{Re-Post } Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of S&P 500 Index 5- Day losing streaks

 hopefully the $SPX dip buyers will RT the blog post to crash the servers , lets see !!!

Anatomy of $SPX 5-Day losing streaks : e-book Table of Contents

  1. Disclaimer……6
  2. Feedback……6
  3. Introduction……9
  4. 5 Day Losing Streaks……10
  5. Moving Averages……12
  6. Current Day’s Loss %……15
  7. Magnitude Of Current Day’s Loss……18
  8. Magnitude Of Loss % Over Last 5 Trading Days……20
  9. Month Low And Year Low……23
  10. Month High And Year High……25
  11. Volume……26
  12. Narrow Range And Wide Range……28
  13. ROC……31
  14. Bollinger Bands……34
  15. Lower Highs And Lower Lows……37
  16. After Not Having Done So……39
  17. For The First Time In The Year……41
  18. Seasonality – Day Of The Week……44
  19. Seasonality – Month……46
  20. Seasonality – By # Trading Week/Day……49
  21. Seasonality – By Quarter / Half……52
  22. 20 Trading Strategies Collection with 75% Win Rate ……54
  23. Self – Promo’s/ Coupon Codes……55
  24. Sayonara……58
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When $SPX posts the first 5-day losing streak of the year

$SPX first 5-day losing streak of the year since 1950

with $SPX posting it’s first 5-day losing streak of 2013 , below the details of $SPX trading odds for the next 20 trading odds since 1950

below the trading strategy rules that we applied

  • for the first time in the calendar year $SPX posts a 5 day decline (further $SPX  5 day declines during the rest of the year are ignored )
  • go long at close
  • exit after 20 trading days

trading odds for next 20 trading days , when $SPX declines for 5 days in row for the first time in the year since 1950

  • Winners : 41
  • Losers : 19
  • % Winners : 68%
  • Average Change % : 1.86
  • Median Change % : 1.62
  • Maximum Gain % : 11.55
  • Maximum Loss % : -8.51
  • Average Gain %if Winner : 3.90
  • Average Loss % if Loser : -2.55
  • Average Gain % / Average Loss % : 1.53
  • Average Absolute Change% : 3.47

below the table with how SPX index fared over the next 1/2/3/4/5/10/20 5 trading days , after falling for 5 days in row , for the first time in the year , since 1950.

$SPX first time declines of 5 days in row in the year, since 1950

as you can see in the above table , ( really!!  did you notice it ??) ,

  • 2006, 2005, 1998 were the only three years where $SPX  didn’t have 5-day losing streaks for the whole year
  • Also note that in the year 1960 , the first trading day of the year started with a consecutive 5- day decline ( no idea why during that year the trading started so late starting at 12th Jan 1960 , I wasn’t born then , if you could tell us why the market was closed between 1st Jan to 11th Jan in 1960 , the rest of the readers would be thankful to you)

So how does the rest of the year looks like after the first 5-day decline

below the table with the details of $SPX first 5-day decline in the year , and the year end closing.

Date Close Trading day Year end Close Rest of the Year Change % Trading days left in the Year Avg Gains Per trading day
25-Sep-13 1692.77 185 ?? ?? 67
10-Apr-12 1358.59 180 1426.19 4.98 70 0.07
07-Jun-11 1284.94 177 1257.6 -2.13 75 -0.03
02-Jul-10 1022.58 176 1257.64 22.99 76 0.30
20-Feb-09 770.05 174 1115.1 44.81 78 0.57
22-Jan-08 1310.5 172 903.25 -31.08 81 -0.38
27-Feb-07 1399.04 171 1468.36 4.95 80 0.06
24-Feb-04 1139.09 169 1211.92 6.39 83 0.08
22-Jan-03 878.36 168 1111.92 26.59 84 0.32
07-Feb-02 1080.17 164 879.82 -18.55 88 -0.21
23-Feb-01 1245.86 161 1148.08 -7.85 87 -0.09
14-Apr-00 1356.56 156 1320.28 -2.67 96 -0.03
01-Mar-99 1236.16 152 1469.25 18.86 100 0.19
12-Dec-97 953.39 151 970.43 1.79 102 0.02
20-Feb-96 640.65 146 740.74 15.62 108 0.14
03-Aug-95 558.75 145 615.93 10.23 107 0.10
29-Mar-94 452.48 142 459.27 1.50 110 0.01
23-Apr-93 437.03 139 466.45 6.73 114 0.06
07-Oct-92 404.25 137 435.71 7.78 117 0.07
08-Jan-91 314.9 133 417.09 32.45 120 0.27
30-Jan-90 322.98 130 330.22 2.24 123 0.02
14-Jun-89 323.83 128 353.4 9.13 124 0.07
10-Aug-88 261.9 127 277.72 6.04 126 0.05
08-Sep-87 313.56 125 247.08 -21.20 128 -0.17
11-Sep-86 235.18 123 242.17 2.97 130 0.02
21-Feb-85 180.19 120 211.28 17.25 132 0.13
13-Jan-84 167.02 112 167.24 0.13 141 0.00
02-Aug-83 162.01 110 164.93 1.80 143 0.01
08-Mar-82 107.34 103 140.64 31.02 150 0.21
23-Jan-81 130.23 97 122.55 -5.90 156 -0.04
26-Mar-80 98.68 93 135.76 37.58 160 0.23
27-Feb-79 96.13 91 107.94 12.29 162 0.08
09-Jan-78 90.64 86 96.11 6.03 166 0.04
23-Mar-77 100.2 82 95.1 -5.09 170 -0.03
12-Apr-76 100.2 78 107.46 7.25 175 0.04
24-Mar-75 81.42 74 90.19 10.77 179 0.06
10-Jan-74 92.39 65 68.56 -25.79 188 -0.14
27-Feb-73 110.9 56 97.55 -12.04 196 -0.06
25-Apr-72 107.12 51 118.05 10.20 200 0.05
25-Mar-71 99.61 47 102.09 2.49 206 0.01
29-Jan-70 85.69 42 92.15 7.54 212 0.04
20-Feb-69 99.79 36 92.06 -7.75 214 -0.04
19-Jan-68 95.24 31 103.86 9.05 195 0.05
04-Apr-67 89.22 27 96.47 8.13 224 0.04
01-Feb-66 92.16 21 80.33 -12.84 231 -0.06
21-Jul-65 84.07 20 92.43 9.94 232 0.04
24-Jul-64 83.46 18 84.75 1.55 235 0.01
16-Jul-63 69.14 17 75.02 8.50 234 0.04
22-Mar-62 70.4 8 63.1 -10.37 244 -0.04
27-Mar-61 64.35 6 71.55 11.19 244 0.05
12-Jan-60 58.41 1 58.11 -0.51 251 0.00
10-Aug-59 58.62 250 59.89 2.17 3 0.72
11-Feb-58 41.11 247 55.21 34.30 5 6.86
06-Feb-57 43.82 240 39.99 -8.74 12 -0.73
13-Feb-56 43.58 233 46.67 7.09 18 0.39
17-Jan-55 34.58 231 45.48 31.52 21 1.50
08-Jun-54 28.34 228 35.98 26.96 24 1.12
12-Jan-53 25.86 221 24.81 -4.06 30 -0.14
18-Feb-52 23.74 217 26.57 11.92 33 0.36
16-May-51 21.69 212 23.77 9.59 37 0.26
13-Jul-50 16.69 211 20.43 22.41 38 0.59
avg 6.47 0.22
med 6.56 0.04
%up 0.73 0.73

$SPX year end targets based on the above data

we hate to give year end targets , but for the fun of it , as there are 67 trading days,  left in the year , and if the average gains per day of 0.22% are realized ( as per the above data set),

67*0.22% = 14.7% ,

giving us an year end target of 1941.76 !! 

its a bit high ( even though , none of the bulls won’t have a problem with that year end target) and the usual problem with the averages , so lets take the median gains per day for the rest of the year , which are at 0.04% ,

67*0.04% = 2.97% ,

giving us an year end target of 1743.08 !!

if we take recent history from 1980’s alone as opposed to since 1950’s data

year end target as per above pattern , taking in to account of the average gains per trading day for the rest of the year , stands at , 67*0.07% = 4.61% , year end target of 1770.79

taking in to account of the median gains per trading day for the rest of the year , stands at , 67*0.06% = 4.05% , year end target of 1761.38

Whats your year end target ??

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