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.

Check out the topic on the new forum if you have any suggestions or want to discuss the topic in more detail. Or if you just want to talk about your favorite beer :)

As always, consider signing up for the newsletter. It encourages me to produce more code and analysis, and will provide content not found on the site.