All-Up & Down Days的进一步研究

dividend_growth

On Friday, everything (Oil, Gold, AGG, SPX, VIX) went down except for the USD. How did the Market perform after such a day in recent years? I did a little research:

 

Date	SPX +1 Day	SPX +3 Days	SPX +1 Week	SPX +1 Month	SPX +2 Months	SPX +3 Months
20090605	?	?	?	?	?	?
20090414	+1.25%	+3.34%	+1.02%	+6.13%	?	?
20081103	+3.82%	-3.65%	-4.87%	-9.89%	-4.02%	-13.22%
20080304	+0.52%	-2.52%	-0.46%	+3.27%	+6.09%	+3.84%
20071207	+0.73%	-1.20%	-2.44%	-5.88%	-11.15%	-14.04%
20070522	-0.12%	-0.55%	+0.40%	-1.41%	+1.14%	-3.94%
20070426	-0.01%	-0.53%	+0.54%	+1.60%	+0.01%	-0.78%
20050826	+0.60%	+1.26%	+1.07%	+0.87%	-1.14%	+4.34%
20050520	+0.39%	+0.01%	+0.80%	+2.26%	+3.86%	+2.73%
20050107	+0.34%	-0.74%	+0.83%	+1.31%	+3.30%	+0.42%

 

Observations:

1. All instances offered good opportunities for bulls and bears to get out with profits.

2. SPX always went up on the next day, the two losses were minimal.

3. The 20090414 instance looked rough for bears so far, but they still had a chance to get out on 20090420 with about 1% in profit.

4. The 20080304 instance also looked rough for bears, but they had a wonderful chance to cover during the week of 20080315, and they would make tons of profits after 4 months.

5. The 20050522 was the toughest case for bears, they would have to wait 5 months for any profits. 20050522 was also close to the bottom of the 2005 swing market.

 

Conclusions:

1. Go long ES on Sunday night may be a good idea, especially for those who have existing short positions.

2. Establishing short position after 1 day should always generate some profits and even great profits in a bear market, unless some very bullish patterns show up.

 

 

 

The following is basically a continuation of my All-up/All-down days analysis. All-down days occurred total six times since end of 2004, and don't seem to be an useful pattern:

20090428, SPX up 9.93% since then;

20080903, SPX crashed shortly after;

20060223, 20060110, 20051216, SPX went nowhere until May 2006, profits for both sides were minimal.

20050503, pretty much the bottom for SPX until October 2008.

 

All-up days actually work out much worse for the bulls. 5 instances have occurred since end of 2004:

20080519, SPX went to hell after that day;

20070521, SPX went through a massive correction 2-3 months after, as shown in the table above;

20060130, SPX didn't go anywhere for the next 4 months, even when the correction came, bear would make at most 4% off SPX.

20051116, early stage of the SPX bull move between 20051027 and 20060512

20050307, SPX's intermediate top in first half of 2005, would lose 7.17% by 20050420.

 

 

passer

ding

Reloj

能不能将统计范围扩大到2003年？
我觉得如果此次属于牛市开端的话，那03年比较有代表性

七月晴天

1# dividend_growth

dividend_growth

能不能将统计范围扩大到2003年？
我觉得如果此次属于牛市开端的话，那03年比较有代表性
Reloj 发表于 2009-6-6 16:15

如果你能搞到每日的，免费的黄金和综合债券价格就行。

谷丰

great job, thanks

ajs

这个分析太棒了，狂顶

seabiscuit

Thanks for your great analysis and research, as always.
怎么你还没换成大美女的icon 呢？

chameleon

great!

happyface

thanks for your hard working.

louieca

lwmm

ding

qiangge

snowwolf229

wlee

thanks.

小咪

1# dividend_growth

MtlJaysFan

谢谢

ice_tea

ding

littlehua

ding! good analysis!

Reloj

如果你能搞到每日的，免费的黄金和综合债券价格就行。
dividend_growth 发表于 2009-6-6 16:35

黄金不难搞，不过债市的我就不知道啦，不知道哪位大大神通广大一点哦？
不过还是谢谢DG老大了；）