RBD Alerts

Update 27 March 2020

I re-wrote the underlying code to allow for a more generic set of parameters. you can now copy the sheet to your own version and change the ticker, the # of days of history plus whether or not to include Fridays in the worst day calculations. Have fun!

Background

Background on what defines a Really Bad Day (RBD) can be found here. It contains the most succinct reference to livesoft's rules that I have found, but be warned there are many many variations. The true definition of an RBD is probably "I'll know it when I see it" (see Jacobellis v. Ohio). I am sticking to this one because it has the key components stated by livesoft in a form that are mostly easy to algorithmically analyze.

Definition

A livesoft-defined RBD meets all of the following criteria: 

1. An S&P 500 Index fund drop of 2.5% or more 

2. A drop greater than the 4th largest drop within the previous 150 days 

3. Not a Friday 

 Methodology

To make this calculable, I have modified these rules very slightly to be more precise. 

1. Has the S&P 500 Index tracker as specified by googlefinance("INDEXSP:.INX") dropped more than 2.5% today?

2. Is this drop greater in magnitude than the 4th largest drop in the last 150 calendar days?

   • I assume that the drop calculation does not include Fridays.

3.) Is date in question NOT a Friday?

If all three are True, then an RBD Alert is shown.

I give two slightly different Readings of rules #1 and #2

• • • The lowest point during the trading day so far

    • The current index value

You can decide which metric you want to use as I present them side-by-side.