- 4 closes in a row below the lower bollinger band on SPY
- 4 closes in a row above the upper bollinger band on VIX
- 2 period cumulative WRSI2 less than 1
The past history of SPY demonstrates extremely strong (~100%) past history of a high close than the trigger day within the next 5 days.
There was very strong tendency for the next day to close higher.
Also, today was 2 days in a row with gap downs more than 1%. This also has led to strong rebounds.
- I looked at what happened in past times where the 1st gap down was NOT filled. And even though prices went dramatically lower the second day, past similar instances suggest around a 50% probability of the 1st gap being filled within the next 5 days.
- That would put price back up at 311 on SPY.
From the most extreme similar instances, the MAX gains over the next 5 days were mostly clustered between 2.25 and 3.5 ATR's (10 period).
- This would suggest that the maximum gain over the next 5 days could be a very sharp rise to between 310-320 on SPY.
- The large gap down from Thursday is currently only 2 ATR's above Friday's closing price, so it seems that that gap fill would be a good target for this rise.
- Assuming we saw a rise and a close above the gap level at ~311, I think that would be an ideal exit time if it occurs.
Pete
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