Wait for an Important Date, from Kim Zussman
SPYing the forest for rare daily drops worse than -3%, which (like recently) were preceeded by five days without drops worse than -1%; there were only six instances since 1993.
Checking SPY closes, identified the first subsequent close greater than the one before the big drop. Then counted wait between the pre-drop close and the first one higher than pre-drop level (trading days):
date day ret wait maxdrop
03/21/03 -0.033 17 -0.055
01/28/02 -0.031 24 -0.051
01/03/00 -0.039 4 -0.083
08/26/98 -0.047 45 -0.118
04/10/97 -0.032 4 -0.032
03/07/96 -0.032 7 -0.036
The 4th column is the deepest decline from the pre 3% drop, before getting whole again. Note that the two from the recently avolatile mid-90's had fairly short waits and shallow pain compared to subsequent more volatile periods.