when $SPY posts consecutive unfilled gap downs in row , what next ?

$SPY posts 2 unfilled gap downs in row ?

when $SPY posts , 2 or more unfilled gap dowsn in row , & cls > 200-DMA , since Y2K

with $SPY posting 2 unfilled gap downs in row ,as on 4th May 2016 close , below trading strategy rules

1)  $SPY posting 2 unfilled gap downs in row , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 59 37 62.7 0.29 0.29 0.99 -0.89 1.12 -4.21 1.42 1.60
t+2% 59 29 49.2 0.13 -0.01 1.20 -0.91 1.32 -5.34 1.10 0.67
t+3% 59 30 50.8 -0.04 0.01 1.28 -1.40 0.91 -3.47 0.82 -0.16
t+4% 59 34 57.6 0.20 0.27 1.75 -1.89 0.92 -4.82 1.07 0.68
t+5% 59 39 66.1 0.52 0.67 1.74 -1.85 0.94 -5.86 1.59 1.74
t+10% 59 37 62.7 0.73 1.11 2.55 -2.34 1.09 -7.88 1.61 1.92
t+20% 59 44 74.6 1.83 2.43 3.39 -2.76 1.23 -5.95 2.89 4.12
1st +’ve in 5 days 59 54 91.5 0.63 0.55 0.89 -2.20 0.40 -5.86 3.08 3.35
1st -‘ve in 5 days 59 40 67.8 -0.10 -0.23 -0.80 2.01 0.40 6.10 0.67 -0.49

54/59 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 63 bps

the disastrous loss of 586 bps , occurred during the start of this year , from 31st Dec 2015

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

2)  $SPY posting 2 unfilled gap downs in row , during bull markets , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row
  • b) $SPY close is above 200-DMA

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row , and $SPY close is above 200-DMA

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 29 21 72.4 0.24 0.35 0.60 -0.72 0.83 -1.85 2.42 1.66
t+2% 29 17 58.6 0.20 0.10 0.70 -0.50 1.38 -1.70 2.08 1.41
t+3% 29 19 65.5 0.08 0.24 0.72 -1.14 0.63 -2.75 1.11 0.38
t+4% 29 20 69.0 0.33 0.53 1.06 -1.30 0.82 -3.35 1.65 1.31
t+5% 29 22 75.9 0.84 1.00 1.43 -1.05 1.37 -3.63 4.23 3.08
t+10% 29 21 72.4 1.45 1.74 2.41 -1.04 2.30 -4.32 6.33 3.94
t+20% 29 25 86.2 2.59 2.71 3.33 -2.03 1.64 -4.49 8.52 5.60
1st +’ve in 5 days 29 29 100.0 0.57 0.51 0.57 INF INF 0.03 NA 7.02
1st -‘ve in 5 days 29 16 55.2 -0.44 -0.01 -0.50 1.59 0.31 3.94 0.28 -1.85

29/29 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 57 bps

below the prior instances of $SPY posting 2 or mroe unfilled gap downs in row , while close is above 200-DMA , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% 1st -‘ve cls in 5 days% days for 1st +’ve cls
04-May-16 205.01 ?? ?? ?? ?? ?? ?? ?? ??
24-Mar-16 203.12 0.06 0.98 1.43 1.18 1.87 0.06 1.87 1
27-Oct-15 204.32 1.14 1.08 0.64 1.83 2.13 1.14 2.13 1
15-Jun-15 204.73 0.55 0.71 1.76 1.31 1.83 0.55 1.83 1
29-May-15 206.73 0.20 0.10 0.37 -0.48 -0.65 0.20 -0.48 1
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20 1
01-Apr-15 201.40 0.36 1.04 0.77 1.11 1.56 0.36 1.56 1
10-Dec-14 196.94 0.51 -1.12 -1.80 -2.58 -0.67 0.51 -1.12 1
08-Jul-14 189.35 0.45 0.05 0.19 0.69 0.50 0.45 0.50 1
12-Jun-14 185.85 0.30 0.39 0.67 1.41 1.52 0.30 1.52 1
15-May-14 179.96 0.35 0.72 0.08 0.92 1.17 0.35 1.17 1
24-Jan-14 171.03 -0.49 0.10 -0.86 0.19 -0.40 0.10 -0.49 2
03-Oct-13 159.39 0.76 -0.11 -1.28 -1.21 0.92 0.76 -0.11 1
30-Sep-13 159.76 0.79 0.70 -0.23 0.52 -0.35 0.79 -0.23 1
24-May-13 155.61 0.60 -0.05 0.31 -1.13 -0.58 0.60 -0.05 1
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 1.48 -0.01 1
08-Jan-13 136.40 0.25 1.05 1.04 0.98 1.04 0.25 1.04 1
24-Dec-12 133.40 -0.42 -0.55 -1.63 0.04 2.61 0.04 -0.42 4
23-Jul-12 125.04 -0.86 -0.84 0.80 2.66 2.66 0.80 -0.86 3
06-Mar-12 123.54 0.70 1.70 2.09 2.10 3.94 0.70 3.94 1
06-Jun-11 116.38 -0.06 -0.48 0.28 -1.12 -1.04 0.28 -0.06 3
15-Mar-11 115.44 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85 4
23-Nov-10 105.81 1.48 0.30 0.60 0.03 2.16 1.48 2.16 1
12-Nov-10 107.37 -0.14 -1.70 -1.65 -0.20 0.07 0.07 -0.14 5
06-Aug-10 99.86 0.53 -0.01 -2.75 -3.35 -3.63 0.53 -0.01 1
06-Jun-07 125.81 -1.80 -0.53 -0.36 -1.44 0.03 0.03 -1.80 5
28-Mar-07 117.51 0.11 0.13 0.24 1.32 1.43 0.11 1.43 1
01-Aug-06 103.96 0.68 0.94 0.77 0.53 0.15 0.68 0.15 1
22-Mar-04 85.97 -0.17 -0.09 1.23 1.26 2.68 1.23 -0.17 3
10-Sep-03 78.98 0.29 0.48 0.13 1.59 1.39 0.29 1.39 1

will it be 30 winning trades in row ??

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advMayDayance to comrades across the globe !!

$SPY from the last trading day of April 

may5below the trading odds for $SPY longs from the last trading day of April , to the next 1/2/3/4/5/10/20 trading days , since 1993 ( IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 17 73.9 0.55 0.56 0.87 -0.37 2.34 -0.88 4.88 3.51
t+2% 23 16 69.6 0.58 0.52 1.09 -0.58 1.89 -1.51 3.67 2.46
t+3% 23 15 65.2 0.49 0.35 1.40 -1.22 1.14 -2.99 1.50 1.45
t+4% 23 13 56.5 0.25 0.54 1.78 -1.74 1.03 -4.94 0.83 0.54
t+5% 23 12 52.2 -0.11 0.20 1.43 -1.80 0.80 -6.35 0.66 -0.26
t+10% 23 13 56.5 0.41 0.40 2.00 -1.65 1.21 -4.14 1.09 0.90
t+20% 23 15 65.2 0.62 1.71 2.73 -3.33 0.82 -7.95 1.05 0.88
1st +’ve in 5 days 23 22 95.7 0.80 0.80 0.91 -1.63 0.56 -1.63 7.88 5.06

22/23 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 80 bps

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

below the prior historical returns of $SPY returns from the last trading day of April since 1993 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
29-Apr-16 ~205.6 ?? ?? ?? ?? ?? ?? ??
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20
30-Apr-14 180.83 0.01 -0.13 0.06 -0.81 -0.23 0.01 -0.13
30-Apr-13 150.31 -0.88 0.04 1.06 1.32 1.83 0.04 -0.88
30-Apr-12 128.80 0.62 0.32 -0.44 -2.05 -1.98 0.62 -0.44
29-Apr-11 123.04 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
30-Apr-10 105.07 1.30 -1.09 -1.67 -4.94 -6.35 1.30 -1.09
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
30-Apr-08 116.79 2.07 2.35 1.86 2.74 0.91 2.07 0.91
30-Apr-07 122.87 0.26 0.84 1.39 1.77 1.79 0.26 1.79
28-Apr-06 106.96 -0.81 -0.07 -0.44 -0.08 0.80 0.80 -0.81
29-Apr-05 92.53 0.56 0.73 1.51 1.48 1.16 0.56 1.16
30-Apr-04 87.00 1.07 0.99 1.64 0.77 -0.90 1.07 -0.90
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
30-Apr-02 81.86 1.22 0.83 -0.26 -2.22 -2.56 1.22 -0.26
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
28-Apr-00 107.56 1.36 -0.67 -2.99 -2.26 -1.08 1.36 -0.67
30-Apr-99 97.72 1.83 0.38 1.17 0.55 1.31 1.83 1.31
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
30-Apr-97 57.18 -0.12 1.68 4.10 4.02 1.76 1.68 -0.12
30-Apr-96 45.80 0.22 -1.51 -1.65 -1.74 -2.15 0.22 -1.51
28-Apr-95 35.36 -0.27 -0.06 1.33 1.27 1.15 1.33 -0.27
29-Apr-94 30.11 0.62 0.52 0.35 0.21 -0.76 0.62 -0.76
30-Apr-93 28.65 0.64 0.99 1.28 0.92 0.71 0.64 0.71

highlighted in the red was the one huge loss making trade !!

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$SPY weakness on LBOTDOM is bullish

$SPY weakness on LBOTDOM is bullish

when $SPY posts , worst one day loss in 10 trading days , on the Last But One Trading Day Of Month , since Y2K

with $SPY the worst loss in 10 trading days ,and closing at the 10 day’s low on the Last But One Trading Day Of Month ( LBOTDOM)

below 2 trading strategies

1) $SPY closes at 10 day low on the LBOTDOM 

  • Current trading day is LBOTDOM &
  • $SPY closes at the 10 day lowest close

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY closes at the 10 day low ,on LBOTDOM

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 22 15 68.2 0.55 0.50 1.14 -0.70 1.62 -1.09 2.60 2.12
t+2% 22 19 86.4 1.17 1.08 1.62 -1.65 0.98 -2.46 5.79 3.32
t+3% 22 17 77.3 0.72 0.67 1.49 -1.89 0.79 -3.63 2.19 1.85
t+4% 22 14 63.6 0.85 0.76 2.20 -1.52 1.45 -3.11 2.10 1.80
t+5% 22 13 59.1 0.35 0.70 2.61 -2.92 0.90 -7.65 1.20 0.49
t+10% 22 12 54.5 -0.07 0.87 3.74 -4.65 0.81 -12.89 0.98 -0.06
t+20% 22 15 68.2 -0.16 1.53 3.38 -7.74 0.44 -24.63 0.90 -0.11
1st +’ve in 5 days 22 21 95.5 0.71 0.74 1.11 -7.65 0.15 -7.65 2.10 1.62
1st -‘ve in 5 days 22 13 59.1 -0.46 -0.54 -1.04 2.62 0.40 4.94 0.39 -1.04

21/22 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 71 bps

the disastrous loss of 765 bps , occurred during the Aug 2011 debt downgrade

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

below the prior historical returns of $SPY closing at 10 day low , on the LBOTDOM , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
28-Apr-16 207.45 ?? ?? ?? ?? ?? ?? ??
29-Jun-15 202.11 0.21 1.01 0.92 0.63 1.26 0.21 1.26
27-Sep-13 160.62 -0.53 0.25 0.16 -0.76 -0.01 0.25 -0.53
28-Dec-12 131.23 1.70 4.31 4.07 4.53 4.24 1.70 4.24
30-Aug-12 130.04 0.48 0.38 0.30 2.33 2.73 0.48 2.73
28-Jul-11 118.03 -0.68 -1.11 -3.63 -3.11 -7.65 -7.65 -0.68
28-Jan-11 114.69 0.75 2.36 2.17 2.40 2.69 0.75 2.69
29-Jun-10 92.59 -0.95 -1.39 -1.93 -1.29 1.82 1.82 -0.95
28-Jan-10 95.62 -1.09 0.45 1.67 1.16 -1.96 0.45 -1.09
29-Sep-08 95.10 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
27-Jun-08 108.26 0.35 0.67 -1.06 -0.96 -1.97 0.35 -1.06
27-Feb-07 115.13 1.03 0.72 -0.59 -1.54 0.14 1.03 -0.59
29-Dec-05 101.44 -0.54 1.21 1.69 1.75 2.60 1.21 -0.54
29-Apr-04 87.68 -0.78 0.29 0.21 0.85 -0.02 0.29 -0.78
30-Jan-03 64.91 1.93 2.13 1.13 0.50 0.02 1.93 0.02
30-May-02 81.21 0.21 -2.46 -2.21 -1.30 -3.31 0.21 -2.46
29-Apr-02 81.10 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
30-Oct-01 80.06 -0.34 2.21 2.91 4.26 5.88 2.21 -0.34
30-Aug-01 85.14 0.73 0.09 0.34 -2.25 -4.06 0.73 -2.25
30-May-01 93.88 0.52 1.14 1.63 2.79 1.94 0.52 1.94
28-Jul-00 105.59 0.64 1.25 1.76 2.46 3.01 0.64 3.01
29-Jun-00 107.14 0.76 2.15 0.30 1.08 2.71 0.76 2.71
28-Jan-00 100.47 2.71 3.73 3.82 5.38 4.94 2.71 4.94

highlighted in the red was the one huge loss making trade !!

2) $SPY posts worst one day loss on the LBOTDOM

  • Current trading is LBOTDOM
  • $SPY posts the worst one day loss in 10 trading days

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts an one day worst loss in 10 trading days, on LBOTDOM

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 20 14 70.0 0.55 0.58 1.16 -0.87 1.33 -2.23 2.26 1.83
t+2% 20 17 85.0 1.39 1.16 1.87 -1.30 1.43 -2.46 6.55 3.62
t+3% 20 15 75.0 1.02 0.77 1.74 -1.16 1.50 -2.83 3.32 2.35
t+4% 20 11 55.0 0.86 0.49 2.46 -1.09 2.25 -2.25 2.09 1.60
t+5% 20 15 75.0 0.73 1.24 2.11 -3.42 0.62 -5.98 1.70 1.10
t+10% 20 13 65.0 0.42 1.56 3.11 -4.58 0.68 -12.89 1.12 0.40
t+20% 20 14 70.0 0.80 1.75 4.07 -6.85 0.59 -24.63 1.13 0.50
1st +’ve in 5 days 20 19 95.0 0.94 0.77 1.21 -4.24 0.29 -4.24 3.90 2.60
1st -‘ve in 5 days 20 10 50.0 -0.94 0.48 -0.95 2.82 0.34 6.10 0.25 -1.84

19/20 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 71 bps

17/20 times , $SPY closed higher than current close , two trading days later at close , at an average of 139 bps

below the historical instances of $SPY posting worst one day loss in 10 trading days , on LBOTDOM , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
28-Apr-16 207.45 ?? ?? ?? ?? ?? ?? ??
29-Jun-15 202.11 0.21 1.01 0.92 0.63 1.26 0.21 1.26
26-Feb-15 206.04 -0.3 0.29 -0.1 -0.5 -0.4 0.29 -0.34
30-Oct-13 167.64 -0.3 -0.1 0.31 -0 0.5 0.31 -0.28
30-Jan-13 140.64 -0.3 0.78 -0.4 0.65 0.73 0.78 -0.25
28-Dec-12 131.23 1.7 4.31 4.07 4.53 4.24 1.7 4.24
28-Jan-11 114.69 0.75 2.36 2.17 2.4 2.69 0.75 2.69
30-Dec-10 112.89 0.02 1.06 1 1.53 1.33 0.02 1.33
29-Jun-10 92.59 -1 -1.4 -1.9 -1.3 1.82 1.82 -0.95
27-Nov-09 95.98 0.34 1.58 1.53 0.74 1.31 0.34 1.31
30-Mar-09 68.31 0.93 2.88 5.89 6.94 6.1 0.93 6.1
29-Sep-08 95.10 4.14 4.2 0.42 -0.9 -6 4.14 -0.93
28-Feb-08 115.04 -2.2 -2.5 -2.8 -2.2 -4.2 -4.24 -2.23
27-Feb-07 115.13 1.03 0.72 -0.6 -1.5 0.14 1.03 -0.59
30-Aug-04 86.98 0.52 0.71 1.85 1.44 2.11 0.52 2.11
27-Sep-02 63.31 -1.2 3.59 0.48 -0.5 -2.4 3.59 -1.16
30-Aug-01 85.14 0.73 0.09 0.34 -2.3 -4.1 0.73 -2.25
30-Aug-00 111.72 1.33 1.43 0.62 -0.5 0.33 1.33 -0.52
28-Jul-00 105.59 0.64 1.25 1.76 2.46 3.01 0.64 3.01
30-Mar-00 110.23 1.13 1.72 0.97 0.34 1.21 1.13 1.21
28-Jan-00 100.47 2.71 3.73 3.82 5.38 4.94 2.71 4.94

highlighted in the red was the one huge loss making trade !!

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check out the new look of the paststat

few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 bps

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 in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $SPY , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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second half of April $SPY bullish pattern

second half of April $SPY bullish pattern

when $SPY closes in red in the second half of April , since Y2K

with $SPY closing in red , with a loss of 54 bps , as on 21st Apr , below trading strategy rules

1) $SPY closes in red  &

2) current trading day is in the second half of April , ( i.e trading day of the month is greater than ore equal to 11 , or simply greater than 10 , which ever way you like it )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes in red in the second half of the April , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 68 46 67.6 0.37 0.37 0.91 -0.76 1.20 -2.37 2.19 2.91
t+2 68 45 66.2 0.55 0.75 1.28 -0.87 1.47 -2.35 2.86 3.75
t+3 68 48 70.6 0.64 0.83 1.42 -1.24 1.14 -2.99 2.60 3.48
t+4 68 48 70.6 0.62 0.99 1.68 -1.93 0.87 -4.94 2.00 2.51
t+5 67 47 70.1 0.72 0.83 1.80 -1.83 0.98 -6.35 2.24 2.66
t+10 67 42 62.7 0.58 1.01 2.42 -2.50 0.97 -5.71 1.52 1.55
t+20 67 41 61.2 0.62 1.21 3.42 -3.80 0.90 -11.24 1.30 1.16
1st +’ve in 5 days 68 63 92.6 0.62 0.53 0.82 -2.03 0.41 -3.73 5.79 4.64
1st -‘ve in 5 days 68 41 60.3 -0.38 -0.32 -0.77 2.12 0.36 5.84 0.53 -1.82

63/68 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 62 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 in red in the second half of Apr , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
21-Apr-16 208.97 ?? ?? ?? ?? ?? ?? ??
15-Apr-16 207.78 0.70 1.02 1.12 0.57 ?? 0.70 ??
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20
29-Apr-15 206.17 -1.00 0.07 0.36 -0.79 -1.20 0.07 -1.00
27-Apr-15 206.37 0.32 -0.09 -1.10 -0.02 0.26 0.32 -0.09
21-Apr-15 205.22 0.49 0.74 0.98 0.56 0.88 0.49 0.88
17-Apr-15 203.60 0.91 0.79 1.29 1.54 1.78 0.91 1.78
16-Apr-15 205.97 -1.15 -0.25 -0.37 0.12 0.38 0.12 -1.15
25-Apr-14 178.89 0.32 0.78 1.08 1.10 0.95 0.32 0.95
23-Apr-14 180.01 0.20 -0.62 -0.30 0.16 0.46 0.20 -0.62
26-Apr-13 148.95 0.67 0.91 0.03 0.95 1.98 0.67 1.98
18-Apr-13 145.09 0.87 1.32 2.36 2.43 2.84 0.87 2.84
17-Apr-13 146.01 -0.63 0.24 0.68 1.72 1.79 0.24 -0.63
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 1.48 -0.01
30-Apr-12 128.80 0.62 0.32 -0.44 -2.05 -1.98 0.62 -0.44
23-Apr-12 125.96 0.38 1.75 2.46 2.63 2.25 0.38 2.25
19-Apr-12 126.82 0.17 -0.68 -0.30 1.07 1.77 0.17 -0.68
18-Apr-12 127.64 -0.64 -0.48 -1.31 -0.94 0.42 0.42 -0.64
25-Apr-11 120.53 0.86 1.52 1.85 2.09 1.93 0.86 1.93
18-Apr-11 117.75 0.57 1.95 2.47 2.36 3.24 0.57 3.24
30-Apr-10 105.07 1.30 -1.09 -1.67 -4.94 -6.35 1.30 -1.09
27-Apr-10 104.77 0.76 2.01 0.28 1.58 -0.81 0.76 -0.81
26-Apr-10 107.31 -2.37 -1.62 -0.40 -2.09 -0.82 -0.82 -2.37
21-Apr-10 106.70 0.30 0.95 0.57 -1.81 -1.06 0.30 -1.81
16-Apr-10 105.55 0.38 1.27 1.09 1.39 2.05 0.38 2.05
28-Apr-09 74.18 2.13 2.16 2.71 6.21 5.84 2.13 5.84
27-Apr-09 74.42 -0.31 1.81 1.84 2.39 5.87 1.81 -0.31
22-Apr-09 73.29 0.98 2.51 1.54 1.22 3.37 0.98 3.37
20-Apr-09 72.33 1.95 1.33 2.33 3.87 2.89 1.95 2.89
30-Apr-08 116.79 2.07 2.35 1.86 2.74 0.91 2.07 0.91
29-Apr-08 117.48 -0.59 1.47 1.75 1.26 2.14 1.47 -0.59
23-Apr-08 116.33 0.44 1.37 1.39 0.99 0.39 0.44 0.39
22-Apr-08 116.52 -0.16 0.28 1.20 1.23 0.83 0.28 -0.16
30-Apr-07 122.87 0.26 0.84 1.39 1.77 1.79 0.26 1.79
27-Apr-07 123.90 -0.83 -0.58 0.01 0.55 0.93 0.01 -0.83
23-Apr-07 122.68 0.04 0.96 1.07 0.99 0.16 0.04 0.16
19-Apr-07 121.99 0.94 0.56 0.60 1.53 1.64 0.94 1.64
25-Apr-06 106.06 0.02 0.51 0.84 0.02 0.77 0.02 0.77
24-Apr-06 106.50 -0.41 -0.39 0.09 0.43 -0.39 0.09 -0.41
28-Apr-05 91.29 1.36 1.93 2.10 2.89 2.85 1.36 2.85
26-Apr-05 92.09 0.39 -0.87 0.48 1.04 1.22 0.39 -0.87
22-Apr-05 92.39 0.66 -0.32 0.07 -1.19 0.16 0.66 -0.32
20-Apr-05 90.97 1.94 1.56 2.22 1.23 1.63 1.94 1.63
15-Apr-05 91.25 0.31 1.10 -0.31 1.63 1.24 0.31 -0.31
30-Apr-04 87.00 1.07 0.99 1.64 0.77 -0.90 1.07 -0.90
29-Apr-04 87.68 -0.78 0.29 0.21 0.85 -0.02 0.29 -0.78
28-Apr-04 88.46 -0.88 -1.65 -0.59 -0.67 -0.04 -0.04 -0.88
26-Apr-04 89.54 0.09 -1.21 -2.08 -2.84 -1.80 0.09 -1.21
20-Apr-04 87.75 0.67 2.08 2.18 2.04 2.13 0.67 2.13
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
25-Apr-03 69.65 1.73 2.08 1.86 1.85 3.30 1.73 3.30
24-Apr-03 70.52 -1.24 0.47 0.82 0.60 0.59 0.47 -1.24
16-Apr-03 68.12 1.48 1.59 3.50 4.45 3.52 1.48 3.52
29-Apr-02 81.10 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
26-Apr-02 81.50 -0.49 0.44 1.67 1.28 0.18 0.44 -0.49
24-Apr-02 83.04 0.05 -1.85 -2.33 -1.42 -0.21 0.05 -1.85
23-Apr-02 83.88 -1.00 -0.95 -2.83 -3.31 -2.41 -2.41 -1.00
22-Apr-02 84.24 -0.43 -1.43 -1.38 -3.25 -3.73 -3.73 -0.43
18-Apr-02 85.36 0.36 -1.31 -1.73 -2.72 -2.67 0.36 -1.31
17-Apr-02 85.73 -0.43 -0.07 -1.74 -2.16 -3.14 -3.14 -0.43
15-Apr-02 83.92 2.38 2.16 1.72 2.09 0.39 2.38 0.39
24-Apr-01 91.09 1.31 1.76 3.45 4.18 4.50 1.31 4.50
23-Apr-01 91.59 -0.54 0.76 1.21 2.90 3.62 0.76 -0.54
20-Apr-01 93.28 -1.82 -2.35 -1.07 -0.63 1.03 1.03 -1.82
28-Apr-00 107.56 1.36 -0.67 -2.99 -2.26 -1.08 1.36 -0.67
27-Apr-00 108.23 -0.62 0.73 -1.28 -3.60 -2.87 0.73 -0.62
26-Apr-00 108.59 -0.33 -0.95 0.39 -1.61 -3.91 0.39 -0.33
24-Apr-00 105.45 4.15 2.98 2.64 2.00 3.38 4.15 3.38
19-Apr-00 106.10 0.48 -0.61 3.52 2.35 2.01 0.48 -0.61

highlighted in the red were the loss making trades !!

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check out the quant ideas to mine for the short term high probability trade ideas 

$SPY from Tax Day , since IPO

$SPY from Tax Day , since IPO

 $SPY trading odds from Tax -Day , since IPO

below the trading odds from the Tax Day , for the longs for the next 1/2/3/4/5/10/20 trading days since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 14 60.9 0.49 0.31 1.28 -0.74 1.72 -1.70 2.79 1.90
t+2% 23 14 60.9 0.64 0.14 1.58 -0.82 1.92 -2.38 2.15 1.88
t+3% 23 11 47.8 0.64 -0.14 2.11 -0.71 2.97 -2.13 2.44 1.59
t+4% 23 17 73.9 1.03 0.66 1.63 -0.67 2.45 -1.65 5.40 3.09
t+5% 23 19 82.6 1.36 1.22 1.89 -1.14 1.66 -2.23 9.10 3.82
t+10% 23 18 78.3 1.55 1.40 2.50 -1.88 1.33 -3.36 5.20 3.03
t+20% 23 16 69.6 2.00 2.37 3.87 -2.27 1.70 -4.37 3.06 2.66
1st +’ve in 5 days 23 20 87.0 0.82 0.77 1.13 -1.24 0.91 -2.23 7.42 3.43
1st -‘ve in 5 days 23 13 56.5 -0.61 -0.03 -0.81 2.46 0.33 5.26 0.26 -1.51

19/23 times  $SPY closed  higher than the current close at the end of the 5th trading day at close , since $SPY IPO with an average gain of 136 basis points at the end of the 5th trading day close , from the current close ]

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

below the prior historical instances of “$SPY returns from the tax day’s close ” since IPO

Date $SPY t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve in 5 days% 1st -‘ve in 5 days%
18-Apr-16 209.24 ?? ?? ?? ?? ?? ?? ?? ?? ??
15-Apr-15 206.03 -0.03 -1.18 -0.28 -0.39 0.10 0.07 -0.19 0.10 -0.03
15-Apr-14 176.89 1.05 1.19 1.54 2.00 1.76 2.23 2.64 1.05 1.76
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 2.69 5.43 1.48 -0.01
17-Apr-12 128.07 -0.34 -0.98 -0.81 -1.65 -1.27 1.19 -4.13 -1.27 -0.34
18-Apr-11 117.75 0.57 1.95 2.47 2.36 3.24 3.96 2.00 0.57 3.24
15-Apr-10 107.26 -1.59 -1.22 -0.34 -0.52 -0.22 -0.35 -4.37 -0.22 -1.59
15-Apr-09 73.91 1.47 2.15 -2.13 -0.22 -0.83 2.51 4.02 1.47 -2.13
15-Apr-08 112.55 2.71 2.86 3.93 3.99 3.53 4.38 5.43 2.71 3.53
17-Apr-07 121.88 0.12 0.10 1.04 0.66 0.70 1.07 2.37 0.12 0.70
17-Apr-06 104.67 1.59 1.78 1.92 1.94 1.75 1.35 0.65 1.59 1.75
15-Apr-05 91.25 0.31 1.10 -0.31 1.63 1.24 1.40 1.38 0.31 -0.31
15-Apr-04 88.57 0.77 0.77 -0.92 -0.26 1.14 -1.00 -2.63 0.77 -0.92
15-Apr-03 69.30 -1.70 -0.25 -0.14 1.74 2.67 2.37 5.27 1.74 -1.70
15-Apr-02 83.92 2.38 2.16 1.72 2.09 0.39 -3.36 -2.44 2.38 0.39
16-Apr-01 88.11 1.41 5.44 6.85 5.87 3.95 7.70 6.63 1.41 3.95
17-Apr-00 104.34 2.64 1.69 2.18 1.07 5.26 2.40 4.22 2.64 5.26
15-Apr-99 97.28 -0.85 -2.38 -1.15 1.67 2.64 1.27 3.53 1.67 -0.85
15-Apr-98 81.21 -1.17 0.14 0.11 0.59 0.86 -2.51 0.08 0.14 -1.17
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 5.41 10.62 1.16 2.79
15-Apr-96 45.00 0.29 0.05 0.19 0.44 1.22 1.85 3.28 0.29 1.22
17-Apr-95 34.80 -0.34 -0.43 -0.28 0.22 1.38 1.32 4.37 0.22 -0.34
15-Apr-94 29.78 -0.67 -0.53 -0.63 0.70 0.60 1.75 -0.14 0.70 -0.67
15-Apr-93 29.24 0.00 -0.42 -0.90 -0.97 -2.23 -2.16 -2.02 -2.23 -0.42

highlighted in the red are the loss making trades for a 5 trading day holding from the close of tax day , since IPO

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check out the new look of the paststat

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April, since IPO

below the trading strategy rules

1) as on current trading day $SPY MTD ( month to date) returns turns positive ( i.e while on previous trading day the MTD returns were negative )

2) current Month is April and not the first trading day of the month

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since 1993 ( or since IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 16 69.6 0.16 0.31 0.60 -0.84 0.72 -2.10 0.86 0.89
t+2 23 16 69.6 0.07 0.33 0.62 -1.20 0.52 -2.98 0.58 0.32
t+3 23 14 60.9 0.08 0.17 0.69 -0.88 0.78 -2.22 0.70 0.37
t+4 23 11 47.8 0.10 -0.08 1.15 -0.85 1.35 -2.79 0.61 0.31
t+5 22 11 50.0 0.18 0.12 1.66 -1.29 1.28 -4.14 0.86 0.38
t+10 22 15 68.2 0.38 0.39 1.49 -2.00 0.75 -4.43 1.53 0.78
t+20 22 16 72.7 1.78 1.33 3.47 -2.75 1.26 -4.62 2.93 2.17
1st +’ve in 5 days 22 20 90.9 0.51 0.38 0.58 -0.28 2.12 -0.51 9.80 4.82
1st -‘ve in 5 days 22 17 77.3 -0.21 -0.21 -0.65 3.13 0.21 7.64 0.66 -0.49

20/22 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 51 bps

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

below the prior historical returns of $SPY MTD returns turning positive in April, since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
12-Apr-16 205.92 ?? ?? ?? ?? ?? ?? ??
06-Apr-16 206.42 -1.20 -0.93 -1.16 -0.24 ?? ?? ??
02-Apr-15 202.13 0.67 0.41 0.75 1.19 1.74 0.67 1.74
29-Apr-14 180.29 0.30 0.31 0.17 0.36 -0.52 0.30 -0.52
21-Apr-14 179.61 0.45 0.22 0.42 -0.40 -0.09 0.45 -0.40
09-Apr-14 179.66 -2.10 -2.98 -2.22 -1.54 -0.51 -0.51 -2.10
23-Apr-13 148.52 0.06 0.47 0.29 0.96 1.20 0.06 1.20
16-Apr-13 148.17 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
09-Apr-13 147.55 1.22 1.56 1.31 -1.04 0.42 1.22 -1.04
02-Apr-13 147.62 -1.01 -0.61 -1.06 -0.39 -0.04 -0.04 -1.01
20-Apr-11 120.04 0.51 0.41 1.27 1.93 2.26 0.51 2.26
18-Apr-06 106.33 0.19 0.33 0.34 0.16 -0.25 0.19 -0.25
04-Apr-06 106.22 0.34 0.24 -0.78 -0.63 -1.47 0.34 -0.78
05-Apr-05 94.48 0.35 0.89 -0.16 -0.08 0.43 0.35 -0.16
22-Apr-04 89.58 0.10 -0.04 0.04 -1.25 -2.12 0.10 -0.04
16-Apr-04 89.25 0.00 -1.68 -1.02 0.37 0.47 0.37 -1.68
11-Apr-01 87.46 1.82 0.75 2.17 6.23 7.64 1.82 7.64
06-Apr-00 111.56 0.63 0.24 -0.05 -2.79 -4.14 0.63 -0.05
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 1.16 2.79
04-Apr-97 54.15 0.39 1.11 0.29 -0.08 -3.25 0.39 -0.08
22-Apr-96 45.55 0.31 -0.05 0.41 0.62 0.62 0.31 -0.05
21-Apr-94 29.99 -0.10 0.94 0.84 0.10 0.42 0.94 -0.10
05-Apr-94 29.92 0.00 0.49 -0.28 0.14 0.00 0.49 -0.28

highlighted in the red were the loss making trades !!

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check out the new look of the paststat

Costa’s minimal surface equation and its applicability for $SPX year end projection

Costa’s minimal surface and its applicability for $SPX year end projection

math-minimal-surface

incase if you had forgotten the  equation from your physics classes .. ,the Costa’s minimal surface equation is below

The other day, we finally managed to apply Alfred Gray’s parametric equations  on how to use it for $SPX year end price target.

Here, \wp, \wp^\prime and \zeta are respectively the Weierstrass elliptic function, its derivative, and the Weierstrass zeta function, with invariants g_2=\left(\frac12\mathrm{B}\left(\frac14,\frac14\right)\right)^4=\frac{\Gamma(1/4)^8}{16\pi^2} and 0, and \mathrm{B}(x,y) and \Gamma(x) are the usual beta and gamma functions. The invariants are the ones corresponding to the semi-periods \omega_1=\frac12 and \omega_3=\frac{i}{2}. The parameter ranges are 0 < u < 1 and 0 < v < 1.

We may not be able to give the full details ( as they are proprietary of nature ) on how to manipulate the Weierstrass elliptic functions that show up in the equations, but below the details on how the equation fared against each year end’s actual $SPX close

Year Actual $SPX Close Equation Prediction Error in the Prediction
2016 ?? 3665 ??
2015 2044 2040 0.19
2014 2059 2076 0.82
2013 1848 1858 0.52
2012 1426 1414 0.86
2011 1258 1250 0.61
2010 1258 1248 0.77
2009 1115 1126 0.97
2008 903 901 0.25
2007 1468 1472 0.25
2006 1418 1406 0.87
2005 1248 1256 0.61
2004 1212 1206 0.49
2003 1112 1108 0.35
2002 880 885 0.59
2001 1148 1141 0.62
2000 1320 1330 0.73
1999 1469 1456 0.91
1998 1229 1232 0.22
1997 970 971 0.06
1996 741 742 0.17
1995 616 612 0.64
1994 459 462 0.59
1993 466 464 0.53
1992 436 434 0.39
1991 417 419 0.46
1990 330 329 0.37
1989 353 353 0.11
1988 278 278 0.10
1987 247 247 0.03
1986 242 241 0.49
1985 211 213 0.81
1984 167 167 0.14
1983 165 165 0.04
1982 141 140 0.46
1981 123 123 0.37
1980 136 135 0.56
1979 108 109 0.97
1978 96 97 0.92
1977 95 96 0.94
1976 107 107 0.43
1975 90 90 0.21
1974 69 69 0.64
1973 98 98 0.46
1972 118 118 0.04
1971 102 103 0.88
1970 92 93 0.91
1969 92 92 0.07
1968 104 103 0.83
1967 96 97 0.55
1966 80 80 0.41
1965 92 93 0.61
1964 85 85 0.29
1963 75 75 0.03
1962 63 63 0.16
1961 72 71 0.77
1960 58 58 0.19
1959 60 60 0.18
1958 55 55 0.38
1957 40 40 0.02
1956 47 47 0.70
1955 45 46 1.13
1954 36 36 0.06
1953 25 25 0.76
1952 27 27 1.59
1951 24 24 0.96
1950 20 21 2.71

ps: you might want to decode 3665 ( which is the year end target ) on your phone !!

a $SPY momentum fuelled bullish 1DOM pattern

a $SPY momentum fuelled bullish 1DOM pattern

Anatomy of $SPY on First Trading Day of the Month

with 1DOM ( 1st day of the month ) around the corner ,

below the trading strategy rules,

1) as on the last trading day of the month $SPY gained by more than 5% for the month

2) tomorrow is 1DOM

below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days ,since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 24 20 83.3 0.71 0.65 1.02 -0.86 1.18 -2.79 5.01 3.30
t+2 24 18 75.0 1.08 1.07 1.65 -0.62 2.68 -1.20 6.42 3.64
t+3 24 19 79.2 1.26 1.20 1.89 -1.12 1.69 -1.83 5.04 3.58
t+4 24 20 83.3 1.51 1.13 2.00 -0.95 2.10 -2.71 9.37 4.03
t+5 24 20 83.3 1.12 1.31 1.62 -1.39 1.17 -2.07 3.89 3.86
t+10 24 15 62.5 0.45 1.75 2.51 -2.99 0.84 -9.56 0.86 0.65
t+20 24 16 66.7 1.04 1.36 3.18 -3.23 0.98 -5.79 1.23 1.35
1st +’ve cls in 5 days 24 24 100.0 1.02 1.03 1.02 INF INF 0.10 NA 7.86
1st -‘ve cls in 5 days 24 11 45.8 -0.66 0.29 -0.66 1.77 0.37 3.94 0.22 -2.12

24/24 times  $SPY closed  higher than the current close at some point of time in the next five trading days .. with an average gain of 102 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 prior historical instances of “$SPY momentum fuelled bullish 1DOM pattern ” since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
31-Mar-16 ~206.13 ?? ?? ?? ?? ?? ?? ??
30-Oct-15 205.64 1.18 1.48 1.17 1.07 1.01 1.18 1.01
27-Feb-15 205.34 0.63 0.22 -0.20 -0.09 -1.50 0.63 -0.20
31-Jul-13 159.65 1.16 1.33 1.18 0.60 0.28 1.16 0.28
31-Jan-13 140.29 1.03 -0.11 0.90 0.98 0.84 1.03 -0.11
31-Oct-11 114.34 -2.79 -1.20 0.60 -0.02 0.61 0.60 -2.79
31-Dec-10 112.92 1.03 0.98 1.50 1.30 1.11 1.03 1.11
30-Sep-10 101.95 0.42 -0.33 1.67 1.66 1.54 0.42 -0.33
30-Jul-10 97.98 2.26 1.77 2.45 2.34 1.92 2.26 1.92
31-Mar-10 103.47 0.68 1.50 1.74 1.16 1.51 0.68 1.51
30-Nov-09 96.30 1.24 1.19 0.40 0.97 0.82 1.24 0.82
31-Jul-09 86.14 1.65 1.91 1.62 1.09 2.42 1.65 2.42
29-May-09 80.22 2.42 2.51 1.21 2.16 2.18 2.42 2.18
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
31-Mar-09 68.94 1.94 4.92 5.96 5.13 2.68 1.94 2.68
31-Dec-03 86.94 -0.04 1.04 1.14 1.48 1.89 1.04 -0.04
31-Oct-03 81.89 0.66 0.44 0.51 1.04 0.29 0.66 0.29
30-May-03 74.83 0.41 0.83 2.28 2.78 2.38 0.41 2.38
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
29-Nov-02 71.90 0.16 -1.18 -1.63 -2.71 -2.07 0.16 -1.18
31-Oct-02 67.72 1.98 2.95 3.76 5.11 2.53 1.98 2.53
30-Nov-01 86.01 -0.60 1.09 2.94 2.88 2.20 1.09 -0.60
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
31-Aug-00 113.20 0.10 -0.70 -1.83 -0.98 -1.66 0.10 -0.70
31-Mar-00 111.48 0.58 -0.17 -0.79 0.07 0.71 0.58 -0.17

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a mega bullish Fed Day $SPY Pattern

a mega bullish Fed Day $SPY Pattern

 $SPY from the 9/10/11 th trading of the month , & from the day before #FEDDAY , since Y2K

with Fed Day around the corner , later EST noon time ,

below the trading strategy rules,

1) current trading day is either 9/10/11 th trading of the month ( mid month bulge phenomenon as Yale Hirsh & co calls it )

2) tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days ,since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 20 18 90.0 1.23 0.70 1.44 -0.69 2.10 -1.15 12.75 3.61
t+2 20 12 60.0 0.71 0.83 2.06 -1.32 1.56 -2.98 1.50 1.50
t+3 20 13 65.0 0.77 0.48 1.84 -1.22 1.51 -1.86 1.58 1.89
t+4 20 12 60.0 0.78 0.42 2.29 -1.47 1.56 -3.19 1.25 1.49
t+5 20 12 60.0 0.47 0.25 1.77 -1.47 1.21 -3.59 0.99 0.95
t+10 20 12 60.0 0.54 1.15 2.65 -2.63 1.01 -6.72 1.00 0.74
t+20 20 13 65.0 0.24 1.88 2.96 -4.83 0.61 -15.12 0.71 0.22
1st +’ve in 5 days 20 19 95.0 1.17 0.70 1.37 -2.78 0.49 -2.78 4.18 3.13
1st -‘ve in 5 days 20 12 60.0 -0.46 -0.14 -0.74 2.25 0.33 5.63 0.36 -1.02

18/20 times  $SPY closed higher on the Fed day , when it comes after 9/10/11 the trading of the month ,

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

below the prior historical returns of $SPY on 9/10/11 th trading day of the month , and before the fed day , since Y2K 

Date $SPY # TDOM t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
15-Mar-16 202.17 11 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 11 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
16-Sep-15 197.97 11 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 -0.22
16-Sep-14 194.44 11 0.13 0.67 0.58 -0.20 -0.77 0.13 -0.20
17-Sep-13 162.72 11 1.16 0.99 0.28 -0.18 -0.42 1.16 -0.18
14-Mar-11 117.38 10 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15
13-Dec-10 111.84 9 0.09 -0.37 0.21 0.32 0.56 0.09 -0.37
15-Mar-10 102.24 11 0.80 1.39 1.34 0.83 1.37 0.80 1.37
15-Dec-09 98.04 11 0.15 -1.05 -0.49 0.52 0.88 0.15 -1.05
15-Dec-08 75.31 11 4.71 3.69 1.75 1.32 0.02 4.71 0.02
15-Sep-08 102.47 10 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
17-Mar-08 108.40 11 4.15 1.57 3.46 5.52 5.63 4.15 5.63
17-Sep-07 123.88 10 2.94 3.55 2.82 3.10 2.91 2.94 2.91
13-Dec-04 95.89 9 0.35 0.42 0.37 -0.30 -0.28 0.35 -0.30
15-Mar-04 87.33 11 0.53 1.65 1.68 0.22 -1.05 0.53 -1.05
15-Sep-03 79.49 10 1.46 1.26 2.46 1.94 0.84 1.46 0.84
17-Mar-03 67.06 11 0.59 1.36 1.58 3.75 0.30 0.59 0.30
14-May-01 94.44 10 0.46 2.83 2.99 3.46 4.98 0.46 4.98
17-Apr-01 89.81 11 3.97 5.36 4.39 2.50 1.95 3.97 1.95
14-Nov-00 104.17 10 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 11 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

highlighted in the red were the loss making trades !!

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check out the new look of the paststat