when $DIA posts an NR7ID on thu ?

when $DIA posts an NR7ID on thu ?

with the aid of $DIA tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention , and the trading strategy rules

1) $DIA posts an NR7 ( that is current days range ( high minus low ) is the lowest in the seven trading days including current trading day ) ID ( inside day , a lower high and higher low , that is current days high less than prev days high and current days low is greater than prev days low ) , and in short is called an NR7ID day

2) current trading day is thursday

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

$DIA posts NR7ID on thu , since Y2K

or for editable purposes

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 26 16 61.5 0.27 0.22 0.91 -0.75 1.21 -1.35 1.51 1.32
t+2% 26 15 57.7 0.38 0.19 1.05 -0.52 2.00 -0.88 1.92 1.66
t+3% 26 14 53.8 0.34 0.02 1.30 -0.78 1.66 -3.63 1.49 1.15
t+4% 26 13 50.0 -0.01 0.02 1.00 -1.01 0.98 -3.16 0.67 -0.03
t+5% 26 13 50.0 -0.34 -0.09 1.05 -1.72 0.61 -5.80 0.44 -0.87
t+10% 26 13 50.0 -0.11 -0.03 2.01 -2.22 0.90 -6.44 0.74 -0.21
t+20% 26 12 46.2 -0.85 -0.61 3.31 -4.40 0.75 -15.13 0.59 -0.87
1st +’ve in 5 days 26 25 96.2 0.66 0.32 0.71 -0.71 1.01 -0.71 22.27 4.39

25/26 times , since Y2K , $DIA closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 66 bps 

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

below prior $DIA instances of NR7ID and the returns over the next 1/2/3/4/5 trading days , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls
22-Jun-17 213.73 ?? ?? ?? ?? ?? ?? ??
22-Aug-13 136.83 0.29 -0.13 -1.27 -0.91 -0.77 0.29 1
31-Mar-11 106.06 0.36 0.60 0.51 0.93 0.72 0.36 1
27-Jan-11 102.69 -1.35 -0.87 0.38 0.39 0.61 0.38 3
4-Mar-10 87.53 1.21 1.04 1.15 1.21 1.70 1.21 1
30-Oct-08 74.30 1.08 1.01 4.01 -0.70 -5.80 1.08 1
22-May-08 100.16 -1.12 -0.47 -0.14 0.17 0.09 0.17 4
20-Dec-07 104.26 1.47 2.21 2.28 0.97 0.77 1.47 1
3-May-07 102.67 0.26 0.49 0.55 0.89 0.08 0.26 1
22-Mar-07 96.43 0.19 -0.07 -0.46 -1.17 -0.92 0.19 1
22-Dec-05 82.01 0.04 -0.88 -0.79 -0.95 -1.62 0.04 1
25-Aug-05 78.20 -0.52 0.18 -0.43 0.42 0.14 0.18 2
31-Mar-05 77.91 -0.89 -0.73 -0.37 0.04 0.51 0.04 4
3-Feb-05 78.29 1.03 1.05 1.28 0.79 1.51 1.03 1
18-Nov-04 77.92 -1.03 -0.81 -0.63 -0.59 -0.71 -0.71 5
26-Aug-04 74.59 0.28 -0.46 0.01 0.00 1.14 0.28 1
10-Jun-04 75.97 -0.62 -0.13 -0.25 -0.29 0.07 0.07 5
4-Mar-04 76.81 0.29 -0.66 -1.18 -2.89 -4.15 0.29 1
12-Feb-04 77.63 -0.55 0.21 -0.12 -0.18 -0.57 0.21 2
5-Jun-03 64.74 0.14 -0.56 0.32 1.51 1.87 0.14 1
14-Mar-02 73.34 0.87 0.41 1.39 -0.27 -0.63 0.87 1
28-Feb-02 70.36 2.71 4.76 3.64 4.78 4.46 2.71 1
23-Aug-01 70.65 2.12 1.43 -0.13 -1.23 -3.11 2.12 1
11-Jan-01 72.35 -0.57 0.47 0.03 0.73 -0.25 0.47 2
2-Nov-00 74.02 -0.39 1.27 1.01 0.11 -0.39 1.27 2
6-Apr-00 75.33 -0.45 0.58 1.65 -0.81 -2.14 0.58 2
2-Mar-00 68.65 2.16 0.03 -3.63 -3.16 -1.34 2.16 1

highlighted in red is the one instance where $DIA failed to close above the entry , over the next five days at close

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when $SPY lost more than 1stdev(50) on a tuesday

$SPY lost more than 1stdev(50) on a tue

with the aid of $SPY tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention

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

$SPY lost by more than 1 stdev(50) on a tue

ps: clicking the above image will take to the details of historical trades , of the $spy turn around trading strategy!

38/38 times , since last 4 years, $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 82 bps , and a median of 69 bps 

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

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$QQQ monday momentum pattern on 19th jun 2017

$QQQ monday momentum pattern

$QQQ monday momentum trading pattern

with $QQQ , at the time of writing , trading at 140.45 , and posting best one day percentage gain in a month ,

below trading strategy rules ,

1) $QQQ posts best one day percentage gain in a month ( i.e 20 trading days) as on current trading at close

2) current trading day is monday

3) $QQQ close is above 200 DMA

below the trading odds for $QQQ 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% 21 15 71.4 0.53 0.32 0.85 -0.28 3.07 -0.89 3.74 2.63
t+2% 21 16 76.2 0.44 0.48 0.80 -0.73 1.10 -1.27 2.56 2.24
t+3% 21 12 57.1 0.18 0.23 1.18 -1.14 1.03 -2.65 1.38 0.63
t+4% 21 12 57.1 0.16 0.82 1.55 -1.69 0.92 -5.44 1.19 0.36
t+5% 21 17 81.0 0.89 0.95 1.43 -1.45 0.99 -2.16 3.12 2.81
t+10% 21 16 76.2 1.11 1.51 2.43 -3.12 0.78 -6.51 2.56 1.71
t+20% 21 17 81.0 1.76 2.29 2.90 -3.07 0.94 -7.49 5.44 2.60
1st +’ve in 5 days 21 20 95.2 0.68 0.49 0.82 -2.16 0.38 -2.16 3.55 3.02

20/21 times , since Y2K, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 68 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 $QQQ returns , over the next 1/2/3/4/5 trading days , when on monday posts , biggest one day percentage gainer in a month , during close > 200 dma , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
19-Jun-17 ~140.45 ?? ?? ?? ?? ?? ?? ??
24-Apr-17 133.80 0.72 0.58 1.19 1.36 2.27 0.72 1
17-Apr-17 131.12 -0.15 0.01 0.84 0.82 2.04 0.01 2
7-Nov-16 115.45 0.65 1.12 -0.52 -0.47 -1.48 0.65 1
24-Oct-16 118.65 -0.32 -1.00 -1.45 -2.07 -2.16 -2.16 5
12-Sep-16 115.14 -0.89 -0.42 1.13 1.08 0.64 1.13 3
13-Jul-15 107.23 0.66 0.77 2.19 3.70 4.05 0.66 1
20-Apr-15 105.08 0.43 0.98 1.36 2.73 2.47 0.43 1
16-Mar-15 103.97 0.16 1.14 1.29 1.95 1.75 0.16 1
12-May-14 85.22 0.07 -0.45 -1.24 -0.59 0.10 0.07 1
9-Sep-13 74.23 0.49 0.30 0.23 0.30 0.03 0.49 1
31-Dec-12 61.78 3.18 2.64 2.30 2.33 2.13 3.18 1
21-May-12 58.66 -0.11 0.08 -0.58 -0.70 0.56 0.08 2
3-Jan-11 51.34 -0.07 0.78 1.10 1.01 1.39 0.78 2
10-May-10 43.98 -0.10 1.78 0.17 -1.76 -1.44 1.78 2
5-Apr-10 44.75 0.29 0.04 0.27 0.86 0.95 0.29 1
18-May-09 31.37 0.47 0.12 -1.72 -2.04 1.61 0.47 1
31-Jan-05 33.76 0.32 0.48 -0.67 0.94 0.72 0.32 1
7-Jun-04 33.13 0.13 -1.27 -0.57 -1.97 -0.70 0.13 1
18-Aug-03 28.57 1.25 1.00 2.10 1.47 1.69 1.25 1
7-Jul-03 28.50 1.22 0.97 -0.91 -0.16 1.03 1.22 1
17-Apr-00 80.11 2.65 -0.49 -2.65 -5.44 0.94 2.65 1
  • highlighted in red were those instances when $QQQ failed to close higher in the next five days

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$SPY post june opex – very bearish since Y2K

$SPY post june opex – very bearish

$SPY post June Opex , since Y2K

trading strategy rules

 1) current day is june opex day

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% 17 7 41.2 -0.22 -0.10 0.53 -0.75 0.70 -3.00 0.50 -0.99
t+2% 17 8 47.1 -0.20 -0.05 0.73 -1.03 0.71 -2.92 0.68 -0.71
t+3% 17 10 58.8 -0.16 0.17 0.67 -1.34 0.50 -2.24 0.75 -0.57
t+4% 17 7 41.2 -0.29 -0.26 0.97 -1.18 0.82 -3.86 0.40 -0.85
t+5% 17 3 17.6 -0.89 -0.47 0.62 -1.21 0.51 -3.45 0.05 -3.05
t+10% 17 8 47.1 -0.44 -0.66 2.05 -2.66 0.77 -8.53 0.58 -0.59
t+20% 17 10 58.8 -0.38 0.82 2.50 -4.50 0.56 -17.20 0.94 -0.31
1st -‘ve cls in 5 days 17 17 100.0 0.84 -0.66 -0.84 INF INF -0.03 INF 4.55

17/17 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 84 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 16th Jun 2017 close ) , or at the end of the 5th trading day at close

 

below the returns of $SPY from june opex day close , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve cls in 5 days % # days to 1st -‘ve cls in 5 days
16-Jun-17 242.64 ?? ?? ?? ?? ?? ?? ??
17-Jun-16 202.41 0.64 0.93 0.77 2.08 -1.59 -1.59 5
19-Jun-15 202.23 0.51 0.58 -0.15 -0.45 -0.47 -0.15 3
20-Jun-14 184.34 -0.03 -0.63 -0.18 -0.26 -0.06 -0.03 1
21-Jun-13 146.77 -1.26 -0.31 0.67 1.26 0.85 -1.26 1
15-Jun-12 121.06 0.19 1.16 1.00 -1.27 -0.51 -1.27 4
17-Jun-11 112.27 0.51 1.89 1.28 0.98 -0.19 -0.19 5
18-Jun-10 96.79 -0.29 -1.93 -2.24 -3.86 -3.45 -0.29 1
19-Jun-09 78.24 -3.00 -2.92 -2.09 0.04 -0.22 -3.00 1
20-Jun-08 108.91 -0.10 -0.30 0.17 -2.55 -3.08 -0.10 1
15-Jun-07 124.19 -0.12 0.13 -1.26 -0.71 -1.65 -0.12 1
16-Jun-06 99.31 -0.79 -0.45 0.29 -0.15 -0.17 -0.79 1
17-Jun-05 94.97 0.03 0.09 0.17 -1.24 -1.96 -1.24 4
18-Jun-04 87.18 -0.38 0.12 0.99 0.67 0.18 -0.38 1
20-Jun-03 75.11 -1.03 -0.93 -1.92 -0.64 -1.79 -1.03 1
21-Jun-02 73.72 0.52 -1.73 -1.57 0.15 -0.32 -1.73 2
15-Jun-01 89.27 -0.48 -0.05 0.48 1.62 0.82 -0.48 1
16-Jun-00 106.21 1.28 0.92 0.87 -0.66 -1.51 -0.66 4

will it be a straight 19th winner ? ( this streak started from 18th Jun 1999 #FYI)

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$QQQ trade-idea with 51/55 wins since 2007

$QQQ trade-idea with 51/55 wins

$QQQ when down on 11th trading day , since 2007

with $QQQ underwater ( by about ~80 bps) ,after the trade idea presented  yesterday , we looked at the logical extension of that trade , and , below are the trading strategy rules

1) current trading day is 11th trading day of the month
2) and $QQQ is down for the day

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2007 ( last 10 years reference period)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 55 34 61.8 0.47 0.30 1.25 -0.78 1.60 -2.41 1.84 2.33
t+2% 55 31 56.4 0.38 0.30 1.45 -1.00 1.45 -5.32 1.77 1.62
t+3% 55 39 70.9 0.66 0.76 1.74 -1.99 0.88 -9.90 2.42 1.96
t+4% 55 41 74.5 1.00 0.93 2.01 -1.97 1.02 -5.99 3.78 3.11
t+5% 55 40 72.7 1.41 1.27 2.43 -1.31 1.86 -3.32 5.03 4.27
t+10% 55 38 69.1 1.63 1.66 3.25 -1.99 1.63 -8.90 3.56 3.65
t+20% 55 37 67.3 1.53 1.77 4.43 -4.43 1.00 -12.62 1.98 2.17
1st +’ve in 5 days 55 51 92.7 0.88 0.65 1.06 -1.40 0.76 -2.48 9.59 4.90

51/55 times , since 2007, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 88 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 $QQQ returns , over the next 1/2/3/4/5 trading days , when on 11th trading day it closed down , since 2007

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
15-Jun-17 ~138.81 ?? ?? ?? ?? ?? ?? ??
18-Apr-17 131.28 0.16 1.00 0.98 2.19 2.93 0.16 1
17-Oct-16 116.23 0.89 0.88 0.76 1.14 2.35 0.89 1
16-Sep-16 116.70 -0.43 -0.25 0.73 1.53 0.89 0.73 3
15-Jun-16 106.63 0.30 -0.88 -0.25 0.06 -0.18 0.30 1
15-Apr-16 109.52 0.53 -0.08 0.00 0.01 -1.50 0.53 1
15-Mar-16 105.24 0.89 0.83 0.99 1.39 1.70 0.89 1
15-Jun-15 105.97 0.55 0.82 2.29 1.79 2.54 0.55 1
16-Apr-15 105.46 -1.56 -0.08 0.34 0.89 1.27 0.34 3
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
17-Nov-14 100.17 0.75 0.29 0.74 0.93 1.72 0.75 1
15-Oct-14 89.91 -0.63 0.68 2.19 4.87 4.33 0.68 2
15-May-14 84.39 0.65 1.35 0.99 1.95 2.40 0.65 1
15-Oct-13 76.24 1.13 1.71 3.36 3.59 3.74 1.13 1
15-Aug-13 72.22 -0.04 -0.21 0.23 -0.12 0.86 0.23 3
16-Jul-13 72.08 0.25 0.00 -1.03 -0.74 -1.47 0.25 1
15-Apr-13 65.36 1.33 -0.66 -2.03 -0.69 0.34 1.33 1
15-Mar-13 65.31 -0.22 -0.41 0.29 -0.85 0.12 0.29 3
15-Feb-13 64.44 0.72 -0.83 -1.89 -0.90 -2.13 0.72 1
15-Nov-12 58.67 0.44 2.82 2.85 3.06 4.63 0.44 1
15-May-12 59.63 -0.68 -2.78 -4.04 -1.36 -1.47 -1.47 5
15-Feb-12 58.97 1.37 1.05 1.34 0.88 1.55 1.37 1
15-Dec-11 51.23 0.51 -0.47 2.48 1.01 1.87 0.51 1
17-Oct-11 53.61 1.24 -0.72 -1.20 0.03 2.11 1.24 1
18-Jul-11 53.75 2.28 1.84 2.52 3.58 3.37 2.28 1
15-Jun-11 50.60 -0.39 -0.70 -0.18 1.96 1.22 1.96 4
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
15-Apr-11 52.80 -0.71 -0.09 2.17 2.98 3.25 2.17 3
15-Mar-11 51.65 -2.41 -1.51 -1.74 0.16 -0.02 0.16 4
15-Feb-11 54.45 0.65 0.62 0.39 -2.51 -3.32 0.65 1
15-Dec-10 50.31 0.78 0.86 0.94 1.55 1.53 0.78 1
15-Nov-10 48.59 -1.64 -1.36 0.23 0.31 1.15 0.23 3
16-Jul-10 41.09 0.86 2.07 0.68 3.23 3.88 0.86 1
16-Apr-10 45.72 -0.06 0.44 1.01 1.57 2.00 0.44 2
15-Mar-10 43.56 0.64 0.91 1.25 0.64 1.55 0.64 1
15-Dec-09 40.78 0.14 -1.08 0.53 1.66 2.27 0.14 1
15-Oct-09 39.64 -0.65 0.35 0.37 0.19 0.58 0.35 2
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
15-Jun-09 32.98 -0.97 -0.03 -0.22 0.85 -2.16 0.85 4
15-May-09 30.65 2.61 3.09 2.73 0.84 0.51 2.61 1
16-Mar-09 25.92 3.79 5.10 5.02 3.43 9.52 3.79 1
17-Feb-09 26.80 0.07 -1.47 -1.20 -4.65 -1.51 0.07 1
15-Dec-08 26.70 4.80 3.53 1.71 2.55 0.32 4.80 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
15-Oct-08 28.02 5.42 5.56 8.50 2.88 0.03 5.42 1
15-Aug-08 44.07 -1.16 -2.39 -2.22 -2.68 -1.39 -1.39 5
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
15-Feb-08 40.04 -0.18 0.27 -0.68 -0.32 0.18 0.27 2
16-Jan-08 42.08 -1.39 -1.52 -4.06 -4.43 -2.48 -2.48 5
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
15-Nov-07 45.48 0.92 -0.24 0.16 -1.02 0.04 0.92 1
15-Oct-07 48.49 -0.47 0.81 1.24 -1.28 -0.09 0.81 2
15-Aug-07 41.88 -0.98 0.89 1.37 2.44 3.83 0.89 2
15-May-07 42.03 0.98 0.50 1.32 1.97 2.06 0.98 1
15-Mar-07 39.08 -0.08 0.95 1.67 3.63 3.26 0.95 2
18-Jan-07 40.16 0.20 -0.88 -1.13 0.50 -0.79 0.20 1

40/41 times , since 2009 ,  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 79 bps 

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$QQQ from 10th trading day close since 2014

$QQQ  from 10th trading day close

$QQQ from 10th trading day close , since 2014

with 14th Jun 2017 , being 10th trading day of the month , below trading strategy rules

 1)  current day is 10th trading day of the month

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2014

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 41 28 68.3 0.40 0.33 0.74 -0.34 2.16 -1.03 4.37 3.64
t+2% 41 29 70.7 0.55 0.32 1.07 -0.70 1.53 -2.62 3.33 2.82
t+3% 41 32 78.0 0.78 0.56 1.18 -0.65 1.81 -1.83 5.19 4.07
t+4% 41 34 82.9 1.03 0.69 1.45 -0.98 1.47 -3.10 5.97 4.63
t+5% 41 34 82.9 1.16 1.15 1.74 -1.64 1.06 -7.34 4.34 3.70
t+10% 41 32 78.0 1.39 1.46 2.48 -2.47 1.00 -6.36 3.23 3.18
t+20% 41 26 63.4 1.37 0.96 3.48 -2.29 1.52 -8.44 2.38 2.30
1st +’ve in 5 days 41 41 100.0 0.64 0.56 0.64 INF INF 0.01 NA 7.83

41/41 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 64bps

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

below the returns of $QQQ from 10th trading day at close , since 2014

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
14-Jun-17 ?? ?? ?? ?? ?? ?? ?? ??
12-May-17 138.60 0.32 0.74 -1.83 -0.97 -0.55 0.32 1
17-Apr-17 131.48 -0.15 0.01 0.84 0.82 2.04 0.01 2
14-Mar-17 131.02 0.62 0.55 0.51 0.60 -0.92 0.62 1
14-Feb-17 128.26 0.59 0.56 1.00 1.49 1.53 0.59 1
17-Jan-17 122.54 0.20 0.15 0.37 0.46 1.13 0.20 1
14-Dec-16 119.61 0.16 -0.21 0.20 0.58 0.50 0.16 1
14-Nov-16 114.05 1.39 1.99 2.73 2.35 3.41 1.39 1
14-Oct-16 116.55 -0.27 0.61 0.61 0.49 0.86 0.61 2
15-Sep-16 116.76 -0.05 -0.48 -0.29 0.69 1.49 0.69 4
12-Aug-16 116.32 0.43 -0.13 0.05 0.08 0.05 0.43 1
15-Jul-16 110.96 0.66 0.30 1.47 1.23 1.65 0.66 1
14-Jun-16 106.93 -0.29 0.01 -1.16 -0.54 -0.23 0.01 2
13-May-16 104.43 1.25 -0.02 0.34 -0.18 0.92 1.25 1
14-Apr-16 109.80 -0.25 0.28 -0.33 -0.25 -0.24 0.28 2
14-Mar-16 105.28 -0.04 0.85 0.80 0.95 1.35 0.85 2
12-Feb-16 96.74 2.25 4.57 3.38 3.68 5.37 2.25 1
15-Jan-16 99.52 0.22 -0.09 0.01 2.91 1.38 0.22 1
14-Dec-15 109.84 0.61 2.11 0.62 -1.31 -0.22 0.61 1
13-Nov-15 108.07 1.44 1.50 3.45 3.52 4.22 1.44 1
14-Oct-15 104.23 1.64 2.07 2.65 2.12 1.50 1.64 1
15-Sep-15 104.52 0.56 0.60 -0.83 -0.52 -2.01 0.56 1
14-Aug-15 108.47 0.83 0.32 -0.34 -3.10 -7.34 0.83 1
15-Jul-15 108.34 1.41 2.91 3.26 3.20 2.03 1.41 1
12-Jun-15 106.50 -0.50 0.05 0.32 1.78 1.28 0.05 2
14-May-15 107.31 0.00 0.44 0.33 0.39 0.91 0.44 2
15-Apr-15 105.61 -0.14 -1.70 -0.22 0.20 0.75 0.20 4
13-Mar-15 102.92 1.29 1.45 2.45 2.60 3.27 1.29 1
13-Feb-15 104.46 0.09 0.23 0.73 1.40 1.51 0.09 1
15-Jan-15 97.36 1.17 1.98 2.50 4.40 4.63 1.17 1
12-Dec-14 99.94 -1.03 -2.62 -0.85 1.54 1.99 1.54 4
14-Nov-14 100.48 -0.30 0.45 -0.01 0.44 0.63 0.45 2
14-Oct-14 90.50 -0.65 -1.27 0.03 1.53 4.19 0.03 3
15-Sep-14 95.67 0.87 1.03 1.79 1.72 0.78 0.87 1
14-Aug-14 94.13 0.48 1.26 1.83 1.83 2.03 0.48 1
15-Jul-14 92.75 0.40 -0.93 0.64 0.51 1.15 0.40 1
13-Jun-14 89.41 0.09 0.14 0.70 0.64 0.76 0.09 1
14-May-14 85.06 -0.79 -0.14 0.56 0.19 1.15 0.56 3
14-Apr-14 82.10 0.33 1.66 1.69 2.44 3.26 0.33 1
14-Mar-14 85.68 0.88 2.10 1.55 1.83 0.60 0.88 1
14-Feb-14 86.42 0.49 -0.20 0.27 0.13 0.67 0.49 1
15-Jan-14 85.04 0.01 -0.55 0.20 0.46 0.12 0.01 1

will it be a straight 46th winner ? ( this never losing streak started from 16th Sep 2013 #FYI)

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tickalert

$SPY on the day of rate hike

$SPY on the day of rate hike

CME FedWatch Tool

With the CME FedWatch tool currently projecting a probability of nearly 96% for a rate hike at the June 14 meeting , below a look at the $SPY behavior on the day when fed hikes rates , since Y2K

Date Close Prv Close Change Change %
15-Mar-17 237.91 235.87 2.04 0.86
14-Dec-16 223.58 225.44 -1.86 -0.83
16-Dec-15 201.57 198.67 2.90 1.46
29-Jun-06 101.89 99.87 2.02 2.02
10-May-06 105.65 105.71 -0.06 -0.06
28-Mar-06 103 103.64 -0.64 -0.62
31-Jan-06 101.22 101.97 -0.75 -0.74
13-Dec-05 100.54 99.86 0.68 0.68
1-Nov-05 95.15 94.87 0.28 0.30
20-Sep-05 96.39 97.21 -0.82 -0.84
9-Aug-05 97.03 96.45 0.58 0.60
30-Jun-05 93.72 94.23 -0.51 -0.54
3-May-05 91.32 91.17 0.15 0.16
22-Mar-05 91.56 92.5 -0.94 -1.02
2-Feb-05 93.05 92.77 0.28 0.30
14-Dec-04 93.79 93.47 0.32 0.34
10-Nov-04 90.56 90.49 0.07 0.08
21-Sep-04 87.45 87.07 0.38 0.44
10-Aug-04 83.56 82.5 1.06 1.28
30-Jun-04 88.3 87.83 0.47 0.54
16-May-00 106.54 105.52 1.02 0.97
21-Mar-00 108.36 106.18 2.18 2.05
2-Feb-00 102.2 102.11 0.09 0.09
# 23 23
%wins 69.57 69.57
avg 0.39 0.33
med 0.28 0.30
avg win 0.91 0.76
avg loss -0.80 -0.66
max loss -1.86 -1.02
stdevp 1.10 0.85
t-test 1.70 1.85

$SPY gained 16/23 times , on the day when fed hiked the rates , at an avg of 33 bps , a median of 30 bps , with avg gain at 76 bps , and avg loss at 66 bps . the worst one day loss on the day when fed hiked was 102 bps on 22 March 2005

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tickalert

$SPY ahead of #fedday during #midmonth

$SPY ahead of #fedday during #midmonth

$SPY into #fedday during mid month , since Y2K

as on 13th JUn 2017 , with $spy heading into #fedday , below trading strategy rules

  1. tomorrow / next trading day is #fedday
  2. current trading day is either 9/10/11 th trading day of the month

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% 23 19 82.6 0.92 0.58 1.23 -0.58 2.11 -1.15 5.64 3.21
t+2% 23 14 60.9 0.45 0.67 1.53 -1.22 1.25 -2.98 1.39 1.27
t+3% 23 14 60.9 0.53 0.37 1.54 -1.04 1.49 -1.86 1.43 1.65
t+4% 23 14 60.9 0.67 0.38 1.96 -1.35 1.46 -3.19 1.36 1.46
t+5% 23 13 56.5 0.39 0.20 1.67 -1.27 1.32 -3.59 1.04 0.89
t+10% 23 12 52.2 0.17 1.04 2.31 -2.18 1.06 -6.72 0.77 0.28
t+20% 23 15 65.2 0.26 1.59 2.68 -4.27 0.63 -15.12 0.88 0.28
1st +’ve in 5 days% 23 21 91.3 0.91 0.58 1.13 -1.40 0.81 -2.78 4.17 2.99

21/23 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 91 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 performance of $SPY ahead of fed day , when the prior day is either 9/10/11’th trading day of the month ,since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
13-Jun-17 244.53 ?? ?? ?? ?? ?? ?? ??
14-Mar-17 235.87 0.87 0.67 0.49 0.38 -0.91 0.87 1
13-Dec-16 225.44 -0.83 -0.42 -0.61 -0.40 -0.01 -0.01 5
14-Jun-16 203.83 -0.14 0.16 -0.21 0.43 0.71 0.16 2
15-Mar-16 197.06 0.58 1.22 1.61 1.76 1.70 0.58 1
15-Dec-15 198.67 1.46 -0.08 -1.86 -1.05 -0.16 1.46 1
16-Sep-15 192.97 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 5
16-Sep-14 189.53 0.13 0.67 0.58 -0.20 -0.77 0.13 1
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
14-Mar-11 114.42 -1.15 -2.98 -1.69 -1.33 0.20 0.20 5
13-Dec-10 109.02 0.09 -0.37 0.21 0.32 0.56 0.09 1
15-Mar-10 99.65 0.80 1.39 1.34 0.83 1.37 0.80 1
15-Dec-09 95.57 0.15 -1.05 -0.49 0.52 0.88 0.15 1
15-Dec-08 73.41 4.71 3.69 1.75 1.32 0.02 4.71 1
15-Sep-08 99.88 1.67 -2.90 -0.02 3.95 1.60 1.67 1
17-Mar-08 105.66 4.15 1.57 3.46 5.52 5.63 4.15 1
17-Sep-07 120.75 2.94 3.55 2.82 3.10 2.91 2.94 1
13-Dec-04 93.47 0.35 0.42 0.37 -0.30 -0.28 0.35 1
15-Mar-04 85.12 0.53 1.65 1.68 0.22 -1.05 0.53 1
15-Sep-03 77.49 1.46 1.26 2.46 1.94 0.84 1.46 1
17-Mar-03 65.36 0.59 1.36 1.58 3.75 0.30 0.59 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
14-Nov-00 101.54 0.31 -1.26 -1.79 -3.19 -2.70 0.31 1
15-May-00 105.52 0.97 -0.09 -1.31 -2.86 -3.59 0.97 1
  • highlighted in red were those 2 losses when $SPY failed to close higher in the next five days

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tickalert

when $SPY posts an inside day ahead of fed day

 when $SPY posts an inside day ahead of fed day

when $SPY posts an inside day ahead of fed day

 

with $SPY posting an inside day , at close  , as on 12th Jun 2017 , below trading strategy rules

 1)  $SPY posts an inside day ( lower high and higher low )

2) current trading day is either one or two trading days , before the fed day
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 31 17 54.8 0.23 0.15 0.90 -0.58 1.56 -1.82 1.62 1.32
t+2 31 23 74.2 0.52 0.38 0.97 -0.77 1.26 -1.63 3.37 2.67
t+3 31 21 67.7 0.53 0.39 1.31 -1.10 1.19 -2.45 2.31 2.03
t+4 31 21 67.7 0.35 0.44 1.43 -1.93 0.75 -2.98 1.28 1.02
t+5 31 19 61.3 0.51 0.28 1.71 -1.38 1.24 -2.96 1.81 1.41
t+10 31 18 58.1 0.33 0.55 2.17 -2.22 0.98 -4.71 1.21 0.68
t+20 31 21 67.7 0.60 0.74 2.37 -3.13 0.76 -9.06 1.67 1.01
1st +’ve exit in 5 days 31 31 100.0 0.71 0.48 0.71 INF INF 0.05 NA 5.87

31/31 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

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 posting an inside day , either one or two trading days ahead of fed day since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
12-Jun-17 243.36 ?? ?? ?? ?? ?? ?? ??
2-May-17 238.77 -0.12 0.00 0.39 0.37 0.28 0.39 3
13-Mar-17 236.78 -0.38 0.48 0.28 0.11 0.00 0.48 2
31-Oct-16 210.39 -0.72 -1.32 -1.77 -1.88 0.28 0.28 5
20-Sep-16 211.25 1.12 1.76 1.20 0.38 1.01 1.12 1
26-Oct-15 200.58 -0.19 0.94 0.88 0.45 1.64 0.94 2
17-Mar-15 198.61 1.20 0.74 1.63 1.43 0.86 1.20 1
27-Oct-14 186.31 1.15 0.99 1.64 2.80 2.86 1.15 1
28-Jan-14 167.74 -0.96 0.09 -0.50 -2.74 -2.06 0.09 2
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
29-Jul-13 156.31 0.00 0.07 1.23 1.40 1.25 0.07 2
11-Sep-12 130.51 0.33 1.86 2.31 1.97 1.88 0.33 1
25-Jan-10 94.72 -0.42 0.05 -1.09 -2.17 -0.65 0.05 2
3-Nov-09 89.82 0.26 2.10 2.37 4.70 4.72 0.26 1
27-Jan-09 71.29 3.38 0.02 -2.01 -2.31 -0.93 3.38 1
23-Jun-08 109.33 -0.20 0.27 -2.45 -2.98 -2.64 0.27 2
8-May-06 105.50 0.20 0.14 -1.07 -2.36 -2.16 0.20 1
9-Dec-05 99.77 0.10 0.78 1.17 0.88 0.55 0.10 1
8-Nov-04 90.67 -0.20 -0.12 0.64 1.43 1.68 0.64 3
9-Aug-04 82.50 1.29 1.08 -0.02 0.18 1.21 1.29 1
29-Jun-04 87.83 0.54 -0.86 -0.91 -1.78 -1.49 0.54 1
3-May-04 86.15 -0.08 0.56 -0.30 -1.95 -2.96 0.56 2
12-Mar-04 86.18 -1.23 -0.70 0.41 0.44 -1.00 0.41 3
8-Dec-03 81.96 -0.77 -0.78 0.33 0.53 0.03 0.33 3
15-Sep-03 77.48 1.46 1.26 2.46 1.94 0.84 1.46 1
24-Jun-03 74.78 -1.00 0.28 -0.87 -0.90 0.01 0.28 2
28-Jan-03 64.65 0.76 -1.63 0.27 0.47 -0.52 0.76 1
12-Aug-02 67.62 -1.82 1.77 3.18 2.87 5.27 1.77 2
1-Oct-01 77.05 1.26 2.95 3.04 2.84 2.17 1.26 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
29-Sep-00 104.83 0.15 -0.78 0.04 0.39 -1.78 0.15 1
18-Aug-00 108.98 0.54 0.38 0.77 1.09 1.04 0.54 1
avg 0.23 0.52 0.53 0.35 0.51 0.71 1.68
med 0.15 0.38 0.39 0.44 0.28 0.48 1.63
stdevp 0.99 1.09 1.46 1.92 2.04 0.67
t-test 1.32 2.67 2.03 1.01 1.41 5.88

could it be a straight 32 winner ?

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when $QQQ down by more than 1% on a fri and mon

$QQQ down by more than 1% on fri & mon ?

$QQQ down by more than 1% on fri & mon ?

at the time of writing with $QQQ down by more than 1% at 138.44 , as on 12th Jun 2017 close

below trading strategy rules

1)  $QQQ posts back to back 1% or more down days

2) current trading day is monday and previous trading days is friday

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $QQQ posts  2 down days of more than 1% loss ,on a friday followed by monday

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 44 27 61.4 0.90 0.68 2.47 -1.58 1.56 -6.34 1.82 2.08
t+2% 44 30 68.2 1.25 1.25 2.99 -2.46 1.21 -7.09 2.53 2.40
t+3% 44 25 56.8 1.05 0.66 4.10 -2.96 1.39 -9.90 1.57 1.48
t+4% 44 26 59.1 1.10 1.11 4.44 -3.71 1.20 -10.15 1.50 1.45
t+5% 44 28 63.6 1.77 2.07 4.81 -3.56 1.35 -8.73 1.93 2.34
t+10% 44 27 61.4 2.56 2.73 6.69 -4.01 1.67 -9.93 2.30 2.65
t+20% 44 26 59.1 0.66 1.17 7.00 -8.50 0.82 -24.14 0.96 0.47
1st +’ve in 5 days 44 40 90.9 1.76 1.37 2.36 -4.26 0.55 -8.73 3.85 3.73

40/44 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 176 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 $QQQ posting back to back 1% losses on a friday followed by monday since since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
12-Jun-17 ~138.44 ?? ?? ?? ?? ?? ?? ??
27-Jun-16 101.45 2.19 4.00 5.20 5.73 5.09 2.19 1
8-Feb-16 95.36 -0.31 0.07 -0.07 1.45 3.74 0.07 2
24-Aug-15 96.64 -0.38 4.64 7.29 7.27 5.94 4.64 2
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
13-Oct-14 90.49 0.01 -0.63 -1.26 0.04 1.54 0.01 1
23-Jul-12 59.86 -0.79 -1.45 -0.14 2.22 2.14 2.22 4
16-Apr-12 61.59 2.03 1.77 0.63 0.35 -0.57 2.03 1
3-Oct-11 47.86 2.05 4.67 6.43 5.73 9.39 2.05 1
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
7-Jun-10 40.87 -0.18 -1.02 1.81 2.78 2.76 1.81 3
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
30-Mar-09 27.61 0.86 2.36 5.66 7.62 7.35 0.86 1
12-Jan-09 27.07 0.03 -3.01 -1.42 -0.34 -5.28 0.03 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
27-Oct-08 26.27 11.05 10.77 14.46 14.64 14.40 11.05 1
6-Oct-08 31.92 -6.34 -7.09 -9.58 -10.15 0.77 0.77 5
29-Sep-08 34.63 2.88 1.80 -2.83 -4.34 -7.83 2.88 1
4-Aug-08 40.66 3.38 4.95 4.14 6.50 7.47 3.38 1
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
12-Nov-07 44.48 4.12 2.79 2.24 3.18 1.99 4.12 1
22-Mar-04 30.76 -0.82 0.32 3.00 2.65 4.31 0.32 2
17-Nov-03 31.08 -2.31 -1.36 -2.31 -1.30 1.44 1.44 5
9-Jun-03 26.65 1.51 2.66 3.09 0.77 3.87 1.51 1
31-Mar-03 22.63 0.79 3.56 4.87 3.17 3.33 0.79 1
27-Jan-03 21.98 1.02 2.53 -0.12 -0.37 -0.16 1.02 1
11-Nov-02 21.79 2.55 3.78 7.36 8.76 7.16 2.55 1
30-Sep-02 18.57 6.08 2.56 0.10 -1.79 -2.70 6.08 1
5-Aug-02 19.22 4.94 6.34 9.93 8.82 9.14 4.94 1
22-Jul-02 20.97 -4.27 0.94 -4.91 -3.12 1.84 0.94 2
3-Jun-02 25.97 1.31 2.35 -0.35 -2.35 -2.52 1.31 1
6-May-02 25.96 -0.93 9.67 6.83 2.04 6.18 9.67 2
14-Jan-02 35.81 0.95 -2.95 -0.78 -3.43 -6.41 0.95 1
10-Dec-01 36.75 0.56 1.37 -3.02 -2.17 -0.49 0.56 1
29-Oct-01 30.51 -1.94 -0.41 3.82 4.58 7.99 3.82 3
6-Aug-01 38.09 -0.52 -4.71 -4.31 -5.22 -3.29 -3.29 5
23-Jul-01 36.40 -1.13 -0.27 1.21 3.30 2.68 1.21 3
16-Jul-01 37.96 2.24 -1.65 0.68 -1.65 -4.11 2.24 1
11-Jun-01 41.27 -0.54 -3.26 -8.25 -7.49 -8.73 -8.73 5
12-Mar-01 37.91 5.08 3.43 -0.35 -2.60 2.27 5.08 1
2-Oct-00 77.75 -3.17 -1.30 -1.01 -4.32 -4.76 -4.76 5
18-Sep-00 80.55 3.69 5.29 -2.36 3.41 0.66 3.69 1
11-Sep-00 83.18 -1.55 0.74 0.20 -1.62 -3.16 0.74 2
24-Jul-00 85.14 0.79 0.66 -3.29 -8.55 -5.86 0.79 1
  • 32/33 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 231 , since 2002 
  • highlighted in red were those 4 losses when $QQQ failed to close higher in the next five days

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