A Rare But Intriguing Setup Based On The Recent Weak Closes

Regardless of whether the market has closed up or down, SPY has consistently closed near the lower end of its range over the last 5 days. Below is a list of all the instances where SPY closed in the bottom third of its daily range for five days in a row, and their returns over the next two days.

What I find most remarkable about this study is not the fact that all 6 instances closed higher 2 days later, but that the last 5 never saw any drawdown over the next 2 days.  That means they gapped up on day 1 and went 2 days without filling.