Five months down

Discussion in 'Trading' started by paden, Mar 9, 2008.

  1. paden


    Back to 1900, from what I found, the s&p had four time periods where it was down five months in a row:

    Not even 2002

    However, the dow adds three time periods to this:

    So, at most, 7 times since 1900 has a major index gone down five months in a row.

    Thus, there is a 2.7% chance of us ending the month down? (257 five month periods over the last 1287 months?) My math is probably off, but it seems close. I am willing to take a lsmall long position on the next gap down and hold until end of month.
  2. Interesting. So how many times have we had 4 months in a row in the SP500 down(=A)? How many times have we had 5 months in a row down in the SP500? (B = 4) then B/A. But what is A?
  3. paden


    Gotcha, that would be a more relevant formula. I will see
  4. also, has there been a period where the market was down 6 months, or 7 or 8?
  5. Mvic


    Thanks for posting the info, though I hate these type of stats and 1974 would be an example of why (smaller chance of having a 5th down month than even now and yet it happened).

    It would be more useful to know when there was a 5th down month by what % were we down in that 5th month and what was the % for the whole move (ie where in the move did the 5th month start)? And by what percent is the market up on average after 4 down months (again off of what threshold)? This way at least you can forumlate some kind of risk reward for a trade. Still don't like trades on stats like these because the sample size is pretty small and there are too many factors that have changed over the time frame of the sample. Nevertheless interesting stat, thanks.
  6. paden


    I don't recall one time past five months in a row when I looked. Which is why I picked five.
  7. paden


    Correction, SPX down 7 months in a row in 1942 and 1974... 32 years apart.
  8. Bowgett


    If you add 34 more years to 1974 you will get to 2008 :)
  9. The following is a portion of a newsletter from DIREXION funds.
    Not my own work.
    I found the facts to be very interesting
    in regards to BEAR MARKETS.

    Sunday, March 9, 2008
    "News You Can Use"

    NOT UP FOREVER - The average return of the S&P 500 in the last 50 years (i.e., 1958-2007) is +11.0% per year (total return). The highest average annual return of the stock index on a trailing 5-year basis at the end of any month in the last half-century occurred as of 12/31/99 (up +28.6% for the 5 years of 1995-99), less than 3 months before the stock market peaked on 3/24/00. The S&P 500 is an unmanaged index of 500 widely held stocks that is generally considered representative of the US stock market (source: BTN Research).

    STOCK PRICES FOLLOW EARNINGS - The S&P 500 hit a high point on 3/24/00 before falling 49% during the 2000-02 bear market. The year-over-year change in quarterly earnings of the S&P 500 companies as of 3/31/00 (i.e., at the peak of the stock market) was an increase of +25%. One year later (i.e., 1 year into the bear market or 3/31/01), the year-over-year change in quarterly earnings was a drop of 33% (source: S&P).

    THE SAME - In the last 25 calendar years (1983-2007), the S&P 500 has gained +12.7% per year on a total return basis vs. a +12.4% average annual total return for the international stock index EAFE over the same period. The EAFE index is an unmanaged index that is generally considered representative of the international stock market. These international securities involve additional risks including currency fluctuations, differing financial accounting standards and possible political and economic volatility (source: BTN Research).

    UP, DOWN AND BACK AGAIN - In the 9 bear markets since 1957 (defined as a S&P 500 tumble of at least 20%), each of which have eventually recovered and closed above the previous bull market high, the average length of time of the decline (i.e., from peak to bottom) was 12 months and the average length of time to bounce-back and close at a new record high (i.e., from bottom to a new peak) is 23 months (source: BTN Research).

    Jeff @ EOD Traders
  10. interesting, thanks for the research.
    #10     Mar 9, 2008