60 days since without a +/- 1% daily change for $SPX

 60 days since without a +/- 1% daily change for $SPX

60daysChart from @John Kicklighter 

Source : Now 60 days since $SPX has seen 1% daily change. Count from Sesame Street can’t even count this high 

1) with $SPX hasn’t seen a daily change of +/-1 % for 60 or more days in row ,  below the details of how the puzzle ended in the past , when ever $SPX does a daily change of +/-1 % , data since 1950

  • Closes above 1% : 5
  • Closes below -1 % : 10
  • % Winners : 33%
  • Average Change % : -0.41
  • Median Change % : -1.03
  • Maximum Gain % : 1.51
  • Maximum Loss % : -1.84
  • Average Gain %if Winner : 1.19
  • Average Loss % if Loser : -1.21
  • Payoff Ratio 0.99

2)  We’ve also looked at if there exists any relationship between the predictability of that +/- % 1% that is coming, after not having done so for 60 trading days  , by looking at where the sequence run started , for ex : the current run has started after gaining by 1.05% , as on 16th Apr 2014 .

below the odds for +/- 1% close for $SPX , after not having done so for 60 or more trading days  , and the sequence started with +1 % close , since 1950

  • Closes above 1% : 4
  • Closes below -1% : 3
  • % Winners : 57%
  • Average Change % : 0.25
  • Median Change % : 1.05
  • Maximum Gain % : 1.51
  • Maximum Loss % : -1.06
  • Average Gain %if Winner : 1.21
  • Average Loss % if Loser : -1.04
  • Payoff Ratio 1.16

not a major edge , and sample size is too less make any conclusion !!

below the 60 or more trading sequences of $SPX not doing a +/- 1% , since 1950 , and how and when they ended

Date $SPX t% Sequence  # trading days  Sequence Start % Returns during the Sequence Sequence  Start %
14-Jul-14 1977.1 ?? 60++ 1862.31 ~ 5.65 1.05
04-Dec-95 613.68 1.1 95 550.98 11.38 -1.34
14-Oct-93 466.83 1.16 68 448.64 4.05 1.31
09-May-72 104.74 -1.32 73 102.57 2.12 -1.04
11-Jun-69 99.05 -1.36 65 98.7 0.35 -1.01
23-Dec-68 105.21 -1.06 75 98.01 7.35 1.03
13-Sep-67 95.99 1.05 68 90.23 6.38 2.04
01-Mar-66 90.06 -1.27 154 84.55 6.52 -1.26
02-Jun-65 87.09 -1.84 75 85.54 1.81 -1.06
01-Dec-64 83.55 -1.03 81 81.96 1.94 -1.25
04-Jun-64 78.67 -1.03 128 73.23 7.43 1.36
09-Oct-63 71.87 -1.01 154 64.29 11.79 -1.11
25-Apr-62 67.71 -1.1 67 68.32 -0.89 -1.09
06-Jun-57 47.8 1.12 66 43.74 9.28 1.11
29-Apr-54 28.18 1.51 91 24.96 12.90 1.01
18-Aug-52 24.94 -1.03 73 23.56 5.86 1.68

3)  reducing the sequence run to 20 or more trading days ,

below the odds for a +/- 1 % , that is coming any time soooon !! , when $SPX hasn’t done a +/- 1% for 20 or more trading days , and if the sequence has started with a positive note , i.e when $SPX closed up by more than 1%, data since 1990

  • Closes above 1%: 16
  • Closes below -1%: 7
  • % Winners : 70%
  • Average Change % : 0.46
  • Median Change % : 1.12
  • Maximum Gain % : 2.04
  • Maximum Loss % : -2.22
  • Average Gain %if Winner : 1.26
  • Average Loss % if Loser : -1.37
  • Payoff Ratio 0.92

a side note , all the above studies are not useful for short term speculation , just good to know historical facts , or paststat’s 🙂

4) as the there is also a sequence of $SPX not doing a +/- 2% , which is now at 64 trading days , below the details of how $SPX ended a sequence of 60 or more trading days , of not a doing a +/-2% daily change ,  since 1990

  • Closes above 2% : 5
  • Closes below -2% : 15
  • % Winners : 25%
  • Average Change % : -1.25
  • Median Change % : -2.28
  • Maximum Gain % : 3.73
  • Maximum Loss % : -3.66
  • Average Gain %if Winner : 2.53
  • Average Loss % if Loser : -2.51
  • Payoff Ratio 1.01

below the details of $SPX not doing a +/-2% for 60 or more trading says , since 1990

Date $SPX t% Sequence  # trading days Sequence Start % Returns during the Sequence Sequence Start %
14-Jul-14 1977.1 ?? 64++ 1833.08 ~ 7.34 -2.09
24-Jan-14 1790.29 -2.09 71 1692.56 8.03 2.18
10-Oct-13 1692.56 2.18 77 1588.19 4.29 -2.5
15-Apr-13 1552.36 -2.3 69 1462.42 8.65 2.54
01-Jun-12 1278.04 -2.46 111 1241.3 5.56 2.98
01-Jun-11 1314.55 -2.28 68 1315.44 2.26 -2.05
26-Jul-07 1482.66 -2.33 93 1377.95 10.17 -2.04
27-Feb-07 1399.04 -3.47 164 1272.87 13.87 2.16
15-Jun-06 1256.16 2.12 680 1018.22 20.80 2.23
01-Oct-03 1018.22 2.23 74 1010.74 -1.46 2.24
23-Jul-98 1139.75 -2.09 118 1001.27 16.26 2.14
27-Mar-97 773.88 -2.1 177 629.8 25.52 -2.54
05-Jul-96 657.44 -2.22 81 633.5 6.14 -3.08
08-Mar-96 633.5 -3.08 486 448.29 45.81 2.13
04-Feb-94 469.81 -2.27 246 433.91 10.79 -2.4
16-Feb-93 433.91 -2.4 285 415.14 7.09 2.14
15-Nov-91 382.62 -3.66 60 390.59 1.68 2.94
19-Aug-91 376.47 -2.36 96 379.5 1.60 2.21
17-Jan-91 327.97 3.73 60 312.48 1.18 2.2
11-May-90 352 2.38 76 330.38 4.07 -2.59
12-Jan-90 339.93 -2.47 60 342.85 1.66 2.76

that point 4 gives us more worries !! 🙁

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One thought on “60 days since without a +/- 1% daily change for $SPX

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive $SPY falls by 1% after a looooong time

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