$SPX now above 200 DMA for 228 days in row

$SPX now above 200 DMA for 228 days in row

$SPX above 200 DMA for 228 days in row

h/t @RyanDetrick

 http://stocktwits.com/StockTwits/message/16515478

for some that 228 number might be an arbitrary , for some it is when that 227 days streak of $SPX closing above 200 DMA ended on , 15th Oct 1987, before that scary 1987 October crash , when the $SPX lost 24.57% in next two trading days.

While the current streak might further continue unless we close below ~ 1606 tomorrow . below a look at $SPX forward returns when $SPX closed exactly for 228 day in row above the 200-DMA

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+5 17 10 58.8 -0.94 0.35 1.21 -4.02 0.30
t+10 17 8 47.1 -0.84 -0.05 2.34 -3.67 0.64
t+20 17 9 52.9 -0.36 0.61 3.39 -4.59 0.74
t+40 17 9 52.9 0.03 0.72 4.34 -4.83 0.90
t+60 17 11 64.7 1.37 1.02 4.63 -4.61 1.01
t+125 17 13 76.5 3.59 2.11 7.32 -8.52 0.86
t+250 17 10 58.8 6.10 7.63 18.62 -11.80 1.58

t+5 : holding the longs after five trading days , while t+250 is holding the longs for 250 days .

without that 15-Oct-1987 , 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+5 16 10 62.5 0.04 0.51 1.21 -1.90 0.64
t+10 16 8 50.0 0.23 0.34 2.34 -1.89 1.24
t+20 16 9 56.3 0.65 0.89 3.39 -2.87 1.18
t+40 16 9 56.3 1.35 1.37 4.34 -2.51 1.73
t+60 16 11 68.8 2.56 1.28 4.63 -1.99 2.32
t+125 16 13 81.3 4.62 2.88 7.32 -7.07 1.03
t+250 16 10 62.5 6.90 7.77 18.62 -12.64 1.47

below the $SPX streaks of continuous closings above 227 trading days , since 1950 

Date Close Days Above 200- DMA Days Above 200-DMA , prev day t+5 t+10 t+20 t+40 t+60 t+125 t+250
15-Oct-13 1698.06 228 227
12-Jul-07 1547.7 228 227 0.35 -4.2 -6.11 -6.08 0.64 -8.95 -19.58
12-Mar-04 1120.57 228 227 -0.96 -1.12 2.2 -2.99 1.93 0.30 7.91
23-Jun-97 878.62 228 227 0.74 4.57 6.3 5.39 7.33 8.73 25.27
14-Nov-95 589.29 228 227 1.86 3.11 5.5 2.12 11.38 12.95 24.02
13-Sep-93 462.06 228 227 -1.52 -0.06 -0.26 -0.4 1.02 0.40 2.40
17-Oct-89 341.16 228 227 0.74 -0.23 -0.93 3.4 -0.36 1.03 -12.06
15-Oct-87 298.08 0 227 -16.72 -17.88 -16.63 -21.05 -17.67 -12.86 -6.76
05-Sep-86 250.47 228 227 -7.91 -7.29 -6.69 -2.59 -0.57 15.99 29.12
27-Jun-85 191.23 228 227 0.67 1.08 0.61 -2.12 -3.62 8.59 30.17
15-Jul-83 164.29 228 227 2.8 -1.05 -1.3 0.72 5.09 2.11 -8.36
10-Apr-81 134.51 228 227 0.7 0.72 -3.57 -1.89 -4.60 -9.07 -14.16
20-Oct-64 85.18 228 227 -0.21 -0.05 1.22 -1.5 1.54 3.66 7.63
17-Oct-63 73.26 228 227 0.03 1.02 -1.24 2.02 4.49 9.88 15.00
01-Nov-61 68.73 228 227 2.97 4.2 4.44 3.24 -0.81 -3.20 -17.74
16-Mar-59 56.06 228 227 -0.34 -1.11 1.16 3.39 0.54 1.66 -3.98
20-Oct-54 32.17 228 227 -0.47 2.02 3.95 11.66 7.49 18.99 28.54
27-Jun-51 21.37 228 227 1.26 2.01 5.15 7.16 9.50 10.86 16.19

Below the table with $SPX largest streaks of closings above 200-DMA , since 1950

Date Close Days above 200 DMA streak t+20 t+40 t+60 t+125 t+250
15-Oct-13 1698.06 228++
03-Aug-07 1433.06 243 2.86 7.95 7.53 -2.63 -11.56
16-Jul-04 1101.39 313 -3.32 2.22 2.09 7.84 11.07
27-Aug-98 1042.59 525 0.21 2.69 11.60 18.77 32.53
15-Jul-96 629.8 394 5.71 5.4 11.25 20.59 45.09
25-Mar-94 460.58 363 -1.71 -1.25 -1.63 -0.20 7.68
22-Jan-90 330.38 293 -0.72 3.39 3.13 9.45 -0.73
15-Oct-87 298.08 227 -16.63 -21.05 -17.67 -12.86 -6.76
12-Sep-86 230.67 232 2.09 6.55 8.88 26.25 36.09
17-Sep-85 181.36 283 3.65 8.68 13.99 30.01 27.89
14-Dec-83 163.33 333 2.26 -4.3 -4.28 -6.86 -0.31
05-May-81 130.32 243 0.3 -0.42 -0.24 -6.47 -10.65
09-Jun-65 85.04 386 0.41 0.88 3.07 7.47 0.45
22-Nov-63 69.61 252 6.26 10.75 11.51 15.73 23.95
04-Apr-62 68.49 332 -2.86 -13.3 -20.06 -18.09 -2.41
15-Sep-59 56.68 355 0.85 1.43 4.13 -3.42 -1.69
23-May-56 45.02 628 3.8 9.62 8.44 -0.29 4.71
30-Apr-52 23.32 436 2.23 6.13 7.89 3.47 6.05
avg 0.32 1.49 2.92 5.22 9.49
    % up 70.6% 70.6% 70.6% 52.9% 58.8%

conclusion : nothing , but fun with some number crunching …

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

Leave a Reply