Range Study + Index Model Preview

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The S&P’s recent trading range action has triggered a bullish longer-term signal. Over the last thirty occurrences of this price pattern dating back to 1993, the S&P was up 25 times (83%), down 5 times six months later. Average gain of 8.4% was four times the 2.1% average loss. 3% moves were 21-2…

SPX 10-day Range Study (first occurrence in a month)
06/17/21… SPX ???
01/06/20… SPX -3.1% six months later
07/23/19… SPX +10.5% six months later
10/02/18… SPX -1.5% six months later
05/23/18… SPX -3.3% six months later
12/29/17… SPX +2.0% six months later
09/22/17… SPX +6.3% six months later
07/28/17… SPX +15.4% six months later
05/05/17… SPX +7.5% six months later
03/16/17… SPX +4.8% six months later
12/05/16… SPX +10.4% six months later
10/27/16… SPX +12.0% six months later
07/26/16… SPX +6.0% six months later
12/05/14… SPX +0.2% six months later
09/04/14… SPX +3.7% six months later
01/07/14… SPX +7.3% six months later
07/30/13… SPX +5.2% six months later
02/07/13… SPX +12.5% six months later
09/05/12… SPX +10.0% six months later
08/29/06… SPX +6.4% six months later
03/02/06… SPX +1.2% six months later
07/27/05… SPX +3.0% six months later
06/09/05… SPX +4.7% six months later
09/17/04… SPX +5.4% six months later
08/16/96… SPX +21.5% six months later
08/28/95… SPX +15.8% six months later
02/17/95… SPX +16.0% six months later
01/03/95… SPX +19.2% six months later
07/13/94… SPX +2.9% six months later
06/02/94… SPX -0.9% six months later
12/08/93… SPX -1.8% six months later

Good news on the index model front – I’ve added a fourth component to the model that has the double-barrel effect of boosting performance nearly 2x while reducing drawdowns. Max drawdown since 1990 is 13% regardless of whether you invest in the S&P or NASDAQ (or a combination of the two). See the index model page for the latest equity curve charts and historical data. And on this subject, it’s looking increasingly likely the index model will be shifting out of cash and into a 100% long posture as early as tomorrow. Look for a note to confirm.

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