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(7/6/13)
The Bulls have a chance to keep the market afloat for several
more months if a
Zweig Breadth Thrust occurs by next Tuesday. The criteria for this event
include the following using Advance...Decline data from the NYSE.
1. Take the Daily Number of Advancing stocks and divide
that number by the number of Advancing and Declining stocks.
2. From the value in step 1 then calculate a 10 Day Exponential Moving
Average.
3. A Breadth Thrust occurs when the 10 Day EMA closes below 40% and then
rises above 61.5% within 10 trading days. Based on data going back to
1940 from the WSJ the
chart below shows all of the Breadth Thrust Signals (using other data sources
may lead to different results). Notice the
two most recent Breadth Thrusts occurred in October of 2011 and back in March of
2009. Before 2009 there were not any signals for several years with the
last one in August of 1984. 
Meanwhile the tables below show the
performance of the Dow and S&P Composite when a Breadth Thrust has
occurred. As you can see, at least since 1940, there has never been a
bad signal for either the 6 Month or 12 Month Return. Furthermore
only once was there a negative 24 Month Return (highlighted in
blue). Dow Performance after a
Zweig Breadth Thrust Signal (1940-Present)
| Signal |
Closing |
6 Months |
6 Month |
12 Months |
12 Month |
24 Months |
24 Month |
| Date |
Price |
Later |
Return |
Later |
Return |
Later |
Return |
| 12/8/1943 |
134.40 |
141.90 |
5.6 |
150.50 |
12.0 |
195.20 |
45.2 |
| 2/3/1945 |
154.80 |
163.10 |
5.4 |
207.00 |
33.7 |
181.90 |
17.5 |
| 3/8/1949 |
176.10 |
180.50 |
2.5 |
203.70 |
15.7 |
252.80 |
43.6 |
| 7/21/1950 |
207.70 |
246.90 |
18.9 |
253.70 |
22.1 |
273.90 |
31.9 |
| 7/11/1962 |
589.06 |
671.60 |
14.0 |
709.76 |
20.5 |
847.50 |
43.9 |
| 11/5/1962 |
610.48 |
723.30 |
18.5 |
749.22 |
22.7 |
873.50 |
43.1 |
| 12/3/1971 |
859.59 |
961.39 |
11.8 |
1023.93 |
19.1 |
806.50 |
-6.2 |
| 10/10/1974 |
648.10 |
781.30 |
20.6 |
823.91 |
27.1 |
952.40 |
47.0 |
| 1/3/1975 |
634.50 |
871.80 |
37.4 |
858.70 |
35.3 |
999.80 |
57.6 |
| 8/20/1982 |
869.30 |
1092.80 |
25.7 |
1194.20 |
37.4 |
1217.00 |
40.0 |
| 8/3/1984 |
1202.10 |
1277.70 |
6.3 |
1353.10 |
12.6 |
1763.60 |
46.7 |
| 3/18/2009 |
7486.58 |
9820.20 |
31.2 |
10779.17 |
44.0 |
11858.52 |
58.4 |
| 10/14/2011 |
11644.49 |
12849.59 |
10.3 |
13328.85 |
14.5 |
? |
? |
|
|
|
|
|
|
|
|
|
|
Avg Return |
16.0 |
Avg Return |
24.4 |
Avg Return |
39.1 |
S&P Composite Performance after a Zweig Breadth Thrust
Signal (1940-Present)
| Signal |
Closing |
6 Months |
6 Month |
12 Months |
12 Month |
24 Months |
24 Month |
| Date |
Price |
Later |
Return |
Later |
Return |
Later |
Return |
| 12/8/1943 |
11.50 |
12.25 |
6.5 |
13.09 |
13.8 |
17.65 |
53.5 |
| 2/3/1945 |
13.65 |
14.68 |
7.5 |
17.19 |
37.1 |
15.80 |
15.8 |
| 3/8/1949 |
14.89 |
15.41 |
3.5 |
17.19 |
15.4 |
21.95 |
47.4 |
| 7/21/1950 |
17.59 |
21.41 |
21.7 |
21.88 |
24.4 |
24.95 |
41.8 |
| 7/11/1962 |
57.73 |
64.85 |
12.3 |
69.75 |
20.8 |
83.36 |
44.4 |
| 11/5/1962 |
58.35 |
70.03 |
20.0 |
73.45 |
25.9 |
85.16 |
45.9 |
| 12/3/1971 |
97.06 |
109.73 |
13.1 |
119.10 |
22.7 |
93.90 |
-3.3 |
| 10/10/1974 |
69.79 |
83.77 |
20.0 |
88.21 |
26.4 |
102.56 |
47.0 |
| 1/3/1975 |
70.71 |
94.36 |
33.4 |
90.90 |
28.6 |
107.00 |
51.3 |
| 8/20/1982 |
113.02 |
148.00 |
31.0 |
163.97 |
45.1 |
164.94 |
45.9 |
| 8/3/1984 |
162.35 |
178.63 |
10.0 |
191.48 |
17.9 |
234.91 |
44.7 |
| 3/18/2009 |
794.35 |
1068.30 |
34.5 |
1165.83 |
46.8 |
1279.20 |
61.0 |
| 10/14/2011 |
1224.58 |
1370.26 |
11.9 |
1428.59 |
16.7 |
? |
? |
|
|
|
|
|
|
|
|
|
|
Avg Return |
17.3 |
Avg Return |
26.3 |
Avg Return |
41.3 |
Currently the 10 Day EMA of the NYSE Advance/Decline data is
near 53%. Thus we would need to see a big up day early next week for
a Breadth Thrust to occur within the 10 Day window. 
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