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Sunday, August 30, 2015

Large Down Mornings in SPY

What has happened in the past when the SPY opens 3.5% or more down?

I ran the numbers and have some code for doing it yourself. I found that there's typically a profitable day ahead, and even if not profitable, the day tends to have enough upside (Open to High) to be of great interest.


Here is a link to the code I used to calculate these results. You will want to grab the DataManager from Github to easily populate data for the study.

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