Jan

18

Clustering, from Alston Mabry

January 18, 2016 |

Where is SPY 10 tdays later, after >7% drop over 10 tdays, using only first occurrences to eliminate overlap:

count: 27 mean 10d move: +0.2%

Ref: For entire SPY period, 1993-present, including overlapping periods, mean 10-day move is +0.32%.

date / 10d fwd
24-Aug-15  +4.18%
3-Oct-11  +9.37%
4-Aug-11  -4.78%
30-Jun-10  +6.26%
24-May-10  -1.01%
7-May-10  -1.93%
20-Feb-09  -10.98%
16-Jan-09  -2.92%
12-Nov-08  +3.67%
3-Oct-08  -15.52%
17-Sep-08  -0.47%
17-Jan-08  +4.61%
27-Jan-03  -1.40%
23-Sep-02  -5.41%
3-Sep-02  -0.51%
12-Jul-02  -6.80%
2-Jul-02  -4.45%
10-Sep-01  -5.10%
12-Mar-01  -1.81%
21-Feb-01  +1.08%
12-Oct-00  +2.68%
14-Apr-00  +8.13%
7-Oct-98  +9.78%
31-Aug-98  +8.40%
4-Aug-98  +3.15%
27-Oct-97  +5.95%
16-Jul-96  +1.29%

It was easier in the 90s.


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