Large Down Moves

MrRobot

Member
More useful dates for back testing...

Aug 2015 - down 11.24% in 5 days / VIX up by 40 points (back test from Aug 12th)
Apr-Jun 2010 - down 11.9% in 8 days, down 11.3% in 9 days, and down 10.7% in 9 days
Jan-Mar 2009 - down 14.8% in 10 days, down 15.2% in 10 days, down 14.5% in 7 days
Oct-Nov 2008 (GFC) - down 33% in 15 days, down 26.5% in 13 days
Jun-Jul 2008 - 12.2% in 20 days
Jan 2008 - down 14.8% in 14 days
Jan 2003 - down 10% in 8 days
Aug-Oct 2002 - down 9.8% in 14 days, down 11.5% in 13 days, down 9.6% in 7 days
May - Jul 2002 - down 11.3% in 19 days, down 10.2% in 12 days, down 22% in 13 days
Aug- Sep 2001 - down 20.4% in 15 days, includes 9/11 and markets closed for 4 days and one day down 5%
Feb-Mar 2001 - down 11.7% in 15 days, down 14.5% in 10 days
Apr 2000 - down 12.2% in 5 days (dot com bust)
Jul 1999 - down 11% in 17 days
Jul - Oct 1998 - down 10% in 12 days, down 15% in 6 days, 13% down in 9 days
Oct 1997 - down 12% in 5 days
Black Monday 1987 - down 8.7% in one day, and down 31% in 4 days overall
Crash of 1929 - down 30% in 5 trading days

Regards, Dave
 
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