a $SPY momentum fuelled bullish 1DOM pattern

a $SPY momentum fuelled bullish 1DOM pattern

Anatomy of $SPY on First Trading Day of the Month

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

below the trading strategy rules,

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

2) tomorrow is 1DOM

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

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

24/24 times  $SPY closed  higher than the current close at some point of time in the next five trading days .. with an average gain of 102 basis points at the 1st positive close within in the next five trading days. 

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

below the prior historical instances of “$SPY momentum fuelled bullish 1DOM pattern ” since Y2K

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

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