Tuesday’s gap of just more than 0.9% brought welcome relief from the recent slide. Will the relief last, or will the gap soon be filled?
Let’s model recent action and see what is suggested by the results.
Rules:
- 1 day ago, the 9 day rate of change was less than -5%
- Today, SPY gaps up more than 0.9% and today’s close is higher than the open
- The close is less than the 50 day moving average.
- No commissions or slippage included
- All SPY history used
Summary of Results:
There were 30 occurrences of this setup.
Results suggest that the gap will be filled within 3-5 days and that the recent lows may be revisited or even broken.
However, if the market does trade down -2.5% from here, it may activate this recent study, which was bullish.
Bottom Line: Yesterday’s move does not suggest that the market has put in a bottom.
Shedder
Always like your posts
Tom Lee from JPM tracks AAII bull – bear
When it hits -16 mkt puts in a bottom within 10days
And up over 9%in 9 mths can your black boxrun this test?
Wondering if your black box can spit that sort of test out
Keep up the good work
I dont comment much but I do lurk here and inside PPt
Jimmy, I’ve thought about that. The problem is getting the AAII data into Amibroker. It would need to be modified to look like open, high, low, close, data. Perhaps I could just use the bullish/bearish percentages as a closing price and use that to test it? A good idea, actually…
thats probbaly the best solution. not sure if you need to graph both bull/bear % and then the difference. Depends on Amibroker and I havent used that is years.
can you import the difference from excel and then overlay the SP after that?
Sorry faking iPhone and phat fingers