$GLD , $TLT , $VNQ trade ideas – 9 Jan 2018

$GLD , $TLT , $VNQ trade ideas

few trading ideas as on 9th Jan 2018

1) $GLD – trading strategy rules

close is above and is down for three days in row , backtest period since last 4 years

$gld

 

34 out 34 times closed lower atleast once over next 5 trading days, when $GLD is above 200 DMA and posted 3 down closes in last 4 years at an average of 66 bps

2) $TLT – trading strategy rules

RSI(2) is below 2 , and posts 4 consecutive lower lows , backtest period is since its IPO ( 2002)

$tlt

 

39 out 39 times closed higher atleast once over next 5 trading days, when $TLT posts 4 lower lows along with an RSI(2) close below 2 , since 2002 , at an average of 64 bps

3) $VNQ – trading strategy rules

close is blow 200 DMA , and closes at quarterly low , backtest period is last 4 years

VNQ

33 out 33 times closed higher atleast once over next 5 trading days, when $VNQ closes at quarterly low , and when close is below is 200 DMA , at an average of 76 bps

ps: clicking on the images will take you to a detailed backtest report , which included historical trade details , along with drawdown and run details , among many other backtest report statistics.

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

tickalert

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

with the help of Quant-Ideas mining tool  we were able to find the below trading strategy on $QQQ ,

trading strategy rules

1) $QQQ closes below lower bollinger band for two trading days in row  ( bollinger bands are calculated on 20 day moving averages , with 2 standard deviations )

below the trading odds for longs for $QQQ , for the next 1/2/3/4/5/10/20 trading days , when $QQQ closes below lower bollinger bands for , 2 consecutive days in row , since 2010

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 35 22 62.9 0.45 0.33 1.67 -1.62 1.03 -6.02 1.47 1.16
t+2% 35 23 65.7 1.03 0.91 2.41 -1.62 1.49 -4.21 2.39 2.48
t+3% 35 25 71.4 1.59 2.05 3.11 -2.20 1.41 -5.52 3.83 2.94
t+4% 35 26 74.3 2.03 2.20 3.51 -2.26 1.56 -4.55 4.43 3.73
t+5% 35 26 74.3 2.16 2.13 3.44 -1.54 2.23 -3.13 5.53 4.45
t+10% 35 20 57.1 1.79 2.31 5.10 -2.61 1.95 -7.06 2.86 2.44
t+20% 34 23 67.6 2.90 3.34 5.85 -3.28 1.79 -7.11 3.47 3.18
1st +’ve in 5 days 35 33 94.3 1.40 0.78 1.53 -0.86 1.79 -1.23 34.58 5.21
1st -‘ve in 5 days 35 22 62.9 -0.57 -0.53 -1.51 4.10 0.37 7.45 0.48 -1.08

33/35 times  $QQQ closed higher than the current close at some point of time in the next five trading days .. with an average gain of 140 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, and $QQQ forward 1/2/3/4/5 trading day returns , when $QQQ closes below lower bollinger band for 2 days in row , since 2010.

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
8-Feb-16 96.62 ?? ?? ?? ?? ?? ?? ??
11-Jan-16 104.33 1.16 -2.33 -0.25 -3.35 -3.13 1.16 -2.33
8-Jan-16 104.01 0.31 1.47 -2.03 0.06 -3.05 0.31 -2.03
7-Jan-16 104.87 -0.82 -0.51 0.64 -2.83 -0.76 0.64 -0.82
29-Sep-15 99.17 2.30 2.76 4.56 6.06 5.56 2.30 5.56
25-Aug-15 97.55 5.04 7.70 7.68 6.34 3.02 5.04 3.02
24-Aug-15 97.92 -0.38 4.64 7.29 7.27 5.94 4.64 -0.38
21-Aug-15 101.84 -3.85 -4.21 0.62 3.16 3.14 0.62 -3.85
16-Dec-14 98.61 1.82 4.27 4.73 4.99 4.62 1.82 4.62
16-Oct-14 90.53 1.32 2.83 5.53 4.99 6.57 1.32 6.57
15-Oct-14 91.10 -0.63 0.68 2.19 4.87 4.33 0.68 -0.63
14-Oct-14 91.70 -0.65 -1.27 0.03 1.53 4.19 0.03 -0.65
13-Oct-14 91.69 0.01 -0.63 -1.26 0.04 1.54 0.01 -0.63
2-Oct-14 95.88 0.99 0.77 -0.66 1.28 -0.36 0.99 -0.66
11-Apr-14 82.54 0.78 1.12 2.46 2.48 3.25 0.78 3.25
7-Apr-14 83.95 0.92 2.65 -0.53 -1.68 -0.91 0.92 -0.53
27-Mar-14 85.26 0.20 0.91 2.68 2.95 2.13 0.20 2.13
9-Oct-13 74.82 2.12 2.92 3.65 3.25 4.42 2.12 4.42
24-Jun-13 67.57 0.73 1.63 2.07 2.21 2.84 0.73 2.84
21-Jun-13 68.25 -0.99 -0.27 0.62 1.05 1.19 0.62 -0.99
11-Oct-12 63.94 -0.04 0.69 2.11 2.05 0.87 0.69 -0.04
10-Oct-12 64.14 -0.31 -0.36 0.37 1.79 1.73 0.37 -0.31
18-May-12 57.98 2.80 2.68 2.88 2.20 2.07 2.80 2.07
25-Nov-11 50.14 3.48 2.84 6.64 7.38 7.07 3.48 7.07
23-Nov-11 50.53 -0.77 2.68 2.05 5.82 6.55 2.68 -0.77
22-Nov-11 51.70 -2.26 -3.01 0.37 -0.26 3.43 0.37 -2.26
21-Nov-11 51.53 0.33 -1.93 -2.69 0.70 0.07 0.33 -1.93
18-Nov-11 52.53 -1.91 -1.59 -3.81 -4.55 -1.23 -1.23 -1.91
8-Aug-11 47.88 4.82 0.53 4.96 5.89 7.45 4.82 7.45
5-Aug-11 50.95 -6.02 -1.49 -5.52 -1.36 -0.48 -0.48 -6.02
24-May-11 53.42 0.39 1.01 1.52 3.16 0.92 0.39 0.92
7-May-10 42.48 5.20 5.09 7.07 5.37 3.35 5.20 3.35
6-May-10 43.56 -2.49 2.58 2.47 4.40 2.75 2.58 -2.49
29-Jan-10 39.98 1.10 2.01 2.57 -0.40 0.44 1.10 -0.40
26-Jan-10 41.44 0.79 -1.80 -3.52 -2.46 -1.58 0.79 -1.80
25-Jan-10 41.40 0.09 0.88 -1.72 -3.43 -2.37 0.09 -1.72

highlighted in the red were the loss making trades !!

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

check out the new look of the paststat

when $DIA posts 4 red candles in row

when $DIA posts 4 red candles in row 

$DIA stock chart on 12 Jan 2016

with $DIA posttng , 4 consecutive red candles in row as on 12 th Jan 2016, below

trading strategy rules

1) $DIA closes below open for 4 or more trading days in row

below the trading odds for $DIA longs , for the next 1/2/3/4/5/10/20 trading days , since last 4 years ( i.e since 12th jan 2012 ) , when $DIA posts 4 consecutive red candles in row .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 35 22 62.9 0.24 0.35 0.71 -0.56 1.28 -1.07 1.86 1.98
t+2 35 24 68.6 0.64 0.54 1.24 -0.66 1.87 -1.65 3.13 3.23
t+3 35 25 71.4 0.65 0.49 1.15 -0.61 1.89 -1.16 3.71 3.36
t+4 35 24 68.6 0.63 0.38 1.25 -0.70 1.78 -1.35 3.02 2.96
t+5 35 23 65.7 0.50 0.61 1.24 -0.91 1.36 -2.84 2.11 2.21
t+10 35 20 57.1 0.61 0.64 2.45 -1.86 1.32 -5.12 1.56 1.39
t+20 35 23 65.7 0.97 1.03 3.49 -3.88 0.90 -8.80 1.25 1.33
1st +’ve in 5 days  35 34 97.1 0.57 0.51 0.62 -0.94 0.66 -0.94 21.44 6.95
1st -‘ve in 5 days 35 21 60.0 -0.28 -0.22 -0.55 1.53 0.36 3.44 0.56 -1.38

34/35 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 57 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 $DIA posting 4 or more consecutive red candles in row in the last 4 years , and next 1/2/3/4/5 trading day returns

Date $DIA t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days %
12-Jan-16 164.95 ?? ?? ?? ?? ?? ??
07-Aug-15 171.90 1.35 0.16 0.21 0.27 0.61 1.35
06-Aug-15 172.27 -0.22 1.13 -0.06 -0.01 0.05 1.13
05-Aug-15 173.40 -0.65 -0.87 0.47 -0.71 -0.66 0.47
27-Jul-15 172.28 1.08 1.74 1.72 1.41 0.87 1.08
24-Jul-15 173.56 -0.73 0.34 0.99 0.97 0.66 0.34
23-Jul-15 175.18 -0.93 -1.65 -0.59 0.06 0.03 0.06
02-Jul-15 174.91 -0.21 0.33 -1.16 -1.01 0.20 0.33
01-Jul-15 175.25 -0.20 -0.41 0.13 -1.35 -1.21 0.13
30-Jun-15 173.69 0.90 0.70 0.49 1.03 -0.47 0.90
29-Jun-15 173.51 0.10 1.00 0.80 0.59 1.13 0.10
09-Jun-15 175.09 1.32 1.65 0.80 0.22 0.84 1.32
06-Mar-15 174.97 0.78 -0.96 -1.15 0.32 -0.47 0.78
06-Jan-15 169.45 1.27 3.10 2.21 1.64 1.49 1.27
05-Jan-15 170.86 -0.83 0.43 2.24 1.36 0.80 0.43
14-Oct-14 158.58 -1.07 -1.26 0.26 0.38 1.70 0.26
04-Sep-14 165.60 0.35 0.23 -0.32 0.01 -0.09 0.35
01-Aug-14 159.41 0.46 -0.39 -0.22 -0.62 0.47 0.46
27-Jan-14 151.42 0.58 -0.58 0.09 -0.80 -2.84 0.58
24-Jan-14 151.86 -0.29 0.29 -0.87 -0.20 -1.09 0.29
13-Jan-14 155.34 0.75 1.44 1.07 1.22 1.00 0.75
12-Dec-13 150.40 0.11 0.91 0.83 2.72 2.80 0.11
25-Sep-13 145.14 0.35 -0.14 -0.93 -0.52 -0.94 0.35
24-Sep-13 145.75 -0.42 -0.07 -0.56 -1.35 -0.94 -0.94
21-Aug-13 141.27 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Jun-13 139.46 1.01 1.77 0.85 1.44 1.11 1.01
24-Jun-13 138.49 0.70 1.72 2.47 1.55 2.15 0.70
28-Dec-12 120.79 1.17 3.64 3.53 3.87 3.44 1.17
04-Dec-12 120.72 0.66 1.04 1.68 1.82 2.40 0.66
12-Oct-12 123.72 0.67 1.63 1.73 1.68 0.12 0.67
11-Jul-12 116.27 -0.27 1.36 0.96 1.52 2.42 1.36
04-Jun-12 111.34 0.26 2.61 3.10 3.85 2.65 0.26
18-May-12 113.67 1.22 1.23 1.14 1.47 0.77 1.22
17-May-12 114.44 -0.67 0.54 0.55 0.46 0.79 0.54

highlighted in the red were the loss making trades !! 

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

check out the new look of the paststat

when $DIA closes below lower bollinger band for 4 day in row ?

when $DIA closes below lower bollinger band for 4 day in row ?

$DIA stock chart 11 Jan 2016

with $DIA closing below the lower bollinger band ( based on 20 day moving average and 2 standard deviations ) for 4 days in row , below

trading strategy rules

1) $DIA closes below the lower bollinger band for 4 or more days in row

below the trading odds for $DIA longs , 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 34 20 58.8 0.48 0.32 2.47 -2.37 1.04 -6.40 1.16 0.78
t+2 34 17 50.0 0.63 0.38 3.66 -2.41 1.52 -8.37 1.21 0.87
t+3 34 23 67.6 0.72 0.87 2.70 -3.41 0.79 -9.03 1.44 1.07
t+4 34 20 58.8 0.68 0.49 3.11 -2.79 1.12 -8.77 1.36 0.97
t+5 34 18 52.9 0.62 0.56 3.66 -2.81 1.31 -9.79 1.30 0.84
t+10 34 20 58.8 0.89 0.58 3.70 -3.13 1.18 -9.81 1.71 1.14
t+20 34 28 82.4 4.07 3.79 5.57 -2.93 1.90 -6.69 9.20 5.14
1st +’ve in 5 days  34 29 85.3 1.58 0.95 2.51 -3.81 0.66 -9.79 3.02 2.40
1st -‘ve in 5 days 34 26 76.5 0.26 -0.70 -1.87 4.97 0.38 12.80 1.14 0.40

29/34 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 158 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 $DIA closing below lower bollinger bands for 4 or more days in row , since Y2K

Date $DIA # closes below LBB t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 dyas %
11-Jan-16 163.83 4 ?? ?? ?? ?? ?? ??
25-Aug-15 155.24 4 3.94 6.36 6.29 5.55 2.54 3.94
16-Oct-14 156.58 6 1.53 1.66 2.99 2.11 3.40 1.53
15-Oct-14 156.87 5 -0.19 1.35 1.47 2.80 1.92 1.35
14-Oct-14 158.58 4 -1.07 -1.26 0.26 0.38 1.70 0.26
05-Aug-14 158.78 4 0.17 -0.23 0.87 0.99 0.96 0.17
21-Aug-13 141.27 6 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 5 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 4 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Nov-11 102.00 4 2.64 3.05 7.18 7.13 7.06 2.64
08-Aug-11 97.35 8 3.98 -0.83 2.94 4.38 6.24 3.98
05-Aug-11 102.92 7 -5.41 -1.65 -6.20 -2.63 -1.27 -1.27
04-Aug-11 102.43 6 0.47 -4.96 -1.18 -5.75 -2.16 0.47
03-Aug-11 107.01 5 -4.28 -3.83 -9.03 -5.41 -9.79 -9.79
02-Aug-11 106.71 4 0.29 -4.01 -3.55 -8.77 -5.14 0.29
26-Jan-10 88.33 4 0.41 -0.67 -1.31 -0.04 0.98 0.41
23-Feb-09 60.16 5 3.13 2.14 0.97 -0.55 -4.67 3.13
20-Feb-09 62.34 4 -3.50 -0.47 -1.44 -2.56 -4.03 -4.03
10-Oct-08 69.69 6 13.47 11.84 1.34 7.31 4.71 13.47
09-Oct-08 71.19 5 -2.10 11.08 9.49 -0.79 5.05 11.08
08-Oct-08 76.06 4 -6.40 -8.37 3.97 2.48 -7.14 3.97
12-Nov-07 105.49 4 2.60 2.27 1.31 1.58 0.16 2.60
05-Mar-07 96.51 5 1.46 1.41 2.08 2.24 2.37 1.46
02-Mar-07 97.04 4 -0.55 0.91 0.86 1.52 1.68 0.91
15-Mar-04 76.36 6 0.68 1.78 1.83 0.60 -0.61 0.68
12-Mar-04 77.15 5 -1.02 -0.35 0.74 0.79 -0.43 0.74
11-Mar-04 76.40 4 0.99 -0.05 0.63 1.73 1.78 0.99
23-Jul-02 56.14 4 6.39 5.97 7.36 12.38 12.80 6.39
21-Sep-01 59.39 8 4.11 4.95 3.93 4.77 6.70 4.11
20-Sep-01 59.86 7 -0.79 3.28 4.12 3.10 3.94 3.28
19-Sep-01 62.60 6 -4.37 -5.12 -1.23 -0.43 -1.40 -1.40
18-Sep-01 63.98 5 -2.16 -6.43 -7.17 -3.36 -2.58 -2.58
17-Sep-01 63.76 4 0.34 -1.83 -6.12 -6.86 -3.03 0.34
21-Sep-00 75.02 5 2.35 1.74 -0.09 0.25 1.97 2.35
20-Sep-00 75.51 4 -0.64 1.69 1.08 -0.73 -0.39 1.69

highlighted in the red were the loss making trades !! 

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

check out the new look of the paststat

when $GDX down for 5 days in row

when $GDX down for 5 days in row

$GDX 21-Jul-2015 stockchart

with $GDX down by 5 days in row , below the trading odds for $GDX longs !! , for the next 1/2/3/4/5/10/20 trading odds , whenever $GDX is down by 5 or more days in row , since $GDX IPO (22th May 2006)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 46 26 56.5 0.79 0.74 3.67 -2.95 1.24 -14.27 1.14 1.00
t+2 46 26 56.5 1.52 1.02 5.19 -3.25 1.60 -13.98 1.41 1.50
t+3 46 27 58.7 1.92 1.19 5.79 -3.58 1.62 -17.38 1.51 1.63
t+4 46 27 58.7 2.14 1.51 6.06 -3.44 1.76 -18.92 1.66 1.74
t+5 46 26 56.5 3.01 1.37 7.16 -2.38 3.01 -7.43 2.81 2.47
t+10 46 33 71.7 4.39 3.72 8.64 -6.39 1.35 -27.86 3.25 2.99
t+20 44 28 63.6 5.75 5.05 13.59 -7.96 1.71 -38.23 2.16 2.45
1st +’ve exit in 5 days 46 39 84.8 2.24 1.87 3.22 -3.25 0.99 -7.43 3.61 3.26

39/46  times  $GDX closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 224 basis points at the 1st positive close within in the next five trading days , since $GDX IPO 

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

2) trading odds for $GDX , since 2009 , when down by 5 or more days in row ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 32 17 53.1 0.71 0.49 3.04 -1.94 1.57 -5.85 1.42 1.25
t+2 32 20 62.5 1.31 1.09 3.65 -2.61 1.40 -6.31 1.68 1.84
t+3 32 20 62.5 1.73 1.62 4.17 -2.34 1.79 -6.45 1.92 2.15
t+4 32 18 56.3 1.66 1.17 4.86 -2.46 1.98 -5.19 1.87 1.87
t+5 32 19 59.4 2.94 2.32 6.19 -1.81 3.41 -5.07 4.39 3.07
t+10 32 25 78.1 5.93 4.72 8.51 -3.29 2.59 -8.16 10.09 4.42
t+20 30 20 66.7 6.49 5.05 11.31 -3.14 3.61 -6.79 3.97 3.92
1st +’ve exit in 5 days 32 29 90.6 2.23 1.87 2.70 -2.31 1.17 -4.05 7.03 4.92

before you ask again at the close of today !! in-case , 2) trading odds for $GDX , since IPO when down by 6 or more days in row ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 20 13 65.0 1.07 1.87 3.04 -2.59 1.18 -5.85 1.69 1.39
t+2 20 12 60.0 1.59 1.09 3.98 -2.00 2.00 -5.86 2.06 1.78
t+3 20 13 65.0 2.38 1.72 5.15 -2.76 1.86 -5.42 2.10 2.01
t+4 20 14 70.0 3.69 2.99 5.94 -1.57 3.78 -3.58 6.44 3.22
t+5 20 14 70.0 4.80 4.17 7.43 -1.33 5.60 -3.75 9.74 3.73
t+10 20 17 85.0 6.28 4.97 9.19 -10.22 0.90 -23.32 5.35 2.75
t+20 19 12 63.2 5.80 6.83 13.53 -7.46 1.81 -25.04 2.05 2.03
1st +’ve exit in 5 days 19 19 100.0 3.13 2.58 3.13 NA NA 0.35 NA 6.33

also do note that $GDX had 7 instances of 7 or more down days in row , & 3 instances of 8 or more down days , & 1 instance of 9 or more down days , as on 15 Feb 2012 ..

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

check out the new look of the paststat

when $GLD down for 5 days in row

when $GLD down for 5 days in row

$GLD stock chart , 20-Jul-2015below the trading odds for $GLD , for the next 1/2/3/4/5/10/20 trading days ,  when down for 5 days in row , data since Jan 2009

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 24 13 54.2 0.00 0.11 0.83 -0.97 0.85 -2.25 0.69 0.00
t+2 24 12 50.0 0.01 -0.03 1.21 -1.19 1.02 -2.80 0.81 0.04
t+3 24 13 54.2 0.27 0.37 1.39 -1.06 1.31 -3.93 1.37 0.86
t+4 24 14 58.3 0.26 0.36 1.34 -1.25 1.07 -2.13 1.22 0.80
t+5 24 13 54.2 0.03 0.21 1.28 -1.46 0.88 -3.25 0.92 0.07
t+10 24 11 45.8 0.65 -0.07 3.26 -1.57 2.08 -3.87 1.47 1.11
t+20 23 16 69.6 1.45 1.07 3.47 -3.16 1.10 -6.98 2.09 1.72
1st +’ve exit in 5 days 24 23 95.8 0.75 0.46 0.80 -0.37 2.16 -0.37 49.12 4.15

23/24 times  $GLD closed at higher than the current close in the next five trading days .. with an average loss of 75 basis points at the 1st positive close within in the next five trading days.

below the $GLD returns over the next 1/2/3/4/5/ trading days when $GLD is down for 5 or more days in row , since 2009 ,

Date $GLD t+1% t+2% t+3% t+4% t+5% 1st +’ve Cls in 5 days %
17-Jul-15 108.65 ?? ?? ?? ?? ?? ??
25-Jun-15 112.44 0.11 0.56 -0.06 -0.41 -0.60 0.11
06-Mar-15 111.86 0.10 -0.39 -0.99 -1.02 -0.88 0.10
21-Aug-14 122.88 0.25 -0.11 0.38 0.36 0.91 0.25
02-Jun-14 119.70 0.26 0.05 0.80 0.76 0.79 0.26
30-May-14 120.43 -0.61 -0.35 -0.56 0.19 0.15 0.19
01-Apr-14 123.39 0.75 0.43 1.77 1.23 2.19 0.75
05-Nov-13 126.56 0.51 -0.32 -1.80 -2.13 -3.25 0.51
04-Nov-13 126.81 -0.20 0.31 -0.51 -2.00 -2.32 0.31
06-Aug-13 123.97 0.15 2.33 2.33 4.16 3.04 0.15
05-Aug-13 125.70 -1.38 -1.23 0.92 0.92 2.73 0.92
02-Aug-13 126.36 -0.52 -1.89 -1.75 0.40 0.40 0.40
17-May-13 131.07 3.09 1.38 0.66 2.70 2.05 3.09
16-May-13 134.09 -2.25 0.77 -0.90 -1.60 0.39 0.77
15-May-13 134.63 -0.40 -2.64 0.36 -1.30 -2.00 0.36
20-Feb-13 151.44 0.78 1.01 1.91 3.16 2.07 0.78
07-Jan-11 133.58 0.40 1.00 1.41 0.35 -0.67 0.40
10-Mar-10 108.47 0.12 -0.48 -0.10 1.78 1.03 0.12
11-Dec-09 109.32 0.84 0.81 2.08 -1.81 -0.34 0.84
10-Dec-09 110.82 -1.35 -0.52 -0.55 0.69 -3.14 0.69
09-Dec-09 110.84 -0.02 -1.37 -0.54 -0.57 0.68 0.68
04-Mar-09 88.99 3.37 3.71 1.78 -0.96 0.26 3.37
03-Mar-09 90.04 -1.17 2.17 2.50 0.59 -2.11 2.17
02-Mar-09 90.93 -0.98 -2.13 1.17 1.50 -0.40 1.17
27-Feb-09 92.63 -1.84 -2.80 -3.93 -0.69 -0.37 -0.37

highlighted in red is the only instance when $GLD failed to close higher than the entry over next five trading days .

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

check out the new look of the paststat

$IWM from Russel Re-balance Day – Sorry There is No Edge

$IWM from Russel Re-balance Day – No Edge

rebalancebelow the trading odds for $IWM for a 1/2/3/4/5/10/20 trading day holding period from the last Friday of the June ( annual Russel re-balancing date ) , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 8 53.3 0.12 0.26 1.02 -0.91 1.12 -2.26 1.51 0.40
t+2 15 9 60.0 -0.06 0.37 1.40 -2.26 0.62 -4.99 1.18 -0.11
t+3 15 10 66.7 -0.02 1.25 1.93 -3.93 0.49 -6.12 1.06 -0.03
t+4 15 8 53.3 -0.36 1.22 2.30 -3.41 0.67 -6.11 0.82 -0.44
t+5 15 7 46.7 -0.42 -0.10 3.08 -3.48 0.88 -7.14 0.68 -0.43
t+10 15 6 40.0 -0.39 -1.86 5.58 -4.37 1.28 -10.05 0.66 -0.28
t+20 15 7 46.7 -0.45 -0.64 5.17 -5.37 0.96 -12.24 0.63 -0.29
1st +’ve exit in 5 days 15 11 73.3 -0.81 0.63 0.95 -5.65 0.17 -7.14 0.46 -1.06
1st -‘ve exit in 5 days 15 9 60.0 -0.70 -0.21 -0.78 2.90 0.27 5.19 0.19 -1.30

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

conclusion : we don’t see any major edge to go long or short from the close of Russel  re-balancing day ,

below the historical returns of $IWM from the  Russel  re-balancing day ,  since Y2K

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20%
27-Jun-14 116.77 0.40 1.42 1.03 1.64 -0.10 -1.86 -4.12
28-Jun-13 94.44 1.63 1.56 1.76 3.20 3.62 7.25 7.05
29-Jun-12 76.28 1.16 2.48 2.36 1.22 0.83 -0.14 -0.64
24-Jun-11 75.14 0.78 2.34 2.83 3.58 5.19 4.54 4.22
25-Jun-10 60.00 -0.57 -4.33 -5.43 -6.11 -7.14 -3.40 3.17
26-Jun-09 46.98 0.00 -0.29 1.25 -2.24 -3.10 -3.51 7.91
27-Jun-08 62.88 -0.98 -0.90 -3.71 -4.23 -5.44 -4.77 0.01
29-Jun-07 74.21 1.29 1.77 1.94 2.29 2.20 1.91 -5.96
30-Jun-06 63.49 1.25 -0.22 -0.25 -1.73 -1.71 -5.98 -2.86
24-Jun-05 54.48 0.26 1.82 2.62 2.40 2.85 7.35 7.51
25-Jun-04 50.43 -0.21 0.63 1.19 -0.65 -0.34 -3.95 -8.89
27-Jun-03 38.09 -0.31 0.37 2.88 2.00 4.12 6.99 6.30
28-Jun-02 38.26 -2.04 -4.99 -6.12 -3.01 -5.02 -10.05 -12.24
29-Jun-01 42.56 -2.26 -2.85 -4.12 -5.89 -5.00 -5.64 -5.45
30-Jun-00 42.62 1.41 0.26 1.44 2.07 2.74 5.46 -2.77

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

check out the new look of the paststat

 

Tax Day Rally Trading odds for $SPY $QQQ $IWM $XLU $XLF $XLE $XLI $IYR $XLP $XLK

Tax Day Rally Trading odds 

Tax Day Cartoon

 

below the trading odds for various ETF’s with high volume , from the close of the Tax day ( i’e 15th Apr 2015 close , in this year’s close) till next 1/2/3/4/5 trading days , since the respective ETF’s inception

1) $SPY trading odds from Tax day’s close  (SPDR S&P 500 ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 22 14 63.6 0.51 0.44 1.28 -0.83 1.54 -1.71 3.39 2.82 1.26 1.91
t+2 22 14 63.6 0.72 0.44 1.58 -0.77 2.04 -2.38 3.97 3.10 1.63 2.09
t+3 22 11 50.0 0.68 -0.01 2.11 -0.75 2.83 -2.13 3.54 2.65 1.95 1.64
t+4 22 17 77.3 1.10 0.69 1.63 -0.73 2.25 -1.64 8.25 6.70 1.61 3.20
t+5 22 18 81.8 1.42 1.23 1.99 -1.14 1.75 -2.21 10.81 9.05 1.72 3.87
t+10 22 17 77.3 1.61 1.58 2.64 -1.88 1.41 -3.36 6.18 5.18 2.48 3.05
t+20 22 16 72.7 2.10 2.50 3.87 -2.62 1.48 -4.37 3.67 3.14 3.66 2.69
1st +’ve exit in 5 days 22 19 86.4 0.85 0.91 1.18 -1.24 0.96 -2.21 8.57 7.36 1.16 3.45

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

1st + ‘ve exit in 5 days assumes , one goes long at current close ( 15th Apr 2015 close) and exits at higher close than the entry in the next 5 trading days , otherwise exit with a loss at the end of the 5th trading day .. ( 22nd Apr 2015)

2) $QQQ trading odds from Tax day’s close ( PowerShares QQQ Trust, Ser 1 )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 10 62.5 0.93 0.97 1.99 -0.85 2.36 -2.91 3.93 3.03 1.75 2.12
t+2 16 10 62.5 1.33 1.21 3.26 -1.88 1.74 -7.47 2.10 1.29 3.98 1.34
t+3 16 8 50.0 1.50 0.22 4.78 -1.79 2.67 -5.36 1.91 1.01 5.45 1.10
t+4 16 10 62.5 2.19 0.86 4.50 -1.66 2.71 -5.44 2.54 1.49 5.42 1.62
t+5 16 14 87.5 2.19 1.20 2.77 -1.85 1.50 -3.08 7.50 5.42 3.27 2.68
t+10 16 12 75.0 2.15 1.20 3.71 -2.53 1.47 -7.90 5.85 4.19 4.64 1.85
t+20 16 11 68.8 1.87 2.00 5.03 -5.07 0.99 -8.97 2.28 1.84 5.73 1.31
1st +’ve exit in 5 days 16 15 93.8 1.43 1.64 1.73 -3.08 0.56 -3.08 5.88 4.78 1.57 3.64

 

3) $IWM trading odds from Tax day’s close (iShares Russell 2000)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.97 0.92 1.73 -0.93 1.85 -1.34 4.52 3.63 1.50 2.42
t+2 14 10 71.4 1.44 1.61 2.43 -1.06 2.30 -1.83 4.42 3.65 1.90 2.82
t+3 14 9 64.3 1.18 0.92 2.29 -0.82 2.80 -1.52 5.04 4.04 2.02 2.19
t+4 14 12 85.7 1.80 2.22 2.28 -1.07 2.13 -2.13 9.82 7.75 1.73 3.89
t+5 14 11 78.6 1.61 1.92 2.19 -0.55 3.99 -1.37 12.11 9.72 1.38 4.35
t+10 14 10 71.4 2.04 1.41 3.45 -1.49 2.32 -2.11 5.93 4.86 3.08 2.48
t+20 14 6 42.9 1.20 -0.75 5.99 -2.39 2.51 -5.91 1.50 0.97 4.86 0.93
1st +’ve exit in 5 days 14 13 92.9 1.19 0.92 1.39 -1.37 1.01 -1.37 9.93 8.04 1.28 3.47

 

4) $XLU  trading odds from Tax day’s close (Utilities Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.79 0.71 1.09 -0.50 2.20 -1.17 9.25 7.50 0.97 3.27
t+2 16 12 75.0 0.83 0.58 1.30 -0.58 2.26 -1.05 5.17 4.11 1.15 2.88
t+3 16 13 81.3 1.05 0.99 1.50 -0.87 1.71 -1.40 7.08 5.77 1.30 3.24
t+4 16 12 75.0 1.53 1.74 2.23 -0.54 4.10 -0.84 11.30 9.48 1.71 3.58
t+5 16 13 81.3 1.85 1.84 2.46 -0.79 3.13 -1.29 12.18 10.11 2.17 3.42
t+10 16 14 87.5 2.18 2.36 2.72 -1.63 1.67 -2.74 17.08 14.32 2.11 4.11
t+20 16 11 68.8 2.24 2.54 4.01 -1.67 2.40 -4.28 5.75 4.48 3.27 2.74
1st +’ve exit in 5 days 16 16 100.0 0.94 0.71 0.94 INF INF 0.04 NA NA 0.79 4.76

5) $XLF trading odds from Tax day’s close (Financial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.75 0.96 1.52 -1.56 0.98 -3.64 3.66 3.00 1.69 1.77
t+2 16 12 75.0 1.19 0.94 1.98 -1.18 1.68 -2.68 6.32 4.99 1.91 2.49
t+3 16 10 62.5 0.69 0.85 2.59 -2.47 1.05 -9.01 2.85 2.07 3.49 0.79
t+4 16 11 68.8 1.38 1.41 2.72 -1.55 1.75 -2.45 5.34 4.29 2.58 2.15
t+5 16 12 75.0 1.46 1.28 2.66 -2.15 1.24 -5.77 6.18 4.45 3.26 1.79
t+10 16 13 81.3 1.95 2.64 2.90 -2.15 1.35 -2.51 6.14 4.79 2.57 3.04
t+20 16 11 68.8 1.88 2.77 4.36 -3.57 1.22 -7.14 3.07 2.55 4.39 1.72
1st +’ve exit in 5 days 16 14 87.5 1.04 0.98 1.39 -1.42 0.98 -1.47 9.14 7.58 1.29 3.22

 

6) $XLE trading odds from Tax day’s close (Energy Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.93 0.90 1.54 -0.91 1.70 -1.69 5.65 4.07 1.39 2.66
t+2 16 11 68.8 1.59 1.89 2.74 -0.93 2.96 -1.75 4.77 3.90 2.05 3.12
t+3 16 11 68.8 1.22 1.32 2.44 -1.44 1.69 -3.28 5.02 3.71 2.26 2.17
t+4 16 11 68.8 1.85 1.59 3.13 -0.98 3.20 -1.81 8.52 6.25 2.53 2.92
t+5 16 14 87.5 2.25 2.48 2.75 -1.27 2.17 -2.41 17.10 12.96 2.26 3.98
t+10 16 13 81.3 2.71 2.13 3.49 -0.70 4.99 -1.89 37.83 32.02 2.70 4.00
t+20 16 10 62.5 2.53 3.45 6.24 -3.65 1.71 -6.10 2.22 1.78 5.51 1.83
1st +’ve exit in 5 days 16 16 100.0 1.22 0.90 1.22 INF INF NA NA NA 1.01 4.82

7) $XLI trading odds from Tax day’s close ( Industrial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.90 0.87 1.37 -1.14 1.20 -1.63 5.81 4.79 1.32 2.72
t+2 16 13 81.3 1.24 0.91 1.81 -1.24 1.46 -1.83 5.22 4.22 1.81 2.74
t+3 16 9 56.3 1.15 0.50 2.60 -0.71 3.64 -1.22 5.36 4.24 2.12 2.17
t+4 16 11 68.8 1.66 1.71 2.64 -0.49 5.42 -1.81 9.89 8.22 1.86 3.58
t+5 16 13 81.3 2.21 2.40 2.92 -0.83 3.50 -1.83 16.24 13.74 2.10 4.22
t+10 16 14 87.5 2.73 2.94 3.69 -4.03 0.92 -7.09 8.12 7.09 3.27 3.34
t+20 16 12 75.0 2.92 4.33 5.15 -3.76 1.37 -5.28 4.03 3.44 4.47 2.62
1st +’ve exit in 5 days 16 15 93.8 1.15 0.90 1.26 -0.52 2.43 -0.52 29.17 24.33 1.00 4.60

8) $IYR trading odds from Tax day’s close ( iShares US Real Estate  )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.80 0.50 1.58 -1.15 1.37 -2.09 3.67 2.50 1.78 1.68
t+2 14 10 71.4 1.11 1.23 2.19 -1.61 1.36 -2.91 3.29 2.34 2.28 1.82
t+3 14 9 64.3 0.44 0.60 1.95 -2.27 0.86 -6.13 2.57 1.75 2.71 0.61
t+4 14 11 78.6 1.35 1.59 2.21 -1.80 1.23 -2.99 6.52 5.29 1.97 2.56
t+5 14 11 78.6 1.19 1.00 2.04 -1.92 1.06 -4.12 6.97 5.51 2.15 2.07
t+10 14 11 78.6 2.34 3.19 3.94 -3.53 1.12 -5.38 4.96 4.15 3.65 2.40
t+20 14 11 78.6 1.73 3.05 3.48 -4.69 0.74 -5.66 3.35 2.74 3.65 1.77
1st +’ve exit in 5 days 14 13 92.9 1.04 0.75 1.44 -4.12 0.35 -4.12 7.89 5.82 1.92 2.03

9) $XLP trading odds from Tax day’s close ( Consumer Staples Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 0.41 0.59 0.99 -0.86 1.15 -2.90 3.69 2.69 1.15 1.44
t+2 16 9 56.3 0.26 0.71 1.16 -0.90 1.28 -3.80 2.04 1.68 1.34 0.77
t+3 16 12 75.0 0.20 0.58 0.73 -1.40 0.52 -1.95 2.27 1.81 1.07 0.74
t+4 16 12 75.0 0.79 0.49 1.16 -0.34 3.40 -0.95 8.78 6.35 1.21 2.60
t+5 16 11 68.8 0.77 0.38 1.39 -0.61 2.27 -1.07 5.24 3.78 1.35 2.26
t+10 16 10 62.5 0.86 0.79 1.94 -0.94 2.06 -2.34 4.60 3.64 1.64 2.09
t+20 16 10 62.5 1.44 0.53 2.93 -1.06 2.77 -2.02 4.96 3.99 2.49 2.30
1st +’ve exit in 5 days 16 14 87.5 0.69 0.66 0.89 -0.71 1.26 -1.07 12.58 9.63 0.76 3.66

10) $XLK trading odds from Tax day’s close (Technology Select Sector SPDR ETF )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 1.10 0.85 2.14 -1.19 1.80 -2.70 3.82 2.22 2.20 2.00
t+2 16 11 68.8 1.39 1.65 3.06 -2.28 1.34 -7.41 2.10 1.43 3.59 1.55
t+3 16 10 62.5 1.61 0.84 3.80 -2.04 1.86 -5.06 2.48 1.34 4.78 1.34
t+4 16 10 62.5 1.94 1.05 4.11 -1.66 2.48 -3.00 2.65 1.53 4.44 1.75
t+5 16 13 81.3 2.21 1.36 3.05 -1.43 2.13 -3.18 7.28 5.57 3.03 2.91
t+10 16 10 62.5 2.24 2.01 4.59 -1.69 2.72 -5.90 5.82 4.46 4.00 2.24
t+20 16 11 68.8 1.98 2.43 4.96 -4.56 1.09 -5.78 2.41 1.97 5.34 1.49
1st +’ve exit in 5 days 16 14 87.5 1.42 1.01 1.86 -1.66 1.12 -3.18 7.24 4.54 2.06 2.76

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

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

 

Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish Seasonal Pattern

Below the trading odds for $IWM for going long on the 4th trading of April , ( i.e 7th Apr 2015 close) and exiting after 1/2/3/4/5/10/20 trading days , since 2001( since $IWM IPO )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 4 28.6 -0.78 -0.18 0.34 -1.23 0.28 -3.55 0.10 0.04 1.21 -2.41
t+2 14 5 35.7 -0.66 -0.47 0.57 -1.34 0.42 -3.96 0.21 0.14 1.28 -1.93
t+3 14 7 50.0 -0.30 -0.03 1.20 -1.81 0.67 -3.44 0.49 0.30 1.90 -0.59
t+4 14 6 42.9 -0.16 -0.55 1.92 -1.73 1.11 -3.80 0.60 0.41 2.13 -0.29
t+5 14 6 42.9 -0.73 -1.56 1.84 -2.65 0.69 -3.66 0.43 0.29 2.38 -1.15
t+10 14 8 57.1 0.67 0.66 2.98 -2.41 1.24 -5.09 1.12 0.88 3.03 0.83
t+20 14 9 64.3 1.92 1.59 4.83 -3.32 1.46 -4.68 1.64 1.21 5.23 1.37
1st +’ve exit in 5 days 14 10 71.4 -0.13 0.44 0.99 -2.94 0.34 -3.66 0.59 0.40 2.03 -0.25
1st -‘ve exit in 5 days 14 14 100.0 1.01 -0.51 -1.01 NA NA NA NA INF 1.05 3.58

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

14/14 times $IWM closed lower than the entry at some point of time in the next 5 trading days , with an average loss of 101 bps at the 1st -‘ve close ..

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 of $IWM from the close of  4th trading day of April 

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve cls % 1st -‘ve cls%
07-Apr-15 * 125.35 ?? ?? ?? ?? ?? ?? ?? ?? ??
04-Apr-14 112.97 -1.46 -0.77 0.66 -2.20 -3.56 -0.90 -2.27 0.66 -1.46
04-Apr-13 89.48 -0.20 0.63 0.34 2.16 2.29 -2.54 1.49 0.63 -0.20
05-Apr-12 77.83 -1.64 -3.96 -2.60 -1.21 -2.51 -1.68 -3.06 -2.51 -1.64
06-Apr-11 80.26 -0.60 -1.64 -2.52 -3.80 -3.66 -1.82 -2.99 -3.66 -0.60
07-Apr-10 64.90 -0.11 0.49 0.91 1.14 3.30 3.82 0.03 0.49 -0.11
06-Apr-09 41.13 -3.55 -1.77 3.99 4.04 1.02 4.50 12.25 3.99 -3.55
04-Apr-08 64.17 -0.16 -0.26 -1.89 -0.86 -3.40 0.72 1.96 -3.40 -0.16
05-Apr-07 71.87 0.14 0.45 -0.18 0.50 1.14 2.32 2.96 0.14 -0.18
06-Apr-06 67.37 -1.60 -1.71 -3.44 -2.43 -2.20 0.59 1.69 -2.20 -1.60
06-Apr-05 53.60 0.39 -1.14 -1.62 -0.71 -2.48 -5.09 -3.58 0.39 -1.14
06-Apr-04 51.45 0.76 -0.14 0.12 -2.22 -2.51 -2.41 -4.68 0.76 -0.14
04-Apr-03 31.78 0.06 0.16 -0.41 -0.38 -0.91 3.15 9.60 0.06 -0.41
04-Apr-02 41.77 -0.14 1.10 0.74 2.68 1.03 3.76 3.14 1.10 -0.14
05-Apr-01 37.03 -2.81 -0.68 1.67 1.00 2.24 4.94 10.34 1.67 -2.81

* 125.35 – at the time of writing 

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

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

$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

 

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

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trade