The Market Stats
@TheMarketStats
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A quantitative trader's journal. Sharing notes and research.
Moon
Joined July 2020
Here are the Max Drawdowns, Average Forward Performance and cases when $VIX also fell 5 consecutive days
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Every major stock index went up 5 consecutive days. S&P 500, NASDAQ 100/Composite, Dow, & Russell 2000 In the 29 times this happened, $SPX suffered losses over the next few days but was higher 96% of the time 9 months later h/t @Mr_Derivatives
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Here are the Max Drawdowns and S&P 500's average forward performance over the next year
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$SPX is up 5 straight days, and its McClellan Oscillator cycled from -55 to +68 in just 1 week Here's what happened next to $SPX after similar historical rallies:
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$VIX fell -38% in the past 5 days In the past, this was bearish for $SPX over the next 3 days *Technically, VIX shouldn't be referred to in % terms
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The S&P 500 closed positive this month, despite suffering a -4.5% drawdown during the month This happened 28 other times before, and the S&P was higher 79% of the time 1 month later. A positive December? h/t @KobeissiLetter
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NASDAQ 100 closed down this month, after rallying 7 consecutive months from April-October The good news? NASDAQ was higher 8-12 months later every time h/t @SubuTrade
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Neither the Zweig nor the Whaley Breadth Thrusts were triggered today Next week? $SPX forward returns after Zweig and Whaley Breadth Thrusts below
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$SPX has rallied 7 consecutive months, gaining more than 20% In the past, this saw $SPX rally every time 3 months later
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If $SPX rallies +0.4% today, $SPX will be up 7 consecutive months. Needs to close today above 6,840.2 $SPX was higher 7 months later every single time h/t @Mr_Derivatives
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With stocks rallying, NYSE McClellan Oscillator has cycled from -62 to 38 in just 1 week $SPX forward returns below
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If we get a Zweig Breadth Thrust, this will be the 2nd time in history that this happens while $SPX is within 2% of an All Time High
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$VIX dropped below 18 today after being above 26 just four days ago $SPX forward returns:
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Russell 2000 is up 2.2% today This is the 3rd straight day in which the Russell gained more than +1.8% Pullback for small caps soon? ⬇️
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$VIX has dropped sharply from 26.4 to under 20 in just a few days In the past, this saw $SPX rally every time 3 weeks later
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Is everyone betting on stocks to fall? Thursday & Friday saw record Call volume in $SDS, the 2x *Short* S&P 500 etf
Huge bets against $SPX? On Friday, more than $1 billion of $SPXU were transacted. (SPXU is -3x short S&P 500 ETF) Past spikes marked major bottoms: 1. COVID bottom 2. 2022 bear market's first wave bottom 3. October 2022 (bear market bottom) 4. April 2025 (Liberation Day
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$SPX RSI fell below 35 for the first time in more than 7 months Historically, these first pullbacks after a long rally saw $SPX - Up 81% of the time 3 weeks later - Up 93% of the time 3 months later
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Microsoft's RSI is at 28, the lowest since April In the past 10 years, $MSFT always rallied 1 week later, with an average gain of +4.2%
$MSFT Down 14 of the last 18 trading days. For -15%. Daily RSI went from overbought to oversold all within this short stretch. Only a 1% or so away from the all important 200dma. I gotta imagine a bounce is due soon?
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