Jan
24
SPY 20 Day Range Goes Below 2%, from Kora Reddy
January 24, 2014 |
SPY 20 day range (defined as 20 day intra high - 20 day intra low ) / (Avg(20 day intra high, 20 day intra low) printing a value of 1.97% = (184.94-181.34)*100/(184.94+181.34)/2
Not many instances since 1993.
Paolo Pezzutti asked:
Kora, what are the implications from a practical perspective?
Kora Reddy replied:
12/13 times SPY (for interleaving trade samples) closed higher 20 days later, but the sample size is too low to make a bullish bet.
3/4 times for the non-interleaving samples, SPY closed higher …
12/13 times SPY closed higher than the current close in the next five days at some point of time ( i.e first profitable exit, otherwise exit at fifth day at close.)
Kim Zussman expands:
Dividing SPY into non-overlapping 20 day periods (counting back from 1/22/14 to 1993), I checked for Kora's low range periods.
Range = 20D HI / 20D Low
The most recent range appears to be the lowest in the series, 1.0198 (1.98%)
There were 11 other instances of 20D range <3%; and the next 20D appears to be very bullish:
One-Sample T: nxt 20d ret
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T nxt 20d ret 11 0.0146 0.0161 0.0048 (0.0038, 0.0255) 3.02
Here are the instances:
Date H/L nxt 20d ret
04/07/06 1.023 0.022
12/16/93 1.023 0.023
04/08/13 1.024 0.036
08/18/05 1.024 0.015
07/27/93 1.024 0.028
01/14/94 1.026 -0.005
06/22/05 1.026 0.009
12/20/13 1.026 0.015
01/25/07 1.027 0.021
10/12/95 1.029 0.019
04/01/93 1.029 -0.022
avg 1.025 0.015
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