# $SPY from the last trading day of April below the trading odds for$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

# $SPY weakness on LBOTDOM is bullish with$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)

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

• $SPY posts the worst one day loss in 10 trading days below the trading odds for$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

# bullish $SPY patterns into Fed meeting 1)$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

# second half of April $SPY bullish pattern with$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

# when $SPY MTD returns turns positive in April below the trading strategy rules 1) as on current trading day$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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# 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

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

# a $SPY momentum fuelled bullish 1DOM pattern with 1DOM ( 1st day of the month ) around the corner , below the trading strategy rules, 1) as on the last trading day of the month$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

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

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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# $SPY from the day before of Ides of March #$SPY from the day before of Ides of March

h/t @ Barbara Kollmeyer , who prompted this Ides of March ,

below the trading odds for $SPY longs from the close of 14th Mar ( if market is open , other wise , the prior trading day, or simply from the 10th trading of March , or Ides of March ) , for the next 1/2/3/4/5/10/20 trading days , data since 1993  Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test t+1 23 14 60.9 0.36 0.14 0.94 -0.55 1.70 -1.23 2.23 1.65 t+2 23 16 69.6 0.85 0.73 1.78 -1.28 1.39 -2.98 2.12 1.99 t+3 23 18 78.3 1.20 0.74 1.83 -1.07 1.71 -1.69 4.24 2.72 t+4 23 17 73.9 1.13 0.82 2.00 -1.32 1.52 -2.67 3.50 2.54 t+5 23 16 69.6 1.18 0.48 2.32 -1.43 1.63 -4.32 2.95 1.98 t+10 23 15 65.2 1.03 0.84 2.55 -1.81 1.41 -5.05 2.13 1.52 t+20 23 14 60.9 1.78 2.04 4.29 -2.12 2.02 -6.33 3.23 1.99 1st +’ve in 5 days 23 21 91.3 0.84 0.58 1.08 -1.60 0.67 -2.13 4.68 3.34 1st -‘ve in 5 days 23 15 65.2 -0.74 -0.13 -0.56 3.17 0.18 9.47 0.22 -1.36 21/23 times ,$SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 58 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 10th trading day of the March ( prior trading day to Ides of March ) to the next 1/2/3/4/5 trading days , since 1993

 Date \$SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days% 14-Mar-16 202.50 ?? ?? ?? ?? ?? ?? ?? 13-Mar-15 201.67 1.34 1.03 2.25 1.78 2.68 1.34 2.68 14-Mar-14 177.46 0.90 1.62 1.08 1.67 1.28 0.90 1.28 14-Mar-13 147.64 -0.13 -0.68 -0.91 -0.22 -1.07 -1.07 -0.13 14-Mar-12 128.93 0.58 0.72 1.11 0.82 0.65 0.58 0.65 14-Mar-11 117.38 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15 12-Mar-10 102.21 0.03 0.82 1.42 1.37 0.86 0.03 0.86 13-Mar-09 65.83 -0.30 2.75 5.05 3.75 1.54 2.75 -0.30 14-Mar-08 109.50 -1.01 3.10 0.55 2.41 4.46 3.10 -1.01 14-Mar-07 115.54 0.14 -0.14 1.06 1.61 3.29 0.14 -0.14 14-Mar-06 106.03 0.45 0.65 0.74 0.58 -0.06 0.45 -0.06 14-Mar-05 96.96 -0.83 -1.67 -1.47 -1.76 -2.13 -2.13 -0.83 12-Mar-04 88.41 -1.23 -0.70 0.41 0.44 -1.00 0.41 -1.23 14-Mar-03 65.01 3.15 3.76 4.55 4.78 7.01 3.15 7.01 14-Mar-02 88.15 0.95 0.97 1.65 -0.27 -0.22 0.95 -0.27 14-Mar-01 88.36 0.03 -1.98 0.01 -2.67 -4.32 0.03 -1.98 14-Mar-00 101.55 2.33 7.11 7.82 7.27 9.47 2.33 9.47 12-Mar-99 95.14 1.43 1.04 0.60 2.22 0.48 1.43 0.48 13-Mar-98 77.74 1.08 1.37 1.75 2.01 2.89 1.08 2.89 14-Mar-97 56.97 0.27 -0.80 -1.14 -1.65 -1.19 0.27 -0.80 14-Mar-96 45.18 -0.07 1.86 1.64 1.52 1.27 1.86 -0.07 14-Mar-95 33.97 -0.19 0.41 0.51 0.51 0.26 0.41 -0.19 14-Mar-94 31.30 -0.07 0.73 0.73 0.71 0.44 0.73 -0.07 12-Mar-93 29.35 0.49 0.49 -0.14 0.49 0.33 0.49 -0.14

highlighted in red were those 2  instances , when bears , did “Et tu, Brute?”  to bulls !!

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check out the new look of the paststat