when $IWM posts an outside day when above upper bollinger band

an $IWM pattern with 42/43 wins

$iwm posts an outside when above upper bollinger band

below the trading strategy rule

1) $IWM intraday high is above upper bollinger band ( drawn using 20 day averages and on 2 standard deviations )

2) $IWM posts an outside side ( higher high and lower low )

below the trading odds for 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+1 43 32 74.4 0.49 0.35 0.89 -0.68 1.31 -2.36 3.11
t+2 43 27 62.8 0.47 0.26 1.16 -0.70 1.65 -1.71 2.48
t+3 43 26 60.5 0.26 0.53 1.50 -1.63 0.92 -3.04 1.13
t+4 43 23 53.5 0.15 0.42 1.92 -1.87 1.02 -4.48 1.08
t+5 43 23 53.5 0.02 0.41 1.94 -2.20 0.88 -6.35 1.00
1st +’ve exit in 5 days % 43 42 97.7 0.76 0.63 0.82 -2.10 0.39 -2.10 7.30

42/43 times , since Y2K ,  $IWM closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 76 bps , and a median of 63 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 $IWM  posting an outside day , when high is above upper Bollinger band , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve close  in 5 days % # days to 1st +’ve cls
24-Jan-18 158.97 ?? ?? ?? ?? ?? ?? ??
16-Jan-18 156.14 0.95 0.26 1.58 2.12 2.45 0.95 1
19-Dec-17 152.50 0.20 0.63 0.45 0.51 0.41 0.20 1
27-Nov-17 149.92 1.57 1.91 2.10 1.68 1.30 1.57 1
01-Nov-17 147.71 0.30 0.23 0.34 -0.86 -0.72 0.30 1
05-Sep-17 138.31 0.21 -0.04 0.04 1.09 1.70 0.21 1
01-Jun-16 112.83 0.77 0.16 1.24 1.54 2.29 0.77 1
24-Jun-15 122.86 -0.05 -0.33 -2.85 -2.39 -2.10 -2.10 5
27-Apr-15 119.55 0.55 -0.54 -2.64 -2.01 -1.66 0.55 1
28-Nov-14 111.31 -1.56 -0.38 0.58 0.10 0.86 0.58 3
20-Feb-13 84.69 -0.97 0.22 -1.99 -1.61 -0.57 0.22 2
23-Jan-12 71.39 0.58 1.43 1.32 2.01 1.22 0.58 1
19-Jan-11 70.76 -1.04 -1.71 -0.98 -0.83 0.75 0.75 5
09-Nov-10 65.24 1.11 0.71 -0.96 -0.95 -2.87 1.11 1
30-Sep-10 60.55 0.53 -0.83 1.99 1.64 1.35 0.53 1
09-Sep-10 56.83 0.31 2.76 2.31 2.89 2.24 0.31 1
28-Dec-09 56.27 -0.05 -0.11 -1.30 1.14 0.79 1.14 4
21-Jul-09 46.36 0.78 3.97 4.50 5.03 5.09 0.78 1
07-May-09 42.68 3.47 1.96 0.53 -4.09 -2.75 3.47 1
06-May-09 43.71 -2.36 1.03 -0.45 -1.85 -6.35 1.03 2
13-Aug-08 63.74 0.96 0.69 -0.60 -2.25 -2.12 0.96 1
16-May-08 62.97 0.03 -0.33 -1.76 -1.06 -2.35 0.03 1
14-May-08 62.50 0.21 0.75 0.78 0.42 -1.02 0.21 1
11-Dec-07 64.67 0.75 0.20 -1.74 -3.25 -1.53 0.75 1
23-Aug-07 66.44 1.28 -0.01 -2.63 -0.07 -0.75 1.28 1
30-May-07 70.70 0.54 1.06 1.17 0.76 -0.36 0.54 1
14-Jul-05 54.53 0.09 -0.50 0.89 2.13 0.53 0.09 1
09-Feb-05 51.06 0.17 1.80 1.71 1.80 2.11 0.17 1
27-Dec-04 52.71 1.32 1.32 0.96 0.89 -0.41 1.32 1
01-Jul-04 47.30 0.32 -1.49 -1.61 -3.39 -2.76 0.32 1
25-Jun-04 47.61 -0.20 0.63 1.20 -0.65 -0.33 0.63 2
09-Jan-04 46.47 1.86 1.43 1.96 2.22 2.79 1.86 1
31-Dec-03 45.04 1.08 2.25 2.12 3.21 4.00 1.08 1
22-Aug-03 39.09 -0.10 0.29 1.27 1.94 2.35 0.29 2
29-May-03 34.82 1.78 2.32 2.64 4.04 5.74 1.78 1
20-Mar-03 29.69 1.39 -0.79 0.28 -0.95 -0.27 1.39 1
26-Jun-02 35.85 1.91 0.76 -1.31 -4.26 -5.41 1.91 1
11-Apr-02 39.86 2.21 1.50 3.99 3.08 2.70 2.21 1
11-Mar-02 39.50 -0.17 -1.00 -0.55 -0.14 0.43 0.43 5
06-Mar-02 39.06 0.10 1.10 1.13 0.96 0.12 0.10 1
08-Nov-01 34.71 -0.32 0.05 1.89 2.89 2.51 0.05 2
06-Nov-01 35.03 -0.67 -0.91 -1.23 -0.86 0.96 0.96 5
06-Nov-00 39.26 0.89 -0.93 -2.00 -4.48 -5.44 0.89 1
14-Jul-00 42.29 0.35 -1.40 -3.04 -1.49 -4.16 0.35 1

highlighted in red  as on 24th Jun 2015 is the only instance when $IWM failed to close higher over the next five trading days

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when $TLT posts 5 or more red candles while below 200 DMA

when $TLT posts 5 or more red candles

odds for $TLT longs since 2003, after $TLT posts 5 or more red candles , & close is below 200 DMA

below the trading strategy rules

1) $TLT posts 5 or more red candles ( that is close is below open) in row

2) close is below 200DMA

$TLT trading odds for longs since 2003 ( or since it’s IPO) for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 27 23 85.2 0.53 0.49 0.70 -0.44 1.58 -0.70 6.75
t+2 26 17 65.4 0.63 0.47 1.09 -0.25 4.32 -0.65 7.52
t+3 26 20 76.9 0.63 0.45 0.98 -0.53 1.86 -1.53 5.49
t+4 26 18 69.2 0.51 0.43 1.17 -0.98 1.19 -2.01 1.94
t+5 26 17 65.4 0.41 0.48 1.25 -1.18 1.06 -2.09 1.57
1st +’ve exit in 5 days % 27 27 100.0 0.68 0.52 0.68 INF INF 0.05 NA

27/27 times , since 2003,  $TLT closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 68 bps , and a median of 52 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 $TLT posting 5 or more red candles , when close is below 200 DMA , since 2003

Date t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
23-Jan-18 ?? ?? ?? ?? ?? ?? ??
22-Jan-18 0.43 ?? ?? ?? ?? 0.43 1
19-Jan-17 -0.20 0.80 0.11 -1.15 -0.82 0.80 2
11-Nov-16 -0.60 -0.11 0.79 -0.69 -0.98 0.79 3
16-Sep-15 1.22 2.78 1.10 2.51 2.50 1.22 1
03-Jun-15 1.30 0.07 -0.04 -0.83 -1.70 1.30 1
05-Nov-13 0.05 0.90 -1.53 -1.90 -1.45 0.05 1
10-Sep-13 0.89 0.75 1.14 0.47 1.30 0.89 1
09-Sep-13 -0.70 0.18 0.05 0.44 -0.23 0.18 2
06-Sep-13 0.05 -0.65 0.23 0.10 0.49 0.05 1
15-May-13 1.04 -0.24 -0.36 0.43 -1.07 1.04 1
11-Apr-13 1.49 2.37 1.53 2.21 2.46 1.49 1
11-Mar-13 0.72 0.62 0.31 0.78 1.55 0.72 1
08-Mar-13 0.10 0.82 0.71 0.41 0.88 0.10 1
18-Oct-12 1.36 0.71 2.15 1.14 0.62 1.36 1
04-Feb-11 0.52 -0.41 0.46 -0.70 0.73 0.52 1
24-Dec-09 -0.27 0.38 1.03 0.56 0.47 0.38 2
17-Jul-09 0.52 2.52 1.61 -0.26 0.22 0.52 1
10-Jun-09 1.11 2.02 2.94 4.74 4.14 1.11 1
29-May-08 0.65 1.04 1.77 0.86 0.25 0.65 1
10-Aug-07 0.29 0.56 0.20 1.23 0.78 0.29 1
01-Jun-07 0.46 -0.17 -0.21 -2.01 -2.09 0.46 1
26-Jun-06 0.49 -0.05 0.30 1.26 1.16 0.49 1
31-May-06 0.46 1.75 1.62 2.10 2.11 0.46 1
31-Mar-06 0.41 0.32 0.45 -0.32 -1.29 0.41 1
07-Nov-05 0.97 -0.08 1.14 1.21 0.44 0.97 1
10-May-04 0.44 -0.22 -0.59 0.22 1.11 0.44 1
29-Jul-03 1.13 -0.36 -0.43 0.41 -1.02 1.13 1

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tickalert

 

$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.

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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 !!

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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 !! 

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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 !! 

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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 ..

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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 .

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$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

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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

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