IWM new highs

I looked at various new highs of IWM over the last 2000 trading days (latest date was 2009-12-18).  The first table is how often a particular new high occurs overall.  For example, a 5 day new high occurs 29% of the days, but if the open is above the prior 5 day’s close SMA, then there is a 51% chance that it will hit a new 5 day high.  If the open is below the prior day’s SMA, then there is about a 3% chance that the day will be a new 5 day high.

chances of new high 5 day high 10 day high 20 day high 30 day high 50 day
average 29% 21% 17% 15% 12%
open above x day average 51% 37% 29% 26% 20%
open below x day average 3% 1% 0% 0% 0%

Next I looked at the distribution of the new highs – how often they occurred together. For 5 day highs, 109 times the new high was not followed by another new high, 77 times 2 new highs occurred together, 42 times 3 new highs occurred together etc. This means that 2 or more consecutive new highs is more common than isolated new highs.

consecutive 5 day high 10 day high 20 day high 30 day high 50 day
1 109 86 71 63 56
2 77 64 50 40 31
3 42 25 21 19 17
4 18 11 7 7 5
5 7 6 5 5 4
6 4 6 6 6 5
7 8 4 2 2 0
over 7 2 1 1 0 0

The final table show the length of time between new highs. 326 times the new 5 day high was the next day, 74 times there was a day between the new highs, etc. the 21+ row means there were at least 21 days between the new high, total is just the total number of new highs, and max is the maximum time between new highs.

day until next new high 5 day high 10 day high 20 day high 30 day high 50 day high
1 326 232 182 161 121
2 74 54 45 41 36
3 33 26 21 19 15
4 18 14 11 9 6
5 16 14 12 10 9
6 22 11 10 9 6
7 22 7 5 3 3
8 18 7 7 7 4
9 14 5 5 4 4
10 10 9 8 3 3
11 9 6 3 3 3
12 5 3 1 1 1
13 3 7 2 2 2
14 2 2 0 0 0
15 2 4 1 1 1
16 5 4 1 1 1
17 1 2 0 0 0
18 1 3 2 2 2
19 1 3 0 0 0
20 2 2 2 2 2
21+ 8 19 26 24 19
total 592 434 344 302 238
max 29 65 88 139 154

Things I found interesting was how often new highs are achieved (at least when the open is above the associated SMA). Also found surprising that a majority of the time there are consecutive (at least greater than 1) new highs. Another study, which I don’t have a table for, indicates that if yesterday was a new high, and today’s open was in the upper half of yesterday’s range, than somewhat more than 70% of the time there would be a new high today.

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