Algorithm Zoo

Capturing Markets with Code

17018d5488

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It’s seems like a long time since the SPX has had a selloff of over 1%. About 44 days actually. In case you think it’s just this generation of monkeys that behave in this non-losing manner, think again. It’s been passed on from generation to generation going back to the 1950s. The longest streak was 155 days, which happened in 1963 and 1966.

The following table are the returns five days after a non-losing streak ends.

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1950-06-05  0.0430107527
1951-10-19 -0.0218696398
1952-01-30 -0.0020635576
1952-08-18 -0.0028067362
1953-02-05 -0.0156787763
1953-08-24 -0.0319634703
1954-06-08  0.0172900494
1954-12-20  0.0028304557
1957-07-29 -0.0137729549
1958-05-14  0.0099721707
1958-10-15  0.0096876236
1959-08-10  0.0093824633
1960-07-12 -0.0097777778
1961-04-18 -0.0135951662
1961-09-19 -0.0045399516
1962-01-05 -0.0007177720
1962-04-25 -0.0254024516
1963-02-28  0.0150878830
1963-10-09  0.0153054126
1964-06-04  0.0134740053
1964-12-01  0.0053859964
1965-02-11  0.0059621230
1965-06-02 -0.0235388678
1966-03-01 -0.0208749722
1967-02-27  0.0189683090
1967-10-31 -0.0231511254
1968-07-22 -0.0160072486
1968-12-23 -0.0128314799
1969-06-11 -0.0125189298
1969-11-20 -0.0115899273
1971-05-17 -0.0055616248
1971-10-20 -0.0194458965
1972-01-24  0.0133567320
1972-05-09  0.0183311056
1972-08-24  0.0006305170
1973-10-15 -0.0080872331
1976-08-19 -0.0200212787
1977-03-30 -0.0063933428
1977-07-27 -0.0027372263
1978-03-21 -0.0016705647
1978-09-14 -0.0304471931
1979-05-04 -0.0215512961
1979-09-04  0.0006515264
1985-06-13  0.0075540927
1985-12-23  0.0129932397
1989-02-10  0.0162317649
1989-05-23  0.0069112842
1992-01-29  0.0085295121
1992-09-15 -0.0062653358
1993-02-16  0.0020511166
1993-11-03  0.0015118137
1994-02-04  0.0007875524
1994-09-09  0.0064291512
1995-05-18  0.0173409292
1995-12-18  0.0123432376
1996-07-05 -0.0171118277
1996-12-03 -0.0009889346
2004-01-28 -0.0017368496
2006-01-20  0.0176220184
2006-11-27  0.0196532461

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