Consecutive Down Days
Median 1M return: +2.0%, 71% win rate.
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Identifies short-term oversold conditions: streaks of N consecutive down days with forward return statistics segmented by streak length.
- 973 signals since 1993-01-01.
- Median 1M return: +2.0%, 71% win rate.
- Signal 2026-06-24 (~88td ago): 3M = +5.0% (hist. median +4.5%, above by 0.5%).
- Signal 2026-07-02 (~82td ago): 3M = +2.8% (hist. median +4.5%, below by 1.7%).
- Signal 2026-07-08 (~78td ago): 3M = +4.8% (hist. median +4.5%, above by 0.3%).
- Signal 2026-07-20 (~70td ago): 3M = +3.1% (hist. median +4.5%, below by 1.4%).
- Signal 2026-07-23 (~67td ago): 3M = +5.0% (hist. median +4.5%, above by 0.5%).
- Signal 2026-08-06 (~57td ago): 1M = +0.2% (hist. median +2.0%, below by 1.8%). Next window: 3M (6td remaining), hist. median +4.5%.
- Signal 2026-08-11 (~54td ago): 1M = -1.6% (hist. median +2.0%, below by 3.6%). Next window: 3M (9td remaining), hist. median +4.5%.
- Signal 2026-08-18 (~49td ago): 1M = -0.6% (hist. median +2.0%, below by 2.6%). Next window: 3M (14td remaining), hist. median +4.5%.
- Signal 2026-09-01 (~39td ago): 1M = +0.5% (hist. median +2.0%, below by 1.5%). Next window: 3M (24td remaining), hist. median +4.5%.
- Signal 2026-09-10 (~32td ago): 1M = +3.0% (hist. median +2.0%, above by 1.0%). Next window: 3M (31td remaining), hist. median +4.5%.
- Signal 2026-09-16 (~28td ago): 1M = +2.6% (hist. median +2.0%, above by 0.6%). Next window: 3M (35td remaining), hist. median +4.5%.
- Signal 2026-09-24 (~22td ago): 1M = -0.9% (hist. median +2.0%, below by 2.9%). Next window: 3M (41td remaining), hist. median +4.5%.
- Signal 2026-09-30 (~18td ago): 2W = +0.9% (hist. median +1.4%, below by 0.5%). Next window: 1M (3td remaining), hist. median +2.0%.
- Signal 2026-10-08 (~12td ago): 2W = -1.3% (hist. median +1.4%, below by 2.7%). Next window: 1M (9td remaining), hist. median +2.0%.
- Signal 2026-10-14 (~8td ago): 1W = +0.5% (hist. median +1.1%, below by 0.6%). Next window: 2W (2td remaining), hist. median +1.4%.
- 1 down day(s) — below minimum threshold of 2
Total Events
973
Streaks ≥2d since 1993-01-01
Current Streak
1d
consecutive down days
SPY Price
$769.49
2026-10-29
Avg VIX at Events
21.4
vs overall avg 19.5
When to run this study
Run after 3 or more consecutive down days. Identifies short-term oversold conditions with historically elevated mean-reversion probability — best used for timing tactical entries during brief pullbacks in uptrends.
Historical results
Forward Performance by Streak Length
| Streak | N | Avg Cum Loss | Avg VIX | 1D Win% | 1D Avg | 3D Win% | 3D Avg | 1W Win% | 1W Avg | 2W Win% | 2W Avg | 1M Win% | 1M Avg | 3M Win% | 3M Avg |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2d | 529 | -1.61 | 20.80 | 99.60 | 0.89 | 73.50 | 0.93 | 71.60 | 1.03 | 69.80 | 1.28 | 70.80 | 1.86 | 74 | 3.46 |
| 3d | 263 | -2.43 | 21.10 | 99.60 | 0.90 | 71.50 | 0.94 | 68.80 | 1.04 | 68.70 | 1.22 | 64.80 | 1.23 | 74.30 | 3.47 |
| 4d | 115 | -3.23 | 22.70 | 99.10 | 1.07 | 73.90 | 1.17 | 80.90 | 1.74 | 76.50 | 2.04 | 78.30 | 2.84 | 74.60 | 4.24 |
| 5d | 48 | -4.24 | 23.80 | 100 | 1.19 | 70.80 | 1.11 | 79.20 | 1.83 | 77.10 | 2.34 | 77.10 | 3.33 | 79.20 | 5.64 |
| 6d | 11 | -5.80 | 26.70 | 100 | 1.83 | 72.70 | 1.69 | 72.70 | 1.03 | 63.60 | 0.75 | 100 | 5.31 | 81.80 | 7.52 |
| 7d | 5 | -11.13 | 38.60 | 100 | 4.62 | 80 | 2.52 | 80 | 1.68 | 40 | -1.11 | 60 | 0.39 | 80 | 5.97 |
| 8d+ | 2 | -9.16 | 30.80 | 100 | 3.05 | 100 | 3.30 | 50 | 3.11 | 50 | 3.22 | 50 | 4.91 | 50 | 9.06 |