Little More on Black Swans

Just as a follow up to previous post, I did a similar study on SPX movements using my primary breadth indicator that I follow, looking for number of occurrences of the 1 day Average True Range of SPX was less then -30 points or more while flashing a long/short signal.  In other words, how many days the SPX range (including gap) was -30 points or more when signal was on a buy or sell, hopefully that makes sense. The stats :

All Data Long Signal Short Signal
< -30 pt Move 96 4 90
# of Days in Study 1248 333 314
Probability of -30 pt move 8% 1% 29%

~ by largecaptrader on July 31, 2012.

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