Wednesday, May 27, 2009

From a 5-day low to a 10-day high in 1 day

The market moved from the low end of its recent range to the high end on Tuesday. It’s quite rare for the S&P to close at a 5-day low one day and a 10-day high the next. Below is a table summarizing all such instances since 1960:

A negative bias seems to follow such occurrences over the 1-5 days.


Anonymous said...

I'm confused...the SPX registered it's 10 day highest high on 5/20 @ 924.60 and its 5 day lowest low on 5/21 @ 879.61. Are those the days that you are referring to in this study. This obviously doesnt dispute the results but I'm trying to understand when this study is being prompted based on recent activity.

Rob Hanna said...

It's not based on highest high and lowest low. It's based on closing highs and lows. The market went from a 5-day closing low to a 10-day closing high.

Sorry for the confusion.