Jun

24

Barring a big week next, we have a down June in stocks. This is the first down month since Feb 2007, and they have been quite scarce. Through Feb there were only two down months since the beginning of 2006.

Assuming we waited four months, here is stem-leaf of waits (in months) between downs (defined as down month preceded by up, SPY 93-present):

Stem-and-Leaf Display: wait

Stem-and-leaf of wait N = 61
Leaf Unit = 0.10

22   1   0000000000000000000000
(16) 2   0000000000000000
23   3   00000000
15   4   0000
11   5   000
8    6   000
5    7   00
3    8
3    9   00
1    1   0

The waits ranged from 1-11 months (11 was Oct 95, and tied for 2nd longest Feb 07 wait=9 mo). Assuming up then down month, what came next? 

Variable     N    Mean      StDev SE Mean      95% CI                  T      P
aft 1dn      39  0.0129   0.041  0.0065    (-0.0004, 0.0261)  1.97  0.056
1dn 04-07  9   0.0084   0.020  0.0067    (-0.0070, 0.0239)  1.26  0.244

The first row is mean of all months after UD, showing positive. The second row is just 1/04-present.

Just cant wait for next week…. 


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