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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when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

$SPX not closing below prev month low for 18 months in row chart

h/t @NorthmanTrader ( must #FF , btw )

Below the trading strategy rules that we applied ,

$SPX never closed below the previous month low , for 18 or more months in row ( in other words for the monthly bulls , who put a stop loss of previous month low , on closing basis , that is on the last trading day of the month )

below the trading odds of going at the close of the month of $SPX and exiting over the next 1/2/3/6/12 months , whenever $SPX don’t close below the previous month low for 18 months or more in row !!, since 1950

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 46 28 60.9 0.57 0.74 2.37 -2.23 1.06 -9.23
t+2 45 32 71.1 1.32 2.13 3.46 -3.96 0.88 -15.06
t+3 45 33 73.3 2.58 3.13 4.72 -3.31 1.42 -8.53
t+6 45 35 77.8 5.20 5.00 7.56 -3.05 2.47 -8.10
t+12 45 36 80.0 10.20 9.09 14.18 -5.72 2.48 -12.53

the average forward 12 month returns for $SPX , for any month stands at 6.73% ! there you have an out performance of 3.47% or 347 basis points !!

below the historical details of $SPX , never closing below the previous month low , for 17 months in row , since 1950.

Date Close # non close below prev month low t+1 t+2 t+3 t+6 t+12
Oct-2013 1756.54 17 ?? ?? ?? ?? ??
Jun-2004 1140.84 17 -3.43 -3.21 -2.3 -0.93 2.89
Jan-2001 1366.01 17 -9.23 -15.06 -8.53 -8.07 -10.37
Jun-1996 670.63 27 -4.57 -2.78 2.49 10.45 31.99
May-1996 669.12 26 0.23 -4.36 -2.56 13.14 26.78
Apr-1996 654.17 25 2.29 2.52 -2.17 7.81 22.5
Mar-1996 645.5 24 1.34 3.66 3.89 6.48 17.29
Feb-1996 640.43 23 0.79 2.15 4.48 1.81 23.48
Jan-1996 636.02 22 0.69 1.49 2.85 0.62 23.61
Dec-1995 615.93 21 3.26 3.98 4.8 8.88 20.26
Nov-1995 605.37 20 1.74 5.06 5.79 10.53 25.05
Oct-1995 581.5 19 4.1 5.92 9.38 12.5 21.28
Sep-1995 584.41 18 -0.5 3.59 5.39 10.45 17.61
Aug-1995 561.88 17 4.01 3.49 7.74 13.98 16.04
Jan-1977 102.03 17 -2.17 -3.54 -3.52 -3.12 -12.53
May-1965 88.42 32 -4.86 -3.59 -1.41 3.61 -2.59
Apr-1965 89.11 31 -0.77 -5.6 -4.33 3.71 2.19
Mar-1965 86.16 30 3.42 2.62 -2.37 4.41 3.56
Feb-1965 87.43 29 -1.45 1.92 1.13 -0.3 4.33
Jan-1965 87.56 28 -0.15 -1.6 1.77 -2.64 6.08
Dec-1964 84.75 27 3.32 3.16 1.66 -0.74 9.06
Nov-1964 84.42 26 0.39 3.72 3.57 4.74 8.52
Oct-1964 84.86 25 -0.52 -0.13 3.18 5.01 8.91
Sep-1964 84.18 24 0.81 0.29 0.68 2.35 6.87
Aug-1964 81.83 23 2.87 3.7 3.17 6.84 6.53
Jul-1964 83.18 22 -1.62 1.2 2.02 5.27 2.49
Jun-1964 81.69 21 1.82 0.17 3.05 3.75 2.97
May-1964 80.37 20 1.64 3.5 1.82 5.04 10.02
Apr-1964 79.46 19 1.15 2.81 4.68 6.8 12.14
Mar-1964 78.98 18 0.61 1.76 3.43 6.58 9.09
Feb-1964 77.8 17 1.52 2.13 3.3 5.18 12.38
Aug-1959 59.6 22 -4.56 -3.49 -2.21 -5.84 -4.43
Jul-1959 60.51 21 -1.5 -6 -4.94 -8.1 -8.26
Jun-1959 58.47 20 3.49 1.93 -2.72 2.43 -2.65
May-1959 58.68 19 -0.36 3.12 1.57 -0.68 -4.86
Apr-1959 57.59 18 1.89 1.53 5.07 -0.12 -5.59
Mar-1959 55.44 17 3.88 5.84 5.47 2.6 -0.18
Sep-1955 43.67 25 -3.05 4.21 4.14 11.01 3.85
Aug-1955 43.18 24 1.13 -1.95 5.4 5 10.03
Jul-1955 43.52 23 -0.78 0.34 -2.71 0.69 13.49
Jun-1955 41.03 22 6.07 5.24 6.43 10.85 14.48
May-1955 37.91 21 8.23 14.8 13.9 20.05 19.23
Apr-1955 37.96 20 -0.13 8.09 14.65 11.54 27.45
Mar-1955 36.58 19 3.77 3.64 12.17 19.38 32.53
Feb-1955 36.76 18 -0.49 3.26 3.13 17.46 23.34
Jan-1955 36.63 17 0.35 -0.14 3.63 3.49 12.01

Below the historical details of how the sequence of 17 months in row $SPX not closing below prev month low ended

Date Close sequence ends at Loss %
Jul-2004 1101.72 17 -3.43
Feb-2001 1239.94 17 -9.23
Jul-1996 639.95 27 -4.57
Feb-1977 99.82 17 -2.17
Jun-1965 84.12 32 -4.86
Sep-1959 56.88 22 -4.56
Oct-1955 42.34 25 -3.05

The average loss for the month stands at -4.55% , when the sequence 17 or more months of $SPX not closing below prev month low ends .

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