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Study: SP500 Wide Range Bar and 50 day high

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Last Thursday markets had strong up move (WRB) and also a new high. Thought it might be interesting to see how did S&P 500 perform afterwards in last 40 years. 

S&P 500 - WRB & 50day High Test
Test: Close - Open > 2% and Market is at/near its 50 day high.

Caveats: Results are frictionless i.e., no commissions, no slippage.

Duration: 1970 - 2012 Sept.

Thoughts:  From results, it appears market has better than random odds of upward bias after 30 bars (i.e., 1.5 months). On surface it appears market had upward bias in short term as well (i.e., less than 30 bars) but results breakup (i.e., 1970-2000 and 2000-2012) tell different story. More details on the image itself. On side note, I am not sure what's special with 30 bars but it seems to have better odds then other durations covered in the test.

Wish you all good health & good trading!

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This journal is to share my thoughts related to trading and market analysis. Most of my trading is on index futures. I trade other markets also but on higher time frame.

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