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Backtest: S&P 600 SmallCap vs S&P 600 Consecutive Up/Down Days (Close - Prev. Close)

S&P 600 SmallCap vs S&P 600 Consecutive Up/Down Days (Close - Prev. Close)
Query:
 
Index:
Indicator:
Indicator Smoothing:
Lookback Period:
Observation Period:
Indicator Condition:  the level of  
Summary:
 
  • Over the last 5 years, there have been 25 independent observations where the S&P 600 Consecutive Up/Down Days (Close - Prev. Close) was at the level of 5, including 1 incomplete observation(s).
  • After 5 days, the S&P 600 returned an average of -0.01%, with the return being negative in 52% of the observations.
  • During the 5 days:
    • Positive returns occured in 84% of the observations. The highest average return of 0.77% occurred after an average of 3.00 days.
    • Negative returns occured in 80% of the observations. The lowest average return of -0.86% occurred after an average of 3.00 days.
  • Over 5 years, the total return was -0.20%, while the passive return for the S&P 600 was 79.03%.
 
Details:
 
EventsS&P 600 Performance (5 Days)
DateIndexIndicatorLowest ReturnHighest Return5 Day ReturnsFinal Return
    
2013-09-09590.245.000.30%
Day 3Indicator: -1.00
1.11%
Day 5Indicator: 2.00
0,0.0093013011656276,0.0099112225535376,0.0029648956356736,0.0086913797777175,0.0110632962862561.11%
Day 5Indicator: 2.00
2013-11-14638.765.00-0.73%
Day 4Indicator: -3.00
1.04%
Day 5Indicator: 1.00
0,0.0033815517565282,-0.00098628592898741,-0.0055419876009768,-0.007342350804684,0.0104264512492951.04%
Day 5Indicator: 1.00
2014-02-18653.985.00-0.97%
Day 1Indicator: -1.00
1.01%
Day 4Indicator: 1.00
0,-0.0096791950824185,0.0019419554114804,0.0018349184990366,0.010061469769718,0.00876173583290010.88%
Day 5Indicator: -1.00
2014-04-21659.815.00-2.03%
Day 5Indicator: -4.00
0.89%
Day 1Indicator: 6.00
0,0.0088661887513072,0.0028493051029844,0,-0.015277125233022,-0.020263409163244-2.03%
Day 5Indicator: -4.00
2014-06-19677.235.00-0.71%
Day 3Indicator: -2.00
0.35%
Day 1Indicator: 6.00
0,0.0034847836037978,0.001166516545339,-0.007072929433132,-0.00011812825775592,-0.0024363953162145-0.24%
Day 5Indicator: -1.00
2014-11-11681.565.00-1.25%
Day 4Indicator: -3.00
0.66%
Day 1Indicator: 6.00
0,0.0066025001467222,-0.0020981278244028,-0.0032278889606197,-0.012544750278772,-0.0083484946299665-0.83%
Day 5Indicator: 1.00
2014-12-23693.595.000.21%
Day 1Indicator: 6.00
1.31%
Day 3Indicator: 8.00
0,0.0021482431984314,0.0090399227209158,0.013076889805216,0.0093571129918252,0.00214824319843140.21%
Day 5Indicator: -2.00
2015-03-20727.265.00-2.25%
Day 4Indicator: -2.00
0.10%
Day 2Indicator: 7.00
0,0.00082501443775269,0.0010312680471908,-0.020144102521794,-0.022509143910018,-0.017366553914694-1.74%
Day 5Indicator: 1.00
2015-11-27709.505.00-2.29%
Day 4Indicator: -2.00
0.26%
Day 2Indicator: 1.00
0,-0.0038759689922481,0.0026215644820296,-0.0069908386187456,-0.022903453136011,-0.01292459478506-1.29%
Day 5Indicator: 1.00
2016-03-07671.815.00-2.43%
Day 3Indicator: -1.00
-0.41%
Day 4Indicator: 1.00
0,-0.022536133728286,-0.017311442223248,-0.024322353046248,-0.0040934192703294,-0.0088269004629284-0.88%
Day 5Indicator: -1.00
2016-03-31686.975.00-2.66%
Day 5Indicator: -1.00
0.16%
Day 1Indicator: 6.00
0,0.0016449044354193,-0.0091415927915338,-0.020903387338603,-0.012606081779408,-0.026565934465843-2.66%
Day 5Indicator: -1.00
2016-07-12740.235.00-0.47%
Day 5Indicator: -1.00
0.15%
Day 4Indicator: 3.00
0,-0.0012833848938844,-0.0010402172297799,0.00066195641895088,0.0014590059846263,-0.0047012415060184-0.47%
Day 5Indicator: -1.00
2016-11-10762.355.002.56%
Day 1Indicator: 6.00
4.86%
Day 5Indicator: 10.00
0,0.025565685052797,0.040257099757329,0.043051092018102,0.04372007608054,0.0486390765396474.86%
Day 5Indicator: 10.00
2016-12-08855.365.00-1.97%
Day 4Indicator: -1.00
0.25%
Day 1Indicator: 6.00
0,0.0025018705574261,-0.0078446502057614,-0.0075173026561916,-0.019722689861579,-0.010825851103629-1.08%
Day 5Indicator: 1.00
2017-02-15857.915.00-0.56%
Day 5Indicator: -2.00
0.50%
Day 3Indicator: 1.00
0,-0.0019116224312573,-0.0032754018486787,0.0050121807648822,0.00144537305778,-0.005571680013055-0.56%
Day 5Indicator: -2.00
2017-03-31844.175.00-2.92%
Day 3Indicator: -1.00
-1.82%
Day 2Indicator: 1.00
0,-0.018716609213784,-0.018219079095443,-0.029235817430138,-0.019308906973714,-0.01975905327126-1.98%
Day 5Indicator: -1.00
2017-05-24836.965.00-0.57%
Day 4Indicator: -3.00
1.16%
Day 5Indicator: 1.00
0,0.00087220416746322,0.00064519212387684,-0.0053407570254254,-0.005723093098834,0.0115776142229021.16%
Day 5Indicator: 1.00
2017-07-17865.125.00-0.36%
Day 1Indicator: -1.00
0.83%
Day 3Indicator: 2.00
0,-0.0036411133715554,0.0078948585167376,0.0082647493989273,0.0036179951914185,0.0037104679119660.37%
Day 5Indicator: 1.00
2017-08-30832.275.000.62%
Day 5Indicator: -1.00
1.78%
Day 2Indicator: 7.00
0,0.0098045105554687,0.017758660050224,0.0068006776647001,0.0092157593088782,0.00617588042342030.62%
Day 5Indicator: -1.00
2017-09-28901.955.000.23%
Day 1Indicator: 6.00
1.86%
Day 3Indicator: 8.00
0,0.0022506790842064,0.01667498198348,0.018593048395144,0.014313432008426,0.0163978047563611.64%
Day 5Indicator: 1.00
2018-01-08950.195.00-0.20%
Day 2Indicator: -2.00
2.00%
Day 4Indicator: 2.00
0,-0.0006209284458898,-0.0019575032361949,0.016228333280712,0.019974952377945,0.0104505414706531.05%
Day 5Indicator: -1.00
2018-02-15937.915.00-0.53%
Day 2Indicator: -1.00
0.92%
Day 5Indicator: 1.00
0,0.0044140695802369,-0.0052990158970476,-0.0031772771374652,-0.0031986011450992,0.00921197129788570.92%
Day 5Indicator: 1.00
2018-05-10985.785.00-0.37%
Day 2Indicator: -1.00
1.55%
Day 5Indicator: 3.00
0,0.0011057233865569,-0.0037026517072775,-0.0033983241696931,0.0084298727910893,0.015459838909291.55%
Day 5Indicator: 3.00
2018-05-211011.825.00-0.83%
Day 1Indicator: -1.00
-0.66%
Day 3Indicator: 2.00
0,-0.0083117550552471,-0.0070664742740805,-0.0066414974995553,-0.0070961238164892,-0.0075606333142259-0.76%
Day 5Indicator: -2.00
2018-07-091057.325.00-1.24%
Day 2Indicator: -2.00
-0.47%
Day 1Indicator: -1.00
0,-0.0046627321908219,-0.012370900011349,-0.01010101010101,-0.010886013695002-1.09%
Day 4Indicator: -1.00
 
Totals-21.43%19.37% -0.20%
 
Averages-0.86%
SD: 1.20%
Day 3.00Indicator: -0.76
SD: 1.47SD: 2.63
0.77%
SD: 1.19%
Day 3.00Indicator: 3.64
SD: 1.50SD: 2.95
 -0.01%
SD: 1.55%
Day 5Indicator: 0.20
SD: 0.20SD: 2.51
 
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