Can futures predict market movements?

2023年12月3日

I was wondering if futures can predict market movement. Here's a monthly chart showing two values:
* green: the difference between ES futures and SPX, divided by SPX to keep it proportional in a rising market
* orange: SPX itself

It shows:

1. Futures fluctuate over the 3-month cycle

2. SPX declines after peaks in the difference between ES futures and SPX - see 2001, 2008, 2018. Over-optimism?

3. But there was no peak before the decline in 2022 !?

4. Bulls want to see the difference well below zero - see 2003-04, 2001-17 and 2020-22

5. In 2023 the difference between ES futures and SPX is back to levels seen in 2000 and 2007, which preceded drops in SPX of around 46% and 52%

Not trading advice. Do you own research

2023年12月4日

注释

Hmmm.. another thought here. The last point in the green chart is 1st December. It's lower than November.

If the three month cycle were being followed, every third month (in this case December) would spike up. But here the December point is down.

That's curious. Does it mean this indication is invalid? Or does it mean that a market crash is imminent - in 2001 and 2008 the decline from the peak coincided with declines in SPX.

8月5日

注释

Eight months on since I published this, the trend is continuing and it's starting to look serious. However looking at the timescales in 2000 and 2007, SPX might have another push upwards before the fall.