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Detailed RSI Analysis for S&P 500 (^SPX)
The Relative Strength Index (RSI) indicator captures momentum or magnitude of price changes that shows overbought or oversold conditions in the stock price. The value can vary between 0 and 100. The RSI can be determined for a different period, most commonly 14, 10, 7, 5, and 3. A period can be as short as 5-minutes to a day and can be as high as a week or a month. The RSI analysis done here is based on the daily closing price of the stock or index.
Since RSI 3 is determined for the shorter time period, it will be exhibit higher short-term volatility as compared to RSI 14. A significantly lower or higher value for RSI 14 will indicate a higher degree of oversold or overbought market condition as compared to the same RSI 3 value. Thus, as the evaluation period increases (for example, 14), there are fewer times the market hits low RSI values, say less than 30.
The information compiled below shows the number of distinct instances when RSI is below 30 and the number of cumulative days when RSI is below 30.
Note the years when the market has underperformed from historical averages (2001, 2002, 2008) wherein the total number of days RSI values for all time periods is less than 30 is considerably higher than for other years.
Number of Distinct Instances of RSI(x) Falling below 30
Total Number of Days RSI(x) Staying below 30
The data tabulated above is shown in the charts below. The first chart shows the number of distinct instances when RSI is below 30 and the number of cumulative days when RSI is below 30.
The detailed RSI(14) <30 analysis table shows all the dates since 1996 when RSI 14 was less than 30. The column “Total Days” are the number of days RSI 14 was less than 30 in that instance.
The graph below shows the 50th percentile gains over the following time periods (1-3, 1-9, 1-15, 1-20, 1-30, 1-40, 1-50, 1-70) days after each of the RSI(x) values dips below 30.
The table below shows the percentile gains (Min, 5th, 25th, 50th, 75th, 95th, and Max) over the following time periods (1-3, 1-9, 1-15, 1-20, 1-30, 1-40, 1-50, 1-70) after each of the RSI(x) values dips below 30.