S&P 4% Filter
Note: This is duration + Extent as of day prior to
reversal not true low to high swing...
Down Move: Up Move
Days: Extent: Days: Extent:
average 11.2 -4.1% 25.3 6.0%
std 9.1 4.0% 28.2 4.6%
median 8.0 -3.1% 15.0 4.4%
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