SPY 4 days higher highs

I did a quick look at what happens after 4 days of higher highs. It has happened 165 times since 1993, which averages less than once a month. Looking at the dates, they tend to be somewhat bunched, meaning often it will occur two or three times within a month or so time span, and then not again for a few months. For example, it happened 11/20/2008, 12/1/2008, 12/23/2008; prior to that the closest was 7/14/2008 and after that the closest was 3/6/2009.  As to what happens after string of 4 consecutive higher highs, the simple answer is not much different than any other time.

4 higher highs anytime
total 165 median 4289 median
higher than close 159 96.36% 1.19% 4096 95.50% 1.47%
lower than close 158 95.76% -1.14% 3988 92.98% -1.34%
higher high 137 83.03% .79% 3497 81.53% 0.93%
lower low 116 70.30% -0.56% 3120 72.74% -0.74%

After 4 higher highs, the likelihood of a getting a high over the next 5 days than the close of the 4th consecutive high is slightly higher 96.4% vs 95.5% that happens on a random trading day.  The likelihood of a low over the next 5 days than the close of the 4th consecutive high day is slightly higher 95.8% vs 93.0%.  The likelihood of a higher high over the next 5 days is 83% vs 81.5%.

The one thing that does seem to be the case is that the range is a little smaller – the median highest high over the next 5 trading days is .79% after 4 consecutive highs vs .93% on any trading day. and the low is -.56 vs -.74%.

Of the 165 occurrences that lasted 4 days or more, 70 stopped at 4 days (42%), 42 stopped at 5 days (25%, or 44% of those that lasted 5 days or more).  The rest (54 = 32%) lasted over 5 consecutive days.   So it is better than a coin toss that tomorrow will have a higher high (and over 83% chance that you will see a higher high over the next 5 days).

Note, this discussion does not touch on the closing price over the next 5 days, just the highs or lows.


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