SPY is up three days in a row by a total of more than 4%. Looking at the entire history of SPY, the first table above shows the dates this setup occurred in the past and what happened 1, 2, 5, and 10 days later. There is a bias up for the 10 day holding period. It has an average return of 1.13%, a win rate of 59%, and an almost 2:1 win/loss ratio.
However, if we look at SPY since 2000 (see the second table above), we find no statistical edge for 1, 2 ,5, or 10 day holding periods. The 10 day holding period only returns an average 0.65%, a win rate of 50%, and a deteriorating win/loss ratio.
In summary, there does not seem to be an advantage to buying at this juncture with a 10 day or less perspective. On the other hand, there may well be an advantage if additional factors were to be considered. I shall work on expanding my testing to include volume, up/down trend, and the state of various indicators.
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