Big intraday rallies like we saw on Wednesday that have been followed by tight, low volume consolidations like Thursday have often seen the market roll over.  The study below looks at this setup.  I last discussed it in in the 8/11/09 Subscriber Letter.  The parameters have only been met 10 previous times by SPY.  I have listed them all along with their 5-day returns below.

Instances are low but the inclination so far is strongly bearish.  The last 7 occurences closed lower 5 days later, and all by at least 1.3%.  Additionally, the Avg Drawdown is nearly 3x the Average Run-up.  Even with the low number of instances, I think this study is worth some consideration.