Percent From 2-Year Low
^GSPC is 56% above its two-year low; the warning line is 65% and the danger line 75%.
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How far the index sits above its own lowest close of the past two years, used as a late-cycle risk gauge. Crossing 65% has been followed by a sharply below-drift month — 32% positive against a 60% base rate, an edge of -28 points (n=22) — with the effect gone by three months. The 75% "danger" line that circulates with 1987/1998/2010 attached does NOT survive the same test: across 12 crossings its forward returns are directionless. Crossings are deduplicated with hysteresis and a six-month gap, and every window is shown against the unconditional base rate.
- 15 signals since 1928-01-01.
- ^GSPC is 56% above its two-year low; the warning line is 65% and the danger line 75%.
When to run this study
Run any time you want to know how much of the current advance has already been paid out. Most useful when the calendar and the tape both look good — that is when distance-from-low is the input nobody is checking. A reading above the warning threshold does not mean sell; it means the next MONTH has historically paid far less than the drift (32% positive vs 60%), with the effect gone by three months. It is a short-horizon sizing input, not a year-ahead forecast.
Historical results
After crossing 65% above the two-year low (15 crossings since 1950)
| Forward | N | Median | Positive | Base rate | Edge (pts) |
|---|---|---|---|---|---|
| 1M | 15 | -1.84 | 26.70 | 61.80 | -35.20 |
| 2M | 15 | 0.32 | 53.30 | 64.40 | -11.10 |
| 3M | 15 | 2.78 | 66.70 | 66.80 | -0.10 |
| 6M | 15 | 5.55 | 66.70 | 70.70 | -4 |
| 12M | 14 | 15.60 | 64.30 | 74.60 | -10.30 |