S&P 500 Closes below 50 DMA after being above 50 DMA for atleast 50 days in row
With S&P 500 Index closing below 50 DMA after trading above 50 DMA for 74 days in row , we looked at the following trading staretgy to see whether there is any trading edge
Here are the trading strategy rules
- S&P 500 Index closes below 50 day moving average
- for the previous 50 trading sessions the S&P 500 closed above 50 day moving average
returns for various 1-5 day holding period below , test period since 1991
for 1 day holding period the trading odds were
|Next day S&P 500 Index Trading Odds
|Average Change %
|Median Change %
|% Times up
|Average if Win
|Average % if Win
|Average if Loss
|Average% if Loss
|Average Win / Average Loss
|Average Win % /Average Loss %
a slight advantage to bulls !!
below the table with how S&P 500 index fared over the next 1 to 5 trading days.
ps: t+1 is the change next day , t+1% is the change % next day , similarly t+2 is for 2 days etc.
Good stuff from @Woodshedder at ibankcoin Why You Shouldn’t Stress About the S&P 500 Closing Beneath its 50 Day Moving Avg with study since 1928 .
20 largest VIX spikes
with Volatility S&P 500 index ( VIX ) spiking by 43.2% at close as on 15 Apr 2013 , which is the fifth largest one day jump, we looked how VIX index and the S&P 500 index fares the next day during the previous 20 largest one day jumps.
Below the table with 20 previous largest one day VIX spikes and the next day returns. As can be seen in the table below, VIX has fallen 75% (15/20) of the times next day , with the average fall standing at -6.06% , while the median fall stands at -8.86%. Also worth noting in those 20 largest falls , twice the volatility index followed with another 20% spike on 6th May 2010, and on 3rd Aug 1990.
20 Largest VIX spikes and subsequent VIX returns
20 Largest VIX spikes and subsequent S&P 500 Index returns
Below the table with the next day S&P 500 Index returns. As can be seen in the table below, S&P 500 Index has risen 70% ( 14/20) of the times the next day, with the average gain standing at 9.2 points or 0.8%. The median next day change is 5.31 points or 0.63%. Do note that in those 20 largest VIX falls , twice S&P 500 index followed with another 1.5% ++ losses as on 6th May 2010, and on 3rd Aug 1990.
h/t @ Ryan Detric and from the post here at stock twits : Today was the largest $VIX move ever (+43%) on an $SPY drop b/t -2.5% and -2.0%. Whoa; http://stks.co/jRYe