When the market hits new highs it tends to excite the media. The S&P closed at its highest level since early February on Thursday. Such news may sound positive when delivered by an anchorperson. But since the beginning of 2002, when the market is trading below its 200-day moving average, there has been a strong tendency to pull back after hitting news highs. Below are results of some simple systems. These systems call for shorting the S&P 500 any time it hits an X day high while under the 200ma. The trade is covered when the S&P 500 next closes below its Y-day moving average.

All of the systems above have performed quite well on the short side. As you can see, hitting new highs really isn’t something bulls should get too excited about.