Peculiar Pattern
Your Thoughts
For the second consecutive day, the forecast gauge has been pushed to the upper end of the “normal” range.
Currently, several significant geopolitical factors are influencing the situation, particularly regarding Iran.
Looking at historical matches in similar technical setups, when held for 3 days, the algo consistently points to an area of strength.
The stats for those 3 day holds are as follows:
98 Historical matches
Win Rate - 60.20%
Average Winner - 1.60%
Average Loser - 1.12%
Profit Factor - 2.16
Large moves:
Positions that closed up greater than 1.5% - 35
Positions that closed down greater than 1.5% - 11
Interesting
There's also a peculiar pattern that has emerged since the large drop on Feb 12. Of the 14 trading days since, 11 have seen SPY close above its opening price. AND price is right where it started.
The same pattern emerged in the QQQ but it has had 12 closes greater than the open in that period.
SPY
Historical Scan
I scanned SPY for 11 out of 14 days up from the open but the change over those 14 days had not closed up or down greater than 1% from the start 14 days ago.
That has happened 8 times in the history of the SPY since 1993
Holding 5 days those patterns were up 6 out of 8 times.
Average winner 1.31%
Average Loser 1.54%
This is a small sample size but for curiosity sake it is worth looking at.
If we look at the history of the QQQ matches., we have never seen 12 out of 14 days close up from the open and not have deviated greatly from the start of the pattern.
If we loosen it to11 out of 14 days we land on 5 historical matches.
3 winners and 2 losers.
Average winner 0.78%
Average Loser 0.21%
What Does it Mean?
Between a relatively strong forecast gauge, this odd pattern, and the pounding war drums, the data is what it is.
What do you think?
I’m curious of your opinions.
Look at your SPY chart. Which do we hit first?
SPY up 10 bucks to 691.31
or
SPY down 10 bucks to 671.31
Let me know in the comments.
Have a Great Night!
Dave Johnson - Quantitative System Designer at