$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 !!

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