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$SPY from the last trading day of April 

may5below 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 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
29-Apr-16 ~205.6 ?? ?? ?? ?? ?? ?? ??
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20
30-Apr-14 180.83 0.01 -0.13 0.06 -0.81 -0.23 0.01 -0.13
30-Apr-13 150.31 -0.88 0.04 1.06 1.32 1.83 0.04 -0.88
30-Apr-12 128.80 0.62 0.32 -0.44 -2.05 -1.98 0.62 -0.44
29-Apr-11 123.04 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
30-Apr-10 105.07 1.30 -1.09 -1.67 -4.94 -6.35 1.30 -1.09
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
30-Apr-08 116.79 2.07 2.35 1.86 2.74 0.91 2.07 0.91
30-Apr-07 122.87 0.26 0.84 1.39 1.77 1.79 0.26 1.79
28-Apr-06 106.96 -0.81 -0.07 -0.44 -0.08 0.80 0.80 -0.81
29-Apr-05 92.53 0.56 0.73 1.51 1.48 1.16 0.56 1.16
30-Apr-04 87.00 1.07 0.99 1.64 0.77 -0.90 1.07 -0.90
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
30-Apr-02 81.86 1.22 0.83 -0.26 -2.22 -2.56 1.22 -0.26
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
28-Apr-00 107.56 1.36 -0.67 -2.99 -2.26 -1.08 1.36 -0.67
30-Apr-99 97.72 1.83 0.38 1.17 0.55 1.31 1.83 1.31
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
30-Apr-97 57.18 -0.12 1.68 4.10 4.02 1.76 1.68 -0.12
30-Apr-96 45.80 0.22 -1.51 -1.65 -1.74 -2.15 0.22 -1.51
28-Apr-95 35.36 -0.27 -0.06 1.33 1.27 1.15 1.33 -0.27
29-Apr-94 30.11 0.62 0.52 0.35 0.21 -0.76 0.62 -0.76
30-Apr-93 28.65 0.64 0.99 1.28 0.92 0.71 0.64 0.71

highlighted in the red was the one huge loss making trade !!

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