ES 8th consecutive close above previous close?...

Since 15th June 1998 (sadly i dont have data before that) there was only another 3 times where ES had 8 consecutive closes above previous day close.
7 consecutive days have 13 readings. Thats a total 1482 trading days.
Till last friday i had this...

ES frequency

Since 15th June 1998 (sadly i dont have data before that) there was only another 3 times where ES had 8 consecutive closes above previous day close.
7 consecutive days have 13 readings. Thats a total 1482 trading days.
Till last friday i had this...

ES frequency

yes, its rolling along...summation cruising. M Osc overbot, you get pullbacks from these kinds of setups, but normally not bigger breaks. I am still in flat stance...not a good long entry spot, but SPX 1150 test likely over the next few days.

#1

Since 15th June 1998 (sadly i dont have data before that) there was only another 3 times where ES had 8 consecutive closes above previous day close.
7 consecutive days have 13 readings. Thats a total 1482 trading days.
Till last friday i had this...

ES frequency

yes, its rolling along...summation cruising. M Osc overbot, you get pullbacks from these kinds of setups, but normally not bigger breaks. I am still in flat stance...not a good long entry spot, but SPX 1150 test likely over the next few days.

#1

I expected a small correction here, but apparently its not to happen. Extra note, the most 2 extreme readings with 8 and 9 consecutive higher close have 5 readings. Out of those 5, 3 happened in 2009. The other 2 events were in 2003 and 2006.

Edited by Venatici, 09 March 2010 - 12:02 PM.

Venatici, you can see if the last bit of this data matches your data, but I think this is the missing portion of the ES mini from inception. Date/Time open high low close volume 9/9/97 933.75 941.25 932.75 934.00 7,034 9/10/97 933.75 934.25 914.50 915.25 11,387 9/11/97 916.00 917.50 900.50 908.50 2,523 9/12/97 918.00 936.50 913.50 933.75 9,945 9/15/97 933.50 939.75 929.00 931.50 8,911 9/16/97 931.25 960.00 930.25 956.00 11,874 9/17/97 956.00 962.50 951.50 956.00 11,093 9/18/97 955.75 970.50 954.75 957.75 11,620 9/19/97 957.75 963.25 953.00 960.50 10,005 9/22/97 960.25 972.00 960.25 966.25 12,126 9/23/97 965.25 967.25 956.50 962.00 10,198 9/24/97 961.50 970.50 952.00 954.50 14,580 9/25/97 953.75 957.50 945.50 946.50 14,114 9/26/97 946.25 956.50 946.25 953.25 12,097 9/29/97 953.25 964.50 950.25 961.75 11,152 9/30/97 961.00 965.25 952.75 954.50 15,239 10/1/97 955.50 966.50 954.50 963.50 14,015 10/2/97 963.25 969.50 961.00 969.00 9,651 10/3/97 969.25 985.50 961.75 975.50 13,792 10/6/97 976.75 983.75 976.50 981.50 9,245 10/7/97 981.50 992.25 977.50 989.50 11,896 10/8/97 989.50 991.75 974.75 982.25 16,204 10/9/97 982.25 983.25 969.25 978.00 9,407 10/10/97 978.75 981.00 964.00 976.75 6,506 10/13/97 976.75 981.75 974.00 976.25 3,914 10/14/97 976.25 981.50 968.50 977.50 11,923 10/15/97 975.75 976.75 968.00 973.50 9,715 10/16/97 973.50 981.25 955.25 959.75 12,998 10/17/97 959.00 960.00 935.50 948.75 13,573 10/20/97 963.50 963.50 962.25 962.25 11,772 10/21/97 964.25 980.50 964.25 979.50 10,576 10/22/97 979.00 980.50 970.50 974.25 10,284 10/23/97 973.00 974.25 947.50 955.50 13,536 10/24/97 956.00 969.00 941.50 944.00 14,924 10/27/97 942.50 944.00 874.00 874.00 15,394 10/28/97 862.00 933.00 844.00 924.50 17,082 10/29/97 924.50 942.00 916.25 924.50 16,552 10/30/97 924.50 928.50 902.00 903.00 13,868 10/31/97 902.00 926.25 889.75 924.00 14,353 11/3/97 923.75 948.00 921.25 945.75 11,469 11/4/97 946.00 946.75 936.25 945.75 11,354 11/5/97 941.50 956.00 938.25 947.00 11,065 11/6/97 946.50 947.50 937.25 942.25 8,873 11/7/97 942.25 943.00 916.50 931.25 13,527 11/10/97 930.00 940.50 922.75 926.25 9,940 11/11/97 926.00 929.75 924.25 926.50 6,889 11/12/97 926.50 929.50 905.50 908.25 14,190 11/13/97 907.00 922.50 902.50 919.25 13,929 11/14/97 920.00 932.50 920.00 932.50 11,389 11/17/97 932.00 954.50 932.00 950.00 9,936 11/18/97 950.00 954.50 940.00 942.50 10,836 11/19/97 942.25 951.50 936.25 947.75 11,297 11/20/97 948.00 965.50 947.00 963.00 10,550 11/21/97 962.50 971.00 957.50 969.50 9,902 11/24/97 968.50 969.00 947.00 949.75 7,759 11/25/97 950.00 957.50 944.75 951.75 10,626 11/26/97 952.00 959.75 948.75 955.00 6,905 11/28/97 954.75 962.25 953.75 955.00 2,113 12/1/97 955.50 979.50 955.50 979.50 10,503 12/2/97 980.00 982.00 972.00 975.00 10,021 12/3/97 974.75 981.25 969.00 977.50 12,160 12/4/97 977.50 985.75 972.50 977.00 12,238 12/5/97 976.25 989.00 963.00 986.50 14,021 12/8/97 986.50 989.75 980.50 984.50 8,595 12/9/97 984.75 986.25 974.50 979.00 11,308 12/10/97 978.75 979.75 963.50 970.25 11,609 12/11/97 969.75 970.25 951.25 954.50 3,858 12/12/97 964.75 974.50 957.75 966.50 11,754 12/15/97 966.75 978.50 960.50 974.25 10,702 12/16/97 973.50 985.75 973.25 980.50 9,155 12/17/97 980.25 988.00 974.50 975.50 9,590 12/18/97 975.25 976.50 960.50 965.00 12,068 12/19/97 964.00 964.00 957.50 957.50 15,892 12/22/97 956.75 962.75 956.75 962.75 9,434 12/23/97 962.75 965.00 944.00 945.00 6,200 12/24/97 944.75 953.50 941.50 942.25 3,671 12/26/97 944.00 949.50 943.00 946.00 1,907 12/29/97 945.50 966.50 941.25 965.75 1,907 12/30/97 966.50 980.50 965.50 979.25 6,556 12/31/97 979.50 984.00 975.25 979.00 5,283 1/2/98 979.25 984.75 972.50 984.75 4,654 1/5/98 987.00 992.75 976.50 987.00 12,496 1/6/98 987.00 987.75 970.50 971.00 12,950 1/7/98 970.75 974.75 960.50 974.00 13,629 1/8/98 973.75 977.25 960.50 961.25 13,767 1/9/98 962.00 963.00 925.50 929.50 18,484 1/12/98 929.00 948.25 914.50 945.50 20,954 1/13/98 945.50 960.00 944.50 959.50 12,493 1/14/98 960.00 966.25 953.75 963.25 12,534 1/15/98 963.50 964.00 954.75 955.00 11,962 1/16/98 955.00 972.75 952.50 968.50 10,032 1/20/98 968.50 986.00 966.75 985.25 10,321 1/21/98 984.50 985.25 967.50 975.50 14,658 1/22/98 977.25 977.50 964.25 966.25 15,422 1/23/98 966.00 972.50 955.00 964.50 15,769 1/26/98 961.00 969.75 953.50 963.50 12,059 1/27/98 963.25 979.75 960.75 973.75 15,501 1/28/98 974.00 985.00 973.00 982.00 13,140 1/29/98 982.00 999.00 979.75 987.00 13,732 1/30/98 987.75 993.50 984.00 987.75 14,178 2/2/98 988.00 1009.00 987.75 1004.00 12,241 2/3/98 1002.75 1011.75 1001.25 1010.75 11,133 2/4/98 1011.00 1014.75 1002.75 1009.75 13,851 2/5/98 1009.50 1019.25 1004.00 1009.50 13,655 2/6/98 1009.00 1019.00 1008.00 1018.50 13,169 2/9/98 1019.00 1022.00 1010.25 1015.00 11,431 2/10/98 1014.75 1027.75 1012.50 1024.25 12,783 2/11/98 1024.00 1026.50 1019.50 1023.75 9,479 2/12/98 1023.50 1031.50 1011.25 1026.75 13,278 2/13/98 1026.75 1028.25 1020.75 1022.25 6,939 2/17/98 1022.50 1033.50 1017.50 1027.50 9,204 2/18/98 1027.50 1036.00 1024.00 1035.25 12,052 2/19/98 1035.50 1038.00 1024.75 1030.75 11,393 2/20/98 1030.25 1038.00 1024.75 1037.50 11,520 2/23/98 1037.25 1045.75 1033.75 1041.25 11,424 2/24/98 1041.50 1041.75 1030.25 1033.75 13,681 2/25/98 1033.25 1049.50 1032.75 1045.50 9,898 2/26/98 1045.50 1052.50 1042.00 1052.00 10,694 2/27/98 1050.50 1055.00 1046.00 1050.50 10,142 3/2/98 1049.25 1057.00 1046.50 1050.00 10,898 3/3/98 1049.50 1056.50 1044.75 1055.50 12,346 3/4/98 1055.25 1055.50 1043.50 1048.00 13,469 3/5/98 1045.75 1046.00 1032.00 1038.75 16,113 3/6/98 1038.50 1058.00 1034.50 1057.25 13,961 3/9/98 1054.00 1061.50 1051.00 1054.00 11,339 3/10/98 1054.00 1067.25 1053.25 1065.00 5,483 3/11/98 1065.00 1071.00 1064.25 1068.50 18,511 3/12/98 1068.50 1073.50 1063.50 1072.50 3,177 3/13/98 1084.00 1089.00 1078.50 1081.00 13,035 3/16/98 1080.00 1092.50 1076.75 1091.75 11,015 3/17/98 1091.25 1094.25 1086.00 1094.25 12,254 3/18/98 1094.00 1098.00 1089.25 1097.75 10,975 3/19/98 1097.25 1102.00 1095.75 1101.75 9,655 3/20/98 1103.75 1113.75 1100.50 1111.25 12,649 3/23/98 1110.50 1113.50 1104.00 1108.25 12,448 3/24/98 1108.50 1119.25 1107.50 1117.00 11,597 3/25/98 1117.00 1125.25 1102.50 1113.75 16,114 3/26/98 1113.75 1118.00 1107.00 1110.75 12,935 3/27/98 1110.75 1119.50 1098.75 1107.50 12,520 3/30/98 1106.25 1111.00 1100.25 1105.75 9,612 3/31/98 1105.50 1122.25 1104.25 1110.50 13,402 4/1/98 1109.75 1121.25 1104.25 1118.25 14,196 4/2/98 1119.00 1132.75 1116.00 1131.00 12,974 4/3/98 1131.00 1137.50 1128.00 1134.75 13,143 4/6/98 1134.50 1142.50 1126.75 1127.00 12,649 4/7/98 1127.25 1131.00 1110.50 1119.00 15,526 4/8/98 1118.50 1123.50 1105.00 1111.75 14,438 4/9/98 1112.50 1121.25 1111.50 1119.50 9,949 4/13/98 1119.00 1124.25 1107.50 1117.25 12,475 4/14/98 1117.25 1126.00 1116.25 1125.00 11,592 4/15/98 1123.75 1128.75 1119.50 1128.25 12,867 4/16/98 1128.25 1129.00 1111.75 1115.50 15,857 4/17/98 1116.50 1131.50 1105.75 1130.50 14,482 4/20/98 1130.50 1132.75 1125.00 1129.00 11,974 4/21/98 1129.00 1137.50 1125.75 1135.50 14,906 4/22/98 1135.00 1140.00 1133.25 1136.50 10,524 4/23/98 1136.00 1136.25 1123.50 1126.50 15,465 4/24/98 1125.50 1130.50 1109.00 1112.75 15,528 4/27/98 1112.00 1113.75 1081.50 1093.50 20,446 4/28/98 1093.50 1103.00 1087.00 1091.00 17,633 4/29/98 1091.25 1104.00 1088.75 1096.75 16,528 4/30/98 1096.75 1124.00 1094.50 1119.25 14,637 5/1/98 1119.25 1130.25 1117.75 1129.50 9,821 5/4/98 1129.50 1137.00 1126.00 1128.00 14,285 5/5/98 1127.75 1128.25 1114.75 1120.00 16,189 5/6/98 1120.00 1124.50 1106.25 1106.75 16,308 5/7/98 1098.75 1111.00 1097.25 1098.25 15,160 5/8/98 1098.75 1116.75 1096.00 1115.50 14,932 5/11/98 1115.50 1124.75 1107.25 1112.25 14,761 5/12/98 1111.50 1123.00 1106.50 1122.00 16,837 5/13/98 1122.00 1128.00 1118.50 1124.00 14,355 5/14/98 1124.00 1129.25 1116.00 1119.50 16,456 5/15/98 1119.50 1123.50 1110.00 1112.50 12,291 5/18/98 1110.50 1117.25 1100.50 1108.25 13,501 5/19/98 1109.50 1118.75 1107.50 1115.50 15,008 5/20/98 1114.75 1124.75 1110.50 1124.00 15,040 5/21/98 1125.00 1128.75 1114.50 1118.25 14,163 5/22/98 1118.00 1121.25 1110.75 1114.00 8,076 5/26/98 1112.50 1120.75 1092.00 1094.00 14,598 5/27/98 1095.00 1098.50 1075.00 1096.50 21,843 5/28/98 1097.25 1103.25 1091.00 1100.75 15,808 5/29/98 1101.00 1107.75 1090.75 1090.75 9,938 6/1/98 1090.00 1101.50 1084.50 1095.25 17,755 6/2/98 1095.25 1102.50 1091.00 1095.75 17,710 6/3/98 1095.50 1100.25 1078.00 1078.25 14,502 6/4/98 1078.00 1099.00 1077.25 1097.75 18,017 6/5/98 1097.50 1118.00 1094.50 1117.50 16,626 6/8/98 1117.25 1122.50 1114.50 1117.00 11,913 6/9/98 1116.75 1122.00 1112.75 1119.50 12,003 6/10/98 1119.50 1127.75 1109.50 1113.00 18,740 6/11/98 1113.25 1116.00 1090.00 1092.00 3,898 6/12/98 1103.50 1114.00 1091.75 1112.25 19,156 6/15/98 1112.25 1114.25 1084.00 1085.25 19,159 6/16/98 1085.00 1100.50 1082.75 1099.50 20,631 6/17/98 1099.25 1126.75 1098.50 1122.00 17,820 6/18/98 1122.00 1127.00 1116.00 1118.00 13,415 6/19/98 1118.25 1124.00 1107.75 1112.25 11,683 6/22/98 1110.50 1121.50 1107.75 1116.75 15,263 6/23/98 1116.50 1131.75 1114.75 1130.00 16,122 6/24/98 1130.00 1147.50 1126.25 1145.50 18,975 6/25/98 1146.75 1154.50 1138.50 1143.50 18,661 6/26/98 1143.50 1149.00 1141.50 1147.50 11,984 6/29/98 1147.75 1158.00 1147.50 1151.50 14,366 6/30/98 1151.75 1153.50 1141.00 1143.00 16,837 7/1/98 1143.00 1159.00 1142.50 1156.50 14,920 7/2/98 1156.50 1159.50 1151.75 1158.00 8,434 7/6/98 1158.25 1169.75 1155.75 1169.50 13,732 7/7/98 1169.50 1171.25 1162.50 1167.25 16,202 7/8/98 1167.00 1177.75 1165.00 1175.00 13,778 7/9/98 1175.00 1176.75 1164.75 1167.50 17,298 7/10/98 1167.50 1177.50 1159.50 1172.50 19,267 7/13/98 1170.25 1176.75 1164.00 1173.75 15,632 7/14/98 1173.50 1189.75 1173.00 1185.75 15,024 7/15/98 1183.75 1190.50 1182.75 1183.50 15,795

Venatici, you can see if the last bit of this data matches your data, but I think this is the missing portion of the ES mini from inception.

...

Thank you Darris, very kind. Will add this data to my database and run results again.

my eyes are bad and I'm not feeling well but aren't we missing something? Did you state what the returns are after 8 days up? like what is the % gain the following week? month? quarter?

my eyes are bad and I'm not feeling well but aren't we missing something? Did you state what the returns are after 8 days up? like what is the % gain the following week? month? quarter?

Hi,

I have not posted any results regarding percentage gain/loss. I only posted consecutive up/down days data (a close higher than previous close, regardless of open, high, low). Even if it is only by 0.25 (its automated, I wrote some C# code to do this). So I am only looking at frequency of occurences and posted thinking it was good stuff for reflection.
btw Darris, added the missing data and there was no "extreme" occurences in that segment, although some readings out of the 1st standard deviation.

Edited by Venatici, 09 March 2010 - 02:22 PM.

ok, lets go at it this way. What are the ending dates for those 3 occurrences?

ok, lets go at it this way. What are the ending dates for those 3 occurrences?

30/10/09 to 11/11/09 8 days gain: 6.12%
02/09/09 to 16/09/09 9 days gain: 6.97%
23/12/08 to 06/01/09 8 days gain: 8.39%