After seeing "From A 50-Day High To A 50-Day Low In 8 Days" post on "Quantifiable Edges", I decided to run my own testing seeing what happens after SPY move from 50-day high to 50-day low in less than 8 days.
Since 2002, I found 4 such instances on 3/10/2004, 5/16/2006, 2/26/2007, and 7/25/2007. Regardless of number of days out, decent size drop occurred after all 4 instances with and average of -1.76%, -1.63%, -2.30%, -1.42% and -1.22% for 1, 3, 5, 10, and 20 days out.
Interesting inside days seems to occur soon after such quick drop, which also took place on 2/1/2010 after a move from 50-day high to 50-day low within 8 days. This finding somewhat give support to my hypothesis that the market is in the consolidation phase. The weakness may continue, but I do not expect severe drop to follow unless there is some sort of catalyst.
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