Clustering, from Alston Mabry
Where is SPY 10 tdays later, after >7% drop over 10 tdays, using only first occurrences to eliminate overlap:
count: 27 mean 10d move: +0.2%
Ref: For entire SPY period, 1993-present, including overlapping periods, mean 10-day move is +0.32%.
date / 10d fwd
24-Aug-15 +4.18%
3-Oct-11 +9.37%
4-Aug-11 -4.78%
30-Jun-10 +6.26%
24-May-10 -1.01%
7-May-10 -1.93%
20-Feb-09 -10.98%
16-Jan-09 -2.92%
12-Nov-08 +3.67%
3-Oct-08 -15.52%
17-Sep-08 -0.47%
17-Jan-08 +4.61%
27-Jan-03 -1.40%
23-Sep-02 -5.41%
3-Sep-02 -0.51%
12-Jul-02 -6.80%
2-Jul-02 -4.45%
10-Sep-01 -5.10%
12-Mar-01 -1.81%
21-Feb-01 +1.08%
12-Oct-00 +2.68%
14-Apr-00 +8.13%
7-Oct-98 +9.78%
31-Aug-98 +8.40%
4-Aug-98 +3.15%
27-Oct-97 +5.95%
16-Jul-96 +1.29%
It was easier in the 90s.