The SPX Achievement Suggesting Higher Stock Prices, Lower Volatility

The SPX's recent hot streak could be a bullish sign for stocks going forward

by Josh Selway |

Published on Mar 10, 2017 at 2:30 PM
Updated on Mar 13, 2017 at 3:24 PM

Schaeffer's Senior Quantitative Analyst Rocky White just passed along an interesting note on the S&P 500 Index (SPX). The broad-market index is on pace to close above its 20-day moving average for a 33rd straight day, and historical data suggests this could be a bullish sign for stocks. Looking at the past 50 years, the SPX is higher 73.3% of the time three months after such a streak, with an average return of 3.1%. Compare this to the index's anytime return of 2% over the same period, positive 64.2% of the time. Also note the lower-than-normal standard deviation data, which hints at muted volatility in stock prices following a 33-day streak. 

sp 500 20day moving average

White broke down the data further, digging into the numbers from similar streaks since 2000. The last time the S&P 500 Index held above its 20-day moving average for at least 33 days was as recent as December, and stock returns since have been strong. One detail you may note, however, is the relatively low percentage gain during the current streak. 

SPX 20day moving average

In fact, the 4.6% return during the current streak for the SPX is the third lowest gain ever during such a streak. Historically, the median return is 9.12%. Noticing half of the returns were above 9% and half below, White decided break down the data based on streaks over and under returns of 9%. Maybe not too surprisingly, the greater the gain during the streak, the better stocks tended to perform going forward. While this current streak is on the weaker end, we still don't suggest fighting this bull market's momentum

SP 500 20day returns


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