Daily SPY Candlestick: Tweezers Top

Tweezers Top in Greed: Median Return Higher at +1.8% vs +1.4% Globally

SPY rose 0.8% on Tuesday and printed a Tweezers Top, a bearish reversal in which two candles with similar highs mark a resistance level.

Across 239 occurrences since 2009, the pattern resolves higher 69.9% of the time, with a median 1-month return of 1.4%, an average of 0.9%, and an annualized Sharpe of 0.80. The base rate favors gains after the signal. Skew at -3.1 and kurtosis at 22.0 place the difference in the downside tail, with p10 at -3.2%, p90 at +4.9%, and a full range to -28.7%. The expectancy rests on frequent gains alongside a fat left tail.

The Greed subset includes 47 observations, so the directional count is informative and the higher moments carry more uncertainty than the global baseline. SPY's 1-month up rate after this pattern is 70.2% when the Quantlake Herd Index, QHI, sits in Greed, a crowding regime between 60 and 80, versus 69.9% globally. The median return is 1.8% and the average return is 1.0%, so the central tendency tracks slightly above the full sample in this subset. The regime difference sits in the tails: skew is -1.0 and kurtosis is 0.6 across these 47 cases, with a minimum of -7.4% versus -28.7% globally. The Greed subset keeps the same directional profile and removes most of the full sample's extreme left-tail behavior.

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: 21 Jul 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.