Jul

16

Small Caps, from Kora Reddy

July 16, 2014 |

I was doing some study on small caps ($IWM ETF) on sequences of 20 day low closings and 20 day high closings.

If a current close is a 20 day low coming after a 20 day high closing, calling it as the 1st 20 day low closing (marked as 1, under #), and if another 20 day low closing is printed, then call it as a second 20 day low (marked as 2 under #) after a 20 day is already printed, and so on. The sequence is counted till a new 20 day high is printed.

Currently we printed a 3rd 20 day closing as on yesterday on $IWM.

It looks like about 46% of the total (of 319) 20 day low closings continue further, if they don't stop by the 4th 20 day low closing print, before printing a 20 day high closing print

% not stopped column indicates how many further 20 day low close prints of the total (319), continued further

data since 2001

# Instances  % Not Stopped

1    50    84.33

2    47    69.59
3    39    57.37
4    34    46.71
5    28    37.93
6    22    31.03
7    17    25.71
8    15    21.00
9    13    16.93
10    12    13.17
11    10    10.03
12    8    7.52
13    5    5.96
14    3    5.02
15    2    4.39
16    2    3.76
17    2    3.13
18    2    2.51
19    2    1.88
20    2    1.25
21    2    0.63
22    1    0.31
23    1    0.00
 


Comments

Name

Email

Website

Speak your mind

1 Comment so far

  1. $SPY and 20 day high and 20 day low cycles | Daily Quant Ideas from Paststat on February 7, 2018 3:34 am

    […] this is a similar study done $IWM , few years ago […]

Archives

Resources & Links

Search