$DJIA breaks 3-day losing streaks after a long time, next what ?

$DJIA breaks 3-day losing streak after a long time

h/t @ @srussolillo from WSJ’s article Morning MoneyBeat: Bullish Streaks in Jeopardy 

The blue-chip average has gone 108 trading days without a three-day losing streak, a string that dates to New Year’s Eve. It is the longest-ever streak in the Dow’s history, surpassing the previous record set in 18 October 1935, when the Dow went 93 trading days without a trio of consecutive down days.

below the details of how $DJIA ( Dow Jones Industrial Average Index ) fares over the next , 1-to-5 days after breaking the 3-day loosing streak after 50 trading days .(don’t ask why we choose 50 ,  it is just a round number, as the 100 day streaks are rarest , in-fact never happened before )

Here is how $DJIA fares over the next two trading days assuming one goes long and exits two trading days later and here are the trading strategy rules

  • DJIA closes down for 3 days in row today
  • DJIA never closed down for 3 days in row for the last 50 trading days
  • go long at close
  • exit 2 trading days ( optimized exit time period !!) later

for 2 day holding period the trading odds for longs were

  • Winners : 33
  • Losers : 24
  • % Winners : 58%
  • Average Change % : 0.37
  • Median Change % : 0.30
  • Maximum Gain % : 3.87
  • Maximum Loss % : -3.09
  • Average Gain %if Winner : 1.43
  • Average Loss % if Loser : -1.08
  • Average Gain % / Average Loss % : 1.32

note that that trading odds after going long on $DJIA cash index after 3 consecutive days down ( interleaving , includes the instances of 4 or more consecutive down days as well )  were

  • Winners : 1860
  • Losers : 1629
  • % Winners : 53%
  • Average Change % : 0.09
  • Median Change % : 0.11
  • Maximum Gain % : 19.53
  • Maximum Loss % : -18.06
  • Average Gain %if Winner : 1.25
  • Average Loss % if Loser : -1.23
  • Average Gain % / Average Loss % : 1.01

below the table with how DJIA index fared over the next 1 to 5 trading days , after falling for 3 days in row , after not having done so for 50 trading days or so , since 1900.

$DJIA no 3-day losing streaks of 50 or more since 1900

ps: ~14900 is at the time of writing .. the study triggers only if $DJIA closes in red for the day.

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One thought on “$DJIA breaks 3-day losing streaks after a long time, next what ?

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive When $SPX breaks 5-day non losing streak after a long time

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