May

31

Today's all-time high close on the S&P 500 was first such since 3/00, about an 1800 trading day wait. In the past long-term highs were much more frequent, so in order to find analogous long waits (S&P 500 index 1956-07), conditioned:

Today's close is a 2000 day high, and there were no 2000 day highs for prior 100 days.

Then I checked return for subsequent 10, 20, 50, and 100day, as well as wait times between occurrences:

date        10d    20d   50d 100d wait
02/14/95  0.01  0.02  0.06  0.15  376
08/19/93  0.01  0.01  0.02  0.04  268
07/29/92 -0.01 -0.02 -0.03  0.05  368
02/13/91 -0.01  0.01  0.03  0.02  181
05/29/90  0.02 -0.02 -0.06 -0.15  212
07/26/89  0.03  0.02  0.06  0.04 1140
01/21/85  0.03  0.03  0.03  0.06  560
11/03/82 -0.03 -0.03  0.03  0.06  581
07/17/80  0.00  0.03  0.04  0.07 2112
03/06/72 -0.01 -0.01 -0.02 -0.01  947
04/29/68  0.00 -0.01  0.04  0.05  246
05/04/67 -0.02 -0.05 -0.02  0.03  924
09/03/63  0.01 -0.01  0.01  0.06  461
11/01/61  0.04  0.04  0.00  0.02  192
01/27/61  0.00  0.03  0.09  0.06  590
09/24/58  0.03  0.03  0.05  0.09  641

mean       0.01  0.01  0.02  0.04
stdev       0.02  0.03  0.04  0.06
z             1.16  0.78  2.10  2.51

The returns going forward are positive, with the most analogous wait gap ending 7/80. Regression of returns vs. wait days suggested slight (NS) positive correlation. 


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