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mortiz

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Reply with quote  #1 

Today's NYSE Arms (TRIN) index was 15.77, a very rare event.

 

The below table gives the SPX percentage gains over the five days following an ARMs index greater than 8.00 over the past 56+ years.

 

Getting late for us senior citizens, so only reporting the five trading days of SPX price changes following these rare events.  Will look into longer term price changes later.

 

 

Just the reporter, you decide.

 

FWIW

 

Randy

 

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doc

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Reply with quote  #2 

Thanks for reporting the data, Randy. Something seems different this time. SPX is down roughly 1% at day 3 after being up fractionally days 1 and 2. Let's see what happens with days 4-5. So far we seem to be tracking 1953 closest.

 

Also, if we exclude the last 2 cases as they came as secondary and tertiary waves after the first one in the same month, almost all of the other cases saw the greatest gains by day 2 and then trended down. Only the June 1950 peaked at day 4 and the other 1950 case made a fractionally higher gain on day5 after essentially peaking day 2. How's that for data mining on a small sample size? Be good.

 

Doc

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mortiz

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Reply with quote  #3 

Doc,

 

As usual, great analysis of the raw data.  Lowered the bar to a TRIN of 5.00 or greater, and snagged that infamous day of 10-16-1987, which blew away the returns averages to lower levels.  Also added a few more time frames, and returns rows that do not include 10-16-1987.

 

 

 

Guess I'll have to lower the bar some more to get a decent sample space.

 

Thanks for the feedback Doc, it's always appreciated and valued.

 

Randy

 

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doc

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Reply with quote  #4 

Randy,

 

Thanks for the additional data. Hope it didn't enter your mind for an instant that my small sample size comment was in anyway a criticism of your post--you were simply doing the board a service with posting the info as it exists--and fortunately perhaps for frayed nerves, the sample size is small.

 

You read my mind in extending the followup period as the gains do seem to pick up further after day 5 rather than deteriorate. Also, some of the other entries don't exactly show the day 2 peak I mentioned. Finally, my bleary eyes treated the 12/27/97 entry as the day after 12/26/87. Correcting that error on my part, that year also saw higher gains by day 5 and more so by day 30.

 

Well, all we need now is to whip the 2007 entry into shape. Let's see.

Thanks for all you do.

 

Doc

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