Jan

2

A Study, from Kim Zussman

January 2, 2013 |

Looking at SPY reversal patterns (2007-present): If two consecutive trading days were each up >1%, and they were preceded by a drop of at least 1%, the next 2-day return was negative (NS):

One-Sample T: DUUXX

Test of mu = 0 vs not = 0

Variable   N   Mean     StDev   SE Mean  95% CI             T
DUUXX   18  -0.0097    0.025  0.0058  (-0.022, 0.002)  -1.64

Variable      P
DUUXX   0.119


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