Mar

5

Alexander Elder calls a bar that sticks down (or up) by itself on the chart a kangaroo tail. Price goes to a new level, but quickly pulls back. For example, the second to last bar on the attached chart is a kangaroo tail.

I defined a kangaroo tail as a bar on the 30-minute chart* that had at least 50% of its length either above the high of both adjacent bars or below the low of both adjacent bars. I also required this 50% or greater protrusion to be at least 50% of the average 30-minute range.

I found 18 kangaroo tails in the S&P 500 futures since October 24, 2008, of which 10 stuck down and 8 stuck up. I then calculated the change in the S&P 500 futures from the end of the bar after a kangaroo tail (the earliest point at which a kangaroo tail can be identified) until the same time the next day. Results appeared consistent with randomness:

Close    Close

1 bar     24 hrs

Date           Time  Low          Protrusion Direction     later    later   Change
10/24/2008 9:00   835.0              51% down              860.0 868.0   0.9%
11/17/2008 1:00   850.4              50% down              865.6 831.9 -3.9%
11/20/2008 9:30   774.5              58% down              801.5 747.0 -6.8%
12/31/2008 15:20 890.5              75% down             904.8 920.8 1.8%
1/15/2009 15:00   829.5              60% down              839.3 848.6 1.1%
1/27/2009 7:00     832.6              62% down              840.0 859.3 2.3%
1/30/2009 13:00    823.0              54% down             830.5 815.2 -1.8%
2/11/2009 15:00    826.3              56% down             831.5 835.4 0.5%
2/16/2009 1:00      810.1              70% down             816.5 789.8 -3.3%
2/18/2009 9:30      778.2              50% down             784.0 787.7 0.5%

Average -0.9% Standard deviation 3.0%
N 10
t -0.69
Average of all 24-hour periods -0.2%

Close Close

1 bar 24 hrs

Date            Time      High         Protrusion Direction    later     later    Change
10/24/2008 12:30  882.0       51% up                          860.0    885.0     2.9%
10/27/2008 9:30   881.5         52% up                         871.5    846.5    -2.9%
10/27/2008 10:30  881.0       53% up                           869.0     857.5    -1.3%
11/20/2008 12:00  820.0       72% up                           797.0     753.5    -5.5%
1/9/2009 8:15       915.8        50% up                          890.5     880.5    -1.1%
2/2/2009 15:00     827.5         89% up                          821.3      831.5     1.2%
2/5/2009 11:30     847.5         58% up                          843.5      860.8     2.1%
2/25/2009 11:00   765.0         69% up                           755.5     765.5     1.3%

Average -0.4% Standard deviation 2.8%
N 8
t -0.17
Average of all 24-hour periods -0.2%

* My "30-minute" charts use longer time periods per bar during the overnight session


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