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S&P 500 Index - A Four Day Pattern 
Thursday, August 20, 2009
By Jay Pasch
The S&P 500 Index (SPX) printed a bullish Outside Day on Wednesday, rising 6.79 points for a 0.7% gain with a closing level of 996.46. Coming on the heels of two Big down days and an Inside Day, Wednesday's Outside Day sets up today's four-day pattern.
Q: What is SPX's historical performance of after the following 4-day price pattern?
- Day-1: Down Big (a one standard deviation percentage decline)
- Day-2: Down Big (a one standard deviation percentage decline)
- Day-3: Inside Day (day's range contained within previous day's range)
- Day-4: Outside Day (day's range engulfs the previous day's range)
A: According to the 11 previous occurrences of this event, EventEdge indicates that SPX has shown a strong bullish edge that peaks 7 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Wednesday, 19 August 2009) is Friday, 28 August 2009. SPX rallies in 82% of the cases (9 of 11) by an average of 2.0% relative to the close on the event date. The average of the 2 declines is -0.5%. The overall return of the 11 cases is 1.5%, which, based on the close of SPX on the event date (996.46), provides a target price of 1011.41.
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 - Measuring the Moves5 - August 19, 2009
- S&P 500 Index - One-two Punch6 - August 18, 2009
 |
Let variable values:
@ = SPX
theEvent = IF
3 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
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
{InsideDay ( @ )
}
AND OutsideDay ( @ )
THEN 1
ENDIF
Date Day t+2 t+3 t+7 t+13 t+14
02/12/1987 Thu 3.6 3.6 2.6 4.7 5.4
04/01/1987 Wed 2.7 3.3 0.0 0.2 -1.8
10/07/1992 Wed -0.4 0.8 1.9 3.4 3.5
06/23/1994 Thu -0.5 -0.8 -0.7 -0.2 0.8
01/12/1996 Fri 1.1 0.8 1.8 5.7 6.1
07/10/2001 Tue 2.3 2.9 2.8 2.1 1.9
11/01/2001 Thu 1.7 3.2 3.2 5.4 4.9
04/05/2002 Fri -0.4 0.7 0.5 -2.6 -2.8
11/20/2003 Thu 1.8 2.0 3.2 2.5 3.6
05/12/2004 Wed -0.1 -1.2 -0.3 2.2 2.5
09/11/2006 Mon 1.4 1.3 2.0 3.0 2.8
08/19/2009 Wed NaN NaN NaN NaN NaN
Avg 1.2 1.5 1.5 2.4 2.5
AvgPos 2.1 2.0 2.0 3.2 3.5
AvgNeg -0.4 -1.0 -0.5 -1.4 -2.3
PctPos 63.6 81.8 81.8 81.8 81.8
PctNeg 36.4 18.2 18.2 18.2 18.2
Maximum 3.6 3.6 3.2 5.7 6.1
Minimum -0.5 -1.2 -0.7 -2.6 -2.8
StdDev 1.4 1.6 1.4 2.5 2.8
ZStat 0.8 0.9 1.1 1.0 0.9
Variance 2.0 2.7 2.1 6.4 7.9
12 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=DownL3,DownL2,MyInsideDay1,MyOutsideDay0
4 http://www.markethistory.com/staff/detail.html?s=pasch
5 http://www.markethistory.com/subscribe/best_of/content.html/16135.html
6 http://www.markethistory.com/subscribe/best_of/content.html/16132.html