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.
- 598 signals since 1993-01-01.
- Median 1M return: +2.3%, 71% win rate.
- Signal 2026-03-20 (~85td ago): 3M = +15.1% (hist. median +4.6%, above by 10.5%).
- Signal 2026-03-30 (~78td ago): 3M = +18.5% (hist. median +4.6%, above by 13.9%).
- Signal 2026-04-21 (~62td ago): 1M = +5.3% (hist. median +2.3%, above by 3.0%). Next window: 3M (1td remaining), hist. median +4.6%.
- Signal 2026-04-29 (~57td ago): 1M = +6.3% (hist. median +2.3%, above by 4.0%). Next window: 3M (6td remaining), hist. median +4.6%.
- Signal 2026-05-19 (~42td ago): 1M = +2.0% (hist. median +2.3%, below by 0.3%). Next window: 3M (21td remaining), hist. median +4.6%.
- Signal 2026-06-10 (~27td ago): 1M = +3.5% (hist. median +2.3%, above by 1.2%). Next window: 3M (36td remaining), hist. median +4.6%.
- Signal 2026-06-17 (~22td ago): 2W = +0.8% (hist. median +1.5%, below by 0.7%). Next window: 1M (0td remaining), hist. median +2.3%.
- Signal 2026-06-24 (~17td ago): 2W = +2.5% (hist. median +1.5%, above by 1.0%). Next window: 1M (4td remaining), hist. median +2.3%.
- Signal 2026-07-02 (~11td ago): 2W = -0.2% (hist. median +1.5%, below by 1.7%). Next window: 1M (10td remaining), hist. median +2.3%.
- Signal 2026-07-08 (~7td ago): 1W = +1.3% (hist. median +1.1%, above by 0.2%). Next window: 2W (3td remaining), hist. median +1.5%.
- 3 consecutive down days — threshold breached (3d ≥ 2d)
Total Events
598
Streaks ≥2d since 1993-01-01
Current Streak
3d
consecutive down days
SPY Price
$742.09
2026-07-20
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 | 332 | -1.62 | 20.60 | 99.40 | 0.89 | 74.70 | 0.95 | 74.70 | 1.16 | 73.70 | 1.53 | 72.60 | 2.05 | 73.90 | 3.47 |
| 3d | 151 | -2.50 | 20.80 | 100 | 0.96 | 74.20 | 0.95 | 73.50 | 1.11 | 68.90 | 1.10 | 63.30 | 1.14 | 77.20 | 3.54 |
| 4d | 70 | -2.93 | 21.60 | 98.60 | 0.97 | 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 |