This test suggests the setup has somewhat bearish implications. There are a few things to note here that aren’t evident in the above table. First, 24 of 29 instances (86%) saw the SPY close below its trigger day close at some point in the next 4 days. This is quite a high number. Interestingly, the last 2 times it has occurred, 4/7/09 and 5/5/09, it has led to swift rises and there was no lower close. That speaks to the power of the recent up move from the March lows.

Below is an equity chart from Tradestaion that shows the results using a simple 5-day holding period. You can see the sharp spike that occurred with the last 2 instances.