when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

with the help of Quant-Ideas mining tool  we were able to find the below trading strategy on $QQQ ,

trading strategy rules

1) $QQQ closes below lower bollinger band for two trading days in row  ( bollinger bands are calculated on 20 day moving averages , with 2 standard deviations )

below the trading odds for longs for $QQQ , for the next 1/2/3/4/5/10/20 trading days , when $QQQ closes below lower bollinger bands for , 2 consecutive days in row , since 2010

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 35 22 62.9 0.45 0.33 1.67 -1.62 1.03 -6.02 1.47 1.16
t+2% 35 23 65.7 1.03 0.91 2.41 -1.62 1.49 -4.21 2.39 2.48
t+3% 35 25 71.4 1.59 2.05 3.11 -2.20 1.41 -5.52 3.83 2.94
t+4% 35 26 74.3 2.03 2.20 3.51 -2.26 1.56 -4.55 4.43 3.73
t+5% 35 26 74.3 2.16 2.13 3.44 -1.54 2.23 -3.13 5.53 4.45
t+10% 35 20 57.1 1.79 2.31 5.10 -2.61 1.95 -7.06 2.86 2.44
t+20% 34 23 67.6 2.90 3.34 5.85 -3.28 1.79 -7.11 3.47 3.18
1st +’ve in 5 days 35 33 94.3 1.40 0.78 1.53 -0.86 1.79 -1.23 34.58 5.21
1st -‘ve in 5 days 35 22 62.9 -0.57 -0.53 -1.51 4.10 0.37 7.45 0.48 -1.08

33/35 times  $QQQ closed higher than the current close at some point of time in the next five trading days .. with an average gain of 140 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances, and $QQQ forward 1/2/3/4/5 trading returns , when $QQQ closes below lower bollinger band for 2 days in row , since 2010.

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
8-Feb-16 96.62 ?? ?? ?? ?? ?? ?? ??
11-Jan-16 104.33 1.16 -2.33 -0.25 -3.35 -3.13 1.16 -2.33
8-Jan-16 104.01 0.31 1.47 -2.03 0.06 -3.05 0.31 -2.03
7-Jan-16 104.87 -0.82 -0.51 0.64 -2.83 -0.76 0.64 -0.82
29-Sep-15 99.17 2.30 2.76 4.56 6.06 5.56 2.30 5.56
25-Aug-15 97.55 5.04 7.70 7.68 6.34 3.02 5.04 3.02
24-Aug-15 97.92 -0.38 4.64 7.29 7.27 5.94 4.64 -0.38
21-Aug-15 101.84 -3.85 -4.21 0.62 3.16 3.14 0.62 -3.85
16-Dec-14 98.61 1.82 4.27 4.73 4.99 4.62 1.82 4.62
16-Oct-14 90.53 1.32 2.83 5.53 4.99 6.57 1.32 6.57
15-Oct-14 91.10 -0.63 0.68 2.19 4.87 4.33 0.68 -0.63
14-Oct-14 91.70 -0.65 -1.27 0.03 1.53 4.19 0.03 -0.65
13-Oct-14 91.69 0.01 -0.63 -1.26 0.04 1.54 0.01 -0.63
2-Oct-14 95.88 0.99 0.77 -0.66 1.28 -0.36 0.99 -0.66
11-Apr-14 82.54 0.78 1.12 2.46 2.48 3.25 0.78 3.25
7-Apr-14 83.95 0.92 2.65 -0.53 -1.68 -0.91 0.92 -0.53
27-Mar-14 85.26 0.20 0.91 2.68 2.95 2.13 0.20 2.13
9-Oct-13 74.82 2.12 2.92 3.65 3.25 4.42 2.12 4.42
24-Jun-13 67.57 0.73 1.63 2.07 2.21 2.84 0.73 2.84
21-Jun-13 68.25 -0.99 -0.27 0.62 1.05 1.19 0.62 -0.99
11-Oct-12 63.94 -0.04 0.69 2.11 2.05 0.87 0.69 -0.04
10-Oct-12 64.14 -0.31 -0.36 0.37 1.79 1.73 0.37 -0.31
18-May-12 57.98 2.80 2.68 2.88 2.20 2.07 2.80 2.07
25-Nov-11 50.14 3.48 2.84 6.64 7.38 7.07 3.48 7.07
23-Nov-11 50.53 -0.77 2.68 2.05 5.82 6.55 2.68 -0.77
22-Nov-11 51.70 -2.26 -3.01 0.37 -0.26 3.43 0.37 -2.26
21-Nov-11 51.53 0.33 -1.93 -2.69 0.70 0.07 0.33 -1.93
18-Nov-11 52.53 -1.91 -1.59 -3.81 -4.55 -1.23 -1.23 -1.91
8-Aug-11 47.88 4.82 0.53 4.96 5.89 7.45 4.82 7.45
5-Aug-11 50.95 -6.02 -1.49 -5.52 -1.36 -0.48 -0.48 -6.02
24-May-11 53.42 0.39 1.01 1.52 3.16 0.92 0.39 0.92
7-May-10 42.48 5.20 5.09 7.07 5.37 3.35 5.20 3.35
6-May-10 43.56 -2.49 2.58 2.47 4.40 2.75 2.58 -2.49
29-Jan-10 39.98 1.10 2.01 2.57 -0.40 0.44 1.10 -0.40
26-Jan-10 41.44 0.79 -1.80 -3.52 -2.46 -1.58 0.79 -1.80
25-Jan-10 41.40 0.09 0.88 -1.72 -3.43 -2.37 0.09 -1.72

highlighted in the red were the loss making trades !!

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when $SPY closes at a quarterly low on a monday

when $SPY closes at a quarterly low on a monday

when $SPY closes at the lowest in a quarter on a Monday

with $SPY closing at a quarterly close , as on 8 Feb 2016 , below trading strategy rule

1) $SPY closes at the lowest close in last 62 trading days (i.e : quarterly lowest close) &

2) current trading day is monday ( this monday panic buy strategy is inspired by the bullet no 4) from the article ->  22 Things a Man Should Know About Trading, from Victor Niederhoffer )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes at the lowest in a quarter on a monday , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 40 26 65.0 1.17 0.90 2.52 -1.33 1.90 -4.48 2.61 2.66
t+2% 40 27 67.5 1.38 1.47 2.82 -1.63 1.73 -6.89 2.88 2.96
t+3% 40 29 72.5 1.60 2.07 3.30 -2.87 1.15 -13.39 2.57 2.41
t+4% 40 31 77.5 1.80 1.78 3.36 -3.57 0.94 -15.49 2.87 2.47
t+5% 40 28 70.0 2.34 1.57 4.34 -2.34 1.85 -5.98 3.93 3.29
t+10% 40 31 77.5 2.63 1.29 4.72 -4.55 1.04 -9.01 3.25 2.85
t+20% 40 29 72.5 3.86 4.62 7.65 -6.15 1.24 -24.63 2.70 2.92
1st +’ve in 5 days 40 37 92.5 1.92 1.62 2.29 -2.53 0.90 -3.22 9.21 4.92
1st -‘ve in 5 days 40 24 60.0 -1.36 -0.36 -1.20 5.19 0.23 15.68 0.33 -2.07

37/40 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 192 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $SPY forward 1/2/3/4/5 trading returns , when $SPY closes at the lowest in a quarter in a monday

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
08-Feb-16 185.42 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 187.40 -1.18 2.62 5.16 5.16 4.31 2.62 -1.18
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15 -0.52
04-Jun-12 118.57 0.76 3.02 3.08 3.90 2.58 0.76 2.58
03-Oct-11 100.67 2.19 4.08 5.97 5.26 8.78 2.19 8.78
08-Aug-11 102.27 4.65 0.03 4.52 5.22 7.45 4.65 7.45
07-Jun-10 93.77 1.07 0.53 3.47 3.97 3.81 1.07 3.81
08-Feb-10 93.74 1.26 1.06 2.12 2.03 3.64 1.26 3.64
09-Mar-09 58.93 5.96 6.65 10.85 11.72 11.38 5.96 11.38
02-Mar-09 61.08 -0.75 1.60 -2.55 -2.38 -3.53 1.60 -0.75
23-Feb-09 64.59 3.79 2.97 1.30 -0.96 -5.43 3.79 -0.96
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69 15.68
06-Oct-08 89.87 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 -4.48
29-Sep-08 95.59 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
15-Sep-08 102.47 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
14-Jul-08 104.72 -1.41 1.01 2.02 2.66 2.71 1.01 -1.41
07-Jul-08 106.68 1.78 -0.18 0.22 -0.94 -1.84 1.78 -0.18
10-Mar-08 108.14 3.59 2.63 2.85 1.26 0.23 3.59 0.23
26-Nov-07 118.46 1.15 4.38 4.42 5.47 4.77 1.15 4.77
05-Mar-07 113.94 1.71 1.61 2.47 2.50 2.65 1.71 2.65
12-Jun-06 101.39 -1.16 -0.40 1.72 0.98 0.18 1.72 -1.16
22-May-06 103.14 -0.76 0.03 1.27 1.78 -0.02 0.03 -0.76
10-Oct-05 96.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 -0.14
10-May-04 85.77 0.85 1.49 1.07 1.11 0.25 0.85 0.25
10-Mar-03 62.84 -0.98 -0.32 3.12 3.46 6.71 3.12 -0.98
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57 -1.30
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07 -2.74
01-Jul-02 74.28 -2.12 -1.57 2.35 1.07 -1.47 2.35 -2.12
03-Jun-02 79.62 0.25 1.19 -0.87 -0.99 -0.60 0.25 -0.87
06-May-02 80.46 -0.35 3.36 2.16 0.24 2.28 3.36 -0.35
29-Apr-02 81.52 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
04-Feb-02 83.56 -0.62 -1.05 -1.67 0.22 1.45 0.22 -0.62
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
12-Mar-01 88.69 1.64 -0.36 -0.34 -2.34 -0.35 1.64 -0.36
09-Oct-00 104.83 -1.65 -2.48 -4.91 -1.74 -1.29 -1.29 -1.65
31-Aug-98 70.11 4.23 3.48 2.67 1.82 7.29 4.23 7.29
15-Jun-98 78.28 1.54 3.66 3.20 2.68 3.18 1.54 3.18
27-Oct-97 63.04 5.77 5.48 3.15 5.59 7.81 5.77 7.81
15-Jul-96 44.34 0.25 1.45 2.84 2.09 1.35 0.25 1.35
04-Apr-94 29.47 2.06 2.06 2.56 1.78 2.21 2.06 2.21

highlighted in the red were the loss making trades !!

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check out the new look of the paststat

a bullish turnaround tuesday pattern on $SPY

a bullish turnaround tuesday pattern on $SPY

bullish turnaround Tuesday trading strategy , on  $SPY , since 2011

with losing -1.86% which is a 149.8% standard deviations ( measured on 50 trading days , including that of current trading day , as on 2nd Feb 2016 , the 50 days standard deviation moves stands at 1.2% ) down move , below trading strategy

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011 ( i.e last 5 years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 31 21 67.7 0.39 0.38 0.92 -0.70 1.30 -1.85 2.35 2.06
t+2% 31 21 67.7 0.85 0.48 1.72 -0.73 2.37 -4.17 3.82 2.54
t+3% 31 22 71.0 0.75 0.41 1.45 -0.97 1.49 -4.31 3.01 2.23
t+4% 31 24 77.4 0.72 0.82 1.54 -2.07 0.74 -10.54 2.53 1.58
t+5% 31 26 83.9 0.90 1.00 1.51 -2.26 0.67 -6.38 3.61 2.58
t+10% 31 22 71.0 0.92 1.24 2.52 -3.00 0.84 -10.25 1.77 1.58
t+20% 31 21 67.7 1.06 1.82 2.86 -2.73 1.05 -6.65 2.06 1.91
1st +’ve in 5 days 31 31 100.0 0.85 0.70 0.88 0.00 INF 0.00 NA 6.28
1st -‘ve in 5 days 31 16 51.6 -0.50 -0.10 -0.86 1.95 0.44 4.82 0.34 -1.55

31/31 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 85 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $SPY losing more than 1x stdev(50) , on a tuesday , and next 1/2/3/4/5 trading day returns , since 2011 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
2-Feb-16 190.16 ?? ?? ?? ?? ?? ?? ??
1-Sep-15 189.65 1.90 1.97 0.43 2.95 1.57 1.90 1.57
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84 2.40
11-Aug-15 206.35 0.12 0.00 0.36 0.92 0.63 0.12 0.63
26-May-15 207.36 0.95 0.84 0.21 0.41 0.31 0.95 0.31
5-May-15 205.59 -0.41 -0.01 1.30 0.82 0.52 1.30 -0.41
31-Mar-15 203.16 -0.35 0.00 0.68 0.41 0.75 0.00 -0.35
10-Mar-15 200.84 -0.23 1.03 0.41 1.76 1.45 1.03 -0.23
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
6-Jan-15 195.78 1.25 3.04 2.22 1.42 1.13 1.25 1.13
7-Oct-14 188.31 1.75 -0.27 -1.41 -3.03 -2.88 1.75 -0.27
23-Sep-14 192.94 0.78 -0.84 -0.06 -0.24 -0.50 0.78 -0.84
9-Sep-14 193.31 0.38 0.49 -0.10 -0.17 0.58 0.38 -0.10
5-Aug-14 186.22 0.03 -0.51 0.64 0.93 0.79 0.03 -0.51
8-Jul-14 190.33 0.45 0.05 0.19 0.69 0.50 0.45 0.50
24-Jun-14 188.83 0.45 0.38 0.58 0.52 1.20 0.45 1.20
6-May-14 180.29 0.59 0.48 0.63 1.61 1.70 0.59 1.70
15-Oct-13 162.20 1.40 2.07 2.76 2.77 3.36 1.40 3.36
8-Oct-13 158.17 0.07 2.23 2.89 3.30 2.55 0.07 2.55
27-Aug-13 155.36 0.36 0.51 0.20 0.65 1.48 0.36 1.48
11-Jun-13 154.32 -0.83 0.68 0.05 0.82 1.62 0.68 -0.83
23-Oct-12 132.28 -0.28 0.01 -0.05 -0.05 1.00 0.01 -0.28
9-Oct-12 134.88 -0.64 -0.58 -0.91 -0.08 0.93 0.93 -0.64
25-Sep-12 134.78 -0.56 0.37 -0.09 0.17 0.28 0.37 -0.56
10-Apr-12 125.79 0.81 2.13 0.91 0.85 2.34 0.81 2.34
6-Mar-12 124.18 0.70 1.70 2.09 2.10 3.94 0.70 3.94
1-Nov-11 111.72 1.63 3.48 2.85 3.49 4.82 1.63 4.82
25-Oct-11 112.68 1.02 4.53 4.51 1.99 -0.85 1.02 -0.85
2-Aug-11 114.32 0.54 -4.17 -4.31 -10.54 -6.38 0.54 -4.17
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
1-Mar-11 118.18 0.21 1.94 1.18 0.38 1.26 0.21 1.26
22-Feb-11 118.99 -0.61 -0.68 0.38 1.00 -0.68 0.38 -0.61

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There is something about an NR4’s in February on $SPY

There is something about an NR4’s in February on $SPY

when $SPY posts an NR4 in Feb , since 2012

with $SPY posting a narrowest range in four trading days ( NR-4 bar ) as on 29th 1st Feb 2016 ,  below trading strategy 

1) $SPY posts a NR4 bar

2) and current trading month is February

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since 2012 ( i.e last 4 years ) , when $SPY posts an NR4 bar in Feb , 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 13 68.4 0.30 0.17 0.56 -0.26 2.20 -0.66 3.51 2.47
t+2 19 16 84.2 0.44 0.46 0.59 -0.36 1.63 -0.72 6.72 3.89
t+3 19 17 89.5 0.55 0.33 0.64 -0.20 3.26 -0.20 17.63 3.54
t+4 19 15 78.9 0.79 0.57 1.03 -0.13 7.94 -0.26 19.85 4.21
t+5 19 18 94.7 0.96 0.71 1.10 -1.50 0.73 -1.50 8.90 4.54
t+10 19 14 73.7 1.06 1.50 1.95 -1.42 1.37 -2.29 3.15 2.59
t+20 19 16 84.2 1.78 2.40 2.28 -0.87 2.63 -1.90 9.05 4.66
1st +’ve in 5 days 19 19 100.0 0.51 0.36 0.51 INF INF 0.04 NA 5.91
1st -‘ve in 5 days 19 10 52.6 -0.61 -0.02 -0.24 1.56 0.15 2.68 0.14 -2.57

18/19 times  $SPY closed higher than the current close after five trading days with an average gain of 96 basis points 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

ps: from 2000 to 2011 this was a horrible strategy to go long … talk about how quickly the regimes change ??

below the historical instances of $SPY posting an NR4 in Feb and next 1/2/3/4/5 trading day returns , since 2012

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
1-Feb-16 193.65 ?? ?? ?? ?? ?? ?? ??
27-Feb-15 206.40 0.63 0.22 -0.20 -0.09 -1.50 0.63 -0.20
23-Feb-15 206.94 0.28 0.20 0.08 -0.26 0.37 0.28 -0.26
18-Feb-15 205.88 -0.07 0.53 0.51 0.80 0.71 0.53 -0.07
13-Feb-15 205.54 0.16 0.17 0.10 0.70 0.68 0.16 0.68
9-Feb-15 200.49 1.07 1.12 2.10 2.52 2.68 1.07 2.68
5-Feb-15 201.95 -0.28 -0.72 0.33 0.39 1.36 0.33 -0.28
4-Feb-15 199.93 1.01 0.73 0.28 1.35 1.41 1.01 1.41
3-Feb-15 200.70 -0.38 0.62 0.35 -0.10 0.96 0.62 -0.38
18-Feb-14 177.06 -0.66 -0.08 -0.19 0.36 0.33 0.36 -0.66
10-Feb-14 172.99 1.09 1.14 1.67 2.23 2.35 1.09 2.35
28-Feb-13 142.81 0.33 0.86 1.77 1.91 2.09 0.33 2.09
11-Feb-13 142.96 0.16 0.25 0.34 0.22 0.98 0.16 0.98
8-Feb-13 142.99 -0.02 0.14 0.23 0.32 0.20 0.14 -0.02
6-Feb-13 142.39 -0.13 0.42 0.40 0.57 0.65 0.42 -0.13
24-Feb-12 126.19 0.17 0.46 0.07 0.58 0.28 0.17 0.28
17-Feb-12 125.71 0.04 -0.28 0.16 0.38 0.55 0.04 -0.28
10-Feb-12 123.82 0.74 0.62 0.15 1.26 1.53 0.74 1.53
6-Feb-12 123.90 0.25 0.55 0.68 -0.07 0.68 0.25 -0.07
2-Feb-12 122.27 1.40 1.33 1.59 1.89 2.02 1.40 2.02

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When $SPY posts a best one day gain in a quarter

When $SPY posts a best one day gain in a quarter 

when $SPY posts , best one day gain in a quarter , since 2011

with $SPY posting a gain of 2.44% on 29th Jan 2016 , which is the best one day gain in percentages in a quarter ( about 62 trading days ) , below trading strategy 

1) $SPY posts best one day gain in a quarter 

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since 2011 ( i.e last 5 years ) , when $SPY posts best one day in a quarter ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 21 6 28.6 -0.47 -0.23 0.70 -0.94 0.74 -4.42 0.13
t+2 21 12 57.1 -0.06 0.14 0.73 -1.12 0.66 -3.10 0.57
t+3 21 12 57.1 -0.11 0.47 0.91 -1.48 0.62 -4.69 0.61
t+4 21 10 47.6 -0.09 -0.35 1.12 -1.19 0.94 -4.55 0.60
t+5 21 14 66.7 -0.14 0.12 0.97 -2.37 0.41 -5.19 0.64
t+10 20 8 40.0 -0.92 -1.14 2.47 -3.17 0.78 -10.01 0.38
t+20 20 12 60.0 0.60 2.15 3.21 -3.33 0.96 -9.90 1.11
1st +’ve in 5 days 21 18 85.7 -0.06 0.25 0.57 -3.84 0.15 -5.19 0.57
1st -‘ve in 5 days 21 18 85.7 0.54 -0.60 -0.91 1.68 0.54 2.39 2.28

18/21 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 54 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $SPY posting best one day gain in a quarter and next 1/2/3/4/5 trading day returns , since 2011

Date $SPY t% t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
29-Jan-16 193.72 2.44 ?? ?? ?? ?? ?? ?? ??
22-Jan-16 190.52 2.05 -1.51 -0.17 -1.25 -0.74 1.68 1.68 -1.51
4-Dec-15 208.38 1.95 -0.61 -1.27 -2.04 -1.79 -3.69 -3.69 -0.61
26-Aug-15 192.31 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38
10-Aug-15 208.24 1.26 -0.91 -0.78 -0.91 -0.55 0.01 0.01 -0.91
18-Dec-14 201.49 2.47 0.43 0.89 1.02 1.03 1.36 0.43 1.36
21-Oct-14 189.10 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71
8-Oct-14 191.61 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98
8-Aug-14 187.42 1.16 0.29 0.15 0.83 1.30 1.28 0.29 1.28
18-Jul-14 191.75 1.02 -0.19 0.25 0.47 0.48 0.01 0.25 -0.19
10-Oct-13 161.70 2.16 0.64 1.05 0.31 1.71 2.39 0.64 2.39
13-Jun-13 155.37 1.52 -0.63 0.14 0.93 -0.46 -2.93 0.14 -0.63
16-Apr-13 148.94 1.48 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
2-Jan-13 137.59 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23
29-Jun-12 126.62 2.49 0.30 0.96 0.51 -0.45 -0.57 0.30 -0.45
6-Jun-12 122.15 2.25 0.06 0.86 -0.42 0.72 0.08 0.06 -0.42
30-Nov-11 114.46 4.11 -0.02 -0.10 0.98 1.02 1.39 0.98 -0.02
9-Aug-11 107.03 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42
19-Jul-11 120.92 1.62 -0.06 1.33 1.39 0.83 0.45 1.33 -0.06
1-Jul-11 122.00 1.48 -0.08 0.04 1.08 0.36 -1.46 0.04 -0.08
21-Jun-11 117.93 1.37 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
3-Mar-11 120.47 1.72 -0.75 -1.53 -0.67 -0.81 -2.64 -2.64 -0.75

highlighted in the green were the loss making trades, for someone who shorted based on the above pattern  !!

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a Jan month end window dressing pattern on $SPY

a Jan month end window dressing pattern on $SPY

$SPY from 17th trading day of Jan , since 1994

below the trading odds for $SPY from the 17th trading day of Jan , for the next 1/2/3/4/5/10/20 trading days , since 1994 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 22 12 54.5 0.27 0.14 0.91 -0.50 1.84 -1.28 1.25 1.25
t+2% 22 13 59.1 -0.02 0.22 0.92 -1.37 0.67 -3.51 0.58 -0.05
t+3% 22 12 54.5 0.10 0.09 1.02 -1.00 1.03 -2.01 0.82 0.43
t+4% 22 17 77.3 0.82 0.77 1.30 -0.81 1.61 -2.31 3.67 3.03
t+5% 22 16 72.7 1.03 0.85 1.72 -0.84 2.06 -2.16 3.05 3.00
t+10% 22 15 68.2 0.73 0.68 1.96 -1.92 1.02 -3.05 1.81 1.48
t+20% 22 15 68.2 1.02 1.29 3.23 -3.73 0.87 -9.06 1.53 1.13
1st +’ve in 5 days 22 21 95.5 0.68 0.48 0.74 -0.78 0.95 -0.78 17.77 4.03
1st -‘ve in 5 days 22 16 72.7 -0.09 -0.32 -0.81 2.50 0.32 4.92 0.84 -0.24

21/22 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 68 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical returns of $SPY from 17th trading day of Jan and the next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
27-Jan-16 188.13 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
27-Jan-14 171.07 0.60 -0.37 0.69 0.10 -2.16 0.60 -0.37
25-Jan-13 141.53 -0.12 0.27 -0.12 -0.37 0.66 0.27 -0.12
26-Jan-12 121.53 -0.05 -0.39 -0.42 0.45 0.61 0.45 -0.05
26-Jan-11 117.04 0.25 -1.50 -0.76 0.83 0.63 0.25 -1.50
27-Jan-10 97.23 -1.15 -2.22 -0.70 0.50 0.00 0.50 -1.15
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
25-Jan-08 112.4 1.65 2.16 1.41 3.25 4.92 1.65 4.92
26-Jan-07 117.91 -0.06 0.46 1.14 1.74 1.89 0.46 -0.06
26-Jan-06 103.73 0.93 0.85 0.11 0.81 -0.36 0.93 -0.36
26-Jan-05 93.83 0.17 0.17 0.79 1.43 1.74 0.17 1.74
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
25-Jan-02 86.38 0.27 -2.88 -1.48 -0.33 -0.79 0.27 -2.88
25-Jan-01 102.17 -0.11 0.42 1.30 0.73 1.40 0.42 -0.11
26-Jan-00 104.66 -0.40 -3.51 -0.89 0.09 0.18 0.09 -0.40
27-Jan-99 91.62 1.68 2.46 1.86 1.23 2.26 1.68 2.26
27-Jan-98 70.3 0.90 1.45 1.52 3.19 3.97 0.90 3.97
24-Jan-97 54.87 -0.29 0.00 0.98 2.28 2.16 0.98 -0.29
24-Jan-96 43.4 -0.35 0.50 0.91 1.77 2.83 0.50 -0.35
25-Jan-95 32.12 0.10 0.50 0.07 0.47 0.43 0.10 0.43
25-Jan-94 31.49 0.26 1.19 1.46 2.19 1.66 0.26 1.66

highlighted in the red were the loss making trades !!

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When $SPY down by more than 1% on a Fed Day

When $SPY down by more than 1% on a Fed Day

when $SPY lost  by more than 1% on a Fed day , since Y2K

with $SPY down by -1.09% on a fed day , below trading strategy rules

1) $SPY lost by more than 1%

2) and current trading day is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY lost by more than 1% on the Fed Day .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 9 56.3 -0.40 0.10 1.44 -2.77 0.52 -6.98 0.46 -0.62
t+2% 16 8 50.0 -0.48 -0.12 1.80 -2.76 0.65 -9.24 0.37 -0.60
t+3% 16 11 68.8 0.43 0.44 1.51 -1.96 0.77 -5.36 1.08 0.72
t+4% 16 11 68.8 0.79 1.20 2.22 -2.34 0.95 -6.38 1.58 1.11
t+5% 16 10 62.5 0.75 1.05 2.74 -2.57 1.07 -7.68 1.41 0.93
t+10% 16 10 62.5 0.50 1.55 2.52 -2.88 0.88 -7.05 1.33 0.64
t+20% 16 12 75.0 1.92 2.90 4.20 -4.95 0.85 -11.82 2.18 1.56
1st +’ve in 5 days 16 14 87.5 0.96 0.96 1.43 -2.30 0.62 -3.09 3.18 2.29
1st -‘ve in 5 days 16 12 75.0 0.54 -0.48 -1.80 3.26 0.55 6.09 1.51 0.74

14/16 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 96 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $SPY losing more than 1% , on the Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
27-Jan-16 188.13 ?? ?? ?? ?? ?? ?? ??
28-Jan-15 196.09 0.92 -0.34 0.89 2.35 1.96 0.92 -0.34
19-Jun-13 154.65 -2.48 -2.16 -3.40 -2.47 -1.51 -1.51 -2.48
21-Sep-11 106.80 -3.23 -2.65 -0.33 0.78 -1.28 0.78 -3.23
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
8-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94 -6.98
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40 3.97
11-Dec-07 124.30 0.99 0.78 -0.50 -1.92 -1.37 0.99 -0.50
22-Mar-05 93.93 0.09 0.21 0.35 -0.32 1.09 0.09 -0.32
28-Jan-04 89.03 0.10 0.10 0.53 0.36 -0.46 0.10 -0.46
25-Jun-03 75.94 1.30 0.13 0.10 1.03 2.30 1.30 2.30
24-Sep-02 63.29 2.48 4.16 0.53 -0.63 4.14 2.48 -0.63
13-Aug-02 68.11 3.65 5.09 4.78 7.23 6.09 3.65 6.09
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
21-Aug-01 87.47 1.04 0.67 2.76 2.15 0.66 1.04 0.66
20-Mar-01 86.00 -1.70 -2.70 0.25 1.52 3.60 0.25 -1.70
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71 -2.90

highlighted in the red were the loss making trades !!

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check out the new look of the paststat

When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

with $SPY rising by 1.36% , as on 26 Jan 2016 , ahead of fed meeting , below

trading strategy rules

1) $SPY gains by more than 1%

2) and tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY rises by more than 1% ahead of Fed Meeting .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 18 10 55.6 0.54 0.45 1.62 -0.81 2.00 -2.68 2.03 1.42
t+2% 18 11 61.1 0.22 0.26 1.46 -1.75 0.84 -4.87 0.91 0.40
t+3% 18 7 38.9 -0.44 -0.87 2.01 -2.01 1.00 -5.31 0.46 -0.79
t+4% 18 9 50.0 0.22 -0.41 2.37 -1.93 1.23 -3.19 0.83 0.37
t+5% 18 10 55.6 0.26 0.04 1.71 -1.56 1.10 -3.59 0.79 0.45
t+10% 18 8 44.4 0.24 -0.36 3.17 -2.11 1.50 -4.26 1.15 0.34
t+20% 18 12 66.7 0.13 1.61 3.35 -6.30 0.53 -10.54 0.61 0.10
1st +’ve in 5 days 18 16 88.9 1.07 0.64 1.29 -0.74 1.74 -1.20 12.77 3.56
1st -‘ve in 5 days 18 14 77.8 0.45 -0.18 -0.83 0.87 0.96 1.95 2.79 1.77

16/18 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 107 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $SPY rising by more 1% , ahead of Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
28-Jul-15 207.02 0.69 0.71 0.56 0.22 0.02 0.69 0.02
28-Oct-14 193.33 -0.15 0.49 1.64 1.69 1.34 0.49 -0.15
21-Jun-11 117.93 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
20-Sep-10 102.55 -0.20 -0.69 -1.50 0.53 0.05 0.53 -0.20
17-Mar-09 67.64 2.24 0.97 -1.18 5.92 3.83 2.24 -1.18
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
28-Oct-08 80.47 -0.73 2.71 3.27 3.57 7.09 2.71 -0.73
6-Aug-07 122.30 1.07 2.48 -0.56 -1.03 -0.67 1.07 -0.56
27-Jun-07 125.80 -0.01 0.02 0.92 1.29 1.18 0.02 -0.01
3-May-04 88.38 -0.08 0.56 -0.30 -1.95 -2.96 0.56 -0.08
17-Mar-03 67.06 0.59 1.36 1.58 3.75 0.30 0.59 0.30
5-Nov-01 83.90 1.55 1.42 1.73 1.84 1.22 1.55 1.22
*10-Sep-01 83.11 -5.22 -5.45 -7.36 -10.30 -11.27 -11.27 -5.22
17-Apr-01 89.81 3.97 5.36 4.39 2.50 1.95 3.97 1.95
19-Mar-01 88.38 -2.68 -4.34 -5.31 -2.45 -1.20 -1.20 -2.68
18-Dec-00 99.68 -2.04 -4.87 -4.21 -1.34 -0.28 -0.28 -2.04
14-Nov-00 104.17 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

*10-Sep-01 : excluded from above calculations .

highlighted in the red were the loss making trades !! 

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check out the new look of the paststat

$SPY on Jan Fed meetings

$SPY on Jan Fed meetings

Yellen_data_dependent_cartoon_11.18.2015_normal

below $SPY trading odds from the the prior day to January Fed meeting , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 8 50.0 0.37 0.00 1.60 -0.85 1.87 -1.28 0.76 0.91
t+2% 16 10 62.5 0.42 0.09 1.12 -0.74 1.52 -1.63 1.81 1.29
t+3% 16 8 50.0 -0.11 -0.12 1.21 -1.43 0.85 -2.18 0.56 -0.29
t+4% 16 5 31.3 -0.37 -0.39 1.03 -1.00 1.02 -2.74 0.29 -1.23
t+5% 16 7 43.8 -0.11 -0.32 1.17 -1.10 1.06 -2.06 0.66 -0.34
t+10% 16 10 62.5 0.45 0.82 1.99 -2.11 0.94 -4.02 1.74 0.78
t+20% 16 11 68.8 0.20 1.31 2.44 -4.72 0.52 -10.05 1.26 0.19
1st +’ve in 5 days% 16 14 87.5 0.91 0.72 1.20 -1.11 1.09 -1.43 5.66 2.57
1st -‘ve in 5 days% 16 14 87.5 0.65 -0.74 -0.91 1.14 0.80 1.47 0.05 3.15

14/16 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 91 basis points at the 1st positive close within in the next five trading days.

also tricky to note is

14/16 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 65 basis points at the 1st negative close within in the next five trading days.

whats your pick ?? :)

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical returns of $SPY from the day before Jan Fed meeting , and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
28-Jan-14 172.09 -0.96 0.09 -0.50 -2.74 -2.06 0.09 -0.96
29-Jan-13 141.92 -0.39 -0.64 0.38 -0.74 0.26 0.38 -0.39
24-Jan-12 121.15 0.84 0.32 0.27 -0.07 -0.11 0.84 -0.07
25-Jan-11 116.59 0.39 0.63 -1.12 -0.38 1.22 0.39 -1.12
26-Jan-10 96.76 0.48 -0.68 -1.76 -0.23 0.98 0.48 -0.68
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
29-Jan-08 114.83 -0.74 1.07 2.70 1.41 -1.31 1.07 -0.74
18-Jan-08 111.57 -1.01 1.36 2.22 0.74 2.41 1.36 -1.01
30-Jan-07 118.45 0.67 1.27 1.41 1.44 1.47 0.67 1.47
30-Jan-06 104.61 -0.73 -0.04 -1.20 -1.69 -1.43 -1.43 -0.73
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
28-Jan-03 66.32 0.76 -1.63 0.27 0.47 -0.52 0.76 -1.63
29-Jan-02 83.89 1.44 2.63 2.15 -0.39 -1.01 1.44 -0.39
30-Jan-01 103.50 -0.57 0.09 -2.18 -1.46 -1.75 0.09 -0.57
2-Jan-01 96.75 4.80 3.68 0.29 1.07 0.80 4.80 0.80

highlighted in the red were the loss making long trades

highlighted in the green were the loss making short trades !! 

you might want to consider subscribing to our daily quant rants email  !!

check out the new look of the paststat