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Strategies & Market Trends : General market lab and commentary

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Nov 12 4:00 PM EST

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From: Robohogs

5/2/2016 5:01:15 AM

of 668

Some bio specific data:

IBB base index (NBI) after streaks. Current down streak is 5 - as an aside, the sign changed going from IBB data to NBI data for 5 day down streaks (from modestly down to modestly up). Returns overall also went up by half (getting the 90s bull market into data). Odds of being an up day after 5 days down also increased slightly from 56% before to 59%. I would have included the % up days in table but too actually a difficult issue in pivot tables as you have to define a calculated field.

After Down Streaks of X Days

	Values
Row Labels	Avg 1 Day Ret	Up Days	Total Days
0	0.10%	1,588	2,966
1	0.01%	695	1,378
2	-0.01%	343	683
3	0.09%	177	340
4	-0.13%	84	163
5	0.38%	46	78
6	0.14%	19	32
7	-0.38%	6	13
8	2.78%	5	7
9	-0.13%	1	2
10	2.66%	1	1
(blank)
Grand Total	0.06%	2,965	5,663

The 0.10% average return after 0 Day Down Streak would lead one to infer that the market goes up more coming off up days overall than down as a zero day down streak means previous day was up. Looking below, returns stink coming off down streaks overall (as one would guess by looking at returns after 1 or down days) above as they are the most common streaks obviously.

After Up Streaks of X Days:

	Values
Row Labels	Avg 1 Day Ret	Up Days	Total Days
0	0.02%	1,377	2,697
1	0.17%	773	1,378
2	0.07%	393	773
3	0.14%	208	393
4	-0.03%	103	208
5	-0.36%	49	103
6	0.12%	30	49
7	0.05%	16	30
8	0.20%	9	16
9	0.10%	5	9
10	0.05%	2	5
11	-1.73%	-	2
(blank)
Grand Total	0.06%	2,965	5,663

And we have ^NBI on first trading day of May below.

Month	Year	Cal Year	Bus Date	Ret	Up?	Pre Bus Day	Return
5	1994	1994	5/2/94	1.15%	1	4/29/94	0.31%
5	1995	1995	5/1/95	-1.39%	0	4/28/95	-0.20%
5	1996	2003	5/1/96	0.93%	1	4/30/96	0.67%
5	1997	2003	5/1/97	-0.20%	0	4/30/97	0.64%
5	1998	2003	5/1/98	-0.51%	0	4/30/98	2.00%
5	1999	2003	5/3/99	1.35%	1	4/30/99	-1.41%
5	2000	2003	5/1/00	5.23%	1	4/28/00	7.88%
5	2001	2003	5/1/01	0.77%	1	4/30/01	4.08%
5	2002	2003	5/1/02	-1.43%	0	4/30/02	3.19%
5	2003	2003	5/1/03	1.78%	1	4/30/03	0.41%
5	2004	2003	5/3/04	1.49%	1	4/30/04	-3.04%
5	2005	2003	5/2/05	0.99%	1	4/29/05	0.84%
5	2006	2003	5/1/06	-0.83%	0	4/28/06	0.39%
5	2007	2003	5/1/07	0.45%	1	4/30/07	-1.39%
5	2008	2003	5/1/08	2.37%	1	4/30/08	-0.39%
5	2009	2003	5/1/09	-1.26%	0	4/30/09	-2.58%
5	2010	2003	5/3/10	1.48%	1	4/30/10	-0.97%
5	2011	2003	5/2/11	0.61%	1	4/29/11	-1.14%
5	2012	2003	5/1/12	-0.32%	0	4/30/12	-0.53%
5	2013	2003	5/1/13	-0.68%	0	4/30/13	-0.64%
5	2014	2003	5/1/14	1.09%	1	4/30/14	0.33%
5	2015	2003	5/1/15	2.86%	1	4/30/15	-3.05%

					After Down
				All Samples	Day Before
			Mean	0.72%	0.63%
			Median	0.85%	0.61%

			Up	14	7
			Total	22	11
			% Up	63.64%	63.64%

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