$FB stock price historical ER reaction

 $FB stock price historical ER reaction

FB& editable one

ER Date Gap % CFO % Full Day %
29-Jul-15 ?? ?? ??
22-Apr-15 -0.63 -2.01 -2.62
28-Jan-15 0.80 1.50 2.31
28-Oct-14 -6.59 0.54 -6.08
23-Jul-14 6.55 -1.29 5.18
23-Apr-14 3.65 -4.29 -0.80
29-Jan-14 16.05 -1.67 14.10
30-Oct-13 -3.77 6.47 2.45
24-Jul-13 26.52 2.44 29.61
01-May-13 2.11 3.43 5.61
30-Jan-13 -6.69 6.28 -0.83
23-Oct-12 23.74 -3.73 19.13
26-Jul-12 -13.63 2.24 -11.69
# 12 12 12
wins 7 7 7
%wins 58 58 58
avg 4.01 0.83 4.70
med 1.46 1.02 2.38
max 26.52 6.47 29.61
min -13.63 -4.29 -11.69
avg(abs) 9.23 2.99 8.37
Gap -> Chg % from close to next day open after ER
CFO -> Chg % from next open to next close after ER
Full Day -> Chg % from close to before ER to next close

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a bullish #FedDay $SPY pattern

a bullish #FedDay $SPY pattern

The Quantifiable Edges Guide To Fed Days

below the trading odd for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $PY closes in the top 10% of the day’s range ( i.e high-cls/high-low <0.1 ) , irrespective whether $SPY closes up or not .. since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 25 16 64.0 0.33 0.35 0.88 -0.64 1.38 -1.70 1.87 1.81
t+2 25 20 80.0 0.76 0.65 1.14 -0.75 1.53 -1.41 3.78 3.45
t+3 25 18 72.0 0.67 0.76 1.35 -1.10 1.23 -2.18 2.78 2.36
t+4 25 16 64.0 1.10 1.01 2.06 -0.62 3.34 -2.87 4.61 3.05
t+5 25 17 68.0 1.01 1.22 1.96 -0.99 1.97 -3.60 2.81 2.43
t+10 25 15 60.0 0.52 1.14 2.17 -1.94 1.12 -4.25 1.51 1.10
t+20 25 18 72.0 0.67 1.59 3.01 -5.35 0.56 -14.21 1.43 0.67
1st +’ve exit in 5 days 25 23 92.0 0.68 0.49 0.81 -0.86 0.95 -1.20 5.02 4.11

23/25 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 68 basis points at the 1st positive close within in the next five trading days, when $SPY closed at the top 10% of the day’s range , before the Fed Day

20/25 times $SPY closed higher two day’s later , with an average gains of 76 bps , with a max loss of 141 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 instances of $SPY closing at the top 10% of the day’s range before the Fed day and the next 1/2/3/4/5 trading days returns

Date $SPY Close Range % t+1% t+2% t+3% t+4% t+5% 1st +’ve exit % in 5 days
28-Jul-15 209.31 7.04 ?? ?? ?? ?? ?? ??
16-Jun-15 209.23 6.17 0.16 1.17 0.76 1.27 1.35 0.16
28-Apr-15 210.42 2.78 -0.41 -1.41 -0.34 -0.06 -1.20 -1.20
28-Oct-14 195.49 0.60 -0.15 0.49 1.64 1.69 1.34 0.49
29-Oct-13 171.23 8.43 -0.50 -0.78 -0.54 -0.19 -0.51 -0.51
17-Sep-13 164.54 6.35 1.15 0.98 0.28 -0.18 -0.42 1.15
30-Apr-13 152.77 3.77 -0.88 0.05 1.06 1.32 1.83 0.05
24-Jan-12 122.50 4.76 0.84 0.32 0.28 -0.07 -0.11 0.84
25-Jan-11 117.89 9.43 0.39 0.64 -1.12 -0.37 1.22 0.39
15-Mar-10 103.38 8.05 0.79 1.39 1.34 0.83 1.36 0.79
17-Mar-09 68.40 6.27 2.24 0.96 -1.18 5.92 3.83 2.24
28-Oct-08 81.37 4.87 -0.73 2.70 3.27 3.58 7.09 2.70
27-Jun-07 127.21 6.60 -0.02 0.02 0.92 1.29 1.18 0.02
20-Mar-07 118.72 7.61 1.64 1.57 1.72 1.58 1.34 1.64
30-Jan-07 119.78 8.82 0.67 1.27 1.41 1.44 1.47 0.67
24-Oct-06 115.02 6.78 0.34 0.65 0.02 -0.05 -0.07 0.34
28-Jun-06 103.61 2.15 2.02 2.03 2.44 1.86 2.15 2.02
02-May-05 94.58 0.00 0.17 0.94 0.91 0.59 1.22 0.17
13-Dec-04 96.96 3.53 0.35 0.42 0.37 -0.30 -0.28 0.35
08-Dec-03 85.02 7.89 -0.76 -0.78 0.34 0.53 0.04 0.34
17-Mar-03 67.81 4.47 0.59 1.36 1.58 3.75 0.29 0.59
01-Oct-01 79.93 3.48 1.25 2.95 3.04 2.84 2.16 1.25
20-Aug-01 89.98 5.83 -1.70 -0.68 -1.03 1.01 0.41 1.01
14-May-01 95.49 4.05 0.47 2.84 3.00 3.47 4.98 0.47
30-Jan-01 104.66 5.56 -0.57 0.09 -2.18 -1.46 -1.75 0.09
15-May-00 109.47 8.82 0.97 -0.09 -1.32 -2.87 -3.60 0.97

highlighted in red were those 2  instances , where $SPY failed to close higher over the , next five trading days 

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when $SPY posts best day in 10 days after 5 or more down days

when $SPY posts best day in 10 days after 5 or more down days

$SPY 29 Jul 2015 stock chart

 

below the trading strategy rules triggered as on 29 Jul 2015 at close on $SPY

1) $SPY posts best one day gains in ten trading days

2) as on previous trading day , $SPY lost for 5 or more days

below the trading odds for $SPY longs , 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 19 16 84.2 0.77 0.45 1.08 -0.86 1.25 -1.48 7.67 2.97
t+2 19 10 52.6 -0.25 0.10 1.61 -2.33 0.69 -11.18 0.68 -0.35
t+3 19 12 63.2 -0.09 0.16 1.68 -3.13 0.54 -7.47 0.78 -0.13
t+4 19 11 57.9 -0.19 0.12 2.08 -3.31 0.63 -8.88 0.77 -0.23
t+5 19 11 57.9 0.26 0.73 2.65 -3.02 0.88 -9.57 1.03 0.31
t+10 19 11 57.9 -0.56 1.24 2.66 -4.98 0.53 -17.17 0.73 -0.47
t+20 19 14 73.7 2.26 2.77 4.27 -3.39 1.26 -8.60 3.13 2.29
1st +’ve exit in 5 days 19 16 84.2 0.22 0.45 1.08 -4.35 0.25 -9.57 1.71 0.37

16/19 times  $SPY closed higher , next trading day , with an average gains of 77 bps , with a max loss of 148 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 posting best trading day in ten days , after losing for 5 or more trading days , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5%
28-Jul-15 209.31 ?? ?? ?? ?? ??
07-Jan-15 200.44 1.77 0.96 0.16 -0.11 -0.72
06-Dec-13 174.88 0.25 -0.11 -1.23 -1.56 -1.57
31-Dec-12 135.65 2.56 2.33 2.78 2.50 2.20
21-May-12 123.52 0.17 0.23 0.42 0.10 1.30
11-Apr-12 128.22 1.31 0.10 0.04 1.52 1.18
28-Nov-11 110.85 0.28 4.41 4.39 4.30 5.44
17-Aug-10 98.97 0.18 -1.56 -1.88 -2.25 -3.71
06-Jul-10 92.90 3.15 4.18 4.95 5.02 6.60
24-Feb-09 67.79 -0.80 -2.40 -4.59 -8.88 -9.57
13-Oct-08 87.95 -1.48 -11.18 -7.47 -8.03 -2.50
23-Jan-08 114.36 0.84 -0.61 1.03 1.53 0.79
09-Jan-08 119.92 0.66 -0.16 0.65 -1.57 -2.42
28-Feb-07 118.22 -0.30 -1.61 -2.55 -0.87 -0.97
06-Nov-06 115.18 0.39 0.61 0.08 0.12 0.36
08-Feb-02 84.68 1.23 0.91 1.98 1.78 0.73
24-Sep-01 77.19 1.05 0.69 1.55 3.72 3.55
14-Nov-00 105.34 0.31 -1.26 -1.78 -3.19 -2.70
13-Oct-00 104.16 0.45 -2.04 -2.41 1.27 1.70
17-Apr-00 106.05 2.64 1.69 2.18 1.07 5.26

highlighted in red were those 3 instances , where $SPY failed to close higher the next day .. 

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when $SPY lost more than 50 bps a day for 3 days in row

when $SPY lost more than 50 bps a day for 3 days in row

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#RIPAbdulKalam

with $SPY losing more than 0.5% ( or more than 50 bps , in short term trader’s terminology) .. for 3 or more days in row , below the trading odds for $SPY longs for the next 1/2/3/4/510/20 trading days since Y2K .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 68 47 69.1 0.89 0.76 2.13 -1.88 1.13 -6.98 2.32 2.60
t+2 68 46 67.6 1.05 0.97 2.69 -2.37 1.13 -9.33 2.35 2.42
t+3 68 46 67.6 0.98 1.08 2.69 -2.60 1.04 -13.39 2.23 2.20
t+4 68 47 69.1 1.26 1.09 2.93 -2.49 1.18 -15.49 2.71 2.78
t+5 68 42 61.8 1.37 1.39 3.68 -2.36 1.56 -7.68 2.61 2.91
t+10 68 44 64.7 1.75 2.57 4.85 -3.94 1.23 -12.90 2.25 2.68
t+20 68 51 75.0 3.12 3.29 6.10 -5.81 1.05 -17.20 2.93 3.86
1st +’ve exit in 5 days 68 63 92.6 1.73 1.34 2.16 -3.58 0.60 -6.77 7.45 5.04

63/68 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with a median gain of 134 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 )

1-a) when $SPY lost more than 50bps for exactly 3 days in row , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 51 37 72.5 0.75 0.66 1.63 -1.56 1.05 -4.50 2.84 2.72
t+2 51 34 66.7 0.90 0.93 2.24 -1.78 1.26 -6.89 2.45 2.47
t+3 51 34 66.7 0.90 0.71 2.52 -2.34 1.07 -13.39 2.21 1.89
t+4 51 36 70.6 1.06 1.07 2.65 -2.76 0.96 -15.49 2.40 2.06
t+5 51 30 58.8 1.16 0.60 3.45 -2.11 1.63 -6.77 2.49 2.33
t+10 51 34 66.7 1.65 2.52 4.41 -3.87 1.14 -11.76 2.39 2.39
t+20 51 37 72.5 2.47 3.10 5.77 -6.24 0.92 -17.20 2.35 2.68
1st +’ve exit in 5 days 51 46 90.2 1.12 1.07 1.63 -3.58 0.46 -6.77 4.41 3.81

46/51 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with a median gain of 107 basis points at the 1st positive close within in the next five trading days.

#FYI , the longest consecutive sequence of $SPY losing more than 50 bps in row was 7 , from 2nd -10th Oct 2008 .

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when $SPY posts consecutive worst losing days in 10 days in row

when $SPY posts consecutive worst losing days in 10 days in row

$SPY 27 Jul 2015 stockchart

with $SPY posting back to back worst losing day in ten days ( on Thursday and Friday ) , below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 46 31 67.4 0.48 0.32 0.99 -0.59 1.68 -1.39 2.64 2.24
t+2 46 31 67.4 0.84 0.44 1.59 -0.69 2.29 -1.43 3.13 2.62
t+3 46 30 65.2 1.01 0.62 1.89 -0.64 2.95 -3.21 4.11 2.83
t+4 46 33 71.7 1.09 0.91 2.14 -1.58 1.35 -4.55 2.46 2.29
t+5 46 30 65.2 1.14 0.80 2.56 -1.52 1.69 -3.83 2.19 2.25
t+10 46 31 67.4 1.28 1.22 2.91 -2.09 1.39 -8.04 2.15 2.35
t+20 46 33 71.7 1.81 1.78 3.52 -2.53 1.39 -4.56 2.59 3.13
1st +’ve exit in 5 days 46 43 93.5 0.69 0.51 0.89 -2.08 0.43 -3.83 6.32 3.15

43/46 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 69 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 , when posts , consecutive worst days in 10 days , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days %
24-Jul-15 207.94 ?? ?? ?? ?? ?? ??
04-Mar-15 208.28 0.11 -1.30 -0.89 -2.50 -2.72 0.11
27-Feb-15 208.71 0.63 0.22 -0.21 -0.10 -1.50 0.63
26-Feb-15 209.42 -0.34 0.29 -0.12 -0.54 -0.43 0.29
01-Dec-14 202.73 0.65 1.04 0.93 1.09 0.41 0.65
09-Sep-14 195.48 0.37 0.49 -0.10 -0.17 0.58 0.37
12-Jun-14 188.90 0.31 0.39 0.67 1.41 1.52 0.31
20-Jun-13 152.51 0.32 -0.95 0.00 0.99 1.59 0.32
23-Jul-12 127.09 -0.86 -0.83 0.80 2.66 2.66 0.80
10-Apr-12 127.19 0.81 2.13 0.91 0.85 2.34 0.81
06-Mar-12 125.57 0.69 1.70 2.09 2.09 3.93 0.69
01-Nov-11 112.97 1.63 3.48 2.85 3.49 4.82 1.63
22-Sep-11 104.51 0.60 2.99 4.14 2.02 2.82 0.60
05-May-11 122.48 0.44 0.82 1.69 0.62 1.09 0.44
04-May-11 123.59 -0.90 -0.46 -0.08 0.78 -0.28 0.78
08-Apr-11 121.79 -0.30 -1.05 -1.06 -0.98 -0.62 -0.62
07-Jan-11 116.04 -0.13 0.23 1.14 0.97 1.70 0.23
23-Sep-10 102.14 2.07 1.58 1.93 1.75 1.45 2.07
22-Sep-10 102.98 -0.82 1.23 0.75 1.10 0.92 1.23
19-Mar-10 104.24 0.53 1.24 0.75 0.59 0.52 0.53
22-Jan-10 97.76 0.51 0.09 0.56 -0.59 -1.67 0.51
24-Sep-09 93.49 -0.52 1.25 0.95 0.56 -1.94 1.25
01-Sep-09 88.79 -0.38 0.45 1.86 2.74 3.53 0.45
20-Mar-09 67.59 7.19 5.07 6.18 8.34 6.39 7.19
20-Nov-08 65.48 5.39 12.69 13.53 17.91 19.40 5.39
29-Feb-08 114.32 -0.24 -0.61 0.01 -2.06 -3.07 0.01
07-Jun-07 125.57 1.30 1.47 0.37 1.87 2.52 1.30
09-Feb-07 120.74 -0.34 0.51 1.16 1.29 1.24 0.51
22-Dec-06 118.07 0.58 1.25 1.03 0.62 0.44 0.58
27-Nov-06 115.47 0.43 1.48 1.52 1.30 2.07 0.43
13-Jul-06 102.99 -0.39 -0.53 -0.03 1.36 0.67 1.36
12-May-06 106.87 0.20 0.05 -1.85 -2.35 -1.66 0.20
05-Oct-05 98.01 -0.36 -0.02 -0.87 -1.00 -1.79 -1.79
21-Sep-05 99.06 0.35 0.43 0.56 0.52 0.63 0.35
15-Apr-05 92.75 0.30 1.10 -0.31 1.63 1.24 0.30
14-Apr-05 94.06 -1.39 -1.10 -0.31 -1.70 0.21 0.21
04-Jan-05 96.17 -0.69 -0.19 -0.32 0.15 -0.54 0.15
09-Nov-04 93.87 0.07 0.84 1.64 1.89 1.16 0.07
28-Jan-04 90.03 0.10 0.10 0.53 0.37 -0.46 0.10
10-Sep-03 80.28 0.30 0.49 0.12 1.59 1.40 0.30
09-Jun-03 77.08 1.01 2.09 2.40 1.34 3.48 1.01
21-Jan-03 69.74 -1.22 -0.60 -3.21 -4.55 -3.83 -3.83
10-Jul-02 71.31 0.81 -0.29 0.24 -1.70 -1.50 0.81
06-Jul-01 90.92 0.54 -0.67 -0.57 1.79 2.67 0.54
12-Mar-01 89.68 1.64 -0.37 -0.35 -2.34 -0.36 1.64
03-May-00 106.05 0.75 1.98 1.22 0.41 -1.87 0.75
04-Jan-00 105.03 0.18 -1.43 4.29 4.66 3.40 0.18

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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check out the new look of the paststat

when $SPY closes below prev low for 4 days in row

when $SPY closes below prev low for 4 days in row

$SPY 27 Jul 2015 stockchartwith $SPY closing below prior day’s low for four days in row , below the trading odds for $SPY longs ,  for the next 1/2/3/4/510/20 trading days , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 9 47.4 0.78 -0.05 3.91 -2.04 1.91 -6.98 0.92 0.79
t+2 19 13 68.4 0.94 0.37 3.35 -4.28 0.78 -9.33 1.12 0.78
t+3 19 13 68.4 0.81 1.02 2.62 -3.11 0.84 -11.53 1.22 0.86
t+4 19 11 57.9 0.95 0.74 2.91 -1.76 1.66 -4.16 1.44 1.18
t+5 19 11 57.9 0.84 1.27 3.54 -2.88 1.23 -7.68 1.19 0.82
t+10 19 7 36.8 -0.63 -1.02 4.68 -3.73 1.25 -10.97 0.49 -0.51
t+20 19 16 84.2 3.86 3.04 5.01 -2.26 2.22 -5.22 7.04 3.13
1st +’ve exit in 5 days 19 17 89.5 2.70 1.37 3.23 -1.79 1.81 -3.15 7.59 2.90

 

17/19 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with a median gain of 137 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 , after closing below previous days low , for 4 or more days in row , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days %
24-Jul-15 207.94 ?? ?? ?? ?? ?? ??
18-May-12 121.43 1.72 1.89 1.95 2.15 1.82 1.72
17-May-12 122.48 -0.86 0.85 1.02 1.08 1.27 0.85
16-May-12 124.32 -1.48 -2.32 -0.64 -0.47 -0.42 -0.42
06-Jun-11 118.29 -0.07 -0.48 0.28 -1.12 -1.04 0.28
03-Mar-09 61.30 2.37 -1.81 -1.63 -2.79 3.00 2.37
23-Feb-09 65.31 3.80 2.97 1.30 -0.96 -5.42 3.80
20-Feb-09 67.73 -3.57 0.09 -0.71 -2.32 -4.50 0.09
10-Oct-08 76.80 14.52 12.83 1.72 5.96 5.33 14.52
09-Oct-08 78.71 -2.43 11.74 10.09 -0.75 3.39 11.74
08-Oct-08 84.62 -6.98 -9.24 3.94 2.40 -7.68 3.94
07-Oct-08 86.81 -2.52 -9.33 -11.53 1.31 -0.18 1.31
22-Jan-08 111.68 2.40 3.26 1.77 3.46 3.97 2.40
18-Jan-08 112.82 -1.01 1.37 2.22 0.74 2.41 1.37
02-Jan-08 123.82 -0.05 -2.50 -2.58 -4.16 -3.15 -3.15
05-Jan-05 95.51 0.50 0.37 0.84 0.15 0.47 0.50
11-Mar-04 88.24 1.31 0.08 0.60 1.73 1.76 1.31
23-Jul-02 61.89 5.96 5.06 7.06 12.28 13.75 5.96
13-Nov-00 102.64 2.63 2.95 1.33 0.80 -0.64 2.63
22-May-00 105.53 -1.47 0.14 -1.58 -1.47 1.74 0.14

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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the recent down wednesday performance of $SPY

the recent down wednesday performance of $SPY

 

below the $PY trading odds for the next 1/2/3/4/5/10/20 trading odds , after it closed down on a wednesday , since 2014

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 33 21 63.6 0.23 0.18 0.58 -0.39 1.48 -1.00 2.24 2.14
t+2 33 23 69.7 0.36 0.31 0.82 -0.70 1.18 -1.86 2.30 2.22
t+3 33 23 69.7 0.40 0.60 1.08 -1.17 0.92 -2.78 1.84 1.75
t+4 33 21 63.6 0.53 0.54 1.46 -1.09 1.34 -2.58 1.95 1.89
t+5 33 22 66.7 0.80 0.69 1.61 -0.80 2.01 -2.72 3.44 3.06
t+10 32 26 81.3 1.27 1.58 2.13 -2.48 0.86 -4.07 3.11 3.05
t+20 30 24 80.0 1.92 1.45 2.87 -1.87 1.54 -2.97 4.96 3.66
1st +’ve exit in 5 days 33 32 97.0 0.47 0.38 0.53 -1.40 0.38 -1.40 10.16 5.21

32/33 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 47 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 , after a down wednseday , since 2014

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 Days %
22-Jul-15 211.29 ?? ?? ?? ?? ?? ??
15-Jul-15 210.63 0.78 0.87 0.94 0.54 0.31 0.78
08-Jul-15 204.53 0.13 1.44 2.56 3.03 2.98 0.13
24-Jun-15 210.51 -0.31 -0.33 -2.39 -2.19 -1.40 -1.40
20-May-15 211.85 0.29 0.05 -1.02 -0.08 -0.20 0.29
06-May-15 207.03 0.40 1.72 1.24 0.93 0.95 0.40
29-Apr-15 209.55 -1.00 0.07 0.36 -0.79 -1.20 0.07
01-Apr-15 204.70 0.36 1.04 0.77 1.11 1.56 0.36
25-Mar-15 204.76 -0.23 -0.01 1.21 0.33 -0.03 1.21
11-Mar-15 202.61 1.27 0.65 1.99 1.69 2.91 1.27
04-Mar-15 208.28 0.11 -1.30 -0.89 -2.50 -2.72 0.11
25-Feb-15 209.67 -0.12 -0.46 0.17 -0.24 -0.66 0.17
04-Feb-15 202.17 1.01 0.73 0.28 1.35 1.40 1.01
28-Jan-15 198.29 0.92 -0.35 0.89 2.35 1.96 0.92
14-Jan-15 199.00 -0.91 0.38 0.60 1.11 2.61 0.38
31-Dec-14 203.64 -0.05 -1.86 -2.78 -1.57 0.17 0.17
10-Dec-14 200.17 0.51 -1.11 -1.79 -2.58 -0.67 0.51
19-Nov-14 202.20 0.18 0.71 0.99 0.92 1.18 0.18
12-Nov-14 200.96 0.11 0.14 0.20 0.78 0.62 0.11
29-Oct-14 195.20 0.64 1.79 1.84 1.49 2.14 0.64
22-Oct-14 189.86 1.16 1.94 1.80 2.97 2.81 1.16
15-Oct-14 183.69 -0.09 1.09 2.07 4.10 3.36 1.09
01-Oct-14 191.49 0.02 1.12 1.00 -0.56 1.18 0.02
03-Sep-14 196.63 -0.14 0.31 0.05 -0.58 -0.21 0.31
27-Aug-14 196.39 -0.06 0.23 0.18 0.12 -0.02 0.23
11-Jun-14 190.25 -0.71 -0.40 -0.33 -0.05 0.69 0.69
28-May-14 186.79 0.52 0.68 0.80 0.74 0.95 0.52
14-May-14 184.53 -0.88 -0.54 -0.17 -0.80 0.04 0.04
23-Apr-14 182.96 0.20 -0.62 -0.31 0.16 0.46 0.20
26-Mar-14 180.54 -0.21 0.28 1.10 1.77 2.11 0.28
19-Mar-14 181.39 0.58 0.19 -0.22 0.25 -0.47 0.58
19-Feb-14 177.85 0.59 0.47 1.03 1.00 1.00 0.59
05-Feb-14 170.22 1.32 2.57 2.76 3.89 3.94 1.32
29-Jan-14 172.34 1.06 0.47 -1.79 -1.11 -1.23 1.06

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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$AAPL earning’s and historical price reaction since Y2k

$AAPL earning’s and historical price reaction

AAPL Earningswith almost $750 bn at stake , below various studies around $AAPL historical earnings ..

as $AAPL announces earnings , after market close , the change % on the  next day is considered as the ER day change

1) $AAPL trading odds for longs on the ER day , ( change from ER prior day’s close to next day’s close) , since Y2K 

# 62
Winners : 36
Losers : 26
% Winners : 58%
Average Change % : 1.24
Median Change % : 2.64
Maximum Gain % : 13.16
Maximum Loss % : -17.17
Average Gain %if Winner : 6.02
Average Loss % if Loser : -5.38
Payoff Ratio * 1.12
Average Absolute Change% 5.82

* Payoff Ratio is average winner (%) divided by average loser (%)

1-a) $AAPL trading odds for longs on the ER day night , ( change from ER prior day’s close to next day’s open) , since Y2K 

# 62
Winners : 39
Losers : 23
% Winners : 63%
Average Change % : 1.71
Median Change % : 2.19
Maximum Gain % : 12.68
Maximum Loss % : -13.23
Average Gain %if Winner : 5.82
Average Loss % if Loser : -5.26
Payoff Ratio 1.11
Average Absolute Change% 5.68

1-c) $AAPL trading odds for longs , from the open to close , after ER ( i’e the day session;s change , after the ER is out ) , since Y2K 

# 62
Winners : 21
Losers : 41
% Winners : 34%
Average Change % : -0.46
Median Change % : -0.64
Maximum Gain % : 8.74
Maximum Loss % : -5.30
Average Gain %if Winner : 2.25
Average Loss % if Loser : -1.89
Payoff Ratio 1.19
Average Absolute Change% 1.97

2) when $AAPL is trading with-in 10% to ATH ( like the case as is today) , ER full day trading odds for longs , since Y2K

# 24
Winners : 15
Losers : 9
% Winners : 63%
Average Change % : 1.10
Median Change % : 2.51
Maximum Gain % : 6.77
Maximum Loss % : -9.21
Average Gain %if Winner : 4.35
Average Loss % if Loser : -4.31
Payoff Ratio 1.01
Average Absolute Change% : 4.46

2-a) when $AAPL is trading with-in 10% to ATH , ER day over night trading odds for longs , since Y2K 

# 24
Winners : 17
Losers : 7
% Winners : 71%
Average Change % : 2.62
Median Change % : 3.47
Maximum Gain % : 12.60
Maximum Loss % : -5.70
Average Gain %if Winner : 5.43
Average Loss % if Loser : -4.23
Payoff Ratio 1.29
Average Absolute Change% : 5.24

2-b) when $AAPL is trading with-in 10% to ATH , ER day , regular session’s trading odds for longs , since Y2K 

# 24
Winners : 6
Losers : 18
% Winners : 25%
Average Change % : -1.44
Median Change % : -1.49
Maximum Gain % : 2.01
Maximum Loss % : -5.30
Average Gain %if Winner : 0.90
Average Loss % if Loser : -2.36
Payoff Ratio 0.38
Average Absolute Change% : 1.85

3) $AAPL full day change after ER , in the July / Q2 earnings , since Y2K

# 15
Winners : 10
Losers : 5
% Winners : 67%
Average Change % : 0.75
Median Change % : 2.67
Maximum Gain % : 11.83
Maximum Loss % : -17.17
Average Gain %if Winner : 5.58
Average Loss % if Loser : -8.90
Payoff Ratio 0.63
Average Absolute Change% : 6.68

conclusion –

1) “if  the setup of $AAPL trading within 10% to ATH closing , repeats itself , perhaps , a long into ER night and then reverse the trade in the morning ??”

2) ” the max gain on ER day is 13.2 % , so forget about 150 weeklies :)

 

below the historical ER dates and $AAPL , over night gap , next day open to change  & full day change details , in percentage , since Y2K

ER-Date Over Night Gap % Next Day Open to Close % Full Day Change % Absoulte Change %
21-Jul-15 ?? ?? ?? ??
27-Apr-15 1.36 -2.90 -1.58 1.58
27-Jan-15 7.78 -1.97 5.65 5.65
20-Oct-14 3.27 -0.53 2.72 2.72
22-Jul-14 0.74 1.85 2.61 2.61
23-Apr-14 8.28 -0.08 8.20 8.20
27-Jan-14 -7.58 -0.44 -7.99 7.99
28-Oct-13 1.21 -3.65 -2.49 2.49
23-Jul-13 4.76 0.36 5.14 5.14
23-Apr-13 -3.10 3.03 -0.16 0.16
23-Jan-13 -10.51 -2.07 -12.36 12.36
25-Oct-12 -0.02 -0.89 -0.91 0.91
24-Jul-12 -4.40 0.09 -4.32 4.32
24-Apr-12 9.88 -0.92 8.87 8.87
24-Jan-12 8.09 -1.71 6.24 6.24
18-Oct-11 -4.95 -0.68 -5.59 5.59
19-Jul-11 5.11 -2.33 2.67 2.67
20-Apr-11 3.68 -1.21 2.42 2.42
18-Jan-11 2.26 -2.73 -0.53 0.53
18-Oct-10 -4.59 2.01 -2.68 2.68
20-Jul-10 5.24 -4.09 0.93 0.93
20-Apr-10 5.81 0.16 5.98 5.98
25-Jan-10 1.42 0.00 1.41 1.41
19-Oct-09 5.66 -0.92 4.69 4.69
21-Jul-09 4.14 -0.67 3.45 3.45
22-Apr-09 4.21 -0.96 3.20 3.20
21-Jan-09 6.29 0.36 6.68 6.68
21-Oct-08 6.43 -0.51 5.88 5.88
21-Jul-08 -10.40 8.74 -2.57 2.57
23-Apr-08 1.50 2.18 3.71 3.71
22-Jan-08 -12.50 2.11 -10.65 10.65
22-Oct-07 8.14 -1.27 6.77 6.77
25-Jul-07 6.30 0.06 6.37 6.37
25-Apr-07 6.53 -2.70 3.66 3.66
17-Jan-07 -3.00 -3.29 -6.19 6.19
18-Oct-06 6.35 -0.34 5.98 5.98
19-Jul-06 12.68 -0.75 11.83 11.83
19-Apr-06 5.88 -2.70 3.02 3.02
18-Jan-06 -1.50 -2.72 -4.18 4.18
11-Oct-05 -5.70 1.23 -4.54 4.54
13-Jul-05 6.36 -0.10 6.26 6.26
13-Apr-05 -5.43 -3.99 -9.21 9.21
12-Jan-05 12.60 -5.30 6.63 6.63
13-Oct-04 8.65 4.14 13.16 13.16
14-Jul-04 10.41 0.83 11.32 11.32
14-Apr-04 8.18 1.67 9.98 9.98
14-Jan-04 -5.33 -0.26 -5.58 5.58
15-Oct-03 -4.11 -2.31 -6.33 6.33
16-Jul-03 1.61 3.52 5.18 5.18
16-Apr-03 -0.30 -0.61 -0.91 0.91
15-Jan-03 -1.52 2.89 1.32 1.32
16-Oct-02 -2.40 -0.70 -3.09 3.09
16-Jul-02 -9.69 -3.10 -12.49 12.49
17-Apr-02 -2.34 -0.35 -2.68 2.68
16-Jan-02 5.68 2.37 8.18 8.18
17-Oct-01 1.77 4.11 5.94 5.94
17-Jul-01 -13.23 -4.55 -17.17 17.17
18-Apr-01 12.11 0.67 12.86 12.86
17-Jan-01 5.95 4.91 11.15 11.15
18-Oct-00 -4.81 -1.14 -5.90 5.90
18-Jul-00 -3.60 -4.53 -7.97 7.97
19-Apr-00 2.12 -3.89 -1.86 1.86
19-Jan-00 8.39 -1.73 6.51 6.51

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when $GDX down for 5 days in row

when $GDX down for 5 days in row

$GDX 21-Jul-2015 stockchart

with $GDX down by 5 days in row , below the trading odds for $GDX longs !! , for the next 1/2/3/4/5/10/20 trading odds , whenever $GDX is down by 5 or more days in row , since $GDX IPO (22th May 2006)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 46 26 56.5 0.79 0.74 3.67 -2.95 1.24 -14.27 1.14 1.00
t+2 46 26 56.5 1.52 1.02 5.19 -3.25 1.60 -13.98 1.41 1.50
t+3 46 27 58.7 1.92 1.19 5.79 -3.58 1.62 -17.38 1.51 1.63
t+4 46 27 58.7 2.14 1.51 6.06 -3.44 1.76 -18.92 1.66 1.74
t+5 46 26 56.5 3.01 1.37 7.16 -2.38 3.01 -7.43 2.81 2.47
t+10 46 33 71.7 4.39 3.72 8.64 -6.39 1.35 -27.86 3.25 2.99
t+20 44 28 63.6 5.75 5.05 13.59 -7.96 1.71 -38.23 2.16 2.45
1st +’ve exit in 5 days 46 39 84.8 2.24 1.87 3.22 -3.25 0.99 -7.43 3.61 3.26

39/46  times  $GDX closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 224 basis points at the 1st positive close within in the next five trading days , since $GDX IPO 

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

2) trading odds for $GDX , since 2009 , when down by 5 or more days in row ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 32 17 53.1 0.71 0.49 3.04 -1.94 1.57 -5.85 1.42 1.25
t+2 32 20 62.5 1.31 1.09 3.65 -2.61 1.40 -6.31 1.68 1.84
t+3 32 20 62.5 1.73 1.62 4.17 -2.34 1.79 -6.45 1.92 2.15
t+4 32 18 56.3 1.66 1.17 4.86 -2.46 1.98 -5.19 1.87 1.87
t+5 32 19 59.4 2.94 2.32 6.19 -1.81 3.41 -5.07 4.39 3.07
t+10 32 25 78.1 5.93 4.72 8.51 -3.29 2.59 -8.16 10.09 4.42
t+20 30 20 66.7 6.49 5.05 11.31 -3.14 3.61 -6.79 3.97 3.92
1st +’ve exit in 5 days 32 29 90.6 2.23 1.87 2.70 -2.31 1.17 -4.05 7.03 4.92

before you ask again at the close of today !! in-case , 2) trading odds for $GDX , since IPO when down by 6 or more days in row ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 20 13 65.0 1.07 1.87 3.04 -2.59 1.18 -5.85 1.69 1.39
t+2 20 12 60.0 1.59 1.09 3.98 -2.00 2.00 -5.86 2.06 1.78
t+3 20 13 65.0 2.38 1.72 5.15 -2.76 1.86 -5.42 2.10 2.01
t+4 20 14 70.0 3.69 2.99 5.94 -1.57 3.78 -3.58 6.44 3.22
t+5 20 14 70.0 4.80 4.17 7.43 -1.33 5.60 -3.75 9.74 3.73
t+10 20 17 85.0 6.28 4.97 9.19 -10.22 0.90 -23.32 5.35 2.75
t+20 19 12 63.2 5.80 6.83 13.53 -7.46 1.81 -25.04 2.05 2.03
1st +’ve exit in 5 days 19 19 100.0 3.13 2.58 3.13 NA NA 0.35 NA 6.33

also do note that $GDX had 7 instances of 7 or more down days in row , & 3 instances of 8 or more down days , & 1 instance of 9 or more down days , as on 15 Feb 2012 ..

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when $GLD down for 5 days in row

when $GLD down for 5 days in row

$GLD stock chart , 20-Jul-2015below the trading odds for $GLD , for the next 1/2/3/4/5/10/20 trading days ,  when down for 5 days in row , data since Jan 2009

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 24 13 54.2 0.00 0.11 0.83 -0.97 0.85 -2.25 0.69 0.00
t+2 24 12 50.0 0.01 -0.03 1.21 -1.19 1.02 -2.80 0.81 0.04
t+3 24 13 54.2 0.27 0.37 1.39 -1.06 1.31 -3.93 1.37 0.86
t+4 24 14 58.3 0.26 0.36 1.34 -1.25 1.07 -2.13 1.22 0.80
t+5 24 13 54.2 0.03 0.21 1.28 -1.46 0.88 -3.25 0.92 0.07
t+10 24 11 45.8 0.65 -0.07 3.26 -1.57 2.08 -3.87 1.47 1.11
t+20 23 16 69.6 1.45 1.07 3.47 -3.16 1.10 -6.98 2.09 1.72
1st +’ve exit in 5 days 24 23 95.8 0.75 0.46 0.80 -0.37 2.16 -0.37 49.12 4.15

23/24 times  $GLD closed at higher than the current close in the next five trading days .. with an average loss of 75 basis points at the 1st positive close within in the next five trading days.

below the $GLD returns over the next 1/2/3/4/5/ trading days when $GLD is down for 5 or more days in row , since 2009 ,

Date $GLD t+1% t+2% t+3% t+4% t+5% 1st +’ve Cls in 5 days %
17-Jul-15 108.65 ?? ?? ?? ?? ?? ??
25-Jun-15 112.44 0.11 0.56 -0.06 -0.41 -0.60 0.11
06-Mar-15 111.86 0.10 -0.39 -0.99 -1.02 -0.88 0.10
21-Aug-14 122.88 0.25 -0.11 0.38 0.36 0.91 0.25
02-Jun-14 119.70 0.26 0.05 0.80 0.76 0.79 0.26
30-May-14 120.43 -0.61 -0.35 -0.56 0.19 0.15 0.19
01-Apr-14 123.39 0.75 0.43 1.77 1.23 2.19 0.75
05-Nov-13 126.56 0.51 -0.32 -1.80 -2.13 -3.25 0.51
04-Nov-13 126.81 -0.20 0.31 -0.51 -2.00 -2.32 0.31
06-Aug-13 123.97 0.15 2.33 2.33 4.16 3.04 0.15
05-Aug-13 125.70 -1.38 -1.23 0.92 0.92 2.73 0.92
02-Aug-13 126.36 -0.52 -1.89 -1.75 0.40 0.40 0.40
17-May-13 131.07 3.09 1.38 0.66 2.70 2.05 3.09
16-May-13 134.09 -2.25 0.77 -0.90 -1.60 0.39 0.77
15-May-13 134.63 -0.40 -2.64 0.36 -1.30 -2.00 0.36
20-Feb-13 151.44 0.78 1.01 1.91 3.16 2.07 0.78
07-Jan-11 133.58 0.40 1.00 1.41 0.35 -0.67 0.40
10-Mar-10 108.47 0.12 -0.48 -0.10 1.78 1.03 0.12
11-Dec-09 109.32 0.84 0.81 2.08 -1.81 -0.34 0.84
10-Dec-09 110.82 -1.35 -0.52 -0.55 0.69 -3.14 0.69
09-Dec-09 110.84 -0.02 -1.37 -0.54 -0.57 0.68 0.68
04-Mar-09 88.99 3.37 3.71 1.78 -0.96 0.26 3.37
03-Mar-09 90.04 -1.17 2.17 2.50 0.59 -2.11 2.17
02-Mar-09 90.93 -0.98 -2.13 1.17 1.50 -0.40 1.17
27-Feb-09 92.63 -1.84 -2.80 -3.93 -0.69 -0.37 -0.37

highlighted in red is the only instance when $GLD failed to close higher than the entry over next five trading days .

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