ? ?


GOLD VS CURRENT TRAILING ONE MONTH GOLD/CORN TRENDs


Gold is down 8.22% over the last month (21 trading days), while Corn is up 13.31% over that

same period. Over the last 20 years, the 30 closest matches to those two trailing one month

trends, tends to result in strong Gold performance over the next 1-63 trading days.

GOLD VS CURRENT TRAILING ONE MONTH GOLD/CORN TREND

TRAILING MT% FORWARD GOLD PERFORMANCE

# DATE GOLD CORN 1DAY% 5DAY% 21DAY% 63DAY%

0 20150721 -8.22 13.31 ? ? ? ?

1 20090406 -7.52 12.23 1.23 2.23 4.48 6.59

2 20061005 -9.95 12.88 0.26 0.98 9.93 6.43

3 20120104 -7.74 10.63 0.46 1.68 7.80 -0.01

4 20100729 -5.94 13.80 1.14 2.47 5.81 13.18

5 20020819 -5.48 13.95 0.88 1.12 4.79 4.89

6 20141113 -6.65 11.06 2.08 2.54 3.73 3.68

7 20090318 -8.10 8.15 7.84 5.26 -2.41 5.22

8 20080403 -7.95 7.84 0.45 2.60 -5.37 4.39

9 20040210 -4.71 12.11 0.94 1.47 -1.34 -7.18

10 20080624 -3.85 18.59 -1.03 6.01 3.60 -0.51

11 19971024 -4.49 11.66 1.38 1.69 0.31 1.13

12 20010726 -3.73 12.94 0.42 0.44 2.44 5.44

13 20110202 -6.40 7.83 1.56 2.51 7.28 13.81

14 20080418 -3.40 13.32 0.28 -2.72 -0.89 4.81

15 20060607 -7.50 6.11 -2.91 -10.33 0.93 1.12

16 20080821 -9.63 4.49 -0.67 -0.18 8.42 -11.72

17 20080909 -8.25 5.07 -3.70 -1.37 14.72 -2.47

18 20070613 -3.09 13.20 0.53 1.26 3.15 10.25

19 20100708 -3.86 11.42 1.15 1.03 0.63 12.58

20 20020723 -3.74 11.16 -0.38 -2.84 -1.55 -0.52

21 20100105 -8.20 4.43 1.63 1.00 -4.98 3.04

22 20040227 -4.30 9.82 0.71 1.23 5.19 -0.40

23 20120802 -2.09 18.25 1.17 1.88 6.14 5.51

24 20070822 -3.58 11.30 -0.02 1.14 10.76 19.64

25 20140401 -5.18 7.85 0.85 2.13 0.30 3.71

26 20050718 -3.62 10.76 -0.18 1.20 6.13 11.65

27 20130503 -5.67 6.91 0.26 -1.89 -4.59 -10.54

28 20130528 -5.15 7.54 0.90 1.32 -10.84 0.97

29 19960422 -1.64 20.54 -0.04 -0.22 -0.34 -2.01

30 20030408 -9.17 2.95 1.06 0.84 8.15 6.62

#UP-DN = 22- 8 23- 7 21- 9 21- 9

AVG%CHG= 0.61 0.82 2.75 3.64

MED%CHG= 0.62 1.21 3.37 4.05


GOLD VS CURRENT TRAILING ONE MONTH GOLD/wheat TRENDs


I struggled to explain the Gold/Corn relationship outlined in the previous study, but

interestingly, Gold vs Wheat gave similar results. Gold is down 8.22% over the last month

(21 trading days), while Wheat is up 6.55% over that same period. Over the last 20 years, the

30 best matches to those two trailing trends produced statistically significant positive results

for Gold over the next 1-63 days.

GOLD VS CURRENT TRAILING ONE MONTH GOLD/WHEAT TREND

TRAILING MT% FORWARD GOLD PERFORMANCE

# DATE GOLD WHEAT 1DAY% 5DAY% 21DAY% 63DAY%

0 20150721 -8.22 6.55 ? ? ? ?

1 20130501 -8.21 6.46 1.48 1.90 -3.72 -9.30

2 20120103 -7.82 6.96 0.76 1.94 9.80 4.36

3 20090406 -7.52 5.49 1.23 2.23 4.48 6.59

4 20060920 -7.34 5.77 0.37 2.95 3.37 7.27

5 20141113 -6.65 7.21 2.08 2.54 3.73 3.68

6 20131001 -7.88 4.17 2.69 2.97 4.89 -6.40

7 20110202 -6.40 7.16 1.56 2.51 7.28 13.81

8 20060606 -7.81 3.44 -0.31 -10.58 0.85 1.61

9 20061006 -7.30 10.41 1.06 2.92 9.44 7.15

10 19991108 -9.43 1.78 0.69 0.51 -2.90 2.83

11 20120525 -5.49 7.00 -1.29 2.77 0.36 6.47

12 20020726 -5.41 11.30 -0.29 1.23 2.06 2.46

13 20070608 -5.25 9.38 1.37 1.44 3.13 9.04

14 20011022 -5.52 6.02 0.22 1.33 -0.94 1.18

15 20140401 -5.18 8.72 0.85 2.13 0.30 3.71

16 20080826 -11.28 3.80 0.72 -2.39 6.65 -0.41

17 20020819 -5.48 5.97 0.88 1.12 4.79 4.89

18 20020703 -5.08 11.42 0.00 2.03 -1.33 3.30

19 20050106 -6.86 3.09 -0.49 0.87 -1.74 1.47

20 20130620 -6.67 2.55 0.44 -5.80 3.87 6.48

21 20120323 -6.90 2.07 1.40 0.42 -1.14 -5.76

22 20131018 -4.03 7.42 0.10 2.89 -3.24 -5.38

23 20071207 -4.52 14.05 1.68 -0.09 10.74 22.48

24 20060308 -4.73 5.13 0.51 1.91 9.61 15.49

25 20070820 -3.91 8.85 0.01 1.58 9.78 19.41

26 20030218 -3.86 9.48 1.66 2.36 -2.33 5.82

27 20011106 -4.28 5.76 0.40 -0.76 -2.04 7.10

28 20010726 -3.73 8.39 0.42 0.44 2.44 5.44

29 20090501 -4.14 5.90 1.58 3.01 10.73 7.45

30 19990607 -8.33 -1.25 -1.23 -1.85 -3.09 -4.29

#UP-DN = 25- 5 24- 6 20-10 24- 6

AVG%CHG= 0.69 0.82 2.86 4.60

MED%CHG= 0.71 1.74 2.78 4.63


CORN VS CURRENT TRAILING ONE MONTH CORN/Gold/Wheat TRENDS


Flipping the above studies and shuffling them up a bit produced and interesting Corn study.

Corn, Gold and Wheat are up 13.31, down 8.22 and up 6.55%, resp, over the last month (21

trading days). Over the last 20 years, the 30 closest matches to those three trailing trends

have been very hazardous for Corn.

Corn vs Current Trailing One Month Corn/Gold/Wheat Trends

TRAILING TRENDS FORWARD CORN PERFORMANCE

# DATE CORN GOLD WHEAT 1DAY% 5DAY% 21DAY% 63DAY%

0 20150721 13.31 -8.22 6.55 ? ? ? ?

1 20090406 12.23 -7.52 5.49 -2.22 -2.95 -1.98 -23.46

2 20120109 10.00 -7.68 6.87 0.00 -7.36 -1.58 -4.84

3 20141113 11.06 -6.65 7.21 -1.13 -3.13 2.45 -2.49

4 20020819 13.95 -5.48 5.97 -2.43 -0.99 -1.80 -13.73

5 20061005 12.88 -9.95 11.27 -0.28 9.75 25.88 28.17

6 20110202 7.83 -6.40 7.16 -0.96 4.27 7.10 6.13

7 20040130 13.92 -3.54 6.50 -1.95 1.07 5.06 12.28

8 20010726 12.94 -3.73 8.39 1.03 -2.06 -0.64 -10.33

9 20060607 6.11 -7.50 3.64 -2.00 -5.23 -4.47 -14.46

10 20140401 7.85 -5.18 8.72 -2.15 0.20 -0.98 -17.38

11 20050718 10.76 -3.62 5.70 -4.42 -11.35 -18.57 -25.44

12 19971024 11.66 -4.49 0.89 -0.78 -3.45 -5.79 -7.71

13 20040227 9.82 -4.30 2.69 -0.08 -1.90 0.66 -3.07

14 20130503 6.91 -5.67 3.07 -3.74 -3.78 -2.15 -19.02

15 20020702 8.78 -4.17 9.29 -1.80 -2.87 5.91 4.68

16 20120316 6.66 -4.13 5.99 -1.41 -3.94 -9.66 -19.92

17 20070822 11.30 -3.58 10.64 -0.62 -6.59 3.36 4.53

18 20070608 6.21 -5.25 9.38 3.78 9.16 -11.47 -15.25

19 20020724 10.29 -4.02 12.09 -2.01 -0.80 5.00 -2.74

20 20130528 7.54 -5.15 0.18 -0.23 -2.92 -4.54 -13.29

21 20000128 9.69 -2.98 5.27 -1.57 -1.57 -3.19 -3.22

22 20120517 5.22 -3.92 6.82 1.68 -7.44 -9.22 36.73

23 19990803 8.11 -2.74 7.76 2.49 4.33 -4.23 -13.95

24 20050601 7.37 -3.38 2.40 -3.22 -3.32 -4.72 -10.76

25 20130620 3.61 -6.67 2.55 -1.04 -4.35 -9.61 -19.99

26 20100106 8.56 -2.83 1.66 -1.01 -8.95 -16.56 -20.03

27 19960311 7.30 -3.19 1.08 -0.83 -0.96 14.73 28.78

28 20080620 18.50 -2.84 11.32 0.44 4.38 -22.03 -28.70

29 20080821 4.49 -9.63 14.11 -1.78 -4.82 -9.55 -38.70

30 19970731 13.95 -1.50 9.20 0.47 -5.51 0.56 5.04

#UP-DN = 7-23 7-23 10-20 8-22

AVG%CHG= -0.93 -2.10 -2.40 -6.74

MED%CHG= -1.03 -2.93 -2.07 -10.33


Wayne on Current Market Confusion


There has been a discernable increase in the number of issues making both New 52 Week

Highs and Lows at the same time in the S&P 500. I refer to such an anomaly as a confused

market. Normally one of those two categories is close to zero. It normally happens when a

particular sector is out of sync with the rest of the market. For example, if the market is

making new highs while interest rates are rising, the banking stocks may be in a bear market

and setting new lows, which has historically been bearish. That was the case, in the summer

of 87. Currently, commodities, such as Oil, Metals and Agriculturals are in Bear Markets

and taking some stocks lower with them, while most equity indexes are hovering around all

time highs. Thus the confusion. On Tuesday, we had the five day average (NH5) of stocks

making new 52 week highs at 6.72% on the S&P, while NL5 was at 4.48%.

New 52 Week Highs and Lows on the S&P

DATE S&P500 NH NL NH5 NL5

20150716 2124.29 48 12 7.20 2.44

20150717 2126.64 21 26 7.36 2.76

20150720 2128.28 43 30 7.36 3.52

20150721 2119.21 27 28 6.72 4.48

20150722 2114.15 35 42 6.96 5.52

I scanned for all the days where the five day average of issues making both New 52 week

Highs and Lows was over 4%. Ignoring one month repeats, I only found eleven. They are

listed below. It is hard to draw much of a conclusion based on only eleven data points, but

they resulted in below average performance. Something for the Bears to gravitate too.

S&P 500 PERFORMANCE WHEN NH5 AND NL5 ARE > 4%

DATE NH5 NL5 1MT% 3MT% 6MT% 12MT%

19800219 4.00 4.04 -8.98 -6.05 6.98 10.48

19891219 4.44 4.12 -0.97 0.31 4.68 -3.58

19980713 9.48 4.76 -7.75 -14.62 5.94 19.60

19991207 4.20 4.12 2.29 -3.80 4.42 -4.66

20000209 4.24 8.28 -0.71 0.03 4.33 -6.87

20000927 4.48 6.00 -3.29 -6.85 -17.13 -28.60

20051006 4.28 4.28 2.40 7.89 9.87 13.27

20070725 5.56 4.08 -2.55 -0.24 -12.35 -17.15

20071019 4.24 5.60 -4.49 -11.69 -7.35 -37.32

20071226 4.72 4.68 -11.15 -10.45 -14.32 -41.72

20141212 8.84 4.84 1.29 3.18 4.58 5.58

#UP-DN = 3- 8 4- 7 7- 4 4- 7

AVG%CHG= -3.08 -3.85 -0.94 -8.27

MED%CHG= -2.55 -3.80 4.42 -4.66


A Seasonal Bond Yield Observation


Just as everyone, and their Uncle, was certain Bond Yields were headed to the moon, they

turned around and headed south again, as 30 Year Bond Yields closed below 3% today

(2.98%) for the first time since June 01. This would be inline with seasonal tendencies at this

time of year, as Bond Yields have been down over the next month (July23-Aug23) in 20 of the

last 24 years. September Crude Oil closed today at 48.60, down from 61.33, a month ago (June

23) and commodities (Metals, Ags, Energy, Bond Yields) tend to be in a strong summer down

trend. It will be interesting to see if the dog days of summer, combined with the downward

trend in commodities start to take on toll on equities, as well? Stay tuned.

Thirty Year Bond Ylds Jul23-Aug23

30 YEAR BOND BASIS PT

YEAR JULY23% AUG23% CHANGE

1985 10.39 10.65 26

1986 7.17 7.31 14

1987 8.54 8.90 36

1988 9.21 9.39 18

1989 8.16 8.19 3

1990 8.54 9.11 57

1991 8.50 8.13 -37

1992 7.54 7.36 -18

1993 6.71 6.22 -49

1994 7.56 7.54 -2

1995 6.95 6.91 -4

1996 6.96 6.90 -6

1997 6.41 6.66 25

1998 5.66 5.46 -20

1999 6.00 5.98 -2

2000 5.80 5.68 -12

2001 5.53 5.40 -13

2002 5.28 5.03 -25

2003 5.04 5.24 20

2004 5.17 5.07 -10

2005 4.44 4.41 -3

2006 5.10 4.95 -15

2007 5.07 4.92 -15

2008 4.70 4.46 -24

2009 4.60 4.36 -24

2010 4.02 3.67 -35

2011 4.26 3.48 -78

2012 2.52 2.78 26

2013 3.58 3.80 22

2014 3.26 3.16 -10

2015 2.98 ? ?

#UP-DN = 10-20

AVG%CHG= -5.17

MED%CHG= -8.00


Is crude oil due for a bounce ?


Over the last month (20 trading days), Crude Oil has declined 18.99%, closing today at

48.45/barrel. Over that same period of time, 30 Year Treasury Bond Ylds, when treated like a

commodity price, have dropped 5.34%. That is, (3.146-2.978)/2.978 = 5.34%. Scanning the two

respective databases over the last 20 yrs, for those 2 trailing monthly moves, suggests Crude

is likely a bit oversold and due for a bounce over the next few days. They are listed below,

in order of best match. I don’t have enough evidence, from enough angles, to take an oil

position at this time, but am on Long Crude alert, if additional support were to present itself.

OIL AFTER A ONE MONTH -18.99/-5.34 TRAILING OIL/BONDYLD TREND

TRAILING ONE MT FORWARD OILCRD PERFORMANCE

# DATE OILCRD% TBDYLD% 1DAY% 5DAY% 21DAY% 63DAY%

0 20150723 -18.99 -5.34 ? ? ? ?

1 19981208 -18.75 -5.49 -1.14 2.75 15.41 25.01

2 20001208 -19.31 -5.13 3.53 0.54 5.85 6.25

3 20000405 -19.13 -5.84 -0.69 -2.33 8.62 20.38

4 20011018 -20.24 -5.68 2.44 0.98 -17.25 -21.63

5 20030919 -17.30 -4.71 -0.38 2.65 8.39 16.87

6 19980619 -17.07 -4.22 13.57 18.13 17.49 33.47

7 20141229 -19.75 -4.60 0.92 -10.49 -16.49 -12.00

8 20141128 -18.79 -4.15 4.28 -0.60 -19.01 -23.60

9 20050429 -15.23 -4.44 2.44 2.65 1.18 16.43

10 20021113 -15.22 -4.20 0.38 7.03 16.41 52.54

11 20060922 -15.04 -4.05 1.58 4.38 -4.32 -0.69

12 20090714 -14.85 -4.40 3.49 9.24 18.54 27.51

13 19970620 -14.73 -4.73 1.35 3.14 1.52 0.33

14 20100602 -14.66 -4.50 2.45 2.31 0.22 0.13

15 20050520 -15.01 -3.06 1.08 6.74 21.82 33.45

16 20041210 -15.99 -3.02 0.67 13.33 11.16 33.58

17 19961105 -15.48 -2.95 -0.07 1.64 8.07 2.94

18 20081119 -18.97 -2.93 -7.42 2.17 -35.97 -47.89

19 20081010 -14.30 -4.39 4.54 -7.31 -20.38 -60.64

20 20010102 -14.06 -5.14 2.91 1.59 18.44 2.65

21 20080916 -18.89 -7.88 6.64 29.61 -8.70 -45.22

22 20141027 -13.96 -4.59 0.49 -2.87 -8.93 -45.31

23 20010314 -13.67 -2.76 0.53 0.87 6.36 6.57

24 20080818 -13.56 -4.52 1.52 1.71 -13.50 -43.81

25 19971212 -13.56 -2.79 -0.20 1.11 -9.14 -18.91

26 20020612 -13.46 -3.83 4.04 2.65 9.42 22.86

27 20100205 -13.22 -4.26 1.03 4.37 15.15 7.18

28 20110523 -13.03 -4.26 1.96 5.26 -2.58 -13.34

29 19981019 -12.83 -2.73 0.71 6.46 -5.23 -14.20

30 20011119 -20.36 -2.80 3.91 5.71 6.17 7.31

#UP-DN = 24- 6 25- 5 18-12 18-12

AVG%CHG= 1.89 3.78 0.96 -1.06

MED%CHG= 1.43 2.65 3.68 2.80


wayne whaley market commentaryfiles.ctctcdn.com/5f91c101101/d13a9cd4-cac3-4683-9cf8-51... · 2015....

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