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S&P 500 Index - Measuring the Moves 
Wednesday, August 19, 2009
By Jay Pasch
The S&P 500 index (500) halted two days of hard selling with an inside-day gain of 9.94 points (1.0%) on Tuesday. Closing at 989.67 with additional weakness reasserting itself in the overnight session, today we seek guidance by measuring SPX's 3-day move.
Q: What is the historical performance of SPX after the following 3-day price pattern?
- Day-1: Down Big (one standard deviation)
- Day-2: Down Very Big (two standard deviations)
- Day-3: Inside Day (day's range contained within previous day's range)
A: According to the 16 previous occurrences of this event, EventEdge indicates that SPX has shown a somewhat bullish edge that peaks 4 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Tuesday, 18 August 2009) is Monday, 24 August 2009. SPX rallies in 81% of the cases (13 of 16) by an average of 1.7% relative to the close on the event date. The average of the 3 declines is -0.5%. The overall return of the 16 cases is 1.3%, which, based on the close of SPX on the event date (989.67), provides a target price of 1002.54.
To view and modify the event parameters defining this study, click here3 to launch the EventEdge® tool.
Mr. Jay Pasch4 is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
Related Ideas:
- S&P 500 Index - One-two Punch5 - August 18, 2009
- S&P - Inside Day Rebound6 - March 26, 2003
 |
Let variable values:
@ = SPX
theEvent = IF
2 values ago {
1 value percent_move of @ is less than
(30 day average of 1 value percent_move of @ -
(1 * 30 day std_dev of 1 value percent_move of @
)
) }
AND
1 value ago {
1 value percent_move of @ is less than
(30 day average of 1 value percent_move of @ -
(2 * 30 day std_dev of 1 value percent_move of @
)
) }
AND InsideDay ( @ )
THEN 1
ENDIF
Date Day t+3 t+4 t+15 t+16 t+21
12/10/1941 Wed 0.6 0.3 2.4 4.0 1.6
05/11/1945 Fri 0.5 1.0 3.0 2.8 2.1
01/25/1983 Tue 1.9 2.5 4.6 4.0 5.5
06/14/1985 Fri -0.3 -0.2 2.6 2.1 4.1
03/31/1987 Tue 3.0 3.5 -1.5 -1.7 -1.1
06/11/1990 Mon 0.4 0.4 -0.6 -0.4 -0.1
08/20/1991 Tue 3.9 3.8 1.5 2.1 2.1
07/20/1995 Thu 1.4 1.5 0.7 0.3 1.0
10/27/1995 Fri 0.8 1.7 3.5 3.0 4.6
01/11/1996 Thu 1.0 0.6 5.9 5.5 8.9
03/14/1997 Fri -0.9 -1.3 -3.9 -3.4 -4.8
04/28/1998 Tue 3.3 3.4 2.2 3.1 1.1
04/17/2000 Mon 2.4 2.0 0.8 -1.3 3.3
07/09/2001 Mon 0.8 1.4 0.5 1.0 0.5
03/12/2004 Fri 0.3 0.2 1.9 2.7 0.8
08/09/2004 Mon -0.2 -0.0 3.2 3.7 4.8
08/18/2009 Tue NaN NaN NaN NaN NaN
Avg 1.2 1.3 1.7 1.7 2.1
AvgPos 1.5 1.7 2.5 2.9 3.1
AvgNeg -0.5 -0.5 -2.0 -1.7 -2.0
PctPos 81.2 81.2 81.2 75.0 81.2
PctNeg 18.8 18.8 18.8 25.0 18.8
Maximum 3.9 3.8 5.9 5.5 8.9
Minimum -0.9 -1.3 -3.9 -3.4 -4.8
StdDev 1.4 1.5 2.4 2.4 3.1
ZStat 0.9 0.9 0.7 0.7 0.7
Variance 1.9 2.2 5.7 5.9 9.8
17 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/analog/analog.html?ticker=SPX
3 http://www.markethistory.com/content/events/indexes/chart.html?ticker=SPX&events=DownL2,DownXL1,MyInsideDay0
4 http://www.markethistory.com/staff/detail.html?s=pasch
5 http://www.markethistory.com/subscribe/best_of/content.html/16132.html
6 http://www.markethistory.com/content/content.html/5306.html