bit dangerous to short this $SPX, when gained for 5 or more days in row since 2011

$SPX 5 or more consecutive winning streaks , since 2011

with $SPX ( S&P 500 Index )  gaining for 5 days in row , one might thing it might fall in the coming days, which is not the case at-least since 2011.

Here are the trading odds for $SPX longs with 5 trading days exit period after $SPX gains for 5 or more days, since 2011

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 0.35
  • Median Change % : 0.70
  • Maximum Gain % : 1.71
  • Maximum Loss % : -6.54
  • Average Gain %if Winner : 0.85
  • Average Loss % if Loser : -2.14
  • Average Gain % / Average Loss % : 0.40

Here are the trading odds for $SPX longs with 20 trading  days exit period after $SPX gains for 5 or more days.

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 1.19
  • Median Change % : 1.32
  • Maximum Gain % : 4.19
  • Maximum Loss % : -3.94
  • Average Gain %if Winner : 1.80
  • Average Loss % if Loser : -1.88
  • Average Gain % / Average Loss % : 0.96

besides the above statistics, $SPX gained at-least by 0.5% on closing basis on all the 24 occasions at some point of time in the next trading days , and 22/24 ( 92%) times gained at-least by 1% on closing basis .

below the table with the details of next 20 trading days max gains ( we have no idea what that max close in the next 20 trading days would be , ask Chuck Norris 🙂 ) , distributions ,whenever $SPX gained for 5 or more days , since 2011.

Gains # %age
 > 0% 24 100%
> 0.5 % 24 100%
> 1 % 22 92%
> 2 % 15 63%
> 3 % 7 29%
> 4 % 2 8%

below the details of those max gains of the same

Date Close #Gain Streak Next 20 Days Max Close Gain % From Current Close
09-Sep-13 1671.71 5
15-Jul-13 1682.5 8 1709.67 1.61
12-Jul-13 1680.19 7 1709.67 1.75
11-Jul-13 1675.02 6 1709.67 2.07
10-Jul-13 1652.62 5 1709.67 3.45
08-May-13 1632.69 5 1669.16 2.23
25-Apr-13 1585.16 5 1669.16 5.30
11-Mar-13 1556.22 7 1570.25 0.90
08-Mar-13 1551.18 6 1570.25 1.23
07-Mar-13 1544.26 5 1570.25 1.68
25-Jan-13 1502.96 8 1530.94 1.86
24-Jan-13 1494.82 7 1530.94 2.42
23-Jan-13 1494.81 6 1530.94 2.42
22-Jan-13 1492.56 5 1530.94 2.57
12-Dec-12 1428.48 6 1472.12 3.05
11-Dec-12 1427.84 5 1472.12 3.10
23-Nov-12 1409.15 5 1446.79 2.67
10-Aug-12 1405.87 6 1437.92 2.28
09-Aug-12 1402.8 5 1437.92 2.50
13-Mar-12 1395.95 5 1419.04 1.65
23-Jan-12 1316 5 1362.21 3.51
27-Dec-11 1265.43 5 1326.06 4.79
16-Sep-11 1216.01 5 1224.58 0.70
01-Jul-11 1339.67 5 1353.22 1.01
27-Jan-11 1299.54 5 1343.01 3.35

if you are looking for 0.5% gains from here on-wards in the next 20 trading days , for your longs, you have a 100 % chance !!

oh no !! am holding shorts what are my odds then ??

here are the odds for shorts  from current close to next 20 day lowest closing point

Max Loss # %age
 never went below  6 25%
< -0.5 % 11 46%
< -1 % 9 38%
< -2 % 3 13%
< -3 % 2 8%
< -4 % 1 4%

in other words the chance for a 4 percent correction from here till next 20 trading days ,  is about 4% ( happened during Sep 2011 )

below the details of those max losses of the same

Date Close #Gain Streak Next 20 Days Min Close Loss % From Current Close
09-Sep-13 1671.71 5
15-Jul-13 1682.5 8 1676.26 -0.37
12-Jul-13 1680.19 7 1676.26 -0.23
11-Jul-13 1675.02 6 1675.02 0.00
10-Jul-13 1652.62 5 1652.62 0.00
08-May-13 1632.69 5 1608.9 -1.46
25-Apr-13 1585.16 5 1582.24 -0.18
11-Mar-13 1556.22 7 1545.8 -0.67
08-Mar-13 1551.18 6 1545.8 -0.35
07-Mar-13 1544.26 5 1544.26 0.00
25-Jan-13 1502.96 8 1487.85 -1.01
24-Jan-13 1494.82 7 1494.82 0.00
23-Jan-13 1494.81 6 1494.81 0.00
22-Jan-13 1492.56 5 1492.56 0.00
12-Dec-12 1428.48 6 1402.43 -1.82
11-Dec-12 1427.84 5 1402.43 -1.78
23-Nov-12 1409.15 5 1398.94 -0.72
10-Aug-12 1405.87 6 1399.48 -0.45
09-Aug-12 1402.8 5 1399.48 -0.24
13-Mar-12 1395.95 5 1358.59 -2.68
23-Jan-12 1316 5 1312.41 -0.27
27-Dec-11 1265.43 5 1249.64 -1.25
16-Sep-11 1216.01 5 1099.23 -9.60
01-Jul-11 1339.67 5 1286.94 -3.94
27-Jan-11 1299.54 5 1276.34 -1.79

below the table with $SPX , 5 or more consecutive winning days in a row , since 2011.

$SPX 5 days of consecutive gains since 2011

you might want to read What the String of 5 Higher Closes Under These Circumstances is Suggesting  by @QuantEdges  which takes the study back to 1960’s

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