SPY 10 day performance based on length of time above/below 30 day sma

I was curious about the performance over the next ten days based on the number of days the closing price was over the previous day’s 30 day simple moving average (sma).  In the table below, the first column is the number of days the closing price has been above (positive) or below (negative) the 30 day sma for SPY, using dividend adjusted values from Yahoo!.  I count each occurrence, meaning if the price was above the sma for 20 days, then days 1 – 20 would count.  I cut off the tails – when the count of the number of occurrences of that many days was less than 10.  In 1995, a majority of the time the price was above the sma.  The next column is the median of the highest price from the close over the next 10 trading days.  The 3rd column is the average of the highest price.  The 4th column is the median of the price change from the close to the lowest low, and the 5th column is the average.   The sixth column is the number of times with that number of days in row above (positive) or below (negative) the sma.  The final column is just a comparison of the median high vs the median low for those number of days. Things I found interesting include:

1) When the price is below the 30 day sma, the price over the next ten is much more volatile – large moves up/down are more common.

2) Being above or below the sma doesn’t seem to give a indication if the highest high over the next ten days is going to be greater percentage gain then the lowest low percentage loss.  This slightly contradicts the up > down column below, which compares the median up vs median down.  However, when you look at all days, there is a slight up bias regardless of if the price was above or below the 30 day sma.

3) Once you get over around 8 days, the trend is fairly strong – meaning it is much more likely to stay above / below the moving average.  For example, it was below the 30 day sma for at least 8 days 61 times, and 9 days 58 times – only 3 times did it cross the 30 day sma on the 9th day out of 61.   This contrasts to the first day above / below (195/194), the second day also will be above / below (154/141), so about 1/4 of the time it will finish on the other side of the sma.  Having said that, it also seems to be true that runs above the 30 day sma are often longer than below the 30 day sma (10 times the price closed below the previous day’s sma for 33 days in a row, but 10 times the price closed above the sma for 51 days in a row (and 25 times [over twice as often] the number of days was 33 or more).

We are currently around day 26 above the 30 day sma, so the predicted range over the next two weeks is  1145 – 1188.

# days median up avg up median down avg down count up > down
-33 2.79% 3.11% 3.04% 5.41% 10 0
-32 3.31% 4.35% 3.19% 4.59% 11 1
-31 3.62% 4.13% 2.09% 3.91% 13 1
-30 3.07% 4.60% 1.64% 3.39% 13 1
-29 3.87% 4.06% 1.67% 3.89% 15 1
-28 4.04% 4.36% 2.85% 4.00% 15 1
-27 3.73% 5.13% 3.04% 3.50% 16 1
-26 3.34% 4.76% 3.21% 3.74% 16 1
-25 3.31% 3.65% 2.77% 4.36% 17 1
-24 1.72% 3.55% 3.66% 4.33% 19 0
-23 2.43% 3.16% 2.50% 4.80% 20 0
-22 1.84% 2.56% 3.51% 5.45% 20 0
-21 1.93% 3.32% 3.29% 5.57% 21 0
-20 2.32% 3.32% 2.68% 5.21% 23 0
-19 2.62% 3.66% 2.60% 4.16% 27 1
-18 3.08% 3.41% 2.79% 4.40% 31 1
-17 3.01% 3.25% 2.67% 4.56% 32 1
-16 2.49% 2.95% 2.91% 4.25% 38 0
-15 2.85% 3.26% 2.46% 3.55% 41 1
-14 3.02% 3.31% 2.64% 3.23% 42 1
-13 2.52% 2.93% 2.81% 3.47% 44 0
-12 1.95% 2.41% 2.75% 3.57% 46 0
-11 2.01% 2.85% 2.90% 3.48% 50 0
-10 2.03% 2.78% 3.02% 3.43% 55 0
-9 2.52% 2.92% 2.53% 2.98% 59 0
-8 2.48% 2.90% 2.11% 2.83% 63 1
-7 2.60% 3.06% 2.03% 2.61% 69 1
-6 2.45% 3.01% 1.89% 2.56% 74 1
-5 2.44% 2.75% 1.90% 2.85% 84 1
-4 2.47% 2.67% 2.04% 2.72% 99 1
-3 2.07% 2.57% 2.37% 2.75% 118 0
-2 2.02% 2.60% 2.20% 2.66% 143 0
-1 2.18% 2.69% 1.70% 2.62% 196 1
1 1.87% 2.45% 1.61% 2.45% 196 1
2 1.77% 2.35% 1.53% 2.53% 155 1
3 1.64% 2.23% 1.64% 2.35% 133 0
4 1.66% 2.12% 1.35% 2.28% 120 1
5 1.63% 2.08% 1.48% 2.33% 110 1
6 1.76% 2.05% 1.30% 2.15% 96 1
7 1.82% 2.12% 1.36% 2.12% 90 1
8 1.77% 2.02% 1.35% 2.15% 82 1
9 1.72% 2.02% 1.31% 2.11% 81 1
10 1.69% 2.05% 1.45% 2.05% 75 1
11 1.77% 2.02% 1.50% 1.95% 73 1
12 1.96% 1.99% 1.26% 1.87% 70 1
13 1.82% 1.84% 1.41% 2.17% 67 1
14 1.82% 1.82% 1.76% 2.26% 65 1
15 1.89% 2.06% 1.45% 2.12% 62 1
16 1.70% 1.85% 1.43% 2.25% 60 1
17 1.69% 1.81% 1.55% 2.34% 58 1
18 1.70% 1.85% 1.73% 2.38% 57 0
19 1.83% 2.05% 1.79% 2.20% 54 1
20 1.66% 2.19% 1.56% 2.24% 52 1
21 1.79% 2.29% 1.71% 2.22% 52 1
22 1.69% 2.20% 1.56% 2.04% 45 1
23 2.11% 2.21% 1.47% 2.11% 43 1
24 2.04% 2.31% 1.50% 1.81% 42 1
25 1.77% 2.17% 1.23% 1.88% 41 1
26 1.84% 2.30% 1.32% 1.62% 39 1
27 1.59% 1.95% 1.43% 1.77% 36 1
28 1.68% 1.83% 1.89% 2.08% 34 0
29 1.90% 2.16% 1.59% 1.77% 29 1
30 1.71% 2.19% 1.62% 1.70% 27 1
31 1.65% 2.07% 1.77% 1.75% 27 0
32 1.91% 2.13% 1.60% 1.62% 26 1
33 1.98% 2.30% 1.30% 1.45% 25 1
34 1.77% 1.85% 1.61% 1.85% 24 1
35 1.48% 2.13% 1.16% 1.55% 24 1
36 1.50% 1.96% 1.17% 1.49% 21 1
37 2.07% 2.28% 1.13% 1.50% 21 1
38 1.97% 2.11% 1.44% 1.81% 21 1
39 1.88% 2.30% 1.94% 1.85% 20 0
40 1.83% 2.39% 1.96% 1.81% 19 0
41 1.65% 2.25% 2.13% 2.45% 19 0
42 1.26% 1.75% 2.09% 2.83% 17 0
43 1.22% 2.10% 1.85% 2.87% 15 0
44 1.77% 1.95% 2.17% 2.44% 14 0
45 1.85% 2.15% 2.60% 2.32% 14 0
46 1.81% 2.30% 1.38% 2.17% 14 1
47 1.98% 2.72% 1.07% 1.89% 12 1
48 2.35% 3.20% 0.95% 1.62% 10 1
49 3.30% 3.35% 0.74% 1.52% 10 1
50 3.01% 3.17% 0.69% 1.56% 10 1
51 2.94% 2.96% 0.44% 1.27% 10 1


In summary, it seems you should “follow the trend”.

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