Happy Sunday
Here are some observations from the previous 21 years for the S&P 500 Index.
From the 5285 trading sessions, the baseline win ratio is 54% (bottom right corner in pic).
66% closed above the 50 SMA.
69% closed above the 100 SMA.
72% closed above the 200 SMA.
76% closed above the 500 SMA.
Across these trading sessions,
- We can see that when the index is trading below the moving averages, the win ratio falls into the 40s.
- What is also interesting is that both the average gains & losses were significantly higher than the 21-year daily average. Perhaps this implies that when the index falls below these moving averages that volatility increases.
- Conversely, when the index is above the moving averages, the win ratio increases but also the average gains & losses decreases below the 21-year daily averages. This might imply we now have stability, but with this comes slower gains & loses.
21-YR-SMAs.png
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