Tuesday, February 5, 2013

7-Day High to 7-Day Low in 1 Day

After closing at a new high on Friday, SPY reversed so hard on Monday that it closed at a 7-day low.  Way back in the 6/19/09 blog I looked at 1-day moves from a 7-day high to a 7-day low.  I have updated those results below and also incorporated a 200-day moving average filter.


There appears to be a bit of a downside edge over the next few days, and much of that edge has played out during days one and two.  Perhaps the quick move through 7 days of resistance causes weak hands to bail and further selling to ensue.

It will be interesting to see how it plays out today because it appears SPY may have a large gap up when the market opens in about an hour.  Gaps up from low areas are less likely to fill, leaving shorts stuck and chasing the markets upwards.  If the gap can hold, then we may avoid the further selling suggested by the study.  If the gap up fills, then the move lower could quickly accelerate.

6 comments:

Unknown said...

Shouldnt your Comparatively Large Drops From 50-day Highs study also have triggered at the same time (for the second time in a week) arguing for a bullish edge again ?

Rob Hanna said...

Yes. I am still considering that study to be active as well.

Blog readers should keep in mind that just because I show a long or short study on a particular day does not mean I am bullish or bearish. The subscriber service often has many studies that are active, and frequently there will be some conflict among them. In the subscriber letter I do my best to sort it out and provide my short and intermediate-term market outlook. But often in the blog I am simply taking one of the studies that I find interesting and highlighting it.

Best,
Rob

Unknown said...

Many thanks for your reply and also for all the other great posts !

ReturnofTheAsh said...
This comment has been removed by the author.
ReturnofTheAsh said...

Dear Rob,

I wanted to confirm a couple of things. When you say 7-day high then you mean high over 7 trading days or 7 days including non-trading days?

Also, when you say stock closes at 7-day high, then how do you find that out? My confusion is that close price is VWAP over a few minutes during closing and "high price" in all practical cases is going to be more than closing price. Then how do you find out that stock closed at 7-day high?

Thanks!

Rob Hanna said...

Ash,

1) Day counts always refer to trading days.

2) Keep it simple. It is the closing price you see on the daily bar.

Rob