From A High to a Low in 1 Day

I noted in a tweet last night that big moves down are more short-term bullish when they aren’t occurring from a high. This was a bit of an understatement. They’re often short-term bearish. Yesterday’s drop moved the S&P 500 from a 10-day closing high to a 10-day closing low. Since 1960 there have been only 10 other times this has happened. In last night’s Subscriber Letter I show the results of those 10 instances.

To get a larger sample size I also reduced the requirements from a 10-day high and low to a 7-day high and low. Those results are below. (Click table to enlarge.)

These results suggest more downside, especially over the next 2-4 days.

For more discussion on big drops from highs you may want to review this former study.

P.S. I just noticed that Dr. Brett also looked at the 10-day high to 10-day low move this morning. See what he has to say here.