Number of ATH Readings and Rest of Year Returns, from Kora Reddy
As we completed 110 trading days on Jun 10th 2014, we had 19 ATH readings. Below is a study with the details of rest of year returns from 110th trading day's close to last trading day close of the year, data since 1950, on $SPX
1) ROY %, when there is no single ATH reading as on 110th day
n 31
wins 20
% win 65%
avg (%) 3.15
med 6.04
max 29.04
min -33.67
avg win 11.13
avg loss -11.35
t-test 1.28
2) ROY %, when there is at least a single ATH reading as on 110th day
n 33
wins 27
% win 82%
avg (%) 5.43
med 6.07
max 27.82
min -16.89
avg win 8.59
avg loss -8.77
t-test 3.62
3) ROY %, when there are 10 ++ ATH readings as on 110th day
n 21
wins 20
% win 95%
avg (%) 8.73
med 9.93
max 27.82
min -16.89
avg win 10.02
avg loss -16.89
t-test 5.00
Birthday drinks are on me if you had guessed that -16.89% was the worst and the one and only loss is in the year 1987.