The Forbidden Fruit: Technical Analysis, from Kim Zussman
SPY's Friday close was the second consecutive below the simple 100DMA, after a long period above the moving average.
Going back to 1993, checked for instances when SPY closed < 100DMA two consecutive days, following at least 20 consecutive closes > 100DMA. Here are the mean returns for the next 5d, 10d, and 20d:
One-Sample T: 5d, 10d, 20d
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T P
5d 18 0.010 0.021 0.005 (-0.00057, 0.02114) 2.00 0.062
10d 18 0.007 0.023 0.005 (-0.00447, 0.01933) 1.32 0.205
20d 18 0.004 0.040 0.009 (-0.01570, 0.02430) 0.45 0.656
All up, if not significantly. If only it were that easy…