SPY Candlestick Analysis: Forward Returns by Pattern and Sentiment Regime
On Friday, September 4, the S&P 500 ETF SPY printed a Harami Bearish at $770.19, down 0.39%, with the Quantlake Herd Index (QHI) in Extreme Greed. Across 26 prior occurrences in this regime, the pattern has historically resolved higher one month later 61.5% of the time.
The Harami Bearish is a potential bearish reversal marked by a small bearish candle contained within the prior bullish body.
Across 129 occurrences since 2009, the pattern posts a 1-month up rate of 66.7%, with a median return of 1.1%, an average of 0.6%, and a Sharpe of 0.51. The return profile tilts positive on frequency and risk-adjusted terms. The interquartile range runs from -1.8% to +3.2%, and the p10 to p90 range spans -4.8% to +4.2%. The central distribution favors upside, while the full sample is balanced, with skew at -0.3 and kurtosis at 1.6.
Harami Bearish in QHI Extreme Greed (80-100 pts): Regime-Adjusted Statistics
QHI sits in Extreme Greed for 26 observations. SPY's 1-month up rate after this pattern is 61.5% in that regime, below the 66.7% global rate, and the average return is -0.1% with a Sharpe of -0.10. The historical risk-adjusted edge is negative in this regime and positive globally. The median return is 0.7% across those 26 cases, near the full-sample median. The p10 floor of -4.0% against a p90 ceiling of +3.3% leaves expectancy below zero because the losing tail is larger than the winning moves are frequent.
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: 4 Sep 2026 · Daily Time Scale.
Harami Bearish: 1-Month Forward Returns by Sentiment Regime
Metric
All regimes
baseline
Extreme Fear *
0-20 pts
Fear *
20-40 pts
Neutral *
40-60 pts
Greed *
60-80 pts
Extreme Greed *
80-100 pts
Occurrences
129
24
26
24
29
26
Up rate
66.7%
87.5%
69.2%
58.3%
58.6%
61.5%
Average return
+0.6%
+3.4%
+0.2%
-0.3%
+0.3%
-0.1%
Median return
+1.1%
+2.6%
+0.9%
+0.9%
+0.9%
+0.7%
Minimum
-11.4%
-4.3%
-11.4%
-8.5%
-6.2%
-10.8%
10th percentile
-4.8%
-1.1%
-4.0%
-6.3%
-4.9%
-4.0%
25th percentile
-1.8%
+1.9%
-1.8%
-2.9%
-2.6%
-1.4%
75th percentile
+3.2%
+4.2%
+2.9%
+3.0%
+2.8%
+1.4%
90th percentile
+4.2%
+9.7%
+3.4%
+3.5%
+4.2%
+3.3%
Maximum
+15.3%
+15.3%
+5.1%
+6.2%
+6.4%
+5.6%
Skew
-0.3
—
—
—
—
—
Excess kurtosis
+1.6
—
—
—
—
—
Sharpe ratio
+0.51
+2.62
+0.19
-0.24
+0.30
-0.10
* fewer than 30 occurrences; treat the column as indicative. Skew and excess kurtosis are withheld below that count. Returns are 1-month forward, in percent. Sharpe is annualised.
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.
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.
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