Investing 101

This indicator belongs broadly to the category of Technical Analysis Indicators, and is used to monitor extreme short-term rallies or drops in a simple way: it counts the number of consecutive days during which the stock moved in the same direction.

So if a stock rallied for three days the indicator will be set at 3, and conversely if a currency fell for six trading days in a row the indicator will be set at -6.

Like most oscillators, this is used mostly for 1d reversion plays: look at the S&P 500 example below, which shows that in the last 5 years SPX never managed to rally more than 5 days before falling. The implication is that, by monitoring these opportunities, one can play a reversion with a degree of confidence.

![spx consecutive days](https://storage.googleapis.com/toggle-webcm-prod/https://storage.googleapis.com/toggle-webcm/spx_consecutive_days_ab9b79c5b1/spx_consecutive_days_ab9b79c5b1.png)

This indicator counts the number of consecutive days during which the stock moved in the same direction.

Consecutive Days Move Counter Indicator

Technical Indicators 

The Surprise Move of a security is a modified version of the Sharpe Ratio: whereas the latter indicator measures the return of a security divided by the volatility of the security during the move, the Surprise Move divides the return of a security by the risk regime before the move took place.

This modification of the Sharpe Ratio allows the indicator to highlight how a relatively small move was quite large within the context of a pre-existing low-volatility environment, and conversely a large rebound was not so out of the ordinary, if seen under the light of a tumultuous high-vol regime that maybe came after a large drop.

The indicator is an oscillator of sorts, allowing investors to answer questions like “What happened the last 10 times that S&P 500 fell 2 standard deviations?”. It is usually used as a mean reversion guide.

Surprise Move Indicator

Consecutive Days Move Counter Indicator