What to Expect After 2 Down Days?

By Lawrence

One of my favorite daily level Time Map patterns is that Emini S&P dropped for 2 days significantly. It provides something so consistent to work with over the years you have to wonder why no one talks about it at all.

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Comments
  • smilingsynic February 24, 2011 at 7:23 pm

    “the combined RTH range is 2 times (or more) the average daily range over 20 days before the drop started”

    Not sure what you mean here. The combined RTH of the two days with a lower close? The RTH of the second day with the lower close? Both days individual have a RTH double the 20 day average range (NOT atr, right?)?

  • Lawrence Chan February 25, 2011 at 7:27 am

    The range is techincally defined as “from the highest high to the lowest low of the 2 trading days”

    Both days must be down days means the close is lower than the previous close.

    Better?

  • Lawrence Chan February 25, 2011 at 7:29 am

    So we were dealing with 4x range reaction yesterday.

    Although it is part of the stats in the 2x or more column, the table was meant to show the pattern peak at its bias when the range of that 2 down days is around 2x to 3x.

  • Lawrence Chan February 25, 2011 at 7:31 am

    And I am picky with statistical analysis this way .. mus be coming from job hazard. =)

  • smilingsynic February 25, 2011 at 11:02 pm

    LC, Did you ever see the study I did with end of day SPY that employed a 10 day average range? I think I posted the findings on fattail.

    I remember the study well. I completed it while watching the Colts beat the Bears in the Super Bowl around four years ago.

    I’ll try to find it, when I have some time.

  • Lawrence Chan February 26, 2011 at 8:36 am

    I remember that.

    I have found many uses with the average range as a pattern filter.

    Want me to organize the findings and post it here for the other members? =)

  • smilingsynic February 26, 2011 at 11:48 pm

    Here–I found it.

    Note: I used data from the SPY from 1993 to the week before the Super Bowl [Colts over da Bears]:

    ATR= 10 day ATR.

    1. There is only a 39.07% chance that on one day the difference between high and low will be at least 1 atrs.
    2. There is only a 23.78% chance that on one day the difference between high and low will be at least 1.2 atrs.
    3. There is only a 18.45% chance that on one day the difference between high and low will be at least 1.3 atrs.
    4. There is only a 14.23% chance that on one day the difference between high and low will be at least 1.4 atrs.
    5. There is only a 11.23% chance that on one day the difference between high and low will be at least 1.5 atrs.
    6. There is only a 6.25% chance that on one day the difference between high and low will be at least 1.7 atrs
    7. There is only 39.6% chance that within two days the difference between high and low will be at least 1.5 atrs.
    8. There is only a 15.94% chance that within two days the difference between high and low will be at least 2 atrs.
    9. There is a 63.76% chance that within three days the difference between high and low will be at least 1.5 atrs.
    10. There is only a 16.38% chance that within three days the difference between high and low will be at least 2.5 atrs.
    11. There is only a 7.6% chance that within three days the difference between high and low will be at least 3 atrs
    12. There is only a 14.5% chance that within four days the difference between high and low will be at least 3 atrs.
    13. There is only a 11.46% chance that within four days the difference between high and low will be at least 3.25 atrs.
    14. There is only a 7.33% chance that within four days the difference between high and low will be at least 3.5 atrs.
    15. There is only a 4.1% chance that within four days the difference between high and low will be at least 4 atrs.
    16. There is only a 12.32% chance that within five days the difference between high and low will be at least 3.5 atrs.
    17. There is only a 9.58% chance that within five days the difference between high and low will be at least 3.75 atrs.
    18. There is only a 7.22% chance that within five days the difference between high and low will be at least 4 atrs.
    19. There is only a 3.51% chance that within five days the difference between high and low will be at least 4.5 atrs.

  • Lawrence Chan February 27, 2011 at 10:07 am

    Let me organize the info a bit – will post it later.

  • Lawrence Chan February 27, 2011 at 1:24 pm

    I have produced an updated version of your statistics with graphs, etc. and posted that in the article section.

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