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Do the Last Five Sessions Mean Anything?


Thanks for the stats gents!


Editor's Note: Minyanville is a community of people who share an interest of fiscal literacy. As perspective is an important aspect of our daily routine, we share this exchange with hopes that it adds balance and insight to your process.

I asked two of our professors, Jason Goepfert and Jason Roney about recent session activity. Below is our conversation.

Jason(s) -

Great to see you both in Ojai. Taking a closer look at the recent action I have a question for you as we've had a very tight range in recent sessions.

When was the last time we had five straight S&P closes within a point and what does that suggest about the near future? The calm before the storm?


Greg Collins


When ranges (daily or high/low) become heavily compressed I generally find it difficult to predict direction but it is a better indication that we're about to go somewhere.

In fact, the recent 5-day range is EXTREMELY unusual as it's the tightest 5-day closing range (in %) since 1996. Attached is a quick summary of similar occurrences looking back to 1980.

Jason R.

Hey guys,

As usual, I looked at it the same way as Mr. Roney - I went back to 1950 and narrowed it down to those times the S&P was trading above its rising 50-day average. The table below shows the results for the given number of days later.

Basically, the results were about in line (or a little worse) than random. The best results came when this pattern occurred below the 50-day average, as the 5-day return was positive more than 80% of the time, but the 20-day return was positive less than 40% of the time.

Jason G.

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