I noticed that the average daily hit for the S&P 500 Index (SPY) over the yesteryear calendar week has been quite elevated compared amongst its norm. So I took a ratio of the average five-day high-low hit in addition to expressed it every bit a pct of the average 50-day high depression range. During the end week, the average hit for SPY has been twice its 50-day average.
Since 2000, we've exclusively seen 43 occasions inward which the average five-day hit inward SPY has exceeded the average 50-day hit yesteryear 75% or more. Interestingly, those occasions included only about major periods of marketplace turmoil--and only about major intermediate-term marketplace bottoms, including September, 2001; July, 2002; March, 2007; July/August, 2007; in addition to January, 2008.
Twenty days afterwards the spike inward relative range, SPY averaged a 20-day gain of 3.17% (34 up, ix down), much stronger than the average 20-day loss of -.74% for the repose of the sample. When the five-day hit was less than 75% of the 50-day hit since 2000 (N = 333), the adjacent xx days inward SPY convey averaged a loss of -1.95%. It appears that relatively tranquillity markets convey offered quite a flake less upside chance than markets inward turmoil.
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