Further to earlier posts, I just ran the normal gap study for XBI (not low above previous high, just the open, but I also specified close above previous close), and there are 56 instances of 4 gap ups in a row. Day 5 returns range from -4.6% to 2.9% with an average/median return of 18/24 bps.
EDIT: Just finished with the study of consecutive 1% gainers, and the results are mixed 6 gainers and 6 losers on Day 5 with a median return of -1 bp and an average return of -10 bps. Range is -3% to 2.7%.
Examples include two dates after the low in 2008 (part of same rally - day 4 and 5 in a row of 1% rallies), 1 in early 2009 as the rally was just finishing before the final death plunge, 3 in 2012 (including a 5 day rally showing twice), 4 in 2014 (1 5 day rally showing twice again), 1 at the high in 2015, 1 on the first bounce after the high in 2015 and this rally.
If you tighten inclusion criteria to require 1.25% rallies, the sample size falls to 8 - two samples for the 2008 5 day rally, two for the 2012 five day rally, 2 in 2014, 1 at the high in 2015 and this rally. Five were positive on day 5 and 1 negative. The worst performance was -1.9% followed by -29 bps, followed by 8 bps twice, then 89 bps, 2.1% and finally 2.7%.
Based on the ARMS/trin and these studies and early market action, I think we have a good chance of having another day of XBI rally. I will say 2 in 3 odds with a 0.50-1.00% target.
Jon |
