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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check out the new look of the paststat

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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check out the new look of the paststat

$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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check out the new look of the paststat

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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$SPY Gap up’s and down’s on a Fed Day

$SPY Gap up’s and down’s on a Fed Day

The Quantifiable Edges Guide To Fed Days

 

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

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

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

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

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

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

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

 

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

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

Fed_Cartoon

 

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

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

2) and the next trading day is Fed Day

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

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

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

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

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

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

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$SPY when U.S. Fed Chair Yellen Speaks

$SPY when U.S. Fed Chair Yellen Speaks 

Yellen speaks

assuming one goes long the day before Yellen is scheduled to speak and exits at the close on the day when Yellen is scheduled to speak , since she became Fed Chair

  • Winners : 16
  • Losers : 4
  • % Winners : 80%
  • Average Change % : 0.35
  • Median Change % : 0.38
  • Maximum Gain % : 1.20
  • Maximum Loss % : -0.88
  • Average Gain %if Winner : 0.56
  • Average Loss % if Loser : -0.49
  • Payoff Ratio 1.14
  • Average Absolute Change% : 0.38
  • Profit Factor : 4.56
  • Outlier Adjusted Profit Factor : 3.90
  • STDEVP: 0.56
  • T-Test 2.80

below the change , change % details , of $SPY , when US Fed Chair Yellen is scheduled to speak

Date $SPY Change Change %
02-Apr-15 ?? ?? ??
27-Mar-15 205.74 0.47 0.23
18-Mar-15 209.52 2.48 1.2
03-Mar-15 210.18 -0.87 -0.41
02-Dec-14 205.04 1.32 0.65
13-Nov-14 202.17 0.23 0.11
07-Nov-14 201.33 0.19 0.09
30-Oct-14 197.4 1.25 0.64
17-Oct-14 186.6 2.18 1.18
18-Sep-14 198.89 1.05 0.53
17-Sep-14 197.84 0.27 0.14
22-Aug-14 196.3 -0.3 -0.15
02-Jul-14 194.37 0.2 0.1
18-Jun-14 192.49 1.4 0.73
21-May-14 185.5 1.55 0.84
15-May-14 183.8 -1.63 -0.88
01-May-14 184.71 0.02 0.01
16-Apr-14 182.55 1.89 1.05
15-Apr-14 180.66 1.24 0.69
31-Mar-14 183.42 1.49 0.82
19-Mar-14 182.27 -0.98 -0.53

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