SPX – new 52 week high – where is the SPX a year later

I did an investigation of what happens a year later after the SPX has hit a 52 week high (intraday).  looking back from 1950

all once ever 20 days
down 369 62
up 1399 199
down 21% 24%
up 79% 76%
if down, avg down -8.69% -8.34%
if up, avg up 14.90% 14.29%

 

There were over 1700 new 52 week highs since mid 1950, and 20% of the time it was lower a year later, which leaves near 80% it being higher.  When it was lower, it averaged about 8.7% loss, nearly 15% gain when it was higher.  In order to reduce the occurrences of multiple days occurring in a group, I put in a test to only look at occurrences that had 20 trading days between highs (the third column) (meaning if there was an intraday high on days 1, 2, 15 and 21, I would only look at days 1 and 21 ).  In that case, the number of occurrences lower raised to 25%, but the average gain or loss was relatively close to the previous results.

the last 20 years

all once ever 20 days
down 86 13
up 463 69
down 16% 16%
up 84% 84%
if down, avg down -8.26% -10.09%
if up, avg up 11.83% 11.15%

Here the gain was less, but the percent of losing occurrences was down.

Finally, looking at all cases – for any given day, where was SPX a year later?  74% of the time it was higher, for an average gain of 16% (slightly better than if invested at all time high).   overall, the typical one year gain was around 8%.

down 4485
up 12509
down 26%
up 74%
if down, avg down -11.53%
if up, avg up 16.16%

looking over the past 20 years, the percent up/down were similar, but the percentage gain/loss were significantly different – -16.85% loss and only 14.85% gain.

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