IWM next week after high weekly RSI, CCI followed by lower readings

I was looking at the weekly performance of the IWM after the weekly RSI(10) had been in the 90% percentile of the past year’s readings, and then fell below the the prior week’s ranking.  The data is from Yahoo! since mid 2001.  For the following week, it has a slight positive bias – median high of the week is 2.36% above the close of the prior week (vs 1.80% all weeks), and the median low is -1.59% below (vs -1.87%), and the median close was 0.85% above the prior week close (vs 0.15% for all weeks).  3 times there was a gap lower that was never filled, and 1 time there was a gap higher that was never filled during the week.  21 times it closed higher, 16 times lower.  I believe the 419/45 and 27/437 indicate that about 1 week out of 10 the intraday low for the next week will be above the close of the prior week, but only 1 out of 20 weeks will the high of the week be less than the close of the prior week.  However, the chances seem to be reversed when the RSI was high and then fell.  In other words, only once  out of 37 weeks was the week’s intraday low above the close – therefore, if the IWM gaps up this Monday, it has a very good chance of filling the gap by the end of the week.

intraday high intraday low week close all weeks high all weeks low all weeks close
median 2.36% -1.59% 0.85% 1.80% -1.87% 0.15%
<0 3 36 16 27 419 222
>0 34 1 21 437 45 242

Looking at the weekly CCI(8.  In this table, both this week and last week’s CCI(8) was above 100 and this week was less than last week.  It also shows some positive bias for the next week, but not quite as strong as looking at the RSI (and it had a larger number of unfilled downside gaps – the percentages closer to any week results).

Intraday High Intraday Low Week Close
median percent change 1.63% -1.40% 0.36%
<0 2(unfilled gap) 45 22
>0 47 4(unfilled gap) 27
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: