$SPY on the day of rate hike

$SPY on the day of rate hike

CME FedWatch Tool

With the CME FedWatch tool currently projecting a probability of nearly 96% for a rate hike at the June 14 meeting , below a look at the $SPY behavior on the day when fed hikes rates , since Y2K

Date Close Prv Close Change Change %
15-Mar-17 237.91 235.87 2.04 0.86
14-Dec-16 223.58 225.44 -1.86 -0.83
16-Dec-15 201.57 198.67 2.90 1.46
29-Jun-06 101.89 99.87 2.02 2.02
10-May-06 105.65 105.71 -0.06 -0.06
28-Mar-06 103 103.64 -0.64 -0.62
31-Jan-06 101.22 101.97 -0.75 -0.74
13-Dec-05 100.54 99.86 0.68 0.68
1-Nov-05 95.15 94.87 0.28 0.30
20-Sep-05 96.39 97.21 -0.82 -0.84
9-Aug-05 97.03 96.45 0.58 0.60
30-Jun-05 93.72 94.23 -0.51 -0.54
3-May-05 91.32 91.17 0.15 0.16
22-Mar-05 91.56 92.5 -0.94 -1.02
2-Feb-05 93.05 92.77 0.28 0.30
14-Dec-04 93.79 93.47 0.32 0.34
10-Nov-04 90.56 90.49 0.07 0.08
21-Sep-04 87.45 87.07 0.38 0.44
10-Aug-04 83.56 82.5 1.06 1.28
30-Jun-04 88.3 87.83 0.47 0.54
16-May-00 106.54 105.52 1.02 0.97
21-Mar-00 108.36 106.18 2.18 2.05
2-Feb-00 102.2 102.11 0.09 0.09
# 23 23
%wins 69.57 69.57
avg 0.39 0.33
med 0.28 0.30
avg win 0.91 0.76
avg loss -0.80 -0.66
max loss -1.86 -1.02
stdevp 1.10 0.85
t-test 1.70 1.85

$SPY gained 16/23 times , on the day when fed hiked the rates , at an avg of 33 bps , a median of 30 bps , with avg gain at 76 bps , and avg loss at 66 bps . the worst one day loss on the day when fed hiked was 102 bps on 22 March 2005

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tickalert

$SPY ahead of #fedday during #midmonth

$SPY ahead of #fedday during #midmonth

$SPY into #fedday during mid month , since Y2K

as on 13th JUn 2017 , with $spy heading into #fedday , below trading strategy rules

  1. tomorrow / next trading day is #fedday
  2. current trading day is either 9/10/11 th trading day of the month

below the trading odds for $SPY 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% 23 19 82.6 0.92 0.58 1.23 -0.58 2.11 -1.15 5.64 3.21
t+2% 23 14 60.9 0.45 0.67 1.53 -1.22 1.25 -2.98 1.39 1.27
t+3% 23 14 60.9 0.53 0.37 1.54 -1.04 1.49 -1.86 1.43 1.65
t+4% 23 14 60.9 0.67 0.38 1.96 -1.35 1.46 -3.19 1.36 1.46
t+5% 23 13 56.5 0.39 0.20 1.67 -1.27 1.32 -3.59 1.04 0.89
t+10% 23 12 52.2 0.17 1.04 2.31 -2.18 1.06 -6.72 0.77 0.28
t+20% 23 15 65.2 0.26 1.59 2.68 -4.27 0.63 -15.12 0.88 0.28
1st +’ve in 5 days% 23 21 91.3 0.91 0.58 1.13 -1.40 0.81 -2.78 4.17 2.99

21/23 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 91 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 performance of $SPY ahead of fed day , when the prior day is either 9/10/11’th trading day of the month ,since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
13-Jun-17 244.53 ?? ?? ?? ?? ?? ?? ??
14-Mar-17 235.87 0.87 0.67 0.49 0.38 -0.91 0.87 1
13-Dec-16 225.44 -0.83 -0.42 -0.61 -0.40 -0.01 -0.01 5
14-Jun-16 203.83 -0.14 0.16 -0.21 0.43 0.71 0.16 2
15-Mar-16 197.06 0.58 1.22 1.61 1.76 1.70 0.58 1
15-Dec-15 198.67 1.46 -0.08 -1.86 -1.05 -0.16 1.46 1
16-Sep-15 192.97 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 5
16-Sep-14 189.53 0.13 0.67 0.58 -0.20 -0.77 0.13 1
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
14-Mar-11 114.42 -1.15 -2.98 -1.69 -1.33 0.20 0.20 5
13-Dec-10 109.02 0.09 -0.37 0.21 0.32 0.56 0.09 1
15-Mar-10 99.65 0.80 1.39 1.34 0.83 1.37 0.80 1
15-Dec-09 95.57 0.15 -1.05 -0.49 0.52 0.88 0.15 1
15-Dec-08 73.41 4.71 3.69 1.75 1.32 0.02 4.71 1
15-Sep-08 99.88 1.67 -2.90 -0.02 3.95 1.60 1.67 1
17-Mar-08 105.66 4.15 1.57 3.46 5.52 5.63 4.15 1
17-Sep-07 120.75 2.94 3.55 2.82 3.10 2.91 2.94 1
13-Dec-04 93.47 0.35 0.42 0.37 -0.30 -0.28 0.35 1
15-Mar-04 85.12 0.53 1.65 1.68 0.22 -1.05 0.53 1
15-Sep-03 77.49 1.46 1.26 2.46 1.94 0.84 1.46 1
17-Mar-03 65.36 0.59 1.36 1.58 3.75 0.30 0.59 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
14-Nov-00 101.54 0.31 -1.26 -1.79 -3.19 -2.70 0.31 1
15-May-00 105.52 0.97 -0.09 -1.31 -2.86 -3.59 0.97 1
  • highlighted in red were those 2 losses when $SPY failed to close higher in the next five days

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when $SPY posts an inside day ahead of fed day

 when $SPY posts an inside day ahead of fed day

when $SPY posts an inside day ahead of fed day

 

with $SPY posting an inside day , at close  , as on 12th Jun 2017 , below trading strategy rules

 1)  $SPY posts an inside day ( lower high and higher low )

2) current trading day is either one or two trading days , before the fed day
below the trading odds for $SPY 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 31 17 54.8 0.23 0.15 0.90 -0.58 1.56 -1.82 1.62 1.32
t+2 31 23 74.2 0.52 0.38 0.97 -0.77 1.26 -1.63 3.37 2.67
t+3 31 21 67.7 0.53 0.39 1.31 -1.10 1.19 -2.45 2.31 2.03
t+4 31 21 67.7 0.35 0.44 1.43 -1.93 0.75 -2.98 1.28 1.02
t+5 31 19 61.3 0.51 0.28 1.71 -1.38 1.24 -2.96 1.81 1.41
t+10 31 18 58.1 0.33 0.55 2.17 -2.22 0.98 -4.71 1.21 0.68
t+20 31 21 67.7 0.60 0.74 2.37 -3.13 0.76 -9.06 1.67 1.01
1st +’ve exit in 5 days 31 31 100.0 0.71 0.48 0.71 INF INF 0.05 NA 5.87

31/31 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 71 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 posting an inside day , either one or two trading days ahead of fed day since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
12-Jun-17 243.36 ?? ?? ?? ?? ?? ?? ??
2-May-17 238.77 -0.12 0.00 0.39 0.37 0.28 0.39 3
13-Mar-17 236.78 -0.38 0.48 0.28 0.11 0.00 0.48 2
31-Oct-16 210.39 -0.72 -1.32 -1.77 -1.88 0.28 0.28 5
20-Sep-16 211.25 1.12 1.76 1.20 0.38 1.01 1.12 1
26-Oct-15 200.58 -0.19 0.94 0.88 0.45 1.64 0.94 2
17-Mar-15 198.61 1.20 0.74 1.63 1.43 0.86 1.20 1
27-Oct-14 186.31 1.15 0.99 1.64 2.80 2.86 1.15 1
28-Jan-14 167.74 -0.96 0.09 -0.50 -2.74 -2.06 0.09 2
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
29-Jul-13 156.31 0.00 0.07 1.23 1.40 1.25 0.07 2
11-Sep-12 130.51 0.33 1.86 2.31 1.97 1.88 0.33 1
25-Jan-10 94.72 -0.42 0.05 -1.09 -2.17 -0.65 0.05 2
3-Nov-09 89.82 0.26 2.10 2.37 4.70 4.72 0.26 1
27-Jan-09 71.29 3.38 0.02 -2.01 -2.31 -0.93 3.38 1
23-Jun-08 109.33 -0.20 0.27 -2.45 -2.98 -2.64 0.27 2
8-May-06 105.50 0.20 0.14 -1.07 -2.36 -2.16 0.20 1
9-Dec-05 99.77 0.10 0.78 1.17 0.88 0.55 0.10 1
8-Nov-04 90.67 -0.20 -0.12 0.64 1.43 1.68 0.64 3
9-Aug-04 82.50 1.29 1.08 -0.02 0.18 1.21 1.29 1
29-Jun-04 87.83 0.54 -0.86 -0.91 -1.78 -1.49 0.54 1
3-May-04 86.15 -0.08 0.56 -0.30 -1.95 -2.96 0.56 2
12-Mar-04 86.18 -1.23 -0.70 0.41 0.44 -1.00 0.41 3
8-Dec-03 81.96 -0.77 -0.78 0.33 0.53 0.03 0.33 3
15-Sep-03 77.48 1.46 1.26 2.46 1.94 0.84 1.46 1
24-Jun-03 74.78 -1.00 0.28 -0.87 -0.90 0.01 0.28 2
28-Jan-03 64.65 0.76 -1.63 0.27 0.47 -0.52 0.76 1
12-Aug-02 67.62 -1.82 1.77 3.18 2.87 5.27 1.77 2
1-Oct-01 77.05 1.26 2.95 3.04 2.84 2.17 1.26 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
29-Sep-00 104.83 0.15 -0.78 0.04 0.39 -1.78 0.15 1
18-Aug-00 108.98 0.54 0.38 0.77 1.09 1.04 0.54 1
avg 0.23 0.52 0.53 0.35 0.51 0.71 1.68
med 0.15 0.38 0.39 0.44 0.28 0.48 1.63
stdevp 0.99 1.09 1.46 1.92 2.04 0.67
t-test 1.32 2.67 2.03 1.01 1.41 5.88

could it be a straight 32 winner ?

—–

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few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 bps

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 $SPY forward 1/2/3/4/5 trading returns , when $SPY closes in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $SPY , 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 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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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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When $SPY down by more than 1% on a Fed Day

When $SPY down by more than 1% on a Fed Day

when $SPY lost  by more than 1% on a Fed day , since Y2K

with $SPY down by -1.09% on a fed day , below trading strategy rules

1) $SPY lost by more than 1%

2) and current trading day is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY lost by more than 1% on the Fed Day .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 9 56.3 -0.40 0.10 1.44 -2.77 0.52 -6.98 0.46 -0.62
t+2% 16 8 50.0 -0.48 -0.12 1.80 -2.76 0.65 -9.24 0.37 -0.60
t+3% 16 11 68.8 0.43 0.44 1.51 -1.96 0.77 -5.36 1.08 0.72
t+4% 16 11 68.8 0.79 1.20 2.22 -2.34 0.95 -6.38 1.58 1.11
t+5% 16 10 62.5 0.75 1.05 2.74 -2.57 1.07 -7.68 1.41 0.93
t+10% 16 10 62.5 0.50 1.55 2.52 -2.88 0.88 -7.05 1.33 0.64
t+20% 16 12 75.0 1.92 2.90 4.20 -4.95 0.85 -11.82 2.18 1.56
1st +’ve in 5 days 16 14 87.5 0.96 0.96 1.43 -2.30 0.62 -3.09 3.18 2.29
1st -‘ve in 5 days 16 12 75.0 0.54 -0.48 -1.80 3.26 0.55 6.09 1.51 0.74

14/16 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 96 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 $SPY losing more than 1% , on the Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
27-Jan-16 188.13 ?? ?? ?? ?? ?? ?? ??
28-Jan-15 196.09 0.92 -0.34 0.89 2.35 1.96 0.92 -0.34
19-Jun-13 154.65 -2.48 -2.16 -3.40 -2.47 -1.51 -1.51 -2.48
21-Sep-11 106.80 -3.23 -2.65 -0.33 0.78 -1.28 0.78 -3.23
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
8-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94 -6.98
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40 3.97
11-Dec-07 124.30 0.99 0.78 -0.50 -1.92 -1.37 0.99 -0.50
22-Mar-05 93.93 0.09 0.21 0.35 -0.32 1.09 0.09 -0.32
28-Jan-04 89.03 0.10 0.10 0.53 0.36 -0.46 0.10 -0.46
25-Jun-03 75.94 1.30 0.13 0.10 1.03 2.30 1.30 2.30
24-Sep-02 63.29 2.48 4.16 0.53 -0.63 4.14 2.48 -0.63
13-Aug-02 68.11 3.65 5.09 4.78 7.23 6.09 3.65 6.09
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
21-Aug-01 87.47 1.04 0.67 2.76 2.15 0.66 1.04 0.66
20-Mar-01 86.00 -1.70 -2.70 0.25 1.52 3.60 0.25 -1.70
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71 -2.90

highlighted in the red were the loss making trades !!

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When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

with $SPY rising by 1.36% , as on 26 Jan 2016 , ahead of fed meeting , below

trading strategy rules

1) $SPY gains by more than 1%

2) and tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY rises by more than 1% ahead of Fed Meeting .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 18 10 55.6 0.54 0.45 1.62 -0.81 2.00 -2.68 2.03 1.42
t+2% 18 11 61.1 0.22 0.26 1.46 -1.75 0.84 -4.87 0.91 0.40
t+3% 18 7 38.9 -0.44 -0.87 2.01 -2.01 1.00 -5.31 0.46 -0.79
t+4% 18 9 50.0 0.22 -0.41 2.37 -1.93 1.23 -3.19 0.83 0.37
t+5% 18 10 55.6 0.26 0.04 1.71 -1.56 1.10 -3.59 0.79 0.45
t+10% 18 8 44.4 0.24 -0.36 3.17 -2.11 1.50 -4.26 1.15 0.34
t+20% 18 12 66.7 0.13 1.61 3.35 -6.30 0.53 -10.54 0.61 0.10
1st +’ve in 5 days 18 16 88.9 1.07 0.64 1.29 -0.74 1.74 -1.20 12.77 3.56
1st -‘ve in 5 days 18 14 77.8 0.45 -0.18 -0.83 0.87 0.96 1.95 2.79 1.77

16/18 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 107 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 $SPY rising by more 1% , ahead of Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
28-Jul-15 207.02 0.69 0.71 0.56 0.22 0.02 0.69 0.02
28-Oct-14 193.33 -0.15 0.49 1.64 1.69 1.34 0.49 -0.15
21-Jun-11 117.93 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
20-Sep-10 102.55 -0.20 -0.69 -1.50 0.53 0.05 0.53 -0.20
17-Mar-09 67.64 2.24 0.97 -1.18 5.92 3.83 2.24 -1.18
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
28-Oct-08 80.47 -0.73 2.71 3.27 3.57 7.09 2.71 -0.73
6-Aug-07 122.30 1.07 2.48 -0.56 -1.03 -0.67 1.07 -0.56
27-Jun-07 125.80 -0.01 0.02 0.92 1.29 1.18 0.02 -0.01
3-May-04 88.38 -0.08 0.56 -0.30 -1.95 -2.96 0.56 -0.08
17-Mar-03 67.06 0.59 1.36 1.58 3.75 0.30 0.59 0.30
5-Nov-01 83.90 1.55 1.42 1.73 1.84 1.22 1.55 1.22
*10-Sep-01 83.11 -5.22 -5.45 -7.36 -10.30 -11.27 -11.27 -5.22
17-Apr-01 89.81 3.97 5.36 4.39 2.50 1.95 3.97 1.95
19-Mar-01 88.38 -2.68 -4.34 -5.31 -2.45 -1.20 -1.20 -2.68
18-Dec-00 99.68 -2.04 -4.87 -4.21 -1.34 -0.28 -0.28 -2.04
14-Nov-00 104.17 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

*10-Sep-01 : excluded from above calculations .

highlighted in the red were the loss making trades !! 

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$SPY on Jan Fed meetings

$SPY on Jan Fed meetings

Yellen_data_dependent_cartoon_11.18.2015_normal

below $SPY trading odds from the the prior day to January Fed meeting , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 8 50.0 0.37 0.00 1.60 -0.85 1.87 -1.28 0.76 0.91
t+2% 16 10 62.5 0.42 0.09 1.12 -0.74 1.52 -1.63 1.81 1.29
t+3% 16 8 50.0 -0.11 -0.12 1.21 -1.43 0.85 -2.18 0.56 -0.29
t+4% 16 5 31.3 -0.37 -0.39 1.03 -1.00 1.02 -2.74 0.29 -1.23
t+5% 16 7 43.8 -0.11 -0.32 1.17 -1.10 1.06 -2.06 0.66 -0.34
t+10% 16 10 62.5 0.45 0.82 1.99 -2.11 0.94 -4.02 1.74 0.78
t+20% 16 11 68.8 0.20 1.31 2.44 -4.72 0.52 -10.05 1.26 0.19
1st +’ve in 5 days% 16 14 87.5 0.91 0.72 1.20 -1.11 1.09 -1.43 5.66 2.57
1st -‘ve in 5 days% 16 14 87.5 0.65 -0.74 -0.91 1.14 0.80 1.47 0.05 3.15

14/16 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 91 basis points at the 1st positive close within in the next five trading days.

also tricky to note is

14/16 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 65 basis points at the 1st negative close within in the next five trading days.

whats your pick ?? :)

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 $SPY from the day before Jan Fed meeting , and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
28-Jan-14 172.09 -0.96 0.09 -0.50 -2.74 -2.06 0.09 -0.96
29-Jan-13 141.92 -0.39 -0.64 0.38 -0.74 0.26 0.38 -0.39
24-Jan-12 121.15 0.84 0.32 0.27 -0.07 -0.11 0.84 -0.07
25-Jan-11 116.59 0.39 0.63 -1.12 -0.38 1.22 0.39 -1.12
26-Jan-10 96.76 0.48 -0.68 -1.76 -0.23 0.98 0.48 -0.68
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
29-Jan-08 114.83 -0.74 1.07 2.70 1.41 -1.31 1.07 -0.74
18-Jan-08 111.57 -1.01 1.36 2.22 0.74 2.41 1.36 -1.01
30-Jan-07 118.45 0.67 1.27 1.41 1.44 1.47 0.67 1.47
30-Jan-06 104.61 -0.73 -0.04 -1.20 -1.69 -1.43 -1.43 -0.73
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
28-Jan-03 66.32 0.76 -1.63 0.27 0.47 -0.52 0.76 -1.63
29-Jan-02 83.89 1.44 2.63 2.15 -0.39 -1.01 1.44 -0.39
30-Jan-01 103.50 -0.57 0.09 -2.18 -1.46 -1.75 0.09 -0.57
2-Jan-01 96.75 4.80 3.68 0.29 1.07 0.80 4.80 0.80

highlighted in the red were the loss making long trades

highlighted in the green were the loss making short trades !! 

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check out the new look of the paststat

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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a bullish Fed day $SPY pattern

a bullish Fed day $SPY pattern 

The Quantifiable Edges Guide To Fed Dayshere are the trading strategy rules for the ” bullish Fed day $SPY pattern “

1) the next trading trading day is a Fed day ( triggered on Tue’s close as on 16th Jun 2015)

2) the Friday of this week , there is an Opex

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for the bullish Fed day $SPY pattern

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 25 80.6 0.96 0.73 1.43 -0.98 1.46 -1.82 5.17 3.56
t+2 31 23 74.2 0.77 0.97 1.67 -1.81 0.92 -3.82 2.04 2.12
t+3 31 22 71.0 0.95 0.91 1.89 -1.33 1.42 -3.51 2.74 2.80
t+4 31 22 71.0 1.18 0.99 2.35 -1.67 1.40 -4.73 2.43 2.67
t+5 31 21 67.7 0.97 0.64 2.16 -1.55 1.40 -3.82 2.12 2.21
t+10 31 21 67.7 1.15 1.33 2.65 -2.00 1.32 -6.71 2.39 2.24
t+20 31 23 74.2 1.37 2.09 3.16 -3.77 0.84 -15.12 1.91 1.82
1st +’ve exit in 5 days 31 29 93.5 1.01 0.80 1.30 -3.18 0.41 -3.82 4.18 3.43

29/31 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 101 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 the above “bullish Fed day $SPY pattern” , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
16-Jun-15 210.25 ?? ?? ?? ?? ?? ??
17-Mar-15 207.04 1.20 0.74 1.63 1.43 0.86 1.20
16-Dec-14 195.95 1.96 4.48 4.92 5.41 5.55 1.96
16-Sep-14 197.57 0.14 0.67 0.58 -0.20 -0.77 0.14
17-Jun-14 191.09 0.73 0.84 1.05 1.02 0.41 0.73
18-Mar-14 183.25 -0.53 0.04 -0.34 -0.75 -0.28 0.04
17-Dec-13 173.51 1.71 1.58 2.18 2.73 2.95 1.71
17-Sep-13 165.34 1.16 0.99 0.28 -0.18 -0.42 1.16
18-Jun-13 159.34 -1.38 -3.82 -3.51 -4.73 -3.82 -3.82
12-Mar-12 128.83 1.80 1.69 2.28 2.42 2.83 1.80
12-Dec-11 115.58 -0.93 -1.99 -1.64 -1.50 -2.54 -2.54
14-Mar-11 119.27 -1.14 -2.97 -1.69 -1.33 0.20 0.20
13-Dec-10 113.64 0.09 -0.37 0.21 0.32 0.56 0.09
15-Mar-10 103.88 0.80 1.40 1.35 0.83 1.37 0.80
15-Dec-09 99.62 0.15 -1.05 -0.49 0.52 0.88 0.15
17-Mar-09 68.73 2.24 0.97 -1.18 5.92 3.84 2.24
15-Dec-08 76.52 4.70 3.70 1.76 1.32 0.03 4.70
15-Sep-08 104.12 1.68 -2.90 -0.02 3.96 1.60 1.68
17-Mar-08 110.14 4.16 1.58 3.46 5.53 5.63 4.16
17-Sep-07 125.87 2.95 3.55 2.82 3.10 2.91 2.95
11-Dec-06 118.89 -0.08 0.03 0.91 0.92 0.64 0.03
12-Dec-05 104.10 0.68 1.08 0.78 0.46 -0.06 0.68
13-Dec-04 97.43 0.35 0.43 0.37 -0.30 -0.28 0.35
15-Mar-04 88.74 0.53 1.65 1.68 0.23 -1.05 0.53
15-Sep-03 80.77 1.46 1.26 2.46 1.94 0.84 1.46
11-Aug-03 78.05 0.91 0.40 0.67 0.99 1.86 0.91
17-Mar-03 68.14 0.59 1.35 1.57 3.74 0.29 0.59
12-Aug-02 70.49 -1.82 1.76 3.18 2.87 5.28 1.76
14-May-01 95.96 0.46 2.83 2.99 3.46 4.98 0.46
17-Apr-01 91.26 3.98 5.36 4.39 2.50 1.95 3.98
14-Nov-00 105.85 0.31 -1.26 -1.79 -3.19 -2.69 0.31
15-May-00 110.00 0.96 -0.09 -1.31 -2.86 -3.59 0.96

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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check out the new look of the paststat