a $SPY TOTM short covering pattern

a $SPY TOTM short covering pattern

TOTM short $SPY covering rally pattern below trading strategy rules

1) 4 more trading day’s remain in the month ( i.e TOTM , turn of the month as per our definition for this post )

2) as on current trading day $SPY lost by 4% or for the month ( as on 22nd Feb 2018 , $SPY lost minus 4.08% for the month)

below the $SPY forward returns 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+1 30 25 83.3 1.58 1.08 2.08 -0.94 2.21 -2.24 9.20
t+2 30 21 70.0 2.00 1.68 3.44 -1.36 2.53 -2.26 5.11
t+3 30 20 66.7 1.96 1.17 3.71 -1.55 2.40 -6.35 3.85
t+4 30 17 56.7 2.28 1.30 5.11 -1.41 3.63 -2.66 4.25
t+5 30 17 56.7 1.69 2.08 4.61 -2.14 2.15 -5.43 2.48
1st +’ve exit in 5 days % 30 29 96.7 1.83 1.19 1.99 -2.78 0.72 -2.78 21.58

29/30 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 183 bps and a median gains of 119 bps

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

below prior instances of $SPY short covering rally around TOTM ( for the lack of a better word we are using that , since Y2K

Date Close MTD% t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
22-Feb-18 270.40 -4.08 ?? ?? ?? ?? ?? ?? ??
25-Jan-16 180.19 -7.96 1.36 0.26 0.78 3.24 3.20 1.36 1
25-Aug-15 177.82 -11.04 3.84 6.41 6.41 5.55 2.40 3.84 1
24-May-12 117.78 -5.25 -0.32 0.88 -0.58 -0.80 -3.30 0.88 2
23-Nov-11 102.49 -7.12 -0.19 2.70 2.99 7.23 7.22 2.70 2
26-Sep-11 102.21 -4.40 1.12 -0.95 -0.16 -2.66 -5.43 1.12 1
25-Aug-11 101.72 -10.09 1.45 4.37 4.64 5.11 4.01 1.45 1
24-Jun-11 110.93 -5.53 0.89 2.21 3.08 4.07 5.61 0.89 1
24-May-10 91.93 -9.34 0.10 -0.50 2.83 1.54 -0.17 0.10 1
23-Feb-09 62.01 -9.88 3.79 2.97 1.30 -0.96 -5.43 3.79 1
26-Jan-09 69.51 -7.27 1.02 4.43 1.04 -1.02 -1.31 1.02 1
21-Nov-08 65.52 -17.88 6.93 7.72 11.88 13.29 3.26 6.93 1
27-Oct-08 69.17 -27.62 11.69 10.88 14.71 15.34 15.68 11.69 1
24-Sep-08 98.00 -7.14 1.56 1.61 -6.35 -2.47 -2.41 1.56 1
24-Jun-08 107.50 -6.05 0.47 -2.26 -2.79 -2.45 -2.14 0.47 1
25-Jan-08 107.94 -9.01 1.65 2.16 1.41 3.25 4.92 1.65 1
26-Nov-07 113.76 -8.86 1.15 4.38 4.42 5.47 4.77 1.15 1
24-May-06 99.09 -4.03 1.24 1.75 -0.06 1.06 2.03 1.24 1
26-Jul-04 82.61 -5.05 0.94 1.24 1.67 1.92 2.13 0.94 1
24-Dec-02 66.31 -4.47 0.04 -2.20 -1.39 -1.25 1.93 0.04 1
24-Sep-02 60.79 -9.92 2.48 4.16 0.53 -0.63 4.14 2.48 1
25-Jul-02 61.76 -15.12 1.90 6.87 8.26 8.52 5.69 1.90 1
24-Jun-02 73.38 -6.59 -2.24 -2.08 -0.37 -0.84 -2.78 -2.78 5
24-Apr-02 80.16 -4.46 0.05 -1.85 -2.33 -1.42 -0.21 0.05 1
24-Sep-01 73.32 -11.45 1.04 0.69 1.56 3.71 3.55 1.04 1
26-Mar-01 83.86 -6.21 2.04 -0.78 -0.40 0.65 -1.50 2.04 1
22-Feb-01 90.75 -8.18 -0.68 1.44 0.50 -1.48 -0.96 1.44 2
24-Nov-00 96.96 -5.67 0.88 -0.86 -1.04 -1.90 -1.95 0.88 1
25-Oct-00 98.02 -5.09 0.28 2.18 3.09 4.87 4.52 0.28 1
25-Sep-00 103.72 -5.07 -1.28 -0.76 0.52 -0.43 -0.28 0.52 3
24-Apr-00 101.78 -5.40 4.15 2.98 2.64 2.00 3.38 4.15 1

highlighted in red , during jun n2002 , is the only instance when the short covering rally didn’t materialize and closed lower at the end of the 5th trading day than our entry

you might want to consider subscribing to our daily quant rants email  !!

tickalert

Leave a Reply