Yesterday we closed at a five-day high in SPY; today we closed at a five-day low. That's quite a reversal. I decided to consult the historical record and see what tends to happen next.
Perhaps the main finding is that this is a rare occurrence. I found only 9 such instances since January, 2003 (N = 790). That means that we need to take any analysis with multiple grains of salt.
Two days after the market made its five-day low (after having just made a five-day high), SPY was down by an average .17% (3 up, 6 down). That's quite a bit worse than the average two-day gain of .09% for the sample overall.
I have yet to compile my Demand/Supply numbers, but if they're as negative as I expect, that too would bode poorly for the bulls in the short run. Keep an eye on the Trading Psychology Weblog later tonight, and I'll have those numbers posted along with a brief analysis.
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