Consecutive Down Days
Median 1M return: +2.3%, 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.
- 605 signals since 1993-01-01.
- Median 1M return: +2.3%, 71% win rate.
- Signal 2026-05-19 (~84td ago): 3M = +5.1% (hist. median +4.6%, above by 0.5%).
- Signal 2026-06-10 (~68td ago): 3M = +4.7% (hist. median +4.6%, above by 0.1%).
- Signal 2026-06-17 (~63td ago): 1M = +0.4% (hist. median +2.3%, below by 1.9%). Next window: 3M (0td remaining), hist. median +4.6%.
- Signal 2026-06-24 (~58td ago): 1M = +0.8% (hist. median +2.3%, below by 1.5%). Next window: 3M (5td remaining), hist. median +4.6%.
- Signal 2026-07-02 (~52td ago): 1M = +1.7% (hist. median +2.3%, below by 0.6%). Next window: 3M (11td remaining), hist. median +4.6%.
- Signal 2026-07-08 (~48td ago): 1M = +3.1% (hist. median +2.3%, above by 0.8%). Next window: 3M (15td remaining), hist. median +4.6%.
- Signal 2026-07-20 (~40td ago): 1M = +3.4% (hist. median +2.3%, above by 1.1%). Next window: 3M (23td remaining), hist. median +4.6%.
- Signal 2026-07-23 (~37td ago): 1M = +3.7% (hist. median +2.3%, above by 1.4%). Next window: 3M (26td remaining), hist. median +4.6%.
- Signal 2026-08-06 (~27td ago): 1M = +0.2% (hist. median +2.3%, below by 2.1%). Next window: 3M (36td remaining), hist. median +4.6%.
- Signal 2026-08-11 (~24td ago): 1M = -1.6% (hist. median +2.3%, below by 3.9%). Next window: 3M (39td remaining), hist. median +4.6%.
- Signal 2026-08-18 (~19td ago): 2W = -0.7% (hist. median +1.5%, below by 2.2%). Next window: 1M (2td remaining), hist. median +2.3%.
- Signal 2026-09-01 (~9td ago): 1W = +0.1% (hist. median +1.1%, below by 1.0%). Next window: 2W (1td remaining), hist. median +1.5%.
- Signal 2026-09-10 (~2td ago): 1D = +0.8% (hist. median +0.7%, above by 0.1%). Next window: 3D (1td remaining), hist. median +0.8%.
- 1 down day(s) — below minimum threshold of 2
Total Events
605
Streaks ≥2d since 1993-01-01
Current Streak
1d
consecutive down days
SPY Price
$760.88
2026-09-14
Avg VIX at Events
21.2
vs overall avg 19.1
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 | 335 | -1.61 | 20.60 | 99.40 | 0.89 | 74.90 | 0.95 | 74.60 | 1.15 | 73.40 | 1.52 | 72.80 | 2.04 | 74.20 | 3.49 |
| 3d | 154 | -2.48 | 20.80 | 100 | 0.95 | 73.40 | 0.93 | 72.70 | 1.08 | 68.60 | 1.09 | 63.80 | 1.16 | 77.30 | 3.55 |
| 4d | 71 | -2.92 | 21.60 | 98.60 | 0.96 | 71.40 | 1.08 | 78.60 | 1.36 | 74.30 | 1.75 | 77.10 | 2.52 | 71.40 | 4.04 |
| 5d | 29 | -3.84 | 23.90 | 100 | 1.07 | 62.10 | 0.82 | 72.40 | 1.60 | 72.40 | 2 | 72.40 | 3.40 | 79.30 | 6.14 |
| 6d | 9 | -6.16 | 28.10 | 100 | 2.02 | 77.80 | 1.95 | 77.80 | 1.17 | 66.70 | 1.04 | 100 | 5.89 | 88.90 | 9.07 |
| 7d | 5 | -11.13 | 38.60 | 100 | 4.61 | 80 | 2.52 | 80 | 1.67 | 40 | -1.11 | 60 | 0.39 | 80 | 5.96 |
| 8d+ | 2 | -9.16 | 30.80 | 100 | 3.05 | 100 | 3.30 | 50 | 3.12 | 50 | 3.22 | 50 | 4.92 | 50 | 9.06 |