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Strategies & Market Trends : General market lab and commentary

SPY 670.92

+0.1%

Nov 7 4:00 PM EST

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To: Robohogs who wrote (487)

6/13/2016 11:03:48 AM

From: Robohogs

of 668

OK, 4 gaps down out of 5 days of at least 1/2% are highly highly highly highly negative with the worst returns of any count. I think this means that the pressure is so bad it takes time to relieve, whereas mid-term returns for 5 in a row are also bad but longer term returns are much better. ALL returns at 4 of 5 days are horrid, although you approach average returns by 8-13 weeks and if you exclude the crash weeks, things get better after 4 weeks.

13 gap downs in last 40 days is the cutoff for returns to start rocketing - enough down pressure that most is spent, although there are a few horrid cases where the pressure is still there. We hit that threshold today. 12 days out of last 40 with gap downs results in bad results. 14-15 gap downs and results are extremely above average. We hit 13 today as I mentioned and it rolls back to 12 tomorrow as we lose 1 from 2 months ago.

6 lower highs in a row is extremely positive for future returns. The 1 column represents 6 lower highs. Results at 4 weeks are 10 up and 3 down with the crashes which were ongoing when 6 lower highs were hit on 12/10/15 and 3/27/14 being bad and the 4 weeks ending last week being the best (6 lower highs into last close). Results at 13 weeks are 11-1 positive. Results at 8 weeks are 9-3 positive. Each of those last two periods now has two open periods (one from early May and the one starting today).

Values	0	1	Grand Total
1D F	0.06%	0.92%	0.07%
1W F	0.33%	0.19%	0.33%
2W F	0.64%	3.21%	0.66%
4W F	1.21%	5.70%	1.24%
8W F	2.46%	5.64%	2.47%
13W F	3.86%	11.08%	3.89%

My read of all of this is that the intensity of the move is deep and long enough (probably) to result in a good bounce soon. Do we get one more burst down? Maybe - some of the data points to that but overall intensity is enough maybe not to have the burst. Maybe.

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