Separating Lines Bullish SPY S&P 500 Sees Lower Up Rate in Extreme Greed

Separating Lines Bullish in Extreme Greed: SPY Up Rate Falls to 52% — 17 Points Below the Global Baseline

At Friday's close, we identified a Separating Lines Bullish on SPY (+0.8% on the session), a pattern that signals bullish momentum as a gap up opening reflects continued buying interest.

Since 2009, across our full dataset, this pattern has appeared 117 times and has delivered a median 1-month return of +1.6%, with a 69.2% 1-month up rate and a +1.45 annualised Sharpe ratio. The middle of the distribution has remained reasonably constructive, with returns spanning -0.4% to +3.3% from the 25th to 75th percentile, while skew sits at -0.2, which points to a fairly balanced shape rather than a pronounced downside tilt.

Against that baseline, the pattern's historical risk-adjusted edge has flattened in the Quantlake Herd Index (QHI) Extreme Greed regime, where crowd sentiment is most stretched, with the Sharpe ratio at +0.00 and the 1-month up rate falling to 52.4%. Median return has also eased to +1.0%, and the interquartile range shifts wider on the downside, at -3.1% to +2.9%, which leaves the regime profile less favorable than the full-sample history. With only 21 observations in this regime, treat all regime statistics as indicative only.

Statistical analysis chart for $SPY Separating Lines Bullish. In the Extreme Greed regime (80-100 pts), this pattern shows a 1-month forward up move frequency of 52.4%.

Warning: low sample (n<30), statistical significance is reduced.

SPY Separating Lines Bullish: 1-Month Historical Performance (All Regimes)

Metric	All Regimes (n=117)	QHI Extreme Greed (80-100) (n=21)
Up / Down	Up 81 (69.2%) \| Down 36 (30.8%) [n=117]	Up 11 (52.4%) \| Down 10 (47.6%) [n=21]
Avg / Median	+1.3% (Median +1.6%)	-0.0% (Median +1.0%)
Expected Range (p25–p75)	-0.4% to +3.3%	-3.1% to +2.9%
Tail Risk (p10–p90)	-2.9% to +5.0%	-4.2% to +3.7%
Full Range (min–max)	-6.1% to +10.5%	-6.1% to +6.2%
Skew & Kurt	Skew γ1 -0.2 \| Kurt γ2 +0.1	Skew γ1 +nan \| Kurt γ2 +nan
Sharpe Ratio	+1.45	+0.00

Data: 8 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.