An S-TCTM Risk Warning Model member triggers a risk-off signal

Key points

• The High-Low Logic S&P 500 with Spike model just flashed a tactical risk-off signal
• Historically, this model's forward returns over a 1- to 6-month period are below average. 

High-Low Logic S&P 500 with Spike

The High Low Logic Index, created by Norman Fosback, is a classic market breadth indicator designed to identify market environments where a large number of stocks are making 52-week highs and lows simultaneously. Similar to the NYSE version, this S&P 500 version uses a spike in the percentage of new lows as a trigger once the index exceeds a warning level. However, the S&P 500 version uses the original 50-day exponential moving average, whereas our NYSE version uses a 40-day MA.

Signal Criteria

1. Condition 1 = High Low Logic Index >= 1.8%.
2. Condition 2 = Percentage of S&P 500 252-day lows >= 4.5%.
3. Condition 3 = S&P 500 is <= 5.0% from its 252-day high.
4. Condition 4 = The High Low Logic Index resets below 1.4%. Th