$SPX Field guide to corrections since 1950

$SPX Field guide to corrections since 1950

1) click on the below image , 2) magnify it , 3) & take an A5 print out  4) & post it in-front of your desk , 5) & thank us later !!

spx corrections png

ps: ms.painted by son as an excercise , color code may or may not be proper for the reader to the feel

pps: would post some other stats later before Monday Open

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$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

Four_seasons

 

1) $SPY trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 16 72.7 0.42 0.41 0.79 -0.57 1.38 -2.46 2.95 2.14
t+2 22 13 59.1 0.38 0.42 1.19 -0.79 1.51 -2.55 1.63 1.36
t+3 22 15 68.2 0.51 0.69 1.23 -1.01 1.21 -2.53 1.72 1.79
t+4 22 14 63.6 0.40 0.24 1.31 -1.18 1.10 -3.05 1.27 1.24
t+5 22 15 68.2 0.39 0.95 1.50 -1.98 0.76 -4.63 1.20 0.93
t+10 22 15 68.2 1.05 1.30 2.12 -1.23 1.72 -2.59 2.59 2.66
t+20 22 16 72.7 1.20 1.25 2.59 -2.51 1.04 -7.75 2.11 1.89
1st +’ve exit in 5 days 22 22 100.0 0.73 0.64 0.73 INF INF NA NA 5.97

2) $QQQ trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 15 93.8 0.64 0.67 0.87 -2.90 0.30 -2.90 4.38 2.36
t+2 16 12 75.0 0.65 0.80 1.42 -1.68 0.85 -3.13 2.99 1.61
t+3 16 12 75.0 1.06 0.67 2.00 -1.78 1.13 -2.93 2.80 1.86
t+4 16 10 62.5 0.96 1.03 2.91 -2.30 1.26 -4.89 1.37 1.24
t+5 16 11 68.8 1.06 1.73 3.10 -3.45 0.90 -6.61 1.45 1.15
t+10 16 12 75.0 2.68 2.09 4.12 -1.65 2.49 -2.43 6.41 3.12
t+20 16 13 81.3 2.53 2.23 5.02 -8.25 0.61 -15.34 2.49 1.50
1st +’ve exit in 5 days 16 16 100.0 0.84 0.67 0.84 INF INF NA NA 5.70

3) $DIA trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 11 64.7 0.32 0.18 0.77 -0.50 1.52 -1.93 2.08 1.51
t+2 17 11 64.7 0.30 0.21 1.05 -1.07 0.98 -3.03 1.33 0.90
t+3 17 8 47.1 0.39 -0.10 1.57 -0.65 2.42 -2.34 1.41 1.20
t+4 17 10 58.8 0.19 0.41 1.09 -1.10 0.99 -2.42 0.83 0.57
t+5 17 11 64.7 0.27 0.27 1.27 -1.57 0.81 -3.97 0.91 0.65
t+10 17 11 64.7 0.57 1.12 1.79 -1.67 1.07 -3.97 1.46 1.17
t+20 17 10 58.8 0.31 0.68 2.61 -2.98 0.88 -7.36 1.08 0.38
1st +’ve exit in 5 days 17 17 100.0 0.67 0.58 0.67 INF INF NA NA 5.29

4) $IWM trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 12 80.0 0.72 0.85 1.20 -1.17 1.02 -2.82 3.45 2.21
t+2 15 9 60.0 0.48 0.39 1.67 -1.32 1.27 -2.61 1.60 1.06
t+3 15 11 73.3 1.11 0.96 1.95 -1.20 1.62 -3.66 2.87 2.12
t+4 15 11 73.3 0.86 0.98 2.02 -2.33 0.87 -4.79 1.40 1.39
t+5 15 12 80.0 1.22 1.00 2.30 -3.12 0.74 -6.46 1.71 1.62
t+10 15 12 80.0 2.07 2.01 2.86 -1.12 2.55 -1.56 6.25 3.43
t+20 15 10 66.7 3.19 3.82 6.02 -2.48 2.43 -7.14 4.22 2.41
1st +’ve exit in 5 days 15 15 100.0 1.07 0.85 1.07 INF INF NA NA 5.88

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percentage based , curve fitted , slightly bearish $SPY pattern

percentage based , curve fitted , slightly bearish $SPY pattern

12aug2015

i don’t like to use between function ( hence i call curve fitting pattern ) & anyway here the trading rules

  • $SPY raised by more than 1.5% ( or 150 bps in short term trading terminology ) from the intra-day low to close
  • but $SPY gained for the day but not more than 25 bps ( that is t[0] % is >0 & <0.25 % )

below the $SPY trading odds for longs for the “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K , for the next 1/2/3/4/5/10/20 trading days ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 6 28.6 -1.12 -1.08 1.17 -2.04 0.57 -7.84 0.13 -2.42
t+2 21 8 38.1 -1.09 -1.55 2.23 -3.13 0.71 -5.30 0.31 -1.64
t+3 21 8 38.1 -1.56 -0.52 2.04 -3.77 0.54 -9.77 0.23 -1.88
t+4 21 4 19.0 -2.44 -1.48 3.90 -3.93 0.99 -13.81 0.10 -2.39
t+5 21 7 33.3 -2.32 -1.53 2.99 -4.98 0.60 -15.98 0.15 -1.98
t+10 21 8 38.1 -3.47 -1.64 3.77 -7.92 0.48 -26.77 0.17 -1.81
t+20 21 10 47.6 -3.05 -1.71 4.61 -10.01 0.46 -27.97 0.21 -1.38
1st +’ve exit in 5 days 21 14 66.7 -1.59 0.42 1.61 -8.00 0.20 -15.98 0.29 -1.42
1st -‘ve exit in 5 days 21 20 95.2 1.69 -1.36 -1.96 3.73 0.53 3.73 10.13 3.74

20/21 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 169 basis points ( and a median loss of 136 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to see if any edge is there .

below the historical instances of the above “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K

Date $SPY t Cls-Low % t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 0.08 1.69 ?? ?? ?? ?? ?? ??
23-May-12 123.80 0.06 1.76 0.19 -0.13 1.07 -0.39 -0.61 -0.13
25-May-10 96.91 0.10 3.29 -0.60 2.72 1.43 -0.27 2.33 -0.60
17-May-10 102.42 0.05 1.95 -1.36 -1.92 -5.62 -4.25 -5.48 -1.36
05-Feb-10 95.47 0.20 1.99 -0.71 0.53 0.34 1.38 1.30 -0.71
06-Mar-09 60.30 0.18 2.73 -1.18 4.71 5.39 9.54 10.40 -1.18
12-Feb-09 73.19 0.07 3.22 -1.08 -5.30 -5.53 -6.54 -7.46 -1.08
15-Jan-09 73.84 0.04 3.29 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
01-Oct-08 100.72 0.06 1.85 -3.62 -4.92 -9.77 -13.81 -15.98 -3.62
26-Sep-08 104.88 0.05 1.97 -7.84 -4.02 -3.97 -7.45 -8.70 -7.84
13-Mar-08 112.47 0.22 2.38 -1.55 -2.54 1.50 -1.01 0.83 -1.55
04-Aug-03 77.56 0.00 1.56 -2.11 -1.55 -0.52 -0.23 0.14 -2.11
20-Mar-03 68.88 0.22 2.09 2.13 -1.26 -0.32 -0.81 -0.74 -1.26
13-Nov-02 69.24 0.10 1.82 1.89 2.64 1.60 1.47 3.73 3.73
16-Sep-02 69.58 0.24 1.61 -2.29 -3.26 -5.76 -5.73 -6.51 -2.29
13-Sep-02 69.41 0.25 1.61 0.24 -2.05 -3.03 -5.53 -5.50 -2.05
31-Jul-02 70.57 0.24 2.14 -2.62 -4.80 -8.11 -5.02 -3.36 -2.62
26-Jun-02 75.64 0.16 2.65 1.76 1.27 -0.70 -2.80 -2.26 -0.70
08-Apr-02 87.11 0.21 1.53 -0.70 0.42 -2.07 -1.33 -2.09 -0.70
05-Sep-01 86.83 0.24 1.57 -2.58 -4.38 -3.21 -8.27 -8.49 -2.58
22-Feb-01 95.55 0.15 2.27 -0.68 1.43 0.50 -1.48 -0.96 -0.68
05-Jan-00 105.22 0.18 2.01 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green is the only instances where $SPY failed to close lower in the next 5 trading days , and the shorts ran for a cover

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a high risk bearish pattern on $SPY as on 12 Aug 2015 close

a high risk bearish pattern on $SPY as on 12 Aug 2015 close

12aug2015

below the trading strategy rules

  • $SPY hits an intra-day low for 20 trading day’s
  • current day’s volume is highest in 20 trading days
  • $SPY closes green for the day

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 32 11 34.4 -0.67 -0.71 1.47 -1.79 0.82 -4.99 0.34 -1.83
t+2 32 14 43.8 -0.35 -0.20 1.50 -1.78 0.84 -6.26 0.56 -0.88
t+3 32 15 46.9 -0.20 -0.04 2.23 -2.36 0.95 -11.02 0.66 -0.36
t+4 32 16 50.0 0.01 0.07 2.57 -2.54 1.01 -10.60 0.92 0.02
t+5 32 17 53.1 -0.46 0.74 2.70 -4.06 0.67 -17.24 0.67 -0.52
t+10 32 16 50.0 -0.24 -0.09 2.83 -3.30 0.86 -9.56 0.69 -0.34
t+20 32 17 53.1 -0.48 0.10 4.13 -5.71 0.72 -21.45 0.64 -0.38
1st +’ve exit in 5 days 32 24 75.0 -0.57 0.66 1.31 -6.22 0.21 -17.24 0.64 -0.72
1st -‘ve exit in 5 days 32 28 87.5 1.19 -0.93 -1.72 2.52 0.68 3.19 3.78 3.37

28/32 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 119 basis points ( and a median loss of 93 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to see if any edge is there .

below the historical instances of the above trading strategy , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 ?? ?? ?? ?? ?? ??
18-Dec-13 175.61 -0.11 0.47 1.00 1.22 1.74 -0.11
09-Aug-11 108.22 -4.42 -0.12 0.55 2.68 1.80 -4.42
03-Aug-11 116.23 -4.69 -4.83 -11.02 -6.89 -11.00 -4.69
16-Jun-11 116.69 0.30 0.81 2.19 1.58 1.29 1.29
05-Feb-10 95.47 -0.71 0.53 0.34 1.38 1.30 -0.71
15-Jan-09 73.84 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
13-Nov-08 79.12 -4.99 -6.26 -4.49 -10.60 -17.24 -4.99
18-Sep-08 103.60 3.98 1.62 -0.69 -0.38 1.19 -0.69
16-Sep-08 105.35 -4.49 -1.66 2.25 -0.07 -2.34 -4.49
10-Jul-08 108.11 -1.17 -2.05 -3.44 -1.06 -0.07 -1.17
01-Jul-08 110.77 -1.72 -1.62 -2.62 -0.88 -2.80 -1.72
20-Nov-07 122.92 -2.05 -0.36 -2.55 -1.43 1.72 -2.05
16-Aug-07 120.19 1.83 1.79 1.99 3.20 3.11 3.11
01-Aug-07 123.85 0.80 -1.80 -0.15 0.91 2.32 -1.80
18-Jul-06 102.96 1.39 0.70 -0.02 1.81 2.18 -0.02
24-May-06 104.33 1.24 1.74 -0.06 1.06 2.02 -0.06
07-Jul-05 97.85 1.14 1.67 1.93 2.07 2.47 2.47
12-Jan-05 95.96 -0.80 -0.27 0.76 -0.29 -0.90 -0.80
22-Jul-04 87.88 -0.83 -1.02 -0.09 0.20 0.64 -0.83
12-May-04 88.02 -0.42 -0.37 -1.23 -0.73 -1.07 -0.42
08-Oct-02 62.49 -2.82 0.32 4.72 5.30 10.37 -2.82
24-Jul-02 65.58 -0.85 1.04 5.96 7.35 7.61 -0.85
15-Jul-02 71.48 -1.93 -1.73 -4.91 -8.27 -10.98 -1.93
11-Jul-02 71.89 -1.10 -0.57 -2.49 -2.30 -5.45 -1.10
12-Jun-02 79.13 -1.01 -1.15 1.50 2.33 -0.06 -1.01
30-Jan-02 86.05 1.17 0.70 -1.80 -2.42 -2.84 -1.80
15-Jun-01 93.05 -0.48 -0.04 0.48 1.62 0.83 -0.48
22-Feb-01 95.55 -0.68 1.43 0.50 -1.48 -0.96 -0.68
21-Dec-00 96.55 2.99 4.10 4.87 5.19 3.19 3.19
22-Sep-00 110.00 -0.71 -1.98 -1.46 -0.19 -1.14 -0.71
13-Sep-00 112.45 0.51 -1.70 -2.60 -1.72 -2.45 -1.70
05-Jan-00 105.22 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green were those instances where $SPY failed to close lower in the next 5 trading days , and the shorts running for cover with an average loss % , greater than the average win %

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Rule #153 on $SPY

Rule #153 on $SPY

# 153it’s an outcome of pure data mining , but it is good to know

below the trading odds for $SPY longs from the close of 153’rd trading day of the year , for the next 1/2/3/4/5/10/20 trading days , data since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 10 47.6 0.33 -0.05 1.12 -0.39 2.88 -1.10 1.63 1.32
t+2 21 10 47.6 0.17 -0.02 1.18 -0.74 1.59 -2.55 0.99 0.53
t+3 21 15 71.4 0.55 0.32 1.19 -1.06 1.13 -2.53 1.57 1.36
t+4 21 13 61.9 0.63 0.26 1.62 -0.98 1.65 -1.80 1.61 1.56
t+5 21 14 66.7 0.87 0.81 1.87 -1.12 1.67 -3.85 2.46 1.96
t+10 21 15 71.4 1.33 1.79 2.49 -1.59 1.57 -3.08 3.14 2.55
t+20 21 15 71.4 0.92 2.21 2.65 -3.39 0.78 -8.55 1.82 1.24
1st +’ve exit in 5 days 21 21 100.0 0.89 0.54 0.89 INF INF NA NA 4.17

21/21 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 89 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 from the 153rd trading day of the year , to the next 1/2/3/4/5 trading days , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit (%) in 5 days
11-Aug-15 208.66 ?? ?? ?? ?? ?? ??
11-Aug-14 190.06 -0.14 0.54 1.01 0.99 1.84 0.54
09-Aug-13 162.84 -0.12 0.18 -0.33 -1.73 -2.05 0.18
09-Aug-12 132.28 0.17 0.11 0.13 0.24 0.98 0.17
10-Aug-11 103.44 4.50 5.19 7.42 6.51 6.57 4.50
11-Aug-10 98.71 -0.62 -0.91 -0.95 0.26 0.45 0.26
11-Aug-09 88.37 1.08 1.84 1.06 -1.43 -0.63 1.08
08-Aug-08 111.63 1.03 -0.02 -0.63 0.13 0.62 1.03
10-Aug-07 122.39 0.36 -1.17 -2.53 -1.80 0.00 0.36
10-Aug-06 105.79 -0.28 -0.21 0.98 1.82 2.08 0.98
10-Aug-05 100.61 0.40 -0.22 0.40 -0.90 -0.91 0.40
11-Aug-04 86.51 -1.10 -0.90 0.13 0.69 1.72 0.13
11-Aug-03 77.67 0.91 0.40 0.67 0.99 1.85 0.91
09-Aug-02 70.67 -0.74 -2.55 1.02 2.42 2.11 1.02
09-Aug-01 90.79 0.34 0.36 0.32 -0.54 -0.20 0.34
09-Aug-00 111.35 -0.48 -0.02 1.26 1.17 0.81 1.26
11-Aug-99 97.35 -0.05 2.26 2.71 3.39 2.64 2.26
11-Aug-98 78.93 1.70 0.47 -0.71 1.39 3.27 1.70
08-Aug-97 68.02 0.74 -0.87 -1.18 -0.81 -3.85 0.74
07-Aug-96 47.62 -0.15 -0.48 0.25 -0.55 -0.21 0.25
09-Aug-95 39.30 -0.23 -0.79 0.13 -0.08 0.20 0.13
10-Aug-94 31.52 -0.38 0.41 0.38 1.08 1.02 0.41

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$SPY 20-DMA X’over magic in 2015

$SPY 20-DMA X’over magic in 2015 

11 Aug 2015 Stock Chart

what is working in 2015 so far , ?

  • buy when $SPY close crosses below 20-DMA ( that is $SPY close is below 20-DMA , while on previous day $SPY closed above 20-DMA)
  • and exit when $SPY close crosses above 20-DMA

below the trading strategy performance

Winners : 20
Losers : 0
% Winners : 100%
Average Change % : 1.01
Median Change % : 1.05
Maximum Gain % : 2.09
Maximum Loss % : 0.03
Average Gain %if Winner : 1.01
Average Loss % if Loser : #DIV/0!
Payoff Ratio #DIV/0!
Profit Factor : #DIV/0!
Outlier Adjusted Profit Factor : #DIV/0!
STDEVP 0.55
T-Test 8.19

how do you fix that #DIV/0! error in the excel ?? :)

and the converse is true to certain extent that is

  • short when $SPY close crosses above 20-DMA ( that is $SPY close is above 20-DMA , while on previous day $SPY closed below 20-DMA)
  • and exit when $SPY close crosses below 20-DMA

below the performance summary

Winners : 16
Losers : 3
% Winners : 84%
Average Change % : 0.77
Median Change % : 0.83
Maximum Gain % : 2.11
Maximum Loss % : -1.30
Average Gain %if Winner : 1.00
Average Loss % if Loser : -0.45
Payoff Ratio 2.21
Profit Factor : 12.13
Outlier Adjusted Profit Factor : 10.53
STDEVP 0.74
T-Test 4.58

& the combined performance summary , always in the market of long $SPY when it crosses below 20-DMA and short when it crosses above 20-DMA , in 2015

Winners : 36
Losers : 3
% Winners : 92%
Average Change % : 0.89
Median Change % : 0.87
Maximum Gain % : 2.11
Maximum Loss % : -1.30
Average Gain %if Winner : 1.01
Average Loss % if Loser : -0.68
Payoff Ratio 1.48
Profit Factor : 27.11
Outlier Adjusted Profit Factor : 25.51
Stdevp 0.66
T-Test 8.46

one would have made about 70.8 points , while the the buy and hold guy/gal would have made about 7 points !!

below the trade details of the above trading strategy

Date $SPY Long/Short ? Profit/loss Profit/loss ?
10-Aug-15 210.63 Short ?? ??
06-Aug-15 208.35 Long 2.28 1.09
05-Aug-15 210.10 Short 1.75 0.83
04-Aug-15 209.32 Long 0.78 0.37
28-Jul-15 209.31 Short -0.01 0.00
24-Jul-15 207.94 Long 1.37 0.66
13-Jul-15 209.76 Short 1.82 0.87
29-Jun-15 205.47 Long 4.29 2.09
26-Jun-15 209.90 Short 4.43 2.11
25-Jun-15 209.83 Long 0.07 0.03
18-Jun-15 211.68 Short 1.85 0.87
12-Jun-15 208.91 Long 2.77 1.32
11-Jun-15 210.63 Short 1.71 0.81
04-Jun-15 209.11 Long 1.51 0.72
03-Jun-15 210.89 Short 1.78 0.84
02-Jun-15 210.34 Long 0.56 0.26
01-Jun-15 210.55 Short 0.21 0.10
29-May-15 210.12 Long 0.43 0.20
27-May-15 211.67 Short 1.55 0.73
26-May-15 209.68 Long 1.99 0.95
14-May-15 211.18 Short 1.50 0.71
12-May-15 208.96 Long 2.22 1.06
08-May-15 210.60 Short 1.63 0.77
05-May-15 207.89 Long 2.71 1.30
01-May-15 209.70 Short 1.81 0.86
30-Apr-15 207.45 Long 2.25 1.08
20-Apr-15 208.83 Short 1.38 0.66
17-Apr-15 206.94 Long 1.89 0.91
06-Apr-15 206.82 Short -0.12 -0.06
31-Mar-15 205.43 Long 1.39 0.68
30-Mar-15 207.24 Short 1.81 0.87
25-Mar-15 204.76 Long 2.48 1.21
18-Mar-15 208.51 Short 3.75 1.80
06-Mar-15 205.58 Long 2.93 1.43
03-Feb-15 202.94 Short -2.64 -1.30
27-Jan-15 200.86 Long 2.08 1.04
22-Jan-15 204.19 Short 3.33 1.63
12-Jan-15 200.77 Long 3.42 1.70
08-Jan-15 203.99 Short 3.22 1.58
05-Jan-15 199.85 Long 4.14 2.07

highlighted in red were those 3 loss making trades ..

ps: i’ve no idea when this trade is going to stop , neither i’ve an idea of this trade at the start of this year ..

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a bullish turn-around tuesday $SPY pattern

a bullish turn-around tuesday $SPY pattern 

turnaroundtuesday

 

below a turn-around-tuesday bullish $SPY pattern on $SPY at 4-Aug-2015 close , trading strategy rules

1) $SPY closed down for exactly three days in row  &

2) current trading day is tuesday

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 42 27 64.3 0.46 0.32 1.01 -0.52 1.93 -1.89 3.07 2.98
t+2 42 26 61.9 0.77 0.47 1.88 -1.03 1.82 -3.31 2.19 2.47
t+3 42 27 64.3 0.89 0.65 2.02 -1.15 1.76 -2.93 2.64 2.67
t+4 42 27 64.3 1.27 1.31 2.54 -1.03 2.46 -3.40 3.71 3.67
t+5 42 29 69.0 1.52 1.06 2.83 -1.41 2.00 -3.01 4.06 3.72
t+10 42 29 69.0 1.89 1.80 3.73 -2.20 1.69 -4.89 2.91 3.42
t+20 42 26 61.9 1.79 2.10 4.92 -3.30 1.49 -10.60 1.93 2.30
1st +’ve exit in 5 days 42 39 92.9 0.70 0.58 0.89 -1.74 0.51 -2.97 6.38 4.47

39/42 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 70 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 )

vs

when $SPY closed down for exactly three days in row , but current trading days is NOT tuesday , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 164 96 58.5 0.15 0.22 1.00 -1.04 0.96 -4.50 1.28 1.36
t+2 164 91 55.5 0.12 0.11 1.31 -1.35 0.96 -7.03 1.14 0.86
t+3 164 86 52.4 0.20 0.18 1.66 -1.42 1.17 -13.39 1.27 1.13
t+4 164 95 57.9 0.29 0.28 1.78 -1.76 1.01 -15.49 1.36 1.47
t+5 164 87 53.0 0.36 0.15 2.23 -1.75 1.27 -6.77 1.37 1.79
t+10 163 97 59.5 0.61 1.00 2.84 -2.68 1.06 -14.02 1.43 2.11
t+20 163 101 62.0 0.76 1.42 3.77 -4.15 0.91 -17.20 1.39 1.97
1st +’ve exit in 5 days 164 134 81.7 0.32 0.51 1.00 -2.70 0.37 -6.77 1.62 2.22

that’s 38 bps of put-performance of going long long on tuesday , when $SPY closed down for exactly three days in row , vs when on other four week days .

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when $SPY posts , down friday and down monday for twice in row

when $SPY posts , down friday and down monday for twice in row 

down friday and down monday

 

This pattern triggered on $SPY on Monday ( 3rd Aug 2014 ) at close , below the trading strategy rules

  • current day is Monday and $SPY closed down
  • Previous trading day was Friday and $SPY closed down
  • five trading days ago it was Monday and $SPY closed down
  • six trading days ago , it was Friday and $SPY closed down too !!

in-short lets call it as a down fri/mon for twice in row , below the trading odds for $SPY 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 28 18 64.3 0.81 0.58 1.59 -0.59 2.68 -1.49 4.25 2.81
t+2 27 18 66.7 0.66 0.55 1.40 -0.83 1.69 -1.89 2.95 2.37
t+3 27 17 63.0 0.65 0.78 1.85 -1.40 1.32 -2.56 1.98 1.82
t+4 27 20 74.1 1.30 1.00 2.12 -1.05 2.03 -2.38 5.75 3.16
t+5 27 19 70.4 1.57 0.97 2.65 -0.97 2.72 -3.53 5.96 3.28
t+10 27 19 70.4 2.27 2.25 3.72 -1.16 3.20 -2.35 4.82 3.36
t+20 27 22 81.5 2.91 2.39 4.23 -2.88 1.47 -4.47 4.40 3.44
1st +’ve exit in 5 days 27 24 88.9 1.21 0.70 1.45 -0.69 2.11 -1.70 14.02 4.38

24/27 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 121 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $SPY posting down fri/mon for twice in row , and the next 1/2/3/4/5 trading day returns , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
03-Aug-15 209.73 -0.20 ?? ?? ?? ?? ??
15-Jun-15 208.09 0.55 0.71 1.73 1.31 1.83 0.55
12-Jan-15 200.77 -0.28 -0.88 -1.79 -0.50 -0.29 -0.29
22-Sep-14 196.22 -0.57 0.21 -1.41 -0.63 -0.81 0.21
03-Feb-14 169.25 0.70 0.57 1.90 3.16 3.35 0.70
30-Sep-13 162.38 0.79 0.70 -0.23 0.52 -0.34 0.79
19-Aug-13 158.48 0.49 -0.13 0.78 1.12 0.74 0.49
08-Aug-11 103.42 4.64 0.02 4.52 5.21 7.45 4.64
23-May-11 121.05 -0.08 0.26 0.72 1.10 2.16 0.26
23-Aug-10 96.74 -1.49 -1.11 -1.77 -0.25 -1.70 -1.70
02-Mar-09 61.77 -0.76 1.59 -2.56 -2.38 -3.53 1.59
04-Aug-08 107.85 2.69 3.15 1.61 3.50 4.57 2.69
17-Mar-08 109.61 4.15 1.57 3.46 5.52 5.62 4.15
10-Mar-08 109.35 3.59 2.62 2.85 1.26 0.24 3.59
17-Sep-07 125.26 2.95 3.55 2.83 3.10 2.91 2.95
05-Mar-07 115.21 1.72 1.61 2.47 2.50 2.66 1.72
19-Jun-06 102.71 0.34 1.08 0.64 0.62 1.07 0.34
08-Aug-05 100.06 0.60 0.55 0.95 0.33 0.95 0.60
06-Dec-04 96.03 -0.94 -0.35 0.00 0.09 0.97 0.09
26-Jul-04 86.98 0.94 1.24 1.68 1.92 2.14 0.94
17-Nov-03 82.94 -1.05 -0.20 -1.10 -0.69 0.63 0.63
30-Jun-03 76.87 0.92 2.20 1.13 3.15 3.60 0.92
07-Oct-02 61.53 1.56 -1.30 1.89 6.35 6.94 1.56
06-May-02 81.36 -0.36 3.36 2.16 0.23 2.27 3.36
10-Dec-01 87.68 -0.21 -0.09 -2.03 -1.09 -0.07 -0.07
15-Oct-01 83.78 0.63 -1.50 -1.72 -1.78 0.16 0.63
20-Nov-00 101.98 0.51 -1.89 0.12 1.00 -0.75 0.51
18-Sep-00 109.53 0.90 0.16 -1.36 0.43 -0.28 0.90

highlighted in red were those 3 instances , where $SPY failed to close higher over the next five trading days ..

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slightly $SPY bearish seasonal pattern on $SPY

slightly $SPY bearish seasonal pattern on $SPY

$SPX Aug AnalogueAugust $SPX Analogue chart is from @RyanDetrick

below the $SPY trading odds for longs from the close of 1st trading day of August since 1993 , for the next 1/2/3/4/5/10/20 trading days ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 12 54.5 -0.25 0.10 0.56 -1.22 0.46 -3.87 0.44 -0.93
t+2 22 11 50.0 -0.41 -0.01 0.76 -1.58 0.48 -5.63 0.39 -1.16
t+3 22 8 36.4 -0.47 -0.19 1.17 -1.41 0.83 -6.62 0.34 -1.18
t+4 22 9 40.9 -0.45 -0.42 1.16 -1.55 0.74 -6.75 0.33 -1.05
t+5 22 12 54.5 -0.51 0.12 1.39 -2.79 0.50 -12.82 0.45 -0.73
t+10 22 12 54.5 -0.46 0.28 1.85 -3.24 0.57 -6.33 0.52 -0.73
t+20 22 13 59.1 -0.37 0.81 2.65 -4.73 0.56 -13.75 0.58 -0.38
1st +’ve exit in 5 days 22 17 77.3 -0.41 0.26 0.74 -4.29 0.17 -12.82 0.43 -0.63
1st -‘ve exit in 5 days 22 19 86.4 0.66 -0.51 -1.05 1.82 0.58 3.35 3.29 2.13

19/22 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 66 basis points ( and a median loss of 51 bps) at the 1st positive close within in the next five trading days, from the close of the 1t trading day of August 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to see if any edge is there .

below the prior returns of $SPY , from the 1st trading day of August , since 1993 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve cls in 5 days %
01-Aug-14 188.79 0.72 -0.25 -0.22 -0.76 0.38 -0.25
01-Aug-13 164.14 0.17 0.02 -0.54 -0.87 -0.50 -0.54
01-Aug-12 129.44 -0.69 1.28 1.48 1.99 2.11 -0.69
01-Aug-11 118.63 -2.55 -2.02 -6.62 -6.75 -12.82 -2.55
02-Aug-10 101.83 -0.48 0.19 0.08 -0.32 0.21 -0.48
03-Aug-09 89.00 0.26 -0.03 -0.55 0.75 0.55 -0.03
01-Aug-08 108.86 -0.93 1.74 2.20 0.67 2.54 -0.93
01-Aug-07 123.85 0.80 -1.80 -0.15 0.91 2.32 -1.80
01-Aug-06 105.66 0.67 0.95 0.77 0.54 0.15 0.15
01-Aug-05 100.87 0.60 0.87 0.06 -0.62 -0.80 -0.62
02-Aug-04 88.84 -0.78 -0.79 -2.41 -3.80 -3.67 -0.78
01-Aug-03 77.56 0.00 -2.11 -1.55 -0.52 -0.23 -2.11
01-Aug-02 68.72 -2.24 -5.63 -2.46 -0.76 2.44 -2.24
01-Aug-01 93.25 0.42 -0.14 -1.48 -1.09 -2.93 -0.14
01-Aug-00 108.66 0.50 1.20 1.74 2.95 3.35 3.35
02-Aug-99 99.48 -0.47 -1.83 -0.93 -2.02 -2.23 -0.47
03-Aug-98 82.20 -3.87 -2.55 -2.13 -1.96 -2.52 -3.87
01-Aug-97 69.16 0.26 0.33 1.16 0.39 -1.65 -1.65
01-Aug-96 46.63 2.17 1.57 1.87 2.12 1.97 1.97
01-Aug-95 39.28 -0.23 -0.25 -0.15 0.08 0.08 -0.23
01-Aug-94 31.51 0.13 0.16 -0.41 -0.73 -0.51 -0.41
02-Aug-93 29.95 0.07 0.07 -0.13 0.00 0.57 -0.13

highlighted in red were those instances where $SPY failed to close lower in the next 5 trading days , from the 1st trading day of August

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check out the new look of the paststat