Back to Back Closes Below Bollinger Band - Both Down 1% or More

First my post from yesterday contained what appears to be an error in that End of Day data showed the VIX unchanged and I had stated it was down 2%.  My hourly chart data showed the close down 2%, but the daily chart data showed it unchanged. 

That being said the market continues to appear to be very near a short term capitulation and brief rebound.

I ran a filtering of the last 23+ years of SPY data and looked at:

• 2 closes in a row under the lower bollinger band
• Both days were down more than 1%

The results were 35 instances.  33 of them had a higher close within the next 5 days.  

If entering at the close of the signal day (today) and exiting at the close of the first higher close within the next 5 days, or exiting at the close of the 5th day if there were no higher closes, then the EV was 2.37% gain.

So the odds appear to favor an rebound rally in short order.  I would caution, that this does not mean the decline is over.  And a sharp rally for a couple days could be a lower time frame short set-up for another move lower.