Tuesday, September 1, 2015

Today's Action In Context - SPY Down 3% After a 2% Gap Down

Click on Stats to Enlarge

This table looks at previous instances of days when SPY gapped down 2% and then closed down greater to or equal than 3%.  Data goes back 20 years and does not include August of this year (which wouldn't change it).

What we see is consistent/profitable bullish opportunities on average.  In this case, the stats look at a 5 days hold, which is the maximum closing return on average.  77% close higher 5 days later, with the average gainer up more than 4%.  The average total expected value, including the losers, is 2.7%.

The few instances that were losers were basically in the waterfall declines preceding sharp bounces. So they still had 3-8 days before bottoming out in the short term and putting in a sharp rally.

So the stats here don't add that much to the earlier post.  If tomorrow gaps down, I would expect an even stronger stat profile, but obviously instances are getting fewer as well.

Again this is short term info in the context of a probable continuing downtrend.


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