Remarkable about Friday’s 50-day high close is that it came just 8 trading days after SPX closed at a 50-day low. That’s quite rare to see. The study below is from this weekend’s Quantifiable Edges Subscriber Letter. It looks at all the instances since 1950 of a move from a 50-day closing low to a 50-day closing high that have occurred within 2 weeks.
There have only been 7 occurrences but the stats are overwhelmingly bullish over the next month. The profit maxes out on day 17 in the table above. To getting a better feel for the instances I have listed them all below along with 17-day stats.
While 7 instances is a bit low, the results are unanimous and the stats above are incredibly lopsided. So it seems this study may be worth some consideration. The average run-up of the 7 instances is over 5x the size of the average drawdown, and every instance saw a run-up substantially larger than its drawdown. That’s impressive.
Want research like this delivered directly to your inbox on a timely basis? Sign up for the Quantifiable Edges Email List.
Rob Hanna is the founder of Quantifiable Edges, a quantitative market research service he has run since 2008. His research focuses on statistical analysis of U.S. equity markets, including studies on FOMC patterns, VIX dynamics, seasonal effects, gap behavior, market breadth, and other quantitative edges. In 2009 he published "The Quantifiable Edges Guide to Fed Days," available on Amazon. He was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award and currently serves on the NAAIM Board of Directors. His articles have appeared in several trading and investment publications, and he has been a guest on numerous trading podcasts. Rob has been a featured speaker at annual conferences for the CMT Association (formerly Market Technicians Association), the American Association of Professional Technical Analysts (AAPTA), and NAAIM. He ran a private investment partnership from 2001 through 2019 before joining Capital Advisors 360 as an investment advisor representative, where he trades quantitative and volatility-based models for clients.. Follow him on Twitter / Facebook.
