Feb

1

SPY's Friday close was the second consecutive below the simple 100DMA, after a long period above the moving average.

Going back to 1993, checked for instances when SPY closed < 100DMA two consecutive days, following at least 20 consecutive closes > 100DMA. Here are the mean returns for the next 5d, 10d, and 20d:

One-Sample T: 5d, 10d, 20d

Test of mu = 0 vs not = 0

Variable N  Mean   StDev   SE Mean     95% CI            T      P
5d        18  0.010  0.021  0.005  (-0.00057, 0.02114)  2.00  0.062
10d      18  0.007  0.023  0.005  (-0.00447, 0.01933)  1.32  0.205
20d      18  0.004  0.040  0.009  (-0.01570, 0.02430)  0.45  0.656

All up, if not significantly. If only it were that easy…


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