This end of year rally which started on October 2023 has been strong. My trading buddy and I started wondering how this compares to the past. Is this a “normal” strong rally or an “abnormally” strong one?
Determining this is always tough because it depends on the indicators you use. Because of that, I tried lots of them. This will be a post short on words but with lots of tables.
Where are we now?
Data is from 1/1/1980 to 12/19/2023. The close of 12/19/2023 was the 36th day of the rally. These are the stats based on these last 36 days.
- 18 days with RSI2 over 90
- 6 days with RSI2 over 99
- 20 days with RSI4 over 80
- 27 days with the close above the previous day’s close
- 5 days with close above the upper Bollinger Band(15,2)
- 15.8 total return in those 36 days
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Good Quant Trading,
Cesar
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