When $SPX bounces from more than 5% Drawdown only to close positive

$SPX bounces from more than 5% Drawdown 

$SPX 5% or more Monthly Drawdown Chart

With $SPY at one point loosing -7.69% ,from the previous monthly close,  only to recover to close in green by gaining 2.34% at the month end ,

below the $SPY returns for the next 1/2/3 months , ( from month close to next 1/2/3 monthly closing values ) , When $SPX recovers from the monthly lows of more than 5% from the previous monthly close values , only to close in the green for the month , data since 1950

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 18 14 77.8 2.75 3.39 5.04 -5.27 0.96 -11.00
t+2 18 13 72.2 4.21 4.59 7.82 -5.19 1.51 -18.62
t+3 18 14 77.8 5.89 5.95 9.13 -5.45 1.68 -11.67
1st +’ve exit in 3 months 18 16 88.9 3.21 3.39 4.57 -7.67 0.60 -11.67

16/18 times $SPX closed higher than the entry , over the next three monthly closes , after $SPX recovers from 5% or more monthly loss ( in the middle of the month ) , and posts a monthly gain

 

Below the $SPX intra-monthly 5% or more recoveries , since 1950

Month Open High Low Close Prv Month Close Low – Prv Month Close % Gain % t+1 % t+2 % t+3 % t+6 % t+12 %
Oct-2014 1971.44 2018.19 1820.66 2018.5 1972.29 -7.69 2.34 ?? ?? ?? ?? ??
Oct-2011 1131.21 1292.66 1074.77 1253.3 1131.42 -5.01 10.77 -0.51 0.34 4.72 11.54 12.68
Jul-2009 920.82 996.68 869.32 987.48 919.32 -5.44 7.41 3.36 7.05 4.93 8.75 11.56
Mar-2009 729.57 832.98 666.79 797.87 735.09 -9.29 8.54 9.39 15.2 15.22 32.49 46.57
Dec-2008 888.61 918.85 815.69 903.25 896.24 -8.99 0.78 -8.57 -18.62 -11.67 1.78 23.45
Aug-2007 1455.18 1503.89 1370.6 1473.99 1455.27 -5.82 1.29 3.58 5.11 0.49 -9.73 -12.97
Mar-2003 841.15 895.9 788.9 848.18 841.15 -6.21 0.84 8.1 13.61 14.89 17.42 32.78
Oct-2002 815.28 907.44 768.63 885.76 815.28 -5.72 8.64 5.71 -0.67 -3.39 3.52 18.62
Aug-2002 911.62 965 833.44 916.07 911.62 -8.58 0.49 -11 -3.31 2.21 -8.18 10.04
Apr-2001 1160.33 1269.3 1091.99 1249.46 1160.33 -5.89 7.68 0.51 -2.01 -3.06 -15.18 -13.81
Oct-1998 1017.01 1103.78 923.32 1098.67 1017.01 -9.21 8.03 5.91 11.88 16.47 21.53 24.05
Jan-1998 970.43 992.65 912.83 980.28 970.43 -5.94 1.02 7.04 12.39 13.41 14.32 30.54
Oct-1992 417.8 421.16 396.8 418.68 417.8 -5.03 0.21 3.03 4.07 4.8 5.14 11.74
Jan-1991 330.2 343.93 309.35 343.93 330.22 -6.32 4.15 6.73 9.1 9.13 12.76 18.86
Dec-1973 95.83 99.09 91.05 97.55 95.96 -5.12 1.66 -1 -1.36 -3.66 -11.84 -29.72
Aug-1970 78.05 82.47 74.13 81.52 78.05 -5.02 4.45 3.41 2.12 6.97 18.68 21.48
Oct-1966 76.56 80.91 72.28 80.2 76.56 -5.59 4.75 0.31 0.16 7.99 17.22 16.33
Oct-1962 56.27 57.83 52.55 56.52 56.27 -6.61 0.44 10.16 11.64 17.13 23.5 30.94
Jul-1950 17.64 17.91 16.68 17.84 17.69 -5.71 0.85 3.25 9.02 9.47 21.41 25.56
avg % 2.75 4.21 5.89 9.17 15.48
med% 3.39 4.59 5.95 12.15 18.74
%wins 78 72 78 78 83
vs avg % for  all months 0.70 1.42 2.13 4.33 8.81
vs % wins for all months 60 63 65 69 73

as you can see months where $SPX had recovered from 5% or drawdown , outperforms all the other months , by 205 basis points ( 2.75 – 0.7 )

Dec 1973, Dec 2008 , were the only two times , wheres $SPX failed close higher over the next three months , on a monthly closing basis 

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