My first study compares 20 day changes in the market (SPY) and oil (using the oil ETF XLE) with subsequent changes in the market 5/17/04 to 3/16/07 (713 days). My results:
All periods 20 day average SPY price change : 0.86%
Subsequent SPY 20 day return
XLE outperforms SPY over 20 days by 5%: 0.22%
SPY outperforms XLE " " " 5%: 2.49%
Both are up " " " > 5%: 1.05%
Both are down " " " > 5%: 2.51% (small sample of four)
Both are down > 3%: 2.28%
SPY up > 3% and XLE up 4% more than SPY: -0.4%
These findings confirm and extend Steenbarger's results to a 20 day period. (see his column http://traderfeed.blogspot.com/2007/01/xle-when-energy-sector-spyders-are.html)
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