Breadth Gap
When the gap has been 12+ points with the index near a high, the next three months were positive 100% of the time (base rate 74%) across 7 separate episodes (all in 3 years) different years.
▶ View the live, interactive version with full charts →
How far the index is below its 52-week high minus how far the typical stock is below its own. A record-high index with the median stock well under water means a narrow rally. Rebuilt on 535 names back to 2007 with the current reading, its percentile, and what SPY did next after wide gaps with the index within 3% of its high, against the base rate and a same-year control. Context, not a signal.
- Index 0.8% under its high, median stock 15.6% under: a 14.8-point gap, wider than every other day since 2007.
- When the gap has been 12+ points with the index near a high, the next three months were positive 100% of the time (base rate 74%) across 7 separate episodes (all in 3 years) different years.
- Context only: read every outcome against the base rate and the same-year control.
When to run this study
Run when the index is at or near a record but it feels like most stocks are not participating. The study measures how far the index is below its 52-week high against how far the typical stock is below its own, and shows what the next week to twelve months have looked like when that gap was this wide with the index still within 3% of its high. Context, not a trade signal: read every number against the base rate beside it.
Historical results
What SPY did next, by gap size (index within 3% of its high)
| Condition | Events | Win | Median | Edge (pts) | vs same year | Win ex 2008-09 / 2020-21 |
|---|---|---|---|---|---|---|
| ALL DAYS - 1W | 4764 | 60 | 0.41 | |||
| Index within 3% of high (no gap condition) - 1W | 2782 | 60 | 0.35 | 0 | ||
| Gap >= 10 pts + index within 3% - 1W | 20 | 55 | 0.35 | -5 | -0.37 | 53 |
| Gap >= 12 pts + index within 3% - 1W | 8 | 62 | 1.01 | 2 | 0.49 | 62 |
| Gap >= 15 pts + index within 3% - 1W | 1 | 0 | -0.22 | -60 | -0.55 | 0 |
| Top-decile gap (>= 9.4 pts) + index within 3% - 1W | 26 | 58 | 0.63 | -2 | -0.13 | 54 |
| ALL DAYS - 1M | 4748 | 67 | 1.63 | |||
| Index within 3% of high (no gap condition) - 1M | 2767 | 67 | 1.32 | 0 | ||
| Gap >= 10 pts + index within 3% - 1M | 19 | 79 | 1.85 | 12 | 0.18 | 78 |
| Gap >= 12 pts + index within 3% - 1M | 7 | 86 | 2.67 | 19 | 1.77 | 86 |
| Gap >= 15 pts + index within 3% - 1M | 0 | |||||
| Top-decile gap (>= 9.4 pts) + index within 3% - 1M | 25 | 76 | 2.19 | 9 | 0.02 | 74 |
| ALL DAYS - 3M | 4706 | 74 | 4.22 | |||
| Index within 3% of high (no gap condition) - 3M | 2726 | 75 | 3.58 | 1 | ||
| Gap >= 10 pts + index within 3% - 3M | 17 | 88 | 5.07 | 14 | -0.86 | 88 |
Showing 15 of 30 rows — see the live version for all.