Climateer Investing: Quant Talk: What Happens to the Market When Both A Friday and the Following Monday Are Down 1%

Tuesday, October 14, 2014

Quant Talk: What Happens to the Market When Both A Friday and the Following Monday Are Down 1%

DJIA 16,321.07, still 40 points off Sept. 22's "Equities: How's About a Thousand Dow Points (to the downside)?", S&P 500 1874.74.
From Daily Quant:
suppose if $SPY posts back to back to 1% losses on Fri and Mon

1) Current day Monday and $SPY lost more than 1% and
2) the previous day was Friday , and $SPY lost more than 1%
below the returns for $SPY for the next 1/2/3/4/5 trading days

When both Fri and Mon are down by 1% or more on $SPY

Date $SPY t+1 t+2 t+3 t+4 t+5 1st +’ve

13-Oct-14 187.41 ?? ?? ?? ?? ?? ??

7-Apr-14 182.61 0.41 1.49 -0.64 -1.54 -0.76 0.41

3-Oct-11 103.31 2.20 4.08 5.97 5.26 8.78 2.20

7-Jun-10 96.23 1.07 0.53 3.47 3.97 3.81 1.07

26-Oct-09 96.61 -0.47 -2.34 -0.25 -3.14 -2.42 -2.42

30-Mar-09 70.46 0.92 2.88 5.89 6.94 6.10 0.92

2-Mar-09 62.69 -0.75 1.60 -2.55 -2.38 -3.53 1.60

12-Jan-09 77.21 0.18 -2.98 -2.94 -2.18 -7.34 0.18

17-Nov-08 75.28 1.89 -4.65 -11.73 -6.96 -0.52 1.89

27-Oct-08 73.94 11.69 10.87 14.71 15.35 15.67 11.69

6-Oct-08 92.24 -4.49 -6.90 -13.39 -15.49 -3.22 -3.22

17-Mar-08 111.24 4.16 1.58 3.46 5.53 5.63 4.16

10-Mar-08 110.98 3.60 2.63 2.86 1.26 0.23 3.60

17-Dec-07 125.12 0.56 0.56 1.19 2.65 3.41 0.56

10-May-04 88.02 0.85 1.49 1.07 1.11 0.25 0.85

22-Mar-04 88.68 -0.17 -0.09 1.24 1.26 2.68 1.24

27-Jan-03 67.57 0.74 1.49 -0.90 1.01 1.20 0.74

11-Nov-02 69.65 0.79 0.89 2.80 3.56 2.51 0.79

7-Oct-02 62.45 1.55 -1.31 1.89 6.36 6.95 1.55

30-Sep-02 64.55 4.80 1.66 0.64 -1.22 -3.25 4.80

5-Aug-02 65.81 3.37 5.17 8.57 8.98 8.18 3.37

22-Jul-02 64.58 -2.74 3.07 2.18 4.13 9.21 3.07

6-May-02 82.57 -0.35 3.35 2.17 0.24 2.28 3.35

12-Mar-01 91.02 1.64 -0.36 -0.34 -2.34 -0.35 1.64

Avg 1.37 1.07 1.10 1.41 2.41 1.91

Med 0.85 1.49 1.24 1.26 2.28 1.55

Std 2.98 3.44 5.61 5.87 5.10 2.77

T-test 2.20 1.50 0.94 1.15 2.27 3.32

21/23 times $SPY closed higher at some point of time over the next five trading days , with an average gain of 1.91% , barring the 27th Oct 2008 , the average still stands at 1.47% for the first positive exit over the next five trading days.

...MORE

When both Fri and Mon are down by 1% or more on $SPY
Date	$SPY	t+1	t+2	t+3	t+4	t+5	1st +’ve
13-Oct-14	187.41	??	??	??	??	??	??
7-Apr-14	182.61	0.41	1.49	-0.64	-1.54	-0.76	0.41
3-Oct-11	103.31	2.20	4.08	5.97	5.26	8.78	2.20
7-Jun-10	96.23	1.07	0.53	3.47	3.97	3.81	1.07
26-Oct-09	96.61	-0.47	-2.34	-0.25	-3.14	-2.42	-2.42
30-Mar-09	70.46	0.92	2.88	5.89	6.94	6.10	0.92
2-Mar-09	62.69	-0.75	1.60	-2.55	-2.38	-3.53	1.60
12-Jan-09	77.21	0.18	-2.98	-2.94	-2.18	-7.34	0.18
17-Nov-08	75.28	1.89	-4.65	-11.73	-6.96	-0.52	1.89
27-Oct-08	73.94	11.69	10.87	14.71	15.35	15.67	11.69
6-Oct-08	92.24	-4.49	-6.90	-13.39	-15.49	-3.22	-3.22
17-Mar-08	111.24	4.16	1.58	3.46	5.53	5.63	4.16
10-Mar-08	110.98	3.60	2.63	2.86	1.26	0.23	3.60
17-Dec-07	125.12	0.56	0.56	1.19	2.65	3.41	0.56
10-May-04	88.02	0.85	1.49	1.07	1.11	0.25	0.85
22-Mar-04	88.68	-0.17	-0.09	1.24	1.26	2.68	1.24
27-Jan-03	67.57	0.74	1.49	-0.90	1.01	1.20	0.74
11-Nov-02	69.65	0.79	0.89	2.80	3.56	2.51	0.79
7-Oct-02	62.45	1.55	-1.31	1.89	6.36	6.95	1.55
30-Sep-02	64.55	4.80	1.66	0.64	-1.22	-3.25	4.80
5-Aug-02	65.81	3.37	5.17	8.57	8.98	8.18	3.37
22-Jul-02	64.58	-2.74	3.07	2.18	4.13	9.21	3.07
6-May-02	82.57	-0.35	3.35	2.17	0.24	2.28	3.35
12-Mar-01	91.02	1.64	-0.36	-0.34	-2.34	-0.35	1.64
	Avg	1.37	1.07	1.10	1.41	2.41	1.91
	Med	0.85	1.49	1.24	1.26	2.28	1.55
	Std	2.98	3.44	5.61	5.87	5.10	2.77
	T-test	2.20	1.50	0.94	1.15	2.27	3.32