When $SPX closes in the bottom 10% of the monthly range

When $SPX closes in the bottom 10% of the monthly range 

with the $SPX monthly OHLC for August being , 1689.42, 1709.67 ,1627.47 ,1632.97

giving us the closing price range value as , (Close-Low)/(High-Low) , (1632.97-1627.47)/(1709.67-1627.47) = 6.69%

We looked at what happens in the next month , when $SPX closes in the bottom 1o% of the monthly range

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, since 1950

  • Winners : 34
  • Losers : 14
  • % Winners : 71%
  • Average Change % : 1.69
  • Median Change % : 1.75
  • Maximum Gain % : 16.30
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 4.22
  • Average Loss % if Loser : -4.44
  • Average Gain % / Average Loss % : 0.95

Winning Odds for any random month for $SPX ,  since 1950

  • Winners : 452
  • Losers : 311
  • % Winners : 59%
  • Average Change % : 0.69
  • Median Change % : 0.91
  • Maximum Gain % : 16.30
  • Maximum Loss % : -21.76
  • Average Gain %if Winner : 3.34
  • Average Loss % if Loser : -3.18
  • Average Gain % / Average Loss % : 1.05

Lets tweak a further with the following rules.

  • $SPX closes in the bottom 10% of the monthly range
  • $SPX close is above 10-month moving average

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, since 1951

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 2.12
  • Median Change % : 2.39
  • Maximum Gain % : 8.31
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 3.45
  • Average Loss % if Loser : -4.51
  • Average Gain % / Average Loss % : 0.76
  • Average Absolute Change% : 3.18

Lets tweak a bit further with the following rules.

  • $SPX closes in the bottom 10% of the monthly range
  • $SPX close is above 10-month moving average
  • $SPX closes in red for the month

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, and $SPX closed in red for the month since 1951

  • Winners : 19
  • Losers : 3
  • % Winners : 86%
  • Average Change % : 2.21
  • Median Change % : 2.39
  • Maximum Gain % : 8.31
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 3.43
  • Average Loss % if Loser : -5.53
  • Average Gain % / Average Loss % : 0.62
  • Average Absolute Change% : 3.18

Below the table with $SPX change % details for the next month,

$SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, and $SPX closed in red for the month , since 1951

Date Open High Low Close Close Range % Cls/10-MA Loss% Next Month Change%
Aug-13 1689.42 1709.67 1627.47 1632.97 6.69 1.05 -3.13 ??
Jan-10 1116.56 1150.45 1071.59 1073.87 2.89 1.06 -3.70 2.85
Jul-07 1504.66 1555.9 1454.25 1455.27 1 1.01 -3.20 1.29
Dec-05 1249.48 1275.8 1246.59 1248.29 5.82 1.03 -0.10 2.55
Jun-05 1191.5 1219.59 1188.3 1191.33 9.68 1.02 -0.01 3.60
Apr-04 1126.21 1150.57 1107.23 1107.3 0.16 1.03 -1.68 1.21
Jul-99 1372.71 1420.33 1328.49 1328.72 0.25 1.05 -3.20 -0.63
Jul-98 1133.84 1190.58 1114.3 1120.67 8.35 1.07 -1.16 -14.58
Aug-97 954.29 964.17 893.34 899.47 8.65 1.09 -5.75 5.32
Mar-97 790.82 814.9 756.13 757.12 1.68 1.05 -4.26 5.84
Jan-92 417.03 421.18 408.64 408.78 1.12 1.05 -1.99 0.96
Nov-84 166.09 170.41 162.99 163.58 7.95 1.03 -1.51 2.24
Oct-83 165.99 172.65 162.86 163.55 7.05 1.02 -1.52 1.74
Jan-81 135.76 140.32 128.57 129.55 8.34 1.05 -4.57 1.33
Jul-71 99.16 101.52 95.08 95.58 7.76 1.00 -3.16 3.61
Oct-67 96.71 98.25 93.29 93.3 0.2 1.02 -3.53 0.75
May-67 94.01 95.25 88.71 89.08 5.66 1.06 -5.24 1.75
Feb-63 66.31 66.96 64.08 64.29 7.29 1.07 -2.89 3.55
Jun-61 66.56 67.08 64.47 64.64 6.51 1.06 -2.88 3.28
Oct-54 32.29 32.76 31.68 31.68 0 1.09 -1.95 8.08
Aug-54 30.99 31.21 29.83 29.83 0 1.08 -3.40 8.31
Sep-51 23.28 23.71 23.26 23.26 0 1.06 -0.09 -1.38
Jun-51 21.48 22.05 20.96 20.96 0 1.00 -2.60 6.87

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