The Occurrence of Mins

日期:2013/04/22

We achieved a 20 day minimum on 4 18 2013 at 1534 in spu. It is interesting to see the expected duration of time in market days until the next 20 day mimimum:
number of days______expected duration
since last 20_______until next 20 day min
day minimum
1                  24
2                  30
3                  33
4                  36
5                  37
6                  40
7                  41
8                  42
9                  46
10                 48
11-15              45
16-20              43
21-30              41
31-50              50
51-100             39
101 and above      20



Thus, we can see that 20 day minimum are rare, and they don't exert a gravitational effect until 100 trading days have elapsed. As the observations are not independent, the standard life expectancy distributions don't fit it. However, if we were dealing with 20 day maxima in daily changes, then the standard distributions would apply and the duration to the next 20 day maximum in daily change would be approximately 40 days.