I looked into the Exhaustion stats more which I discussed on the
weekend as you know, and instead of using ES or SPY, which only go
back to 1998 and 1994 respectively, I used SPX cash back to 1970
and the same exact conditions hold true. Here's the
exhaustion stats back to 1970 to present.
Condition parameters: 20 or more consecutive closes above
the 8 day SMA, along with a 14 length Williams %R indicator above
92%.
From 1970 to present there have been 23 instances of this
condition only, 22 of which were winning trades and one loser.
The max draw down was 1.3%, which is very low. The
condition I use to close out the trade is a simple close back below
the 8 day SMA.
anyway this statistical condition occurred on Friday and
obviously still applies today. Here's statistics, trade
curve, and list of trades. Avg time in trade is 5 days.
Anyway the fact that this condition appears to hold true on
the cash index back so many years only proves my point that the
market is getting long in the tooth in the short term condition
triggered here
that statistical exhaustion condition is playing out.
looks like that will be closing out here as price back below
the 8 MA. That's now 23 out of 24 winning trades since
1970
Update on the Exhaustion Stats
Posted by matt on 29th of Apr 2019 at 06:04 pm
I looked into the Exhaustion stats more which I discussed on the weekend as you know, and instead of using ES or SPY, which only go back to 1998 and 1994 respectively, I used SPX cash back to 1970 and the same exact conditions hold true. Here's the exhaustion stats back to 1970 to present.
Condition parameters: 20 or more consecutive closes above the 8 day SMA, along with a 14 length Williams %R indicator above 92%.
From 1970 to present there have been 23 instances of this condition only, 22 of which were winning trades and one loser. The max draw down was 1.3%, which is very low. The condition I use to close out the trade is a simple close back below the 8 day SMA.
anyway this statistical condition occurred on Friday and obviously still applies today. Here's statistics, trade curve, and list of trades. Avg time in trade is 5 days. Anyway the fact that this condition appears to hold true on the cash index back so many years only proves my point that the market is getting long in the tooth in the short term condition triggered here
that statistical exhaustion condition is
Posted by matt on 1st of May 2019 at 04:00 pm
that statistical exhaustion condition is playing out. looks like that will be closing out here as price back below the 8 MA. That's now 23 out of 24 winning trades since 1970
Posted by steve on 1st of May 2019 at 04:01 pm
here's the chart, the SPY
Posted by matt on 1st of May 2019 at 04:08 pm
here's the chart, the SPY covered as you can see for a quick short. The ES one below it will once ES closes at 5 pm
Nice call on this Matt.
Posted by chadtech on 1st of May 2019 at 04:19 pm
Nice call on this Matt. Excellent timing!
Nice work on the exhaustion
Posted by stevieb294 on 30th of Apr 2019 at 09:37 am
Nice work on the exhaustion stats. Matt, very interesting, thanks!
thanks, I thought it was
Posted by matt on 30th of Apr 2019 at 09:41 am
thanks, I thought it was important to share, especially since the same conditions held true on the index back for so many years was noteworthy