a mega bullish Fed Day $SPY Pattern

a mega bullish Fed Day $SPY Pattern

 $SPY from the 9/10/11 th trading of the month , & from the day before #FEDDAY , since Y2K

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

below the trading strategy rules,

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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a bullish #FedDay $SPY pattern

a bullish #FedDay $SPY pattern

The Quantifiable Edges Guide To Fed Days

below the trading odd for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $PY closes in the top 10% of the day’s range ( i.e high-cls/high-low <0.1 ) , irrespective whether $SPY closes up or not .. since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 25 16 64.0 0.33 0.35 0.88 -0.64 1.38 -1.70 1.87 1.81
t+2 25 20 80.0 0.76 0.65 1.14 -0.75 1.53 -1.41 3.78 3.45
t+3 25 18 72.0 0.67 0.76 1.35 -1.10 1.23 -2.18 2.78 2.36
t+4 25 16 64.0 1.10 1.01 2.06 -0.62 3.34 -2.87 4.61 3.05
t+5 25 17 68.0 1.01 1.22 1.96 -0.99 1.97 -3.60 2.81 2.43
t+10 25 15 60.0 0.52 1.14 2.17 -1.94 1.12 -4.25 1.51 1.10
t+20 25 18 72.0 0.67 1.59 3.01 -5.35 0.56 -14.21 1.43 0.67
1st +’ve exit in 5 days 25 23 92.0 0.68 0.49 0.81 -0.86 0.95 -1.20 5.02 4.11

23/25 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 68 basis points at the 1st positive close within in the next five trading days, when $SPY closed at the top 10% of the day’s range , before the Fed Day

20/25 times $SPY closed higher two day’s later , with an average gains of 76 bps , with a max loss of 141 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 instances of $SPY closing at the top 10% of the day’s range before the Fed day and the next 1/2/3/4/5 trading days returns

Date $SPY Close Range % t+1% t+2% t+3% t+4% t+5% 1st +’ve exit % in 5 days
28-Jul-15 209.31 7.04 ?? ?? ?? ?? ?? ??
16-Jun-15 209.23 6.17 0.16 1.17 0.76 1.27 1.35 0.16
28-Apr-15 210.42 2.78 -0.41 -1.41 -0.34 -0.06 -1.20 -1.20
28-Oct-14 195.49 0.60 -0.15 0.49 1.64 1.69 1.34 0.49
29-Oct-13 171.23 8.43 -0.50 -0.78 -0.54 -0.19 -0.51 -0.51
17-Sep-13 164.54 6.35 1.15 0.98 0.28 -0.18 -0.42 1.15
30-Apr-13 152.77 3.77 -0.88 0.05 1.06 1.32 1.83 0.05
24-Jan-12 122.50 4.76 0.84 0.32 0.28 -0.07 -0.11 0.84
25-Jan-11 117.89 9.43 0.39 0.64 -1.12 -0.37 1.22 0.39
15-Mar-10 103.38 8.05 0.79 1.39 1.34 0.83 1.36 0.79
17-Mar-09 68.40 6.27 2.24 0.96 -1.18 5.92 3.83 2.24
28-Oct-08 81.37 4.87 -0.73 2.70 3.27 3.58 7.09 2.70
27-Jun-07 127.21 6.60 -0.02 0.02 0.92 1.29 1.18 0.02
20-Mar-07 118.72 7.61 1.64 1.57 1.72 1.58 1.34 1.64
30-Jan-07 119.78 8.82 0.67 1.27 1.41 1.44 1.47 0.67
24-Oct-06 115.02 6.78 0.34 0.65 0.02 -0.05 -0.07 0.34
28-Jun-06 103.61 2.15 2.02 2.03 2.44 1.86 2.15 2.02
02-May-05 94.58 0.00 0.17 0.94 0.91 0.59 1.22 0.17
13-Dec-04 96.96 3.53 0.35 0.42 0.37 -0.30 -0.28 0.35
08-Dec-03 85.02 7.89 -0.76 -0.78 0.34 0.53 0.04 0.34
17-Mar-03 67.81 4.47 0.59 1.36 1.58 3.75 0.29 0.59
01-Oct-01 79.93 3.48 1.25 2.95 3.04 2.84 2.16 1.25
20-Aug-01 89.98 5.83 -1.70 -0.68 -1.03 1.01 0.41 1.01
14-May-01 95.49 4.05 0.47 2.84 3.00 3.47 4.98 0.47
30-Jan-01 104.66 5.56 -0.57 0.09 -2.18 -1.46 -1.75 0.09
15-May-00 109.47 8.82 0.97 -0.09 -1.32 -2.87 -3.60 0.97

highlighted in red were those 2  instances , where $SPY failed to close higher over the , next five trading days 

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$SPY during the Opex weeks when FOMC is held too !

$SPY during the Opex weeks when FOMC is held too !

interest_rate_hike_cartoon

with both Opex an FOMC coming in this week of 15-Jun-2015

below the trading odds for the week ( from previous Friday close to current week’s Friday close) when both FOMC and Opex falls in the same week

Winners : 23
Losers : 8
% Winners : 74%
Average Change % : 1.17
Median Change % : 1.28
Maximum Gain % : 7.01
Maximum Loss % : -2.93
Average Gain %if Winner : 2.03
Average Loss % if Loser : -1.30
Payoff Ratio 1.56
Average Absolute Change% : 1.55
Profit Factor : 4.51
Outlier Adjusted Profit Factor : 3.98

vs 

When there is an FOMC meeting in the week but not an opex

Winners : 41
Losers : 55
% Winners : 43%
Average Change % : -0.10
Median Change % : -0.21
Maximum Gain % : 11.25
Maximum Loss % : -19.79
Average Gain %if Winner : 2.05
Average Loss % if Loser : -1.70
Payoff Ratio 1.21
Average Absolute Change% : 1.36
Profit Factor : 0.90
Outlier Adjusted Profit Factor : 0.81

thus it is bullish for $SPY on the weekly bar , when there are both FOMC and Opex , in the week.

below the $SPY returns for those weeks when there is an FOMC and Opex , since Y2K

Week $SPY Change Change %
15-Jun-15 ?? ?? ??
16-Mar-15 210.41 5.49 2.68
15-Dec-14 205.60 6.70 3.37
15-Sep-14 198.71 2.47 1.26
16-Jun-14 193.10 2.70 1.42
17-Mar-14 182.62 2.31 1.28
16-Dec-13 177.29 4.31 2.49
16-Sep-13 165.80 2.15 1.31
17-Jun-13 153.74 -3.14 -2.00
12-Mar-12 131.95 3.13 2.43
12-Dec-11 113.85 -3.43 -2.93
14-Mar-11 117.68 -2.32 -1.93
13-Dec-10 114.00 0.43 0.38
15-Mar-10 104.74 0.89 0.86
14-Dec-09 99.13 -0.27 -0.28
16-Mar-09 67.92 1.03 1.54
15-Dec-08 77.53 -0.07 -0.09
15-Sep-08 108.24 -1.09 -0.99
17-Mar-08 113.95 2.68 2.41
17-Sep-07 129.77 3.22 2.55
11-Dec-06 119.98 1.44 1.21
12-Dec-05 104.58 0.58 0.55
13-Dec-04 97.14 0.55 0.56
15-Mar-04 88.94 -0.90 -1.00
15-Sep-03 82.34 1.28 1.58
11-Aug-03 78.82 1.06 1.36
17-Mar-03 70.69 4.63 7.01
12-Aug-02 72.51 1.50 2.11
14-May-01 99.28 3.51 3.67
16-Apr-01 95.27 4.32 4.75
13-Nov-00 103.96 0.01 0.01
15-May-00 106.85 -1.28 -1.18

highlighted in red were those instances where $SPY failed to close higher than the entry 

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a bearish NFP trading setup on $SPY

a bearish NFP trading setup on $SPY

Non Farm Payroll Report

a $SPY bearish trading setup into NFP on 5th June 2015

below the trading strategy rules

  • $SPY closes at 10 day low
  • tomorrow is NFP ( Non Farm Payrolls release day)

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for going long on prior day of NFP release day , when $SPY closes at 10 day low 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 25 12 48.0 -0.19 -0.06 0.53 -0.85 0.63 -2.45 0.66 0.47
t+2 25 12 48.0 -0.41 -0.50 1.08 -1.78 0.60 -6.65 0.67 0.55
t+3 25 12 48.0 0.04 -0.01 1.95 -1.71 1.13 -5.84 1.06 0.93
t+4 25 11 44.0 -0.08 -0.22 2.26 -1.92 1.18 -6.62 0.88 0.73
t+5 25 12 48.0 0.32 -0.45 2.76 -1.93 1.43 -7.95 1.20 0.97
t+10 25 13 52.0 0.37 0.80 3.86 -3.42 1.13 -8.12 1.10 0.88
t+20 25 17 68.0 1.83 2.46 4.55 -3.95 1.15 -9.30 2.26 1.85
1st +’ve in 5 days 25 19 76.0 -0.15 0.32 0.69 -2.83 0.24 -7.95 0.90 0.73
1st -‘ve in 5 days 25 22 88.0 0.50 -0.51 -0.87 2.15 0.40 2.86 2.13 1.78

22/25 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 50 basis points ( and median loss of 51 bps) at the 1st negative 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 instances of $SPY posting a 10 day low prior to NFP release day , since Y2K , and the next 1/2/3/4/5/10/20 trading days ,

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days 1st -‘ve exit in 5 days
04-Jun-15 210.13 ?? ?? ?? ?? ?? ?? ??
31-Jul-14 190.29 -0.30 0.42 -0.56 -0.53 -1.07 0.42 -0.30
05-Dec-13 173.79 1.12 1.38 1.01 -0.13 -0.45 1.12 -0.13
07-Nov-13 169.89 1.35 1.37 1.16 1.97 2.48 1.35 2.48
04-Aug-11 111.32 -0.14 -6.65 -2.31 -6.62 -2.43 -2.43 -0.14
02-Jun-11 121.34 -1.00 -2.04 -2.10 -2.51 -1.77 -1.77 -1.00
05-May-11 123.07 0.45 0.83 1.69 0.63 1.11 0.45 1.11
01-Jul-10 93.25 -0.54 0.11 3.26 4.29 5.06 0.11 -0.54
06-May-10 102.01 -1.49 2.84 2.56 3.99 2.70 2.84 -1.49
04-Feb-10 95.74 0.21 -0.51 0.73 0.53 1.59 0.21 -0.51
01-Oct-09 92.12 -0.47 1.02 2.48 2.76 3.54 1.02 -0.47
05-Mar-09 60.48 0.18 -0.99 4.91 5.59 9.74 0.18 -0.99
04-Sep-08 107.54 0.32 2.38 -0.65 -0.25 1.19 0.32 -0.65
02-Jul-08 109.40 0.11 -0.91 0.84 -1.10 -0.69 0.11 -0.91
06-Mar-08 112.51 -1.03 -2.34 1.17 0.23 0.45 1.17 -1.03
03-Jan-08 124.36 -2.45 -2.53 -4.11 -3.10 -2.47 -2.47 -2.45
02-Nov-06 114.66 -0.18 0.94 1.33 1.55 1.02 0.94 -0.18
09-Mar-06 105.42 0.95 1.14 2.20 2.66 2.86 0.95 2.86
06-Oct-05 98.13 0.35 -0.50 -0.64 -1.43 -1.49 0.35 -0.50
05-Aug-04 87.12 -1.42 -1.29 -0.01 -0.22 -1.31 -1.31 -1.42
01-Jul-04 90.77 -0.06 -0.93 -0.64 -1.32 -1.07 -1.07 -0.06
06-Mar-03 64.97 0.69 -1.72 -2.69 -2.03 1.35 0.69 -1.72
05-Dec-02 71.44 0.66 -2.11 -0.80 -0.71 -0.73 0.66 -2.11
06-Jun-02 80.20 -0.12 0.26 -1.46 -0.86 -1.85 0.26 -0.12
04-Apr-02 87.34 0.01 0.23 -0.48 0.65 -1.85 0.01 -0.48
06-Sep-01 85.00 -1.85 -0.65 -5.84 -6.06 -7.95 -7.95 -1.85

highlighted in green were the only three instances when $SPY didn’t post a lower in next five trading days , 

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Funny Volume only Slightly Bearish Pattern on $SPY

Funny Volume only Slightly Bearish Pattern on $SPY

New Job Statistics

 

Not sure how to use these volume only patterns , but found this interesting pattern , here are the trading rules

1) $SPY posts highest volume in the last 10 trading days &&

2) current day is NFP day

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 33 12 36.4 -0.67 -0.23 0.51 -1.34 0.38 -6.51 0.29 0.23 1.56 -2.45
t+2 33 11 33.3 -0.66 -0.33 1.24 -1.61 0.77 -9.34 0.37 0.29 2.23 -1.70
t+3 33 12 36.4 -1.05 -0.90 1.52 -2.52 0.60 -11.63 0.35 0.28 2.95 -2.04
t+4 33 12 36.4 -1.01 -0.64 2.05 -2.75 0.74 -17.79 0.38 0.29 4.08 -1.42
t+5 33 13 39.4 -1.12 -0.82 1.83 -3.04 0.60 -19.79 0.35 0.25 4.42 -1.46
t+10 33 18 54.5 -0.47 0.26 3.01 -4.64 0.65 -15.53 0.76 0.66 4.96 -0.54
t+20 33 21 63.6 1.31 1.56 4.23 -3.79 1.12 -12.24 1.81 1.53 5.77 1.31
1st +’ve exit in 5 days 33 22 66.7 -0.71 0.22 0.78 -3.69 0.21 -19.79 0.43 0.36 3.75 -1.09
1st -‘ve exit in 5 days 33 28 84.8 0.84 -0.70 -1.23 1.35 0.91 2.35 4.02 3.20 1.73 2.79

1st -‘ve exit in 5 days , assumes one goes short at current close , and exits at a lower close than entry over the next five days , other wise buy to cover for a loss at the end of 5th day trading day ..

28/33 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 84 basis points at the 1st negative 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 $SPY returns over the next 1/2/3/4/5 trading days , when $SPY posts highest volume in 10 trading days , on NFP day , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit (%) in 5 days
08-May-15 211.62 ?? ?? ?? ?? ?? ??
06-Mar-15 206.58 0.41 -1.22 -1.45 -0.19 -0.80 -1.22
05-Sep-14 198.19 -0.26 -0.89 -0.51 -0.40 -0.98 -0.26
01-Aug-14 189.71 0.72 -0.26 -0.23 -0.76 0.38 -0.26
04-Apr-14 182.82 -1.10 -0.70 0.37 -1.74 -2.63 -1.10
06-Dec-13 175.73 0.26 -0.11 -1.23 -1.55 -1.56 -0.11
06-Sep-13 160.48 0.95 1.70 2.02 1.75 1.98 1.98
05-Apr-13 149.17 0.68 1.03 2.27 2.60 2.35 2.35
04-May-12 128.85 0.07 -0.33 -0.92 -0.71 -1.02 -0.33
05-Aug-11 111.16 -6.51 -2.17 -6.49 -2.29 -1.64 -6.51
03-Jun-11 120.13 -1.06 -1.12 -1.53 -0.78 -2.16 -1.06
04-Mar-11 121.49 -0.78 0.08 -0.06 -1.91 -1.23 -0.78
07-Jan-11 116.61 -0.13 0.22 1.13 0.96 1.70 -0.13
06-Aug-10 101.99 0.54 -0.01 -2.75 -3.34 -3.63 -0.01
05-Feb-10 95.94 -0.72 0.52 0.32 1.38 1.29 -0.72
04-Dec-09 99.32 -0.15 -1.27 -0.90 -0.33 0.09 -0.15
06-Mar-09 60.59 -1.17 4.72 5.40 9.54 10.40 -1.17
09-Jan-09 78.32 -2.40 -2.22 -5.30 -5.26 -4.52 -2.40
03-Oct-08 96.22 -5.09 -9.34 -11.63 -17.79 -19.79 -5.09
06-Jun-08 117.58 0.24 -0.26 -1.73 -1.35 -0.10 -0.26
07-Mar-08 111.35 -1.32 2.23 1.28 1.50 -0.07 -1.32
04-Jan-08 121.31 -0.08 -1.70 -0.67 -0.02 -0.82 -0.08
07-Sep-07 124.15 -0.19 0.97 1.23 1.94 1.93 -0.19
04-Aug-06 106.99 -0.23 -0.62 -0.95 -0.64 -0.93 -0.23
01-Apr-05 95.88 0.17 0.65 0.99 1.53 0.48 0.48
06-Aug-04 85.88 0.14 1.43 1.22 0.12 0.31 0.31
05-Mar-04 92.87 -1.22 -1.62 -3.26 -4.52 -3.26 -1.22
09-Jan-04 89.69 0.74 0.14 0.98 1.23 1.63 1.63
06-Jun-03 78.25 -1.01 -0.01 1.05 1.37 0.31 -1.01
07-Mar-03 65.42 -2.40 -3.36 -2.71 0.66 0.98 -2.40
04-Jan-02 90.91 -0.70 -0.93 -1.74 -1.31 -2.28 -0.70
07-Sep-01 83.43 1.22 -4.06 -4.29 -6.22 -9.21 -4.06
04-May-01 97.44 -0.86 -0.90 -1.32 -1.04 -1.71 -0.86
06-Oct-00 107.33 -0.75 -2.39 -3.21 -5.63 -2.49 -0.75

highlighted in bold were those 5 instances where $SPY failed to closed lower over the next five trading days ..

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$SPY Gap up’s and down’s on a Fed Day

$SPY Gap up’s and down’s on a Fed Day

The Quantifiable Edges Guide To Fed Days

 

1) below the trading odds for the entry set at open and exit set to close on a Fed Day for $SPY.. since Y2K 

Winners : 70
Losers : 56
% Winners : 56%
Average Change % : 0.29
Median Change % : 0.13
Maximum Gain % : 5.21
Maximum Loss % : -3.14
Average Gain %if Winner : 1.11
Average Loss % if Loser : -0.75
Payoff Ratio 1.47
Average Absolute Change% : 0.60
Profit Factor : 1.78
Outlier Adjusted Profit Factor : 1.67

2) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap up opening.. since Y2K 

Winners : 40
Losers : 42
% Winners : 49%
Average Change % : 0.04
Median Change % : -0.01
Maximum Gain % : 2.99
Maximum Loss % : -3.14
Average Gain %if Winner : 0.86
Average Loss % if Loser : -0.76
Payoff Ratio 1.14
Average Absolute Change% : 0.53
Profit Factor : 1.04
Outlier Adjusted Profit Factor : 0.95

3) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap down opening.. since Y2K 

Winners : 30
Losers : 15
% Winners : 67%
Average Change % : 0.74
Median Change % : 0.46
Maximum Gain % : 5.21
Maximum Loss % : -1.85
Average Gain %if Winner : 1.43
Average Loss % if Loser : -0.70
Payoff Ratio 2.06
Average Absolute Change% : 0.75
Profit Factor : 4.20
Outlier Adjusted Profit Factor : 3.72

conclusion : it pays to fade the gap-down opening on a Fed-Day

 

when $SPY posts a top range close ahead of FOMC ??

when $SPY posts a top range close ahead of FOMC ??

Fed_Cartoon

 

below a ” bullish Fed day pattern “, and here are the trading strategy rules ,

1) $SPY current day close’s is in the top 10% of day’s range ( i.e high[0]-close[0]/(high[0]-low[0]) < 0.1) , ps: it doesn’t necessarly mean a $SPY closed up for the day , as there are 2 negative days in the trading strategy sample

2) and the next trading day is Fed Day

3)  below the $SPY returns 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 % PF OAPF STDEV T-Test
t+1 23 15 65.2 0.37 0.39 0.93 -0.66 1.40 -1.70 2.45 2.09 0.95 1.89
t+2 23 19 82.6 0.84 0.65 1.14 -0.59 1.95 -0.78 8.00 7.00 1.06 3.82
t+3 23 17 73.9 0.71 0.90 1.39 -1.23 1.13 -2.17 3.25 2.83 1.46 2.32
t+4 23 15 65.2 1.14 1.02 2.11 -0.69 3.09 -2.86 4.92 4.26 1.86 2.94
t+5 23 16 69.6 1.10 1.22 2.00 -0.96 2.08 -3.59 4.10 3.36 2.12 2.48
t+10 23 15 65.2 0.67 1.31 2.16 -2.14 1.01 -4.26 2.31 1.96 2.42 1.32
t+20 23 16 69.6 0.67 1.98 3.30 -5.35 0.62 -14.21 1.60 1.36 5.19 0.62
1st +’ve exit in 5 days 23 22 95.7 0.79 0.59 0.85 -0.51 1.66 -0.51 21.60 19.08 0.76 4.97

22/23 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 79 basis points at the 1st positive close within in the next five trading days, when $SPY closed at the top 10% of the day’s range , before the Fed Day

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

below the prior instances of $SPY closing at the top 10% of the day’s range before the Fed day and the next 1/2/3/4/5 trading days returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit (%) in 5 days
28-Apr-15 211.44 ?? ?? ?? ?? ?? ??
28-Oct-14 196.44 -0.15 0.49 1.64 1.70 1.34 0.49
29-Oct-13 172.07 -0.50 -0.78 -0.54 -0.19 -0.51 -0.51
17-Sep-13 165.34 1.16 0.99 0.28 -0.18 -0.42 1.16
30-Apr-13 153.52 -0.88 0.04 1.06 1.32 1.82 0.04
24-Jan-12 123.10 0.84 0.32 0.27 -0.07 -0.11 0.84
25-Jan-11 118.47 0.39 0.63 -1.12 -0.38 1.22 0.39
15-Mar-10 103.88 0.80 1.40 1.35 0.83 1.37 0.80
17-Mar-09 68.73 2.24 0.97 -1.18 5.92 3.84 2.24
28-Oct-08 81.76 -0.72 2.72 3.28 3.58 7.09 2.72
27-Jun-07 127.83 -0.02 0.02 0.92 1.28 1.18 0.02
20-Mar-07 119.30 1.64 1.57 1.72 1.58 1.34 1.64
30-Jan-07 120.36 0.67 1.27 1.41 1.45 1.47 0.67
24-Oct-06 115.58 0.34 0.65 0.02 -0.05 -0.07 0.34
28-Jun-06 104.11 2.03 2.03 2.45 1.86 2.16 2.03
02-May-05 95.04 0.17 0.94 0.90 0.59 1.22 0.17
13-Dec-04 97.43 0.35 0.43 0.37 -0.30 -0.28 0.35
08-Dec-03 85.44 -0.77 -0.78 0.33 0.53 0.02 0.33
17-Mar-03 68.14 0.59 1.35 1.57 3.74 0.29 0.59
01-Oct-01 80.32 1.26 2.95 3.04 2.84 2.17 1.26
20-Aug-01 90.42 -1.70 -0.69 -1.04 1.02 0.41 1.02
14-May-01 95.96 0.46 2.83 2.99 3.46 4.98 0.46
30-Jan-01 105.16 -0.56 0.10 -2.17 -1.45 -1.74 0.10
15-May-00 110.00 0.96 -0.09 -1.31 -2.86 -3.59 0.96

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$SPY , $IWM , $TLT, $SOCL behavior , when Janet Yellen is scheduled to talk

$SPY, $TLT, $IWM , $SOCL , when Janet Yellen is scheduled to talk 

Janet Yellen

Below $SPY , overnight gap %,  and Intra-day  %, and the day change % details , when Janet Yellen is scheduled to speak

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 188.42 189.75 187.62 188.47 1.15 0.03 1.18
18-Sep-14 200.42 200.91 200.16 200.88 0.3 0.23 0.53
17-Sep-14 199.84 200.75 198.82 199.82 0.15 -0.01 0.14
22-Aug-14 198.41 198.76 197.81 198.26 -0.08 -0.08 -0.16
2-Jul-14 196.13 196.56 196.04 196.31 0.01 0.09 0.1
18-Jun-14 193 194.53 192.58 194.42 0 0.73 0.74
21-May-14 186.32 187.44 186.29 187.35 0.29 0.55 0.84
15-May-14 186.91 186.95 184.73 185.64 -0.2 -0.68 -0.88
1-May-14 186.45 187.07 185.97 186.56 -0.05 0.06 0.01
16-Apr-14 183.73 184.39 182.91 184.38 0.69 0.36 1.05
15-Apr-14 181.6 182.6 179.81 182.47 0.21 0.48 0.69
31-Mar-14 184.91 185.54 183.77 185.25 0.63 0.18 0.82
19-Mar-14 185.1 185.35 182.92 184.09 0.01 -0.54 -0.53
avg 0.24 0.11 0.35
med 0.15 0.09 0.53
vs All Days Since Mar 2014 0.05 0 0.05
% wins 69 69 77

10/13 times $SPY closed higher on the days when Janet Yellen is scheduled to speak

below , overnight gap , intraday change % , and the day change %  , details for $IWM 

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 109.16 109.22 107.04 107.48 1.26 -1.54 -0.3
18-Sep-14 114.92 115.21 114.59 115.11 0.44 0.16 0.6
17-Sep-14 114.18 115.16 113.88 114.42 0.05 0.21 0.26
22-Aug-14 114.72 115.31 114.29 114.89 -0.14 0.15 0.01
2-Jul-14 119.23 119.63 118.56 118.77 0 -0.38 -0.39
18-Jun-14 116.14 117.04 115.74 116.99 -0.06 0.74 0.68
21-May-14 108.93 109.41 107.84 108.90 0.54 -0.03 0.51
15-May-14 108.36 108.50 106.74 108.17 -0.5 -0.17 -0.67
1-May-14 111.02 112.03 109.82 111.21 -0.21 0.17 -0.04
16-Apr-14 111.19 111.70 110.50 111.62 0.7 0.38 1.09
15-Apr-14 110.30 110.99 107.95 110.42 0.28 0.11 0.39
31-Mar-14 114.29 115.92 113.88 115.58 0.66 1.13 1.8
19-Mar-14 118.59 118.65 117.03 117.92 -0.08 -0.57 -0.65
avg 0.23 0.03 0.25
med 0.05 0.15 0.26
vs All Days Since Mar 2014 0.03 -0.03 -0.01
% wins 54 62 62

below , overnight gap , intraday change % , and the day change %  , details for $TLT

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 121.19 121.71 120.48 121.07 -0.46 -0.1 -0.56
18-Sep-14 112.90 113.20 112.57 112.88 0.34 -0.02 0.32
17-Sep-14 113.25 113.55 112.45 112.52 0.39 -0.64 -0.26
22-Aug-14 116.18 116.87 115.66 116.73 0.08 0.47 0.55
2-Jul-14 110.81 110.85 110.15 110.26 -0.58 -0.49 -1.07
18-Jun-14 110.69 111.64 110.45 111.28 0.23 0.54 0.77
21-May-14 110.82 111.00 110.47 110.86 -0.65 0.04 -0.61
15-May-14 112.36 112.98 112.18 112.44 0.73 0.07 0.8
1-May-14 109.49 110.68 109.45 110.62 0.04 1.03 1.07
16-Apr-14 108.79 109.62 108.74 109.62 -0.63 0.76 0.13
15-Apr-14 108.97 109.85 108.71 109.48 0.15 0.47 0.63
31-Mar-14 106.85 109.14 106.45 107.20 -0.58 0.33 -0.25
19-Mar-14 106.04 106.10 104.95 105.39 -0.17 -0.61 -0.78
avg -0.09 0.14 0.06
med 0.04 0.07 0.13
vs All Days Since Mar 2014 0.04 0.04 0.08
% wins 54 62 54

 

below , overnight gap , intraday change % , and the day change %  , details for $SOCL

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 18.79 18.80 18.49 18.56 2.29 -1.22 1.03
18-Sep-14 20.25 20.30 20.18 20.26 0.7 0.05 0.75
17-Sep-14 20.30 20.30 20.07 20.11 0.4 -0.94 -0.54
22-Aug-14 20.31 20.41 20.14 20.39 -0.05 0.39 0.34
2-Jul-14 19.83 20.10 19.76 19.84 0.25 0.05 0.3
18-Jun-14 19.12 19.29 18.93 19.18 0.68 0.31 1
21-May-14 17.22 17.46 17.18 17.38 0.06 0.93 0.99
15-May-14 17.23 17.23 16.75 17.01 0.94 -1.28 -0.35
1-May-14 17.38 17.92 17.38 17.61 1.16 1.32 2.5
16-Apr-14 18.54 18.59 18.08 18.50 2.71 -0.22 2.49
15-Apr-14 17.95 18.15 17.32 18.05 0.22 0.56 0.78
31-Mar-14 19.81 19.92 19.43 19.49 1.69 -1.62 0.05
19-Mar-14 21.46 21.46 20.95 21.11 -0.05 -1.63 -1.68
avg 0.85 -0.25 0.59
med 0.68 0.05 0.75
vs All Days Since Mar 2014 0.13 -0.22 -0.1
% wins 85 54 77

 

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when $SPY posts a 1% rise on pre #Fedday ?

when $SPY posts a 1% rise on pre #Fedday ?

Fed Day Carton

with $SPY gaining more the 1% , the day before #Fedday , below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days since 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 8 53.3 0.52 0.32 1.76 -0.91 1.94 -2.69 1.99 1.39
t+2 15 9 60.0 0.18 0.02 1.66 -2.02 0.82 -4.88 1.12 0.72
t+3 15 5 33.3 -0.55 -1.18 2.38 -2.02 1.18 -5.31 0.53 0.33
t+4 15 7 46.7 0.21 -1.03 2.77 -2.04 1.36 -3.19 0.96 0.71
t+5 15 8 53.3 0.23 0.06 1.97 -1.76 1.12 -3.59 1.07 0.60
t+10 15 6 40.0 0.04 -1.08 3.57 -2.31 1.55 -4.25 1.09 0.78
t+20 15 11 73.3 0.96 1.62 3.25 -5.36 0.61 -9.06 1.76 1.38
1st +’ve exit in 5 days 15 13 86.7 1.10 0.58 1.39 -0.74 1.87 -1.20 11.41 8.75

13/15 times $SPY closed higher than the entry at some point of time , over the next five trading days , after $SPY posts more than 1% rise , the day before #Fedday 

below the historical instances of $SPY gaining more than 1% , the day before #fedday , since Jan 2000

Date $SPY t% t+1% t+2% t+3% t+4% t+5%
28-Oct-14 198.41 1.15 ?? ?? ?? ?? ??
21-Jun-11 121.03 1.37 -0.6 -0.88 -2.04 -1.17 0.12
20-Sep-10 105.24 1.52 -0.2 -0.69 -1.49 0.53 0.06
17-Mar-09 69.42 3.06 2.23 0.97 -1.18 5.92 3.83
27-Jan-09 75.06 1.02 3.38 0.01 -2.01 -2.3 -0.93
28-Oct-08 82.58 11.69 -0.73 2.71 3.28 3.57 7.1
06-Aug-07 125.51 1.68 1.07 2.48 -0.57 -1.03 -0.67
27-Jun-07 129.11 1.43 -0.02 0.02 0.92 1.29 1.18
03-May-04 90.71 1.08 -0.09 0.56 -0.31 -1.95 -2.97
17-Mar-03 68.82 3.15 0.58 1.37 1.58 3.75 0.31
05-Nov-01 86.11 1.31 1.56 1.42 1.73 1.83 1.22
10-Sep-01 * 85.3 1.22 -5.23 -5.45 -7.36 -10.3 -11.28
17-Apr-01 92.17 1.41 3.98 5.36 4.39 2.51 1.95
19-Mar-01 90.7 2.04 -2.69 -4.34 -5.31 -2.45 -1.2
18-Dec-00 102.30 1.34 -2.03 -4.88 -4.21 -1.34 -0.28
14-Nov-00 106.91 2.63 0.32 -1.25 -1.79 -3.19 -2.69
15-May-00 111.10 1.73 0.97 -0.09 -1.31 -2.86 -3.59

ps: 10-Sep-2001 , is not considered in the above calculations , as you know !! what happened the next day

pps highlighted in the red were the only two instances where $SPY not able to close above the entry price , in the next five trading days ..

May we recommend @QuantEdges , The Quantifiable Edges Guide To Fed Days 

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$SPY $TLT $GLD the week after Jackson Hole Economic Symposium

the week after Jackson Hole Economic Symposium

Visual comment of the weekBelow the $SPY trading odds for the longs , assuming one goes long at the close of Friday during the Jackson Hole Economic Symposium and exiting at the end of the next Friday at close ( the week after Jackson Hole Economic Symposium)

Data since 1993 ( or since when $SPY started trading ) , Jackson Hole Economic Symposium dates are from ECONOMIC SYMPOSIUM CONFERENCE PROCEEDINGS

  • Winners : 13
  • Losers : 8
  • % Winners : 62%
  • Average Change % : 0.11
  • Median Change % : 0.67
  • Maximum Gain % : 3.77
  • Maximum Loss % : -5.43
  • Average Gain %if Winner : 1.45
  • Average Loss % if Loser : -2.07
  • Payoff Ratio 0.70
  • Average Absolute Change% : 1.20
  • Profit Factor : 1.08
  • Outlier Adjusted Profit Factor : 0.84

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

Even Stevens !

$TLT during the week after Jackson Hole Economic Symposium 

  • Winners : 10
  • Losers : 2
  • % Winners : 83%
  • Average Change % : 0.94
  • Median Change % : 0.91
  • Maximum Gain % : 4.02
  • Maximum Loss % : -2.68
  • Average Gain %if Winner : 1.53
  • Average Loss % if Loser : -2.03
  • Payoff Ratio 0.75
  • Average Absolute Change% : 2.36
  • Profit Factor : 2.72
  • Outlier Adjusted Profit Factor : 1.84

Slight advantage to the bulls ( i said slight because of the maximum loss which stands at -2.7% )

$GLD during the week after Jackson Hole Economic Symposium 

  • Winners : 8
  • Losers : 1
  • % Winners : 89%
  • Average Change % : 1.52
  • Median Change % : 0.78
  • Maximum Gain % : 4.31
  • Maximum Loss % : -0.21
  • Average Gain %if Winner : 1.74
  • Average Loss % if Loser : -0.21
  • Payoff Ratio 8.28
  • Average Absolute Change% : 1.51
  • Profit Factor : 55.61
  • Outlier Adjusted Profit Factor : 35.00

below the historical dates of Jackson Hole Economic Symposium , and the returns of $SPY, $TLT , $GLD

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium
Jackson Hole Meeting End Next Week $SPY $TLT $GLD
23-Aug-14 25-Aug-14 ?? ?? ??
24-Aug-13 26-Aug-13 -1.78 1.63 -0.21
01-Sep-12 04-Sep-12 2.25 -2.68 2.57
27-Aug-11 29-Aug-11 -0.1 4.02 3.25
28-Aug-10 30-Aug-10 3.77 -1.38 0.7
22-Aug-09 24-Aug-09 0.4 2.91 0.23
23-Aug-08 25-Aug-08 -0.67 0.82 0.78
01-Sep-07 04-Sep-07 -1.04 2.01 4.31
26-Aug-06 28-Aug-06 1.25 0.77 0.6
27-Aug-05 29-Aug-05 1.25 1.09 1.47
28-Aug-04 30-Aug-04 0.61 0.22
30-Aug-03 02-Sep-03 1.38 0.95
31-Aug-02 03-Sep-02 -1.93 0.86
01-Sep-01 04-Sep-01 -4.76
26-Aug-00 28-Aug-00 0.82
28-Aug-99 30-Aug-99 0.67
29-Aug-98 31-Aug-98 -5.43
30-Aug-97 02-Sep-97 3.05
31-Aug-96 03-Sep-96 0.94
02-Sep-95 05-Sep-95 1.56
27-Aug-94 29-Aug-94 -0.81
21-Aug-93 23-Aug-93 0.96
avg % 0.11 0.94 1.52
med % 0.67 0.91 0.78

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium

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