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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures
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To: SE who wrote (6892)10/21/1998 11:25:00 AM
From: Stoctrash   of 44573
 
10% in 8 days - 10/21/98
Q: What happens when the S&P 500 rallies 10% in
8 days during the fourth quarter?
A: The S&P 500 falls an average of 1% a day every
day for the next four days in 75% of 12 past occurrences.

Click here for a related query.

Let variable values:
theSec = SPX

Date Day 4

11/22/1929 Fri -2.694
10/16/1931 Fri 1.351
11/10/1931 Tue -6.738
11/11/1932 Fri -6.901
12/14/1932 Wed -4.213
10/29/1937 Fri -7.206
12/07/1937 Tue -3.445
10/05/1938 Wed -0.156
10/11/1974 Fri 0.042
10/11/1982 Mon -0.669
11/05/1987 Thu -4.943
12/16/1987 Wed 0.754
10/20/1998 Tue NaN

Avg -2.902
AvgPos 0.716
AvgNeg -4.107
PctPos 25.000
PctNeg 75.000
Maximum 1.351
Minimum -7.206
StdDev 3.135
ZStat -0.926
Variance 9.828

13 Occurrences

** neat!!!
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