FX:SPX500   S&P 500 index of US listed shares
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eran.arad
2 years ago
Hi Yanice,

I'll see if I can gather the data for you as computing it is not a problem - just accessing all the data in one place. Meanwhile, here's a treat:

http://www.gold-eagle.com/article/days-extreme-volatility-and-market-breadth
+1 Reply
eran.arad
2 years ago
Well, I've started to work on it and here's what I've found so far:

S&P - Yahoo Finance Data - (available since 1950 only)
Positive days - 8673 (52.975%)
Down days - 7575 (46.268%)
Same days (day's close = previous day's close) - 124 days (less than 0.75%)

I then moved to DJIA, which I have data for since 31/12/1899 (*1/1/1900 was not a trading day) and I got the following:

Up days: 16196 - 52.313%
Down days: 14607 - 47.180%
Same days (day's close = previous day's close) - 157 days (0.507%).

Finally - if you have some data source for S&P since 1900 (I'm sure you can find, just don't have the time right now) you can contact me and I'll do all the math for you.

I wonder where you're taking this... :-)

+1 Reply
YaKa PRO eran.arad
2 years ago
Eran, thank you so much.
question:
would this be possible to have the breakdown per year?
I d like to study the same thing depending on whether years are positive or negative and also depending on the regime.
let's pm and do a session on skype. I appreciate the help a lot.
Btw, the result is very interesting, i would have really thought the nb of positive days would be more at 70% be it because market tend to go up in slow regime most of the time..
+2 Reply
eran.arad YaKa
2 years ago
Yes, I'll do that in a bit :-)
Reply
eran.arad eran.arad
2 years ago
BTW - I also expected over 60% up days... my skype is eranarad, add me...
Reply
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