How much is the rebound of S&P 500 in a drop ?

After analysing 32 years daily data of S&P 500, I use Excel to find the rebound ratio of the maximum drop in 5, 10, 15 and 20 days.

First, I look for the the highest point in different period. After finding the high, look for the minimum lowest point in that period. Finally, look for the amount of rebound before another drop. The x axis of the following 4 charts is the drop ratio compared to the price at High while the y axis of the charts is the rebound ratio compared to the price at Low.

The results are very consistent, the longer the period, the less the rebound ratio is.

They are :

• 5 days : 0.6315
• 10 days : 0.5512
• 15 days : 0.5072
• 20 days : 0.4903

According to this study, if there is a drop in the past 5 days and look for a rebound, the rebound should be around 0.6315 times of the drop.

 

 

On the other hand, the average amount of drop in these 4 periods are respectively,

• 5 days : 2.64%
• 10 days : 3.39%
• 15 days : 3.94%
• 20 days : 4.40%