When $SPY 20 day range goes below 2%
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Here is an interesting article which analyzes how the SPY performs after it consolidates in a tight (under 2%) trading range for more than 20 sessions:
Summary: ( 92% ) times $SPY closed higher over the next 5 trading day at some close , when $SPY 20 trading day’s range contracts below 2% , since Mar 1993 ,
All data as of Wed’s (1/22/14’s) close:
With $SPY 20 day range as in (20 day intra high – 20 day intra low ) / (Average (20 day intra high ,20 day intra low ) printing a value of 1.97% -> (184.94-181.34)*100/(184.94+18
| Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |
| t+1 | 13 | 8 | 61.5 | 0.16 | 0.16 | 0.47 | -0.34 | 1.39 | -1.30 |
| t+2 | 13 | 9 | 69.2 | 0.35 | 0.56 | 0.70 | -0.45 | 1.57 | -1.31 |
| t+3 | 13 | 10 | 76.9 | 0.48 | 0.60 | 0.80 | -0.60 | 1.34 | -1.32 |
| t+4 | 13 | 11 | 84.6 | 0.55 | 0.52 | 0.76 | -0.65 | 1.18 | -1.10 |
| t+5 | 13 | 11 | 84.6 | 0.56 | 0.46 | 0.79 | -0.72 | 1.10 | -1.10 |
| t+10 | 13 | 10 | 76.9 | 1.13 | 1.13 | 1.65 | -0.60 | 2.75 | -1.72 |
| t+20 | 13 | 12 | 92.3 | 1.98 | 1.87 | 2.16 | -0.13 | 16.62 | -0.13 |
| Swing High | 13 | 12 | 92.3 | 0.33 | 0.44 | 0.45 | -1.10 | 0.41 | -1.10 |
that Swing High, column , is made with the assumption that, one goes long at close and exits at first higher close than current close in the next five trading days , or exit at the end of the fifth trading day with loss
12/13 ( 92% ) times $SPY closed higher over the next 5 trading day at some close , when $SPY 20 trading day’s range contracts below 2% , since Mar 1993 ,
Whilst the sample size is too low , suggests an upside in the next trading days !!
here are the $SPY 20 day rage less than 2% , since Mar 1993 and the next 1/2/3/4/5/10/20 trading returns ,
| Date | 20 Day Range % | t+1 | t+2 | t+3 | t+4 | t+5 | t+10 | t+20 |
| 22-Jan-14 | 1.97 | ?? | ?? | ?? | ?? | ?? | ?? | ?? |
| 11-Jan-07 | 1.96 | 0.76 | 0.56 | 0.6 | 0.26 | 0.46 | -0.02 | 1.25 |
| 10-Jan-07 | 1.96 | 0.44 | 1.2 | 1.01 | 1.05 | 0.7 | 0.51 | 2.46 |
| 15-Aug-05 | 1.97 | -1.3 | -1.31 | -1.32 | -1.1 | -1.1 | -1.72 | -0.13 |
| 23-Dec-93 | 1.87 | 0.52 | 0.71 | 0.58 | 0.18 | -0.34 | 0.58 | 1.35 |
| 22-Dec-93 | 1.81 | -0.06 | 0.46 | 0.65 | 0.52 | 0.12 | -0.06 | 1.48 |
| 21-Dec-93 | 1.94 | 0.68 | 0.62 | 1.14 | 1.33 | 1.21 | 0.62 | 1.89 |
| 13-Aug-93 | 1.93 | 0.55 | 0.9 | 1.45 | 1.45 | 1.52 | 2.48 | 2.9 |
| 12-Aug-93 | 1.93 | 0.16 | 0.71 | 1.07 | 1.61 | 1.61 | 2.71 | 3 |
| 11-Aug-93 | 1.93 | -0.29 | -0.13 | 0.42 | 0.77 | 1.32 | 2.35 | 1.8 |
| 10-Aug-93 | 1.93 | 0 | -0.29 | -0.13 | 0.42 | 0.77 | 2.29 | 1.61 |
| 09-Aug-93 | 1.93 | -0.06 | -0.06 | -0.35 | -0.19 | 0.35 | 1.13 | 1.87 |
| 06-Aug-93 | 1.67 | 0.55 | 0.49 | 0.49 | 0.19 | 0.36 | 1.88 | 3.14 |
| 05-Aug-93 | 1.67 | 0.13 | 0.68 | 0.62 | 0.62 | 0.32 | 1.94 | 3.18 |
| 02-Feb-93 | 1.43 | 1.06 | 1.5 | 1.43 | 1.43 | 0.73 | -2.03 | 1.8 |
| 01-Feb-93 | 1.14 | 0.2 | 1.27 | 1.7 | 1.63 | 1.63 | -1.77 | 1.57 |
| avg | 0.22 | 0.49 | 0.62 | 0.68 | 0.64 | 0.73 | 1.94 | |
| med | 0.2 | 0.62 | 0.62 | 0.62 | 0.7 | 0.62 | 1.8 | |
| %wins | 67 | 73 | 80 | 87 | 87 | 67 | 93 |
highlighted in the red is the only instance ( 15th Aug 2005) , when $SPY is not able to produce a higher close in the next five days ( a loss of 1.1% , and failed to close higher in the next 20 days ( a loss of -0.13% )
Source: Here