Sep

15

Streaks of down days, from Big Al

September 15, 2024 |

Vic tweeted that "after 5 down days in a row for S&P, it's very bullish. 5 days later only 2 of ten down with high positive expectation especially with bonds up and last one down."

That provoked a quick counting project. The main issue with this analysis is that everything is overlapping, but nonetheless I think it's an interesting result.

The data is SPY adjusted closes from inception thru 6 Sept. I identified all the down days and the streaks of down days, including 1-day "streaks", up to the longest which were 8-day streaks. So each down day fell into a bin, 1 up to 8. Each down day was put in a bin, whether it was the last day in a streak or not. (This eliminates the look-ahead bias of just considering only the final day of streaks.)

Then I calculated the 5-, 10- and 20-day % moves for every day in the data and compared the results for all the down days with the % moves for all days.

The table shows the results, with the best outcomes - streaks of 3, 4, and 5 days - highlighted.


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