Bullish Strong Line SPY S&P 500 Up Rate Falls in Extreme Greed

Bullish Strong Line in Extreme Greed: SPY Up Rate Falls to 47% — 20 Points Below the Global Baseline

At Wednesday's close, we identified a Bullish Strong Line on SPY (+1.4% on the session), a pattern that signals strong bullish conviction as the large real body reflects buyer dominance into the close.

Since 2009, across our full dataset, the pattern has appeared 291 times and has delivered a median 1-month return of +1.4%, with a 1-month up rate of 67.4% and an annualised Sharpe ratio of +0.76. The distribution leans left, with skew at -0.8, which means losses in weaker outcomes have been more severe than gains in stronger ones.

Against that baseline, the regime profile in Extreme Greed is weaker across the core outcome measures, with the pattern's historical risk-adjusted edge turning negative when the Quantlake Herd Index (QHI) registers Extreme Greed, a reading that reflects crowd sentiment at its most stretched. In that regime, the median 1-month return has been -0.6%, the 1-month up rate has fallen to 47.3%, and the annualised Sharpe ratio has been -0.58, while skew drops further to -1.3, indicating a distribution with more severe downside asymmetry than the global sample. With 55 observations in this regime, the directional count is informative but higher moments (skew, kurtosis) carry more uncertainty than the global baseline.

Data: 6 May 2026 · Daily Time Scale · QHI data available since 1 Sep 2009 via our API.

Romain Gandon
CEO, Quantlake

Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.

Definitions

Quantlake Herd Index (QHI)

The Quantlake Herd Index (QHI) is a proprietary cross-asset behavioral sentiment composite ranging from 0 to 100 that measures extremes in investor psychology across the U.S. financial system.

It aggregates signals from U.S. equity momentum and breadth, equity market concentration dynamics, credit market risk appetite (high-yield vs investment-grade demand), implied volatility conditions, and credit spread behavior. These inputs are normalized into a single behavioral risk barometer reflecting the balance between risk-averse and risk-on investor behavior.

Because markets are influenced by behavioral biases, sentiment extremes frequently precede mean reversion in forward returns.

QHI Regimes

0–20: Extreme Fear

20–40: Fear

40–60: Neutral

60–80: Greed

80–100: Extreme Greed

Statistical Terms

Median
The midpoint of the return distribution — 50% of outcomes fell above and 50% below this value. Less sensitive to extreme outliers than the average.

p25 / p75 (Interquartile Range)
The range within which the middle 50% of historical outcomes fell. p25 marks the 25th percentile (bottom of the range); p75 marks the 75th percentile (top). A tighter range indicates a more predictable pattern; a wide range reflects high dispersion.

p10 / p90 (Tail Interval)
The range encompassing the middle 80% of historical outcomes. P10 represents the 10th percentile (the "downside" threshold), while P90 represents the 90th percentile (the "upside" threshold). Unlike the Interquartile Range, this metric captures the shoulders of the distribution, providing a clearer view of potential tail risk and extreme performance potential.

Skew (γ1 — Skewness)
Measures the asymmetry of the return distribution. A negative skew (γ1 < 0) signals a left-tailed distribution — most outcomes cluster on the positive side, but the rare negative outcomes can be severely large. A positive skew (γ1 > 0) is the opposite.

Kurt (γ2 — Excess Kurtosis)
Measures tail density relative to a normal distribution. A high positive value (Leptokurtic) indicates fat tails — extreme events occur more frequently than a normal distribution would predict. A negative value (Platykurtic) indicates thinner tails.

Mesokurtic
A kurtosis value typically within a range of -0.5 to +0.5, consistent with a normal (Gaussian) distribution. Tail risk is neither elevated nor suppressed relative to standard statistical models.

Gaussian (Normal Distribution)
The classic bell-curve distribution. When a pattern's moments are described as "consistent with Gaussian expectations," it means tail risk behaves as standard statistical models would predict — no unusual concentration of extreme outcomes.

Sharpe Ratio (annualised)
Measures risk-adjusted return — the average 1-month forward return divided by its standard deviation, scaled to an annual rate (×√12). A ratio above 1.0 indicates strong return per unit of risk; below 0.5 is weak; negative means the average outcome was a loss. It does not capture skewness or tail risk, so it should be read alongside the distribution metrics above.