dissecting , $SPY returns under and above 50-DMA

dissecting , $SPY 50-DMA x’oversdisect

 

with $SPY closing above 50DMA as on 15 Feb close , after closing below as on 5 Feb 2018, below a study for your future reference

the first 50-DMA crossover , since Y2K , happened on 4th Jan 2000, when $SPY was at 99.74 , and crossed below 50-DMA , after being above 50-DMA as on previous trading.

we will consider points for the study , as they are additive and arithmetic in nature , while percent’s are geometric in nature ( for example a point change sum of 10, -10 , 10 and -10 is a zero loss  , while the same if considered is loss of -2%)

1) since 4th Jan 2000 , till 15th Feb 2018 , $SPY gains are 169 points ( 273-104) , for a total calendar days of 6617 ( 15 feb 2018 – 4 jan 2000)

2) since Y2K , buying $SPY under bearish 50-DMA cycle , that is going long , when $SPY crosses below and exiting when $SPY crosses above 50-DMA , translates to a total of 140 points , and by being in the market for 2340 calendar days

3) since Y2K, buying $SPY under bullish 50-DMA cycle , that is going long , when $SPY crosses above and exiting when $SPY crosses below 50-DMA , translates to a total of 33 points , and by being in the market for 4277 calendar days

now translating the average gains by 1/100th of point per day under each period ,

Gain in pts Days pt gain per day * 100
all period 169 6617 2.6
bull 33 4277 0.8
bear 140 2340 6.0

that’s a whopping gains of 7.7x ( 6/0.8) times for being in the market during bearish 50-DMA period vs bullish period

point is do not fear to go aggressive with longs or the least ,  for heaven’s sake, do not get out of the market by using that cute stop of 50-DMA , the least pain you can bear for one’s own longer term wealth creation

below the table with all bull/bear 50-DMA periods since Y2K , along with $SPY , and the dates .

$SPY 50-DMA Bullish X’overs

Date Bull Start Date Bull End Gains Days
15-Feb-18 273.0 ?? ?? ?? ??
29-Aug-17 242.4 05-Feb-18 263.9 21.5 160
22-Aug-17 243.0 23-Aug-17 242.1 -0.9 1
14-Aug-17 244.1 17-Aug-17 240.7 -3.4 3
18-May-17 233.3 10-Aug-17 241.3 8.0 84
24-Apr-17 233.7 17-May-17 232.3 -1.4 23
20-Apr-17 231.9 21-Apr-17 231.1 -0.8 1
17-Apr-17 231.1 18-Apr-17 230.4 -0.7 1
09-Nov-16 211.0 12-Apr-17 230.6 19.6 154
10-Oct-16 210.8 11-Oct-16 208.1 -2.7 1
30-Sep-16 210.9 03-Oct-16 210.4 -0.5 3
28-Sep-16 211.3 29-Sep-16 209.4 -1.9 1
22-Sep-16 211.8 26-Sep-16 208.9 -2.9 4
30-Jun-16 203.3 09-Sep-16 206.9 3.6 71
20-Jun-16 201.7 24-Jun-16 197.2 -4.5 4
16-Jun-16 201.1 17-Jun-16 200.4 -0.7 1
24-May-16 200.7 15-Jun-16 200.5 -0.2 22
16-May-16 199.6 17-May-16 197.7 -1.9 1
01-Mar-16 190.3 13-May-16 197.7 7.4 73
25-Feb-16 187.8 29-Feb-16 185.9 -1.9 4
29-Dec-15 199.2 31-Dec-15 195.8 -3.4 2
23-Dec-15 197.8 28-Dec-15 197.1 -0.7 5
16-Dec-15 198.6 17-Dec-15 195.6 -3.0 1
07-Oct-15 190.3 11-Dec-15 192.7 2.4 65
14-Aug-15 198.9 19-Aug-15 197.8 -1.1 5
10-Aug-15 199.9 11-Aug-15 198.1 -1.8 1
05-Aug-15 199.5 06-Aug-15 197.8 -1.7 1
29-Jul-15 200.1 04-Aug-15 198.8 -1.3 6
13-Jul-15 199.2 24-Jul-15 197.5 -1.7 11
18-Jun-15 201.1 25-Jun-15 199.3 -1.8 7
10-Jun-15 199.3 12-Jun-15 198.4 -0.9 2
07-May-15 197.4 05-Jun-15 198.2 0.8 29
01-May-15 199.1 06-May-15 196.6 -2.5 5
20-Apr-15 198.3 30-Apr-15 197.0 -1.3 10
06-Apr-15 196.4 17-Apr-15 196.5 0.1 11
30-Mar-15 196.8 31-Mar-15 195.1 -1.7 1
16-Mar-15 196.2 25-Mar-15 194.4 -1.8 9
12-Mar-15 194.8 13-Mar-15 193.6 -1.2 1
03-Feb-15 192.7 10-Mar-15 192.8 0.1 35
22-Jan-15 193.9 27-Jan-15 190.7 -3.2 5
08-Jan-15 193.7 12-Jan-15 190.6 -3.1 4
17-Dec-14 188.8 05-Jan-15 189.8 1.0 19
28-Oct-14 185.6 15-Dec-14 186.7 1.1 48
24-Oct-14 183.8 27-Oct-14 183.5 -0.3 3
26-Sep-14 185.2 30-Sep-14 184.3 -0.9 4
14-Aug-14 182.3 25-Sep-14 183.7 1.4 42
16-Apr-14 172.5 31-Jul-14 179.8 7.3 106
11-Feb-14 167.9 10-Apr-14 169.8 1.9 58
10-Oct-13 155.3 24-Jan-14 165.1 9.8 106
09-Sep-13 153.1 07-Oct-13 153.7 0.6 28
22-Aug-13 151.7 27-Aug-13 149.2 -2.5 5
05-Jul-13 148.9 19-Aug-13 150.5 1.6 45
31-Dec-12 128.8 20-Jun-13 144.8 16.0 171
06-Dec-12 127.5 28-Dec-12 126.7 -0.8 22
29-Jun-12 121.6 23-Oct-12 127.0 5.4 116
18-Jun-12 120.1 21-Jun-12 118.3 -1.8 3
25-Apr-12 123.7 04-May-12 121.8 -1.9 9
20-Apr-12 122.6 23-Apr-12 121.6 -1.0 3
17-Apr-12 123.6 19-Apr-12 122.4 -1.2 2
12-Apr-12 123.3 13-Apr-12 121.9 -1.4 1
20-Dec-11 109.7 10-Apr-12 120.8 11.1 112
30-Nov-11 109.9 14-Dec-11 107.0 -2.9 14
10-Oct-11 105.1 21-Nov-11 105.2 0.1 42
19-Jul-11 116.1 27-Jul-11 114.2 -1.9 8
15-Jul-11 115.2 18-Jul-11 114.3 -0.9 3
30-Jun-11 115.4 14-Jul-11 114.5 -0.9 14
26-May-11 115.8 01-Jun-11 114.8 -1.0 6
20-Apr-11 115.9 23-May-11 115.0 -0.9 33
24-Mar-11 113.9 18-Apr-11 113.7 -0.2 25
11-Mar-11 113.4 14-Mar-11 112.7 -0.7 3
01-Sep-10 93.0 10-Mar-11 112.6 19.6 190
17-Aug-10 94.0 19-Aug-10 92.5 -1.5 2
22-Jul-10 93.9 12-Aug-10 93.2 -0.7 21
13-Jul-10 94.0 16-Jul-10 91.5 -2.5 3
12-May-10 100.3 13-May-10 99.0 -1.3 1
01-Mar-10 95.1 05-May-10 99.7 4.6 65
18-Feb-10 94.3 23-Feb-10 93.3 -1.0 5
05-Nov-09 90.3 22-Jan-10 92.8 2.5 78
29-Oct-09 90.2 30-Oct-09 87.6 -2.6 1
15-Jul-09 78.5 28-Oct-09 88.3 9.8 105
24-Jun-09 75.8 02-Jul-09 75.6 -0.2 8
31-Mar-09 66.5 22-Jun-09 75.1 8.6 83
23-Mar-09 68.8 30-Mar-09 65.9 -2.9 7
06-Feb-09 72.3 10-Feb-09 69.0 -3.3 4
28-Jan-09 72.6 29-Jan-09 70.2 -2.4 1
30-Dec-08 73.9 12-Jan-09 72.2 -1.7 13
16-Dec-08 75.7 18-Dec-08 73.6 -2.1 2
08-Sep-08 104.1 09-Sep-08 101.0 -3.1 1
27-Aug-08 105.4 04-Sep-08 101.6 -3.8 8
22-Aug-08 106.2 25-Aug-08 104.1 -2.1 3
14-Aug-08 106.2 18-Aug-08 105.2 -1.0 4
11-Aug-08 107.1 13-Aug-08 105.4 -1.7 2
05-Jun-08 114.8 06-Jun-08 111.1 -3.7 1
16-Apr-08 111.6 03-Jun-08 112.6 1.0 48
01-Apr-08 111.4 11-Apr-08 108.7 -2.7 10
24-Mar-08 109.8 26-Mar-08 108.6 -1.2 2
21-Dec-07 120.2 27-Dec-07 119.8 -0.4 6
06-Dec-07 121.8 11-Dec-07 119.4 -2.4 5
06-Nov-07 122.7 07-Nov-07 119.4 -3.3 1
18-Sep-07 122.5 05-Nov-07 121.1 -1.4 48
13-Sep-07 119.6 17-Sep-07 119.0 -0.6 4
04-Sep-07 119.8 05-Sep-07 118.7 -1.1 1
11-Jul-07 122.1 24-Jul-07 121.5 -0.6 13
02-Jul-07 121.9 10-Jul-07 121.2 -0.7 8
27-Jun-07 120.8 28-Jun-07 120.8 0.0 1
02-Apr-07 113.7 25-Jun-07 120.4 6.7 84
21-Mar-07 114.6 28-Mar-07 113.4 -1.2 7
24-Jul-06 99.6 27-Feb-07 111.1 11.5 218
11-Jul-06 100.5 12-Jul-06 99.4 -1.1 1
06-Jul-06 100.5 07-Jul-06 99.9 -0.6 1
30-Jun-06 100.4 05-Jul-06 100.2 -0.2 5
10-Mar-06 100.6 12-May-06 101.5 0.9 63
14-Feb-06 99.9 09-Mar-06 99.6 -0.3 23
02-Nov-05 94.7 03-Feb-06 98.8 4.1 93
29-Sep-05 95.4 04-Oct-05 94.3 -1.1 5
31-Aug-05 95.0 20-Sep-05 95.0 0.0 20
17-May-05 90.7 24-Aug-05 93.9 3.2 99
07-Apr-05 92.0 08-Apr-05 91.1 -0.9 1
23-Feb-05 91.8 16-Mar-05 91.6 -0.2 21
01-Feb-05 91.4 22-Feb-05 91.2 -0.2 21
18-Jan-05 91.8 19-Jan-05 90.9 -0.9 1
12-Jan-05 91.1 13-Jan-05 90.4 -0.7 1
27-Oct-04 86.1 11-Jan-05 90.8 4.7 76
15-Oct-04 84.9 19-Oct-04 84.5 -0.4 4
31-Aug-04 84.4 14-Oct-04 84.4 0.0 44
25-Aug-04 84.4 30-Aug-04 84.0 -0.4 5
07-Jul-04 85.3 08-Jul-04 84.7 -0.6 1
04-Jun-04 85.5 06-Jul-04 85.0 -0.5 32
26-May-04 85.0 03-Jun-04 84.8 -0.2 8
22-Apr-04 86.5 28-Apr-04 85.4 -1.1 6
16-Apr-04 86.2 20-Apr-04 84.7 -1.5 4
01-Apr-04 86.1 13-Apr-04 85.7 -0.4 12
21-Nov-03 78.2 10-Mar-04 84.9 6.7 110
19-Nov-03 78.6 20-Nov-03 77.9 -0.7 1
01-Oct-03 76.6 18-Nov-03 78.0 1.4 48
29-Sep-03 75.8 30-Sep-03 75.0 -0.8 1
14-Aug-03 74.3 26-Sep-03 75.0 0.7 43
12-Aug-03 74.4 13-Aug-03 74.1 -0.3 1
01-Apr-03 64.1 01-Aug-03 73.7 9.6 122
17-Mar-03 64.4 31-Mar-03 63.1 -1.3 14
02-Jan-03 67.6 17-Jan-03 67.3 -0.3 15
20-Dec-02 66.8 23-Dec-02 66.8 0.0 3
16-Dec-02 67.7 18-Dec-02 66.3 -1.4 2
17-Oct-02 65.2 13-Dec-02 66.0 0.8 57
15-Oct-02 65.5 16-Oct-02 63.9 -1.6 1
10-Sep-02 67.4 12-Sep-02 65.8 -1.6 2
19-Aug-02 70.1 28-Aug-02 67.7 -2.4 9
16-Apr-02 82.9 18-Apr-02 82.4 -0.5 2
10-Apr-02 83.1 11-Apr-02 81.0 -2.1 1
08-Apr-02 82.7 09-Apr-02 82.2 -0.5 1
01-Mar-02 83.1 04-Apr-02 82.6 -0.5 34
15-Jan-02 84.1 16-Jan-02 82.4 -1.7 1
02-Nov-01 79.5 14-Jan-02 83.5 4.0 73
25-Oct-01 80.5 29-Oct-01 78.2 -2.3 4
18-Apr-01 89.7 14-Jun-01 88.2 -1.5 57
18-Jan-01 97.2 08-Feb-01 96.0 -1.2 21
11-Dec-00 99.7 13-Dec-00 97.9 -1.8 2
06-Nov-00 103.4 08-Nov-00 101.1 -2.3 2
13-Sep-00 106.8 15-Sep-00 105.0 -1.8 2
11-Aug-00 105.7 12-Sep-00 106.5 0.8 32
04-Aug-00 105.0 10-Aug-00 105.2 0.2 6
01-Jun-00 104.0 27-Jul-00 104.3 0.3 56
15-May-00 104.0 17-May-00 103.9 -0.1 2
25-Apr-00 106.0 03-May-00 100.7 -5.3 8
18-Apr-00 103.4 24-Apr-00 101.8 -1.6 6
16-Mar-00 104.5 14-Apr-00 97.3 -7.2 29
08-Feb-00 103.0 09-Feb-00 100.8 -2.2 1
03-Feb-00 102.2 04-Feb-00 101.8 -0.4 1
07-Jan-00 104.0 24-Jan-00 100.2 -3.8 17
Total 33.0 4277.0

$SPY bearish 50-DMA crossover’s

Date Bear Start Date Bear End Gains Days
05-Feb-18 263.9 15-Feb-18 273.0 9.1 10
23-Aug-17 242.1 29-Aug-17 242.4 0.3 6
17-Aug-17 240.7 22-Aug-17 243 2.3 5
10-Aug-17 241.3 14-Aug-17 244.1 2.8 4
17-May-17 232.3 18-May-17 233.3 1.0 1
21-Apr-17 231.1 24-Apr-17 233.7 2.6 3
18-Apr-17 230.4 20-Apr-17 231.9 1.5 2
12-Apr-17 230.6 17-Apr-17 231.1 0.5 5
11-Oct-16 208.1 09-Nov-16 211 2.9 29
03-Oct-16 210.4 10-Oct-16 210.8 0.4 7
29-Sep-16 209.4 30-Sep-16 210.9 1.5 1
26-Sep-16 208.9 28-Sep-16 211.3 2.4 2
09-Sep-16 206.9 22-Sep-16 211.8 4.9 13
24-Jun-16 197.2 30-Jun-16 203.3 6.1 6
17-Jun-16 200.4 20-Jun-16 201.7 1.3 3
15-Jun-16 200.5 16-Jun-16 201.1 0.6 1
17-May-16 197.7 24-May-16 200.7 3.0 7
13-May-16 197.7 16-May-16 199.6 1.9 3
29-Feb-16 185.9 01-Mar-16 190.3 4.4 1
31-Dec-15 195.8 25-Feb-16 187.8 -8.0 56
28-Dec-15 197.1 29-Dec-15 199.2 2.1 1
17-Dec-15 195.6 23-Dec-15 197.8 2.2 6
11-Dec-15 192.7 16-Dec-15 198.6 5.9 5
19-Aug-15 197.8 07-Oct-15 190.3 -7.5 49
11-Aug-15 198.1 14-Aug-15 198.9 0.8 3
06-Aug-15 197.8 10-Aug-15 199.9 2.1 4
04-Aug-15 198.8 05-Aug-15 199.5 0.7 1
24-Jul-15 197.5 29-Jul-15 200.1 2.6 5
25-Jun-15 199.3 13-Jul-15 199.2 -0.1 18
12-Jun-15 198.4 18-Jun-15 201.1 2.7 6
05-Jun-15 198.2 10-Jun-15 199.3 1.1 5
06-May-15 196.6 07-May-15 197.4 0.8 1
30-Apr-15 197 01-May-15 199.1 2.1 1
17-Apr-15 196.5 20-Apr-15 198.3 1.8 3
31-Mar-15 195.1 06-Apr-15 196.4 1.3 6
25-Mar-15 194.4 30-Mar-15 196.8 2.4 5
13-Mar-15 193.6 16-Mar-15 196.2 2.6 3
10-Mar-15 192.8 12-Mar-15 194.8 2.0 2
27-Jan-15 190.7 03-Feb-15 192.7 2.0 7
12-Jan-15 190.6 22-Jan-15 193.9 3.3 10
05-Jan-15 189.8 08-Jan-15 193.7 3.9 3
15-Dec-14 186.7 17-Dec-14 188.8 2.1 2
27-Oct-14 183.5 28-Oct-14 185.6 2.1 1
30-Sep-14 184.3 24-Oct-14 183.8 -0.5 24
25-Sep-14 183.7 26-Sep-14 185.2 1.5 1
31-Jul-14 179.8 14-Aug-14 182.3 2.5 14
10-Apr-14 169.8 16-Apr-14 172.5 2.7 6
24-Jan-14 165.1 11-Feb-14 167.9 2.8 18
07-Oct-13 153.7 10-Oct-13 155.3 1.6 3
27-Aug-13 149.2 09-Sep-13 153.1 3.9 13
19-Aug-13 150.5 22-Aug-13 151.7 1.2 3
20-Jun-13 144.8 05-Jul-13 148.9 4.1 15
28-Dec-12 126.7 31-Dec-12 128.8 2.1 3
23-Oct-12 127 06-Dec-12 127.5 0.5 44
21-Jun-12 118.3 29-Jun-12 121.6 3.3 8
04-May-12 121.8 18-Jun-12 120.1 -1.7 45
23-Apr-12 121.6 25-Apr-12 123.7 2.1 2
19-Apr-12 122.4 20-Apr-12 122.6 0.2 1
13-Apr-12 121.9 17-Apr-12 123.6 1.7 4
10-Apr-12 120.8 12-Apr-12 123.3 2.5 2
14-Dec-11 107 20-Dec-11 109.7 2.7 6
21-Nov-11 105.2 30-Nov-11 109.9 4.7 9
27-Jul-11 114.2 10-Oct-11 105.1 -9.1 75
18-Jul-11 114.3 19-Jul-11 116.1 1.8 1
14-Jul-11 114.5 15-Jul-11 115.2 0.7 1
01-Jun-11 114.8 30-Jun-11 115.4 0.6 29
23-May-11 115 26-May-11 115.8 0.8 3
18-Apr-11 113.7 20-Apr-11 115.9 2.2 2
14-Mar-11 112.7 24-Mar-11 113.9 1.2 10
10-Mar-11 112.6 11-Mar-11 113.4 0.8 1
19-Aug-10 92.5 01-Sep-10 93 0.5 13
12-Aug-10 93.2 17-Aug-10 94 0.8 5
16-Jul-10 91.5 22-Jul-10 93.9 2.4 6
13-May-10 99 13-Jul-10 94 -5.0 61
05-May-10 99.7 12-May-10 100.3 0.6 7
23-Feb-10 93.3 01-Mar-10 95.1 1.8 6
22-Jan-10 92.8 18-Feb-10 94.3 1.5 27
30-Oct-09 87.6 05-Nov-09 90.3 2.7 6
28-Oct-09 88.3 29-Oct-09 90.2 1.9 1
02-Jul-09 75.6 15-Jul-09 78.5 2.9 13
22-Jun-09 75.1 24-Jun-09 75.8 0.7 2
30-Mar-09 65.9 31-Mar-09 66.5 0.6 1
10-Feb-09 69 23-Mar-09 68.8 -0.2 41
29-Jan-09 70.2 06-Feb-09 72.3 2.1 8
12-Jan-09 72.2 28-Jan-09 72.6 0.4 16
18-Dec-08 73.6 30-Dec-08 73.9 0.3 12
09-Sep-08 101 16-Dec-08 75.7 -25.3 98
04-Sep-08 101.6 08-Sep-08 104.1 2.5 4
25-Aug-08 104.1 27-Aug-08 105.4 1.3 2
18-Aug-08 105.2 22-Aug-08 106.2 1.0 4
13-Aug-08 105.4 14-Aug-08 106.2 0.8 1
06-Jun-08 111.1 11-Aug-08 107.1 -4.0 66
03-Jun-08 112.6 05-Jun-08 114.8 2.2 2
11-Apr-08 108.7 16-Apr-08 111.6 2.9 5
26-Mar-08 108.6 01-Apr-08 111.4 2.8 6
27-Dec-07 119.8 24-Mar-08 109.8 -10.0 88
11-Dec-07 119.4 21-Dec-07 120.2 0.8 10
07-Nov-07 119.4 06-Dec-07 121.8 2.4 29
05-Nov-07 121.1 06-Nov-07 122.7 1.6 1
17-Sep-07 119 18-Sep-07 122.5 3.5 1
05-Sep-07 118.7 13-Sep-07 119.6 0.9 8
24-Jul-07 121.5 04-Sep-07 119.8 -1.7 42
10-Jul-07 121.2 11-Jul-07 122.1 0.9 1
28-Jun-07 120.8 02-Jul-07 121.9 1.1 4
25-Jun-07 120.4 27-Jun-07 120.8 0.4 2
28-Mar-07 113.4 02-Apr-07 113.7 0.3 5
27-Feb-07 111.1 21-Mar-07 114.6 3.5 22
12-Jul-06 99.4 24-Jul-06 99.6 0.2 12
07-Jul-06 99.9 11-Jul-06 100.5 0.6 4
05-Jul-06 100.2 06-Jul-06 100.5 0.3 1
12-May-06 101.5 30-Jun-06 100.4 -1.1 49
09-Mar-06 99.6 10-Mar-06 100.6 1.0 1
03-Feb-06 98.8 14-Feb-06 99.9 1.1 11
04-Oct-05 94.3 02-Nov-05 94.7 0.4 29
20-Sep-05 95 29-Sep-05 95.4 0.4 9
24-Aug-05 93.9 31-Aug-05 95 1.1 7
08-Apr-05 91.1 17-May-05 90.7 -0.4 39
16-Mar-05 91.6 07-Apr-05 92 0.4 22
22-Feb-05 91.2 23-Feb-05 91.8 0.6 1
19-Jan-05 90.9 01-Feb-05 91.4 0.5 13
13-Jan-05 90.4 18-Jan-05 91.8 1.4 5
11-Jan-05 90.8 12-Jan-05 91.1 0.3 1
19-Oct-04 84.5 27-Oct-04 86.1 1.6 8
14-Oct-04 84.4 15-Oct-04 84.9 0.5 1
30-Aug-04 84 31-Aug-04 84.4 0.4 1
08-Jul-04 84.7 25-Aug-04 84.4 -0.3 48
06-Jul-04 85 07-Jul-04 85.3 0.3 1
03-Jun-04 84.8 04-Jun-04 85.5 0.7 1
28-Apr-04 85.4 26-May-04 85 -0.4 28
20-Apr-04 84.7 22-Apr-04 86.5 1.8 2
13-Apr-04 85.7 16-Apr-04 86.2 0.5 3
10-Mar-04 84.9 01-Apr-04 86.1 1.2 22
20-Nov-03 77.9 21-Nov-03 78.2 0.3 1
18-Nov-03 78 19-Nov-03 78.6 0.6 1
30-Sep-03 75 01-Oct-03 76.6 1.6 1
26-Sep-03 75 29-Sep-03 75.8 0.8 3
13-Aug-03 74.1 14-Aug-03 74.3 0.2 1
01-Aug-03 73.7 12-Aug-03 74.4 0.7 11
31-Mar-03 63.1 01-Apr-03 64.1 1.0 1
17-Jan-03 67.3 17-Mar-03 64.4 -2.9 59
23-Dec-02 66.8 02-Jan-03 67.6 0.8 10
18-Dec-02 66.3 20-Dec-02 66.8 0.5 2
13-Dec-02 66 16-Dec-02 67.7 1.7 3
16-Oct-02 63.9 17-Oct-02 65.2 1.3 1
12-Sep-02 65.8 15-Oct-02 65.5 -0.3 33
28-Aug-02 67.7 10-Sep-02 67.4 -0.3 13
18-Apr-02 82.4 19-Aug-02 70.1 -12.3 123
11-Apr-02 81 16-Apr-02 82.9 1.9 5
09-Apr-02 82.2 10-Apr-02 83.1 0.9 1
04-Apr-02 82.6 08-Apr-02 82.7 0.1 4
16-Jan-02 82.4 01-Mar-02 83.1 0.7 44
14-Jan-02 83.5 15-Jan-02 84.1 0.6 1
29-Oct-01 78.2 02-Nov-01 79.5 1.3 4
14-Jun-01 88.2 25-Oct-01 80.5 -7.7 133
08-Feb-01 96 18-Apr-01 89.7 -6.3 69
13-Dec-00 97.9 18-Jan-01 97.2 -0.7 36
08-Nov-00 101.1 11-Dec-00 99.7 -1.4 33
15-Sep-00 105 06-Nov-00 103.4 -1.6 52
12-Sep-00 106.5 13-Sep-00 106.8 0.3 1
10-Aug-00 105.2 11-Aug-00 105.7 0.5 1
27-Jul-00 104.3 04-Aug-00 105 0.7 8
17-May-00 103.9 01-Jun-00 104 0.1 15
03-May-00 100.7 15-May-00 104 3.3 12
24-Apr-00 101.8 25-Apr-00 106 4.2 1
14-Apr-00 97.3 18-Apr-00 103.4 6.1 4
09-Feb-00 100.8 16-Mar-00 104.5 3.7 36
04-Feb-00 101.8 08-Feb-00 103 1.2 4
24-Jan-00 100.2 03-Feb-00 102.2 2.0 10
04-Jan-00 99.7 07-Jan-00 104 4.3 3
Total 140.3 2340.0

—–

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well $SPX corrected ! what next ?

well $SPX corrected ! 

$SPX corrections since 1950

with $SPX ( S&P 500 cash index ) falling by more than 10% form the All Time High Close ( printed on 26th Jan 2018 close , with a close of 2872.87 ) and down by more than 10% as on 8th Feb close at 2581 , a loss of minus 10.16% ,

below the $SPX forward 1/2/3/4/5/10/20 trading returns , when $SPX corrects ( the first time close of 10% below from the all time high close ) , since 1950

Date t+1% t+2% t+3% t+4% t+5% t+10% t+20%
08-Feb-18 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 -1.35 2.50 4.99 5.05 4.17 4.02 2.62
26-Nov-07 1.49 4.39 4.44 5.25 4.63 7.73 6.34
14-Apr-00 3.31 6.27 5.23 5.75 5.40 8.23 7.06
29-Sep-99 1.13 1.14 2.86 2.60 4.50 1.35 2.23
14-Aug-98 1.97 3.62 3.32 2.71 1.74 -3.35 -3.11
27-Oct-97 5.12 4.81 3.04 4.29 7.07 5.03 7.95
17-Aug-90 0.21 -1.82 -3.44 -6.34 -4.98 -1.61 -3.07
30-Jan-90 1.89 1.80 2.46 2.75 2.07 2.49 2.76
15-Oct-87 -5.16 -24.57 -20.55 -13.32 -16.72 -17.88 -16.63
13-Feb-84 1.07 0.84 0.76 0.51 -0.20 1.21 1.18
24-Aug-81 -0.29 -0.43 -1.59 -1.13 -2.16 -5.99 -7.03
27-Apr-73 -0.24 -0.12 1.12 2.79 3.52 0.88 0.66
19-Jun-69 -0.59 -1.04 0.08 -0.24 0.01 2.44 -2.35
05-Mar-68 1.76 1.57 1.49 2.75 2.86 1.45 5.61
16-May-66 -0.92 0.84 0.72 1.21 2.12 2.04 3.15
30-Apr-62 0.71 1.15 1.98 1.53 1.20 -3.28 -14.93
04-Mar-60 -1.01 -2.02 -0.97 -1.36 -0.60 0.81 1.58
21-Nov-56 1.05 0.45 0.54 -0.54 -0.65 4.79 3.13
11-Oct-55 1.76 1.45 1.03 1.35 2.08 4.49 9.34
09-Jun-53 -0.25 0.64 0.93 0.08 -0.21 2.20 3.86
29-Jun-50 1.43 1.15 2.12 2.69 1.32 -3.27 1.43
avg 0.62 0.12 0.50 0.88 0.82 0.66 0.56
med 1.05 1.14 1.12 1.53 1.74 1.45 2.23
# 21 21 21 21 21 21 21
% wins 62 71 81 71 67 71 71
avg win  1.76 2.17 2.18 2.75 3.05 3.28 3.93
avg loss -1.23 -5.00 -6.64 -3.82 -3.65 -5.90 -7.85

18/21 times $SPX closed , 3 trading days later for an average of 0.5% ( which includes 1987 Oct crash ) , removing that outlier , 17/20 times $SPX closed higher , 3 trading days later , for an average of 1.56% , and a median of 1.31%

2) of-course $SPY has smaller history only dating back to 1993 , below the $SPY returns , when $SPX corrects ( a 10% fall from ATH close ) , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
08-Feb-18 257.63 ?? ?? ?? ?? ??
24-Aug-15 179.93 -1.18 2.62 5.16 5.16 4.31
26-Nov-07 113.76 1.15 4.38 4.42 5.47 4.77
14-Apr-00 97.31 3.49 6.23 5.24 5.74 4.60
29-Sep-99 90.29 1.53 1.31 3.10 3.01 4.58
14-Aug-98 74.43 2.12 4.00 3.74 3.12 2.30
27-Oct-97 60.54 5.77 5.48 3.15 5.59 7.81
avg 2.15 4.00 4.14 4.68 4.73
med 1.82 4.19 4.08 5.32 4.59

6/6 times $SPY closed , 5 trading days later for an average of 4.73% , and a median of 4.59%

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$SPY and 20 day high and 20 day low cycles

$SPY and 20 day high/low cycles

20 day low sequence on $SPY

this is a similar study done $IWM , few years ago

this study is on $SPY sequences of 20 day low closings and 20 day high closings.

If a current close is a 20 day low coming after a 20 day high closing, calling it as the 1st 20 day low closing (marked as 1, under #), and if another 20 day low closing is printed, then call it as a second 20 day low (marked as 2 under #) after a 20 day is already printed, and so on. The sequence is counted till a new 20 day high is printed.

Currently we printed a 1st 20 day closing as on Mon close on $SPY.

since 1994 , there were 491 , 20 day low closes , of which only 21 , stopped at the first 20 day low close , before regaining a 20 day high close.

since 1994 , there were 102 such cycles of 20 day low close to 20 day high close and then to 20 day low close , of which , one cycle continued as long as 29 consecutive 20 day low closes  ( from 3 Apr 2002 , with $SPY at 82.9 , till the final 20 day low close of 58.78 as on 23 jul 2002 , before regaining to do 20 day high close of 67.81 on 14 Aug 2002 )

below the last two 20-day high /low cycles on $SPY , for your understanding of the concept

Date Close # 20h/l
05-Feb-18 263.93 1 20L
26-Jan-18 286.58 46 20H
25-Jan-18 283.30 45 20H
12-Sep-17 247.56 2 20H
11-Sep-17 246.73 1 20H
18-Aug-17 240.29 3 20L
17-Aug-17 240.67 2 20L
10-Aug-17 241.33 1 20L
07-Aug-17 245.40 8 20H
14-Jul-17 243.12 1 20H
06-Jul-17 238.16 1 20L
19-Jun-17 242.23 14 20H
24-Apr-17 233.67 1 20H
13-Apr-17 229.08 1 20L

# is the 1st 20 day high or 20 day low cycle , and as you can the last 20 day high cycle of consecutive 20 day highs , that started on 11th Sep 2017 till 26th Jan 2018 printed 46 , 20 day high’s before hitting a 20 day low close . a prior 20 day low close cycle that started on 10 Aug 2017 printed 3 consecutive ( not consecutive days ! ) 20 day low closes , till 18th Aug 2017 , before regaining a 20 day high close .

caution no one knows how many consecutive 20 day low’s or for that matter how many 20 day high’s will be printed in a cycle till it lasts . for ex: if you think we are over done in printing 46, 20 day closing high’s , no !!  we have over done even more than that on these , 3 prior times

05-Feb-18 ( 46) , 10-Mar-11 ( 50) , 27-Feb-07 ( 51) , 10-Oct-95 ( 74)

below is the distribution of the 20 day low close sequences ( not consecutive days , it is a sequence of 20 day low close’s before we start numbering 20 day high close’s again )

sequence # % age stopped % age not stopped
1 21 20.59 79.41
2 16 15.69 63.73
3 14 13.73 50.00
4 8 7.84 42.16
5 12 11.76 30.39
6 5 4.90 25.49
7 7 6.86 18.63
8 3 2.94 15.69
9 3 2.94 12.75
10 3 2.94 9.80
11 3 2.94 6.86
12 3 2.94 3.92
15 3 2.94 0.98
29 1 0.98 0.00
total 102 100 100

sequence : how many 20 day low closes were hit in this cycle before reclaiming a 20 day high close

# : no such 20 day low cycles out of 102 , where the sequence is stopped at

% age stopped : % age of 20 day low close sequences that stopped at that sequence number , for ex : there were 21 of 102 , 20.6% on whole stopped just by printing 1 20 day low close , before reclaiming a 20 day high close ,

% age not stopped :  it is the reverse of the % age stopped

conclusion : 79% of the 20 day low cycles , continue hitting at least one more 20 day low close , before reclaiming 20 day high close !! which basically warrants caution for all the bottom ( on close basis ) callers ! may be at a 3rd 20 day low close , where i’d have 50% confidence in calling the bottom close , better at 5th 20 day low close , where i have 70% confidence !!

write to us or comment to use , if you didn’t understand the analysis !!

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government just shut down , what next ?

$SPX after government shut down

$SPX returns after Govt shutdown , since 1981

 

$SPX returns after government shut down since 1981 , for the next 1/2/3/4/5/10/20 trading days , since 1981

Date Close t+1% t+2% t+3% t+4% t+5% t+10% t+20%
19-Jan-18 ?? ?? ?? ?? ?? ?? ?? ??
01-Oct-13 1695.00 -0.07 -0.96 -0.27 -1.11 -2.33 0.18 4.54
15-Dec-95 616.34 -1.55 -0.72 -1.69 -0.95 -0.71 0.71 -1.28
13-Nov-95 592.30 -0.51 0.28 0.85 1.31 0.77 2.39 4.47
05-Oct-90 311.50 0.64 -2.05 -3.57 -5.15 -3.68 0.31 0.11
18-Dec-87 249.16 0.15 0.32 1.61 1.15 -1.44 3.80 0.06
16-Oct-86 239.53 -0.29 -1.49 -1.52 -1.37 -0.10 1.75 1.46
03-Oct-84 162.44 0.30 0.15 -0.19 -0.47 -0.20 1.05 2.25
01-Oct-84 164.62 -0.63 -1.32 -1.03 -1.18 -1.51 0.70 0.10
10-Nov-83 164.41 1.14 1.32 0.58 1.02 1.05 1.68 0.41
17-Dec-82 137.49 -0.90 0.81 0.97 1.62 3.40 0.62 6.71
30-Sep-82 120.42 1.29 0.91 1.30 4.61 6.96 11.75 10.94
20-Nov-81 121.71 -0.09 1.48 1.92 2.78 3.81 2.86 1.34
  avg -0.04 -0.11 -0.09 0.19 0.50 2.32 2.59
  med -0.08 0.21 0.19 0.27 -0.15 1.37 1.40
  n 12 12 12 12 12 12 12
  %wins 42 58 50 50 42 100 92
  avg win % 0.70 0.75 1.20 2.08 3.20 2.32 2.94
  avg loss % -0.58 -1.31 -1.38 -1.70 -1.43 -1.28

ps: if govt is shut down on weekend next trading day’s close is considered

 

$SPX up 12/12 times after 10 trading days , since 1981 , for an average of 232 bps

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when $SPX gets out of the gate strongly

when $SPX gets out of the gate strongly

when $SPX gains by more than 2% during the first 4 days since 1950

firstly a very happy and new prosperous new year to the readers !!

with 4 trading days gone by into the new 2018 ,

below a look at the rest of the year returns for $SPX , since 1950 , when as on 4th trading day $SPX gains by more than 1%

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
06-Jan-17 2276.98 1.70 2673.61 17.42
07-Jan-13 1461.89 2.50 1848.36 26.44
06-Jan-12 1277.81 1.61 1426.19 11.61
06-Jan-11 1273.85 1.29 1257.60 -1.28
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-04 1126.33 1.30 1211.92 7.60
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-02 1164.89 1.46 879.82 -24.47
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-97 753.23 1.69 970.43 28.84
06-Jan-89 280.67 1.06 353.40 25.91
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
07-Jan-86 213.80 1.19 242.17 13.27
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
05-Jan-73 119.87 1.54 97.55 -18.62
06-Jan-72 103.51 1.39 118.05 14.05
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-63 64.12 1.62 75.02 17.00
07-Jan-58 41.00 2.53 55.21 34.66
07-Jan-54 25.06 1.01 35.98 43.58
05-Jan-51 20.87 2.15 23.77 13.90
06-Jan-50 16.98 1.92 20.43 20.32
avg 13.21
med 13.97
std 14.08
t-test 4.97
n 28.00
wins 23.00
% wins 82.14
avg win % 18.21
avg loss % -9.76
max loss % -24.47

vs

when $SPX returns are less than 1% during the first 4 trading days of the year , since 1950

n 40
wins 25
% wins 62.5
avg 5.37
med 4.99
avg win % 15.21
avg loss % -11.04

2) when $SPX returns are more than 2% as on 4 the trading of the year ,

nothing bearish here !!

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
07-Jan-13 1461.89 2.50 1848.36 26.44
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-58 41.00 2.53 55.21 34.66
05-Jan-51 20.87 2.15 23.77 13.90
      avg 14.32
      med 13.90
      std 9.82
      t-test 7.72
      n 15.00
      wins 13.00
      % wins 86.67
      avg win % 16.86
      avg loss % -2.22
      max loss % -3.23

Costa’s minimal surface equation and its applicability for $SPX year end projection

Costa’s minimal surface and its applicability for $SPX year end projection

math-minimal-surface

incase if you had forgotten the  equation from your physics classes .. ,the Costa’s minimal surface equation is below

The other day, we finally managed to apply Alfred Gray’s parametric equations  on how to use it for $SPX year end price target.

Here, \wp, \wp^\prime and \zeta are respectively the Weierstrass elliptic function, its derivative, and the Weierstrass zeta function, with invariants g_2=\left(\frac12\mathrm{B}\left(\frac14,\frac14\right)\right)^4=\frac{\Gamma(1/4)^8}{16\pi^2} and 0, and \mathrm{B}(x,y) and \Gamma(x) are the usual beta and gamma functions. The invariants are the ones corresponding to the semi-periods \omega_1=\frac12 and \omega_3=\frac{i}{2}. The parameter ranges are 0 < u < 1 and 0 < v < 1.

We may not be able to give the full details ( as they are proprietary of nature ) on how to manipulate the Weierstrass elliptic functions that show up in the equations, but below the details on how the equation fared against each year end’s actual $SPX close

Year Actual $SPX Close Equation Prediction Error in the Prediction
2016 ?? 3665 ??
2015 2044 2040 0.19
2014 2059 2076 0.82
2013 1848 1858 0.52
2012 1426 1414 0.86
2011 1258 1250 0.61
2010 1258 1248 0.77
2009 1115 1126 0.97
2008 903 901 0.25
2007 1468 1472 0.25
2006 1418 1406 0.87
2005 1248 1256 0.61
2004 1212 1206 0.49
2003 1112 1108 0.35
2002 880 885 0.59
2001 1148 1141 0.62
2000 1320 1330 0.73
1999 1469 1456 0.91
1998 1229 1232 0.22
1997 970 971 0.06
1996 741 742 0.17
1995 616 612 0.64
1994 459 462 0.59
1993 466 464 0.53
1992 436 434 0.39
1991 417 419 0.46
1990 330 329 0.37
1989 353 353 0.11
1988 278 278 0.10
1987 247 247 0.03
1986 242 241 0.49
1985 211 213 0.81
1984 167 167 0.14
1983 165 165 0.04
1982 141 140 0.46
1981 123 123 0.37
1980 136 135 0.56
1979 108 109 0.97
1978 96 97 0.92
1977 95 96 0.94
1976 107 107 0.43
1975 90 90 0.21
1974 69 69 0.64
1973 98 98 0.46
1972 118 118 0.04
1971 102 103 0.88
1970 92 93 0.91
1969 92 92 0.07
1968 104 103 0.83
1967 96 97 0.55
1966 80 80 0.41
1965 92 93 0.61
1964 85 85 0.29
1963 75 75 0.03
1962 63 63 0.16
1961 72 71 0.77
1960 58 58 0.19
1959 60 60 0.18
1958 55 55 0.38
1957 40 40 0.02
1956 47 47 0.70
1955 45 46 1.13
1954 36 36 0.06
1953 25 25 0.76
1952 27 27 1.59
1951 24 24 0.96
1950 20 21 2.71

ps: you might want to decode 3665 ( which is the year end target ) on your phone !!

$SPX Field guide to corrections since 1950

$SPX Field guide to corrections since 1950

1) click on the below image , 2) magnify it , 3) & take an A5 print out  4) & post it in-front of your desk , 5) & thank us later !!

spx corrections png

ps: ms.painted by son as an excercise , color code may or may not be proper for the reader to the feel

pps: would post some other stats later before Monday Open

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check out the new look of the paststat