Daily SPY Candlestick: Downside Gap

Downside Gap in Greed: Return Profile Broadly Unchanged vs the Global Baseline

Tuesday’s -1.5% SPY session printed a Downside Gap, a bearish momentum signal in which strong selling created a gap down.

Since 2009, the pattern appeared 165 times and resolved higher after one month in 70.9% of occurrences, with a +2.4% median return, a +1.5% average return, and a +1.08 Sharpe. The base rate favored upside even as skew sat at -0.6, which left a larger losing tail than winning tail. The middle of the distribution ran from -1.2% to +4.3%. The tail band stretched from -5.9% to +6.4%. The profile paired positive central tendency with a left-leaning outcome set rather than a symmetric one.

In Quantlake Herd Index (QHI) Greed, a sentiment regime that reflects elevated crowd optimism, the one-month profile tracked the baseline closely across 30 occurrences. The 1-month up rate held near the full-sample read at 70.0%, the average stayed at +1.5%, and Sharpe improved to +1.21. The main shift sat in the tails rather than the center. The downside tail floor lifted to -3.7% at the 10th percentile, and the upside tail extended to +7.0% at the 90th percentile, while skew at -0.6 and kurtosis at +0.4 stayed close to the global shape. With 30 observations in this regime, the directional count is informative, but higher moments, skew and kurtosis, carry more uncertainty than the global baseline. The regime reads as a near-baseline setup with slightly cleaner tail behavior rather than a different return process.

The full QHI historical series since September 1, 2009 is available via the Quantlake API for systematic integration. Learn more about the QHI methodology →
Data: 23 Jun 2026 · Daily Time Scale.

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.