$QQQ trade-idea with 45/46 wins since Y2K

$QQQ trade-idea with 45/46 wins

$QQQ trade idea

with $QQQ , posting a 1 standard deviation ( 20) down move on monday , as on 3rd July 2017 , after posting one such move on last thursday , as on 29th Jun 2017,

below the trading strategy rules

  1. current trading day is monday
  2. $QQQ posted more than 1 standard deviation ( 20) down move , calculated on daily percent changes , over the last 20 trading days , including current trading day
  3. $QQQ posted atleast one more 1 std(20) down move over the last two trading day’s as well

below the trading odds for $QQQ 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 46 27 58.7 0.70 0.30 1.92 -1.03 1.86 -6.34 1.83 2.14
t+2 46 32 69.6 1.16 1.12 2.40 -1.66 1.45 -7.10 2.51 2.79
t+3 46 37 80.4 1.85 1.18 2.74 -1.80 1.53 -9.58 5.96 3.74
t+4 46 36 78.3 1.81 1.12 2.88 -2.06 1.40 -10.18 4.71 3.48
t+5 46 35 76.1 2.04 1.60 3.28 -1.87 1.75 -6.31 3.97 4.02
t+10 46 35 76.1 3.73 2.80 5.71 -2.58 2.22 -5.12 4.84 4.56
t+20 46 32 69.6 2.45 3.39 5.97 -5.62 1.06 -15.36 2.04 2.33
1st +’ve exit in 5 days % 46 45 97.8 1.71 0.86 1.81 -2.63 0.69 -2.63 20.41 5.53

 

45/46 times , since Y2K, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 171 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 $QQQ returns , over the next 1/2/3/4/5 trading days , when on monday , down by 1 stdev(20) and posts atleast one more 1 stdev(20) over the last 2 trading days , , since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
3-Jul-17 136.19 ?? ?? ?? ?? ?? ?? ??
14-Nov-16 113.74 1.39 2.00 2.73 2.35 3.41 1.39 1
27-Jun-16 101.18 2.18 4.00 5.20 5.73 5.08 2.18 1
13-Jun-16 106.64 0.00 -0.28 0.01 -1.16 -0.53 0.01 3
24-Aug-15 96.38 -0.37 4.64 7.29 7.27 5.95 4.64 2
29-Jun-15 104.44 0.35 1.15 1.18 0.94 1.20 0.35 1
8-Jun-15 105.66 -0.16 1.20 1.35 0.52 0.02 1.20 2
5-Jan-15 98.83 -1.34 -0.07 1.84 1.17 0.12 1.84 3
15-Dec-14 98.64 -1.60 0.18 2.60 3.05 3.30 0.18 2
13-Oct-14 90.24 0.01 -0.63 -1.25 0.04 1.54 0.01 1
15-Sep-14 95.41 0.88 1.03 1.79 1.73 0.78 0.88 1
24-Mar-14 85.21 0.33 -0.96 -1.53 -1.33 -0.62 0.33 1
27-Jan-14 82.44 -0.06 -1.13 0.69 0.42 -1.88 0.69 3
7-Oct-13 75.33 -1.94 -2.24 -0.17 0.61 1.33 0.61 4
24-Jun-13 66.51 0.72 1.62 2.06 2.21 2.84 0.72 1
25-Feb-13 62.90 0.38 1.40 1.19 1.61 2.07 0.38 1
23-Jul-12 59.69 -0.79 -1.44 -0.13 2.23 2.14 2.23 4
25-Jun-12 58.44 0.63 1.25 0.12 3.27 3.58 0.63 1
16-Apr-12 61.42 2.04 1.77 0.63 0.36 -0.55 2.04 1
9-Apr-12 63.08 -1.62 -1.14 0.00 -1.52 -2.63 -2.63 5
21-Nov-11 50.72 0.32 -1.93 -2.70 0.69 0.06 0.32 1
3-Oct-11 47.73 2.05 4.67 6.43 5.72 9.39 2.05 1
8-Aug-11 47.13 4.82 0.53 4.96 5.90 7.45 4.82 1
23-May-11 52.91 -0.62 -0.23 0.38 0.89 2.53 0.38 3
16-May-11 53.35 0.28 1.12 1.42 0.66 -0.82 0.28 1
17-Aug-09 35.30 1.42 2.12 3.31 4.70 4.59 1.42 1
9-Mar-09 23.54 6.20 7.82 11.38 11.68 9.81 6.20 1
2-Mar-09 24.36 -0.04 2.63 -0.45 -1.27 -3.37 2.63 2
6-Oct-08 31.84 -6.34 -7.10 -9.58 -10.18 0.75 0.75 5
17-Mar-08 37.80 4.47 1.88 3.97 7.57 8.17 4.47 1
10-Mar-08 37.60 3.80 3.51 4.31 2.39 0.53 3.80 1
12-Nov-07 44.36 4.13 2.80 2.23 3.18 1.98 4.13 1
22-Jan-07 39.70 -0.25 1.39 0.08 -0.28 -0.20 1.39 2
1-May-06 37.56 0.27 0.13 0.93 1.73 1.84 0.27 1
19-Dec-05 37.06 0.08 0.51 1.19 1.19 0.30 0.08 1
8-Aug-05 35.41 0.68 -0.20 0.62 0.06 0.68 0.68 1
24-Jan-05 32.98 0.49 1.70 1.55 1.06 2.37 0.49 1
14-Jun-04 32.48 1.29 1.11 0.18 0.31 -0.49 1.29 1
22-Mar-04 30.68 -0.81 0.33 3.00 2.64 4.30 0.33 2
23-Feb-04 32.59 -0.25 0.37 0.61 0.34 1.66 0.37 2
23-Jun-03 26.73 -0.75 -1.27 1.05 -0.26 0.15 1.05 3
11-Nov-02 21.73 2.53 3.77 7.36 8.74 7.13 2.53 1
5-Aug-02 19.16 4.96 6.37 9.97 8.82 9.13 4.96 1
6-May-02 25.89 -0.93 9.69 6.84 2.05 6.18 9.69 2
12-Mar-01 37.81 5.08 3.41 -0.37 -2.62 2.27 5.08 1
20-Nov-00 62.44 -0.16 -4.63 0.83 -0.42 -6.31 0.83 3
11-Sep-00 82.96 -1.55 0.74 0.19 -1.62 -3.17 0.74 2

highlighted in red is the only one time when $QQQ was not able to close higher over the next 5 trading days , from 9th Apr 2012 

—–

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tickalert

when $SPY posts consecutive unfilled gap downs in row , what next ?

$SPY posts 2 unfilled gap downs in row ?

when $SPY posts , 2 or more unfilled gap dowsn in row , & cls > 200-DMA , since Y2K

with $SPY posting 2 unfilled gap downs in row ,as on 4th May 2016 close , below trading strategy rules

1)  $SPY posting 2 unfilled gap downs in row , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 59 37 62.7 0.29 0.29 0.99 -0.89 1.12 -4.21 1.42 1.60
t+2% 59 29 49.2 0.13 -0.01 1.20 -0.91 1.32 -5.34 1.10 0.67
t+3% 59 30 50.8 -0.04 0.01 1.28 -1.40 0.91 -3.47 0.82 -0.16
t+4% 59 34 57.6 0.20 0.27 1.75 -1.89 0.92 -4.82 1.07 0.68
t+5% 59 39 66.1 0.52 0.67 1.74 -1.85 0.94 -5.86 1.59 1.74
t+10% 59 37 62.7 0.73 1.11 2.55 -2.34 1.09 -7.88 1.61 1.92
t+20% 59 44 74.6 1.83 2.43 3.39 -2.76 1.23 -5.95 2.89 4.12
1st +’ve in 5 days 59 54 91.5 0.63 0.55 0.89 -2.20 0.40 -5.86 3.08 3.35
1st -‘ve in 5 days 59 40 67.8 -0.10 -0.23 -0.80 2.01 0.40 6.10 0.67 -0.49

54/59 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 63 bps

the disastrous loss of 586 bps , occurred during the start of this year , from 31st Dec 2015

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

2)  $SPY posting 2 unfilled gap downs in row , during bull markets , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row
  • b) $SPY close is above 200-DMA

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row , and $SPY close is above 200-DMA

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 29 21 72.4 0.24 0.35 0.60 -0.72 0.83 -1.85 2.42 1.66
t+2% 29 17 58.6 0.20 0.10 0.70 -0.50 1.38 -1.70 2.08 1.41
t+3% 29 19 65.5 0.08 0.24 0.72 -1.14 0.63 -2.75 1.11 0.38
t+4% 29 20 69.0 0.33 0.53 1.06 -1.30 0.82 -3.35 1.65 1.31
t+5% 29 22 75.9 0.84 1.00 1.43 -1.05 1.37 -3.63 4.23 3.08
t+10% 29 21 72.4 1.45 1.74 2.41 -1.04 2.30 -4.32 6.33 3.94
t+20% 29 25 86.2 2.59 2.71 3.33 -2.03 1.64 -4.49 8.52 5.60
1st +’ve in 5 days 29 29 100.0 0.57 0.51 0.57 INF INF 0.03 NA 7.02
1st -‘ve in 5 days 29 16 55.2 -0.44 -0.01 -0.50 1.59 0.31 3.94 0.28 -1.85

29/29 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 57 bps

below the prior instances of $SPY posting 2 or mroe unfilled gap downs in row , while close is above 200-DMA , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% 1st -‘ve cls in 5 days% days for 1st +’ve cls
04-May-16 205.01 ?? ?? ?? ?? ?? ?? ?? ??
24-Mar-16 203.12 0.06 0.98 1.43 1.18 1.87 0.06 1.87 1
27-Oct-15 204.32 1.14 1.08 0.64 1.83 2.13 1.14 2.13 1
15-Jun-15 204.73 0.55 0.71 1.76 1.31 1.83 0.55 1.83 1
29-May-15 206.73 0.20 0.10 0.37 -0.48 -0.65 0.20 -0.48 1
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20 1
01-Apr-15 201.40 0.36 1.04 0.77 1.11 1.56 0.36 1.56 1
10-Dec-14 196.94 0.51 -1.12 -1.80 -2.58 -0.67 0.51 -1.12 1
08-Jul-14 189.35 0.45 0.05 0.19 0.69 0.50 0.45 0.50 1
12-Jun-14 185.85 0.30 0.39 0.67 1.41 1.52 0.30 1.52 1
15-May-14 179.96 0.35 0.72 0.08 0.92 1.17 0.35 1.17 1
24-Jan-14 171.03 -0.49 0.10 -0.86 0.19 -0.40 0.10 -0.49 2
03-Oct-13 159.39 0.76 -0.11 -1.28 -1.21 0.92 0.76 -0.11 1
30-Sep-13 159.76 0.79 0.70 -0.23 0.52 -0.35 0.79 -0.23 1
24-May-13 155.61 0.60 -0.05 0.31 -1.13 -0.58 0.60 -0.05 1
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 1.48 -0.01 1
08-Jan-13 136.40 0.25 1.05 1.04 0.98 1.04 0.25 1.04 1
24-Dec-12 133.40 -0.42 -0.55 -1.63 0.04 2.61 0.04 -0.42 4
23-Jul-12 125.04 -0.86 -0.84 0.80 2.66 2.66 0.80 -0.86 3
06-Mar-12 123.54 0.70 1.70 2.09 2.10 3.94 0.70 3.94 1
06-Jun-11 116.38 -0.06 -0.48 0.28 -1.12 -1.04 0.28 -0.06 3
15-Mar-11 115.44 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85 4
23-Nov-10 105.81 1.48 0.30 0.60 0.03 2.16 1.48 2.16 1
12-Nov-10 107.37 -0.14 -1.70 -1.65 -0.20 0.07 0.07 -0.14 5
06-Aug-10 99.86 0.53 -0.01 -2.75 -3.35 -3.63 0.53 -0.01 1
06-Jun-07 125.81 -1.80 -0.53 -0.36 -1.44 0.03 0.03 -1.80 5
28-Mar-07 117.51 0.11 0.13 0.24 1.32 1.43 0.11 1.43 1
01-Aug-06 103.96 0.68 0.94 0.77 0.53 0.15 0.68 0.15 1
22-Mar-04 85.97 -0.17 -0.09 1.23 1.26 2.68 1.23 -0.17 3
10-Sep-03 78.98 0.29 0.48 0.13 1.59 1.39 0.29 1.39 1

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$SPY weakness on LBOTDOM is bullish

$SPY weakness on LBOTDOM is bullish

when $SPY posts , worst one day loss in 10 trading days , on the Last But One Trading Day Of Month , since Y2K

with $SPY the worst loss in 10 trading days ,and closing at the 10 day’s low on the Last But One Trading Day Of Month ( LBOTDOM)

below 2 trading strategies

1) $SPY closes at 10 day low on the LBOTDOM 

  • Current trading day is LBOTDOM &
  • $SPY closes at the 10 day lowest close

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY closes at the 10 day low ,on LBOTDOM

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 22 15 68.2 0.55 0.50 1.14 -0.70 1.62 -1.09 2.60 2.12
t+2% 22 19 86.4 1.17 1.08 1.62 -1.65 0.98 -2.46 5.79 3.32
t+3% 22 17 77.3 0.72 0.67 1.49 -1.89 0.79 -3.63 2.19 1.85
t+4% 22 14 63.6 0.85 0.76 2.20 -1.52 1.45 -3.11 2.10 1.80
t+5% 22 13 59.1 0.35 0.70 2.61 -2.92 0.90 -7.65 1.20 0.49
t+10% 22 12 54.5 -0.07 0.87 3.74 -4.65 0.81 -12.89 0.98 -0.06
t+20% 22 15 68.2 -0.16 1.53 3.38 -7.74 0.44 -24.63 0.90 -0.11
1st +’ve in 5 days 22 21 95.5 0.71 0.74 1.11 -7.65 0.15 -7.65 2.10 1.62
1st -‘ve in 5 days 22 13 59.1 -0.46 -0.54 -1.04 2.62 0.40 4.94 0.39 -1.04

21/22 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

the disastrous loss of 765 bps , occurred during the Aug 2011 debt downgrade

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 closing at 10 day low , on the LBOTDOM , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
28-Apr-16 207.45 ?? ?? ?? ?? ?? ?? ??
29-Jun-15 202.11 0.21 1.01 0.92 0.63 1.26 0.21 1.26
27-Sep-13 160.62 -0.53 0.25 0.16 -0.76 -0.01 0.25 -0.53
28-Dec-12 131.23 1.70 4.31 4.07 4.53 4.24 1.70 4.24
30-Aug-12 130.04 0.48 0.38 0.30 2.33 2.73 0.48 2.73
28-Jul-11 118.03 -0.68 -1.11 -3.63 -3.11 -7.65 -7.65 -0.68
28-Jan-11 114.69 0.75 2.36 2.17 2.40 2.69 0.75 2.69
29-Jun-10 92.59 -0.95 -1.39 -1.93 -1.29 1.82 1.82 -0.95
28-Jan-10 95.62 -1.09 0.45 1.67 1.16 -1.96 0.45 -1.09
29-Sep-08 95.10 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
27-Jun-08 108.26 0.35 0.67 -1.06 -0.96 -1.97 0.35 -1.06
27-Feb-07 115.13 1.03 0.72 -0.59 -1.54 0.14 1.03 -0.59
29-Dec-05 101.44 -0.54 1.21 1.69 1.75 2.60 1.21 -0.54
29-Apr-04 87.68 -0.78 0.29 0.21 0.85 -0.02 0.29 -0.78
30-Jan-03 64.91 1.93 2.13 1.13 0.50 0.02 1.93 0.02
30-May-02 81.21 0.21 -2.46 -2.21 -1.30 -3.31 0.21 -2.46
29-Apr-02 81.10 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
30-Oct-01 80.06 -0.34 2.21 2.91 4.26 5.88 2.21 -0.34
30-Aug-01 85.14 0.73 0.09 0.34 -2.25 -4.06 0.73 -2.25
30-May-01 93.88 0.52 1.14 1.63 2.79 1.94 0.52 1.94
28-Jul-00 105.59 0.64 1.25 1.76 2.46 3.01 0.64 3.01
29-Jun-00 107.14 0.76 2.15 0.30 1.08 2.71 0.76 2.71
28-Jan-00 100.47 2.71 3.73 3.82 5.38 4.94 2.71 4.94

highlighted in the red was the one huge loss making trade !!

2) $SPY posts worst one day loss on the LBOTDOM

  • Current trading is LBOTDOM
  • $SPY posts the worst one day loss in 10 trading days

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts an one day worst loss in 10 trading days, on LBOTDOM

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 20 14 70.0 0.55 0.58 1.16 -0.87 1.33 -2.23 2.26 1.83
t+2% 20 17 85.0 1.39 1.16 1.87 -1.30 1.43 -2.46 6.55 3.62
t+3% 20 15 75.0 1.02 0.77 1.74 -1.16 1.50 -2.83 3.32 2.35
t+4% 20 11 55.0 0.86 0.49 2.46 -1.09 2.25 -2.25 2.09 1.60
t+5% 20 15 75.0 0.73 1.24 2.11 -3.42 0.62 -5.98 1.70 1.10
t+10% 20 13 65.0 0.42 1.56 3.11 -4.58 0.68 -12.89 1.12 0.40
t+20% 20 14 70.0 0.80 1.75 4.07 -6.85 0.59 -24.63 1.13 0.50
1st +’ve in 5 days 20 19 95.0 0.94 0.77 1.21 -4.24 0.29 -4.24 3.90 2.60
1st -‘ve in 5 days 20 10 50.0 -0.94 0.48 -0.95 2.82 0.34 6.10 0.25 -1.84

19/20 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

17/20 times , $SPY closed higher than current close , two trading days later at close , at an average of 139 bps

below the historical instances of $SPY posting worst one day loss in 10 trading days , on LBOTDOM , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
28-Apr-16 207.45 ?? ?? ?? ?? ?? ?? ??
29-Jun-15 202.11 0.21 1.01 0.92 0.63 1.26 0.21 1.26
26-Feb-15 206.04 -0.3 0.29 -0.1 -0.5 -0.4 0.29 -0.34
30-Oct-13 167.64 -0.3 -0.1 0.31 -0 0.5 0.31 -0.28
30-Jan-13 140.64 -0.3 0.78 -0.4 0.65 0.73 0.78 -0.25
28-Dec-12 131.23 1.7 4.31 4.07 4.53 4.24 1.7 4.24
28-Jan-11 114.69 0.75 2.36 2.17 2.4 2.69 0.75 2.69
30-Dec-10 112.89 0.02 1.06 1 1.53 1.33 0.02 1.33
29-Jun-10 92.59 -1 -1.4 -1.9 -1.3 1.82 1.82 -0.95
27-Nov-09 95.98 0.34 1.58 1.53 0.74 1.31 0.34 1.31
30-Mar-09 68.31 0.93 2.88 5.89 6.94 6.1 0.93 6.1
29-Sep-08 95.10 4.14 4.2 0.42 -0.9 -6 4.14 -0.93
28-Feb-08 115.04 -2.2 -2.5 -2.8 -2.2 -4.2 -4.24 -2.23
27-Feb-07 115.13 1.03 0.72 -0.6 -1.5 0.14 1.03 -0.59
30-Aug-04 86.98 0.52 0.71 1.85 1.44 2.11 0.52 2.11
27-Sep-02 63.31 -1.2 3.59 0.48 -0.5 -2.4 3.59 -1.16
30-Aug-01 85.14 0.73 0.09 0.34 -2.3 -4.1 0.73 -2.25
30-Aug-00 111.72 1.33 1.43 0.62 -0.5 0.33 1.33 -0.52
28-Jul-00 105.59 0.64 1.25 1.76 2.46 3.01 0.64 3.01
30-Mar-00 110.23 1.13 1.72 0.97 0.34 1.21 1.13 1.21
28-Jan-00 100.47 2.71 3.73 3.82 5.38 4.94 2.71 4.94

highlighted in the red was the one huge loss making trade !!

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check out the new look of the paststat

a $SPY momentum fuelled bullish 1DOM pattern

a $SPY momentum fuelled bullish 1DOM pattern

Anatomy of $SPY on First Trading Day of the Month

with 1DOM ( 1st day of the month ) around the corner ,

below the trading strategy rules,

1) as on the last trading day of the month $SPY gained by more than 5% for the month

2) tomorrow is 1DOM

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 24 20 83.3 0.71 0.65 1.02 -0.86 1.18 -2.79 5.01 3.30
t+2 24 18 75.0 1.08 1.07 1.65 -0.62 2.68 -1.20 6.42 3.64
t+3 24 19 79.2 1.26 1.20 1.89 -1.12 1.69 -1.83 5.04 3.58
t+4 24 20 83.3 1.51 1.13 2.00 -0.95 2.10 -2.71 9.37 4.03
t+5 24 20 83.3 1.12 1.31 1.62 -1.39 1.17 -2.07 3.89 3.86
t+10 24 15 62.5 0.45 1.75 2.51 -2.99 0.84 -9.56 0.86 0.65
t+20 24 16 66.7 1.04 1.36 3.18 -3.23 0.98 -5.79 1.23 1.35
1st +’ve cls in 5 days 24 24 100.0 1.02 1.03 1.02 INF INF 0.10 NA 7.86
1st -‘ve cls in 5 days 24 11 45.8 -0.66 0.29 -0.66 1.77 0.37 3.94 0.22 -2.12

24/24 times  $SPY closed  higher than the current close at some point of time in the next five trading days .. with an average gain of 102 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 prior historical instances of “$SPY momentum fuelled bullish 1DOM pattern ” since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
31-Mar-16 ~206.13 ?? ?? ?? ?? ?? ?? ??
30-Oct-15 205.64 1.18 1.48 1.17 1.07 1.01 1.18 1.01
27-Feb-15 205.34 0.63 0.22 -0.20 -0.09 -1.50 0.63 -0.20
31-Jul-13 159.65 1.16 1.33 1.18 0.60 0.28 1.16 0.28
31-Jan-13 140.29 1.03 -0.11 0.90 0.98 0.84 1.03 -0.11
31-Oct-11 114.34 -2.79 -1.20 0.60 -0.02 0.61 0.60 -2.79
31-Dec-10 112.92 1.03 0.98 1.50 1.30 1.11 1.03 1.11
30-Sep-10 101.95 0.42 -0.33 1.67 1.66 1.54 0.42 -0.33
30-Jul-10 97.98 2.26 1.77 2.45 2.34 1.92 2.26 1.92
31-Mar-10 103.47 0.68 1.50 1.74 1.16 1.51 0.68 1.51
30-Nov-09 96.30 1.24 1.19 0.40 0.97 0.82 1.24 0.82
31-Jul-09 86.14 1.65 1.91 1.62 1.09 2.42 1.65 2.42
29-May-09 80.22 2.42 2.51 1.21 2.16 2.18 2.42 2.18
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
31-Mar-09 68.94 1.94 4.92 5.96 5.13 2.68 1.94 2.68
31-Dec-03 86.94 -0.04 1.04 1.14 1.48 1.89 1.04 -0.04
31-Oct-03 81.89 0.66 0.44 0.51 1.04 0.29 0.66 0.29
30-May-03 74.83 0.41 0.83 2.28 2.78 2.38 0.41 2.38
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
29-Nov-02 71.90 0.16 -1.18 -1.63 -2.71 -2.07 0.16 -1.18
31-Oct-02 67.72 1.98 2.95 3.76 5.11 2.53 1.98 2.53
30-Nov-01 86.01 -0.60 1.09 2.94 2.88 2.20 1.09 -0.60
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
31-Aug-00 113.20 0.10 -0.70 -1.83 -0.98 -1.66 0.10 -0.70
31-Mar-00 111.48 0.58 -0.17 -0.79 0.07 0.71 0.58 -0.17

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When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

with $SPY posting gains for 4- days in row , and also posting 4 consecutive green candles in row , below few trading strategies ..

I) $SPY gains for 4 or more days in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 52 20 38.5 -0.52 -0.27 0.82 -1.35 0.61 -8.86 0.33 -2.13
t+2% 52 20 38.5 -1.04 -0.44 1.17 -2.43 0.48 -9.51 0.28 -2.91
t+3% 52 19 36.5 -0.85 -0.35 1.51 -2.21 0.68 -8.11 0.36 -2.36
t+4% 52 22 42.3 -0.62 -0.13 1.72 -2.33 0.74 -7.75 0.47 -1.59
t+5% 52 23 44.2 -1.02 -0.54 1.25 -2.82 0.45 -10.60 0.31 -2.61
t+10% 52 21 40.4 -0.67 -0.78 2.37 -2.72 0.87 -13.28 0.57 -1.32
t+20% 52 27 51.9 -0.56 0.28 3.42 -4.86 0.70 -13.47 0.75 -0.77
1st +’ve in 5 days 52 40 76.9 -0.38 0.41 0.79 -4.29 0.19 -10.60 0.56 -1.07
1st -‘ve in 5 days 52 48 92.3 1.11 -0.76 -1.32 1.45 0.91 3.25 5.93 4.35

48/52 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 111 basis points at the 1st negative close within in the next five trading days. 

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

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

II) $SPY posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts 4 consecutive green candles in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 58 23 39.7 -0.34 -0.27 1.01 -1.23 0.82 -4.20 0.45 -1.80
t+2% 58 21 36.2 -0.86 -0.48 1.07 -1.96 0.55 -9.51 0.25 -3.11
t+3% 58 23 39.7 -0.76 -0.55 1.44 -2.21 0.65 -8.11 0.39 -2.43
t+4% 58 22 37.9 -0.70 -0.73 1.71 -2.17 0.79 -7.75 0.39 -2.09
t+5% 58 26 44.8 -0.65 -0.22 1.80 -2.64 0.68 -10.60 0.46 -1.62
t+10% 58 28 48.3 -0.67 -0.13 3.15 -4.23 0.74 -13.28 0.68 -1.09
t+20% 57 30 52.6 -1.14 0.29 3.02 -5.77 0.52 -13.47 0.57 -1.59
1st +’ve in 5 days 58 42 72.4 -0.24 0.39 0.93 -3.30 0.28 -10.60 0.67 -0.74
1st -‘ve in 5 days 58 53 91.4 0.89 -0.99 -1.23 2.78 0.44 5.84 5.21 4.22

53/58 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 89 basis points at the 1st negative close within in the next five trading days. 

III) $SPY gains for 4 or more days in row &  posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

3) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA,  since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 7 30.4 -0.52 -0.29 1.17 -1.25 0.94 -4.20 0.33 -1.59
t+2% 23 8 34.8 -1.25 -0.48 0.92 -2.41 0.38 -9.51 0.18 -2.35
t+3% 23 9 39.1 -1.17 -0.31 0.91 -2.52 0.36 -8.11 0.20 -2.15
t+4% 23 9 39.1 -1.10 -0.13 1.31 -2.65 0.49 -7.75 0.23 -1.89
t+5% 23 11 47.8 -1.39 -0.68 1.16 -3.72 0.31 -10.60 0.20 -2.06
t+10% 23 9 39.1 -1.14 -0.76 2.28 -3.33 0.68 -13.28 0.34 -1.42
t+20% 23 12 52.2 -1.59 0.27 2.41 -5.94 0.40 -13.47 0.37 -1.45
1st +’ve in 5 days 23 17 73.9 -0.71 0.46 0.86 -5.15 0.17 -10.60 0.40 -1.11
1st -‘ve in 5 days 23 21 91.3 0.99 -0.83 -1.19 1.12 1.06 1.87 10.53 3.78

21/23 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 99 basis points at the 1st negative close within in the next five trading days. 

below the historical instances of $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
5-Oct-15 197.30 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34
16-Sep-11 111.28 -1.00 -1.11 -4.02 -7.13 -6.57 -6.57 -1.00
15-Sep-11 110.63 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41
13-Jul-10 97.94 -0.01 0.02 -2.74 -2.16 -1.08 0.02 -0.01
12-Jul-10 96.48 1.51 1.50 1.53 -1.27 -0.68 1.51 -1.27
28-Jan-09 75.61 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25
4-Nov-08 86.18 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20
18-Aug-04 87.03 -0.29 0.41 0.15 0.29 0.97 0.41 -0.29
20-Mar-03 68.12 2.13 -1.26 -0.31 -0.82 -0.74 2.13 -1.26
6-Jan-03 71.83 -0.25 -1.69 -0.16 0.11 0.08 0.11 -0.25
3-Jan-03 70.59 1.76 1.51 0.04 1.60 1.87 1.76 1.87
15-Nov-02 70.28 -1.01 -1.14 1.06 2.94 2.21 1.06 -1.01
15-Oct-02 68.21 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42
9-Aug-02 69.89 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73
31-Jul-02 69.79 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61
19-Dec-01 87.78 -0.98 -0.38 -0.57 -0.03 0.58 0.58 -0.98
6-Nov-01 85.21 -0.13 0.18 0.28 -0.33 1.91 0.18 -0.13
5-Jun-01 97.00 -0.83 -0.47 -1.40 -2.10 -2.27 -2.27 -0.83
21-May-01 99.15 -0.13 -1.82 -1.53 -2.70 -3.47 -3.47 -0.13
18-May-01 97.71 1.47 1.34 -0.38 -0.08 -1.26 1.47 -0.38
17-May-01 97.26 0.46 1.94 1.80 0.08 0.37 0.46 0.37
28-Dec-00 100.43 -1.89 -3.67 0.96 -0.13 -3.39 0.96 -1.89
27-Dec-00 100.13 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59

highlighted in the green under 1st -‘ve in 5 days column , were the prior , loss making trades for bears,

IV) not  only that $SPY posted gains for exactly 4 days in row , but each day’s gains were smaller than prior trading day , below the prior 5 instance .. 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
29-Apr-11 123.68 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
21-Jul-08 107.56 1.13 1.68 -0.43 -0.45 -1.91 1.13 -0.43
21-Apr-06 107.25 -0.18 -0.59 -0.57 -0.09 0.24 0.24 -0.18
30-Jul-01 91.27 0.41 1.04 1.46 0.90 -0.46 0.41 -0.46
2-Mar-00 102.96 1.87 0.88 -1.07 -1.20 1.69 1.87 -1.07

as n is very , very small , i will not conclude anything , just found that rare pattern , and wanted to bring out to the reader’s notice

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when $SPY posts an upside reversal day

when $SPY posts an upside reversal day

when $SPY posts an 1.5% upside reversal day , since Y2K

inspired a reader’s question

with $SPY turning around higher on the day by 0.46% from a 1.56% decline at the intra-day lows , as on 24th Feb 2016 , below trading strategy rules ,

1) $SPY posts an intradown low of more than 1.5% to that of previous day’s close &

2) $SPY closes in the green for the day ( lets call it an 1.5% upside reversal day)

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts an 1.5% upside reversal day , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 65 27 41.5 -0.65 -0.60 1.51 -2.19 0.69 -7.84 0.47 -2.18
t+2% 65 29 44.6 -0.63 -0.15 2.09 -2.83 0.74 -13.37 0.57 -1.54
t+3% 65 32 49.2 -0.55 -0.32 2.32 -3.32 0.70 -11.02 0.64 -1.22
t+4% 65 26 40.0 -0.89 -0.64 2.62 -3.22 0.81 -13.81 0.50 -1.79
t+5% 65 26 40.0 -0.94 -0.60 2.88 -3.49 0.83 -17.25 0.49 -1.62
t+10% 65 31 47.7 -1.15 -0.17 3.03 -4.96 0.61 -26.77 0.44 -1.53
t+20% 64 32 50.0 -2.16 -0.27 4.73 -9.05 0.52 -27.98 0.42 -1.81
1st +’ve in 5 days 65 48 73.8 -0.37 0.78 1.61 -5.95 0.27 -17.25 0.73 -0.69
1st -‘ve in 5 days 65 57 87.7 1.36 -1.12 -2.03 3.43 0.59 6.55 3.10 4.23

57/65 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 136 basis points at the 1st negative close within in the next five trading days. 

mind you that avg loss for bears , while shorting based on the above pattern are huge and stands at 3.43 ( in todays terms it would be roughly 65 $es_f handles ) !!

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

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , when $SPY posts an 1.5% upside reversal day , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
24-Feb-16 193.20 ?? ?? ?? ?? ?? ?? ??
3-Feb-16 191.30 0.16 -1.75 -3.07 -3.07 -3.15 0.16 -1.75
2-Oct-15 193.85 1.78 1.43 2.26 3.18 3.24 1.78 3.24
12-Aug-15 206.61 -0.13 0.24 0.80 0.51 -0.29 0.24 -0.13
23-May-12 122.43 0.20 -0.13 1.08 -0.38 -0.60 0.20 -0.13
4-Oct-11 102.87 1.86 3.69 3.00 6.45 6.55 1.86 6.55
12-Sep-11 106.29 0.91 2.31 4.08 4.69 3.65 0.91 3.65
30-Aug-11 110.85 0.45 -0.60 -3.15 -3.85 -1.14 0.45 -0.60
26-Aug-11 107.47 2.88 3.15 3.61 2.52 -0.10 2.88 -0.10
9-Aug-11 107.03 -4.42 -0.13 0.54 2.67 1.79 0.54 -4.42
3-Aug-11 114.94 -4.68 -4.82 -11.02 -6.88 -11.00 -11.00 -4.68
25-May-10 95.84 -0.61 2.72 1.44 -0.27 2.33 2.72 -0.61
21-May-10 96.99 -1.29 -1.19 -1.78 1.51 0.24 1.51 -1.29
17-May-10 101.29 -1.36 -1.93 -5.63 -4.25 -5.48 -5.48 -1.36
5-Feb-10 94.42 -0.72 0.52 0.33 1.38 1.29 0.52 -0.72
14-Sep-09 92.26 0.41 1.94 1.79 1.85 1.59 0.41 1.59
25-Mar-09 70.98 2.03 0.18 -3.27 -2.38 -0.48 2.03 -3.27
6-Mar-09 59.63 -1.17 4.71 5.40 9.54 10.40 4.71 -1.17
12-Feb-09 72.38 -1.08 -5.31 -5.53 -6.55 -7.46 -7.46 -1.08
5-Feb-09 73.17 2.86 2.99 -1.72 -1.15 -1.08 2.86 -1.72
23-Jan-09 71.91 0.68 1.71 5.15 1.72 -0.35 0.68 -0.35
16-Jan-09 73.59 -5.27 -1.18 -2.70 -2.28 -1.62 -1.62 -5.27
15-Jan-09 73.02 0.78 -4.53 -0.41 -1.94 -1.52 0.78 -4.53
12-Dec-08 76.37 -1.39 3.25 2.25 0.34 -0.09 3.25 -1.39
5-Dec-08 75.46 3.50 1.79 2.49 0.01 1.21 3.50 1.21
3-Dec-08 74.94 -2.31 0.69 4.22 2.50 3.20 0.69 -2.31
26-Nov-08 76.36 1.26 -7.71 -4.16 -1.86 -4.13 1.26 -7.71
18-Nov-08 74.74 -6.41 -13.37 -8.68 -2.35 -1.63 -1.63 -6.41
13-Nov-08 78.25 -5.00 -6.26 -4.49 -10.61 -17.25 -17.25 -5.00
31-Oct-08 83.10 0.29 3.71 -0.66 -6.16 -3.07 0.29 -0.66
23-Oct-08 78.69 -5.07 -8.44 2.26 1.51 5.03 2.26 -5.07
16-Oct-08 80.48 -0.60 5.37 2.22 -3.34 -2.22 5.37 -0.60
1-Oct-08 99.61 -3.63 -4.93 -9.78 -13.81 -15.98 -15.98 -3.63
26-Sep-08 103.72 -7.84 -4.02 -3.96 -7.45 -8.70 -8.70 -7.84
18-Sep-08 102.46 3.96 1.61 -0.70 -0.38 1.18 3.96 -0.70
16-Sep-08 104.19 -4.50 -1.66 2.24 -0.08 -2.35 2.24 -4.50
11-Sep-08 107.10 0.46 -4.32 -2.72 -7.10 -4.33 0.46 -4.32
5-Sep-08 106.17 2.06 -0.97 -0.57 0.88 1.34 2.06 -0.97
1-Jul-08 109.55 -1.72 -1.62 -2.62 -0.89 -2.80 -2.80 -1.72
13-Mar-08 111.23 -1.56 -2.54 1.50 -1.02 0.82 1.50 -1.56
23-Jan-08 113.09 0.85 -0.61 1.03 1.54 0.79 0.85 -0.61
16-Aug-07 118.86 1.83 1.78 1.99 3.20 3.11 1.83 3.11
12-May-04 87.05 -0.43 -0.38 -1.23 -0.74 -1.07 -1.07 -0.43
10-Apr-03 67.90 -0.41 1.63 2.59 0.84 2.34 1.63 -0.41
20-Mar-03 68.12 2.13 -1.26 -0.32 -0.82 -0.73 2.13 -1.26
7-Mar-03 64.38 -2.39 -3.36 -2.70 0.65 0.98 0.65 -2.39
25-Feb-03 65.27 -1.46 -0.15 0.52 -0.44 -2.04 0.52 -1.46
6-Dec-02 70.77 -2.76 -1.46 -1.36 -1.37 -2.92 -2.92 -2.76
13-Nov-02 68.48 1.88 2.63 1.61 1.46 3.72 1.88 3.72
23-Oct-02 69.36 -2.03 0.00 -0.65 -1.80 -0.85 -0.85 -2.03
18-Oct-02 68.16 1.73 1.00 1.76 -0.31 1.76 1.73 -0.31
9-Aug-02 69.89 -0.74 -2.55 1.02 2.42 2.10 1.02 -0.74
31-Jul-02 69.79 -2.62 -4.80 -8.11 -5.02 -3.37 -3.37 -2.62
24-Jul-02 64.86 -0.86 1.03 5.95 7.34 7.60 1.03 -0.86
15-Jul-02 70.69 -1.92 -1.74 -4.92 -8.26 -10.98 -10.98 -1.92
11-Jul-02 71.09 -1.10 -0.56 -2.48 -2.29 -5.46 -5.46 -1.10
26-Jun-02 74.81 1.75 1.27 -0.71 -2.82 -2.26 1.75 -0.71
24-Jun-02 76.40 -2.24 -2.08 -0.37 -0.84 -2.77 -2.77 -2.24
30-Jan-02 85.10 1.16 0.69 -1.81 -2.42 -2.83 1.16 -1.81
25-Oct-01 83.82 -0.23 -2.82 -3.98 -4.32 -1.86 -1.86 -0.23
1-May-01 95.68 -0.18 -1.44 0.23 -0.64 -0.68 0.23 -0.18
29-Mar-01 86.97 1.05 -1.12 -4.42 -4.01 -0.38 1.05 -1.12
1-Mar-01 93.58 -0.79 0.12 1.20 1.91 2.03 0.12 -0.79
22-Feb-01 94.49 -0.68 1.44 0.51 -1.47 -0.96 1.44 -0.68
26-Oct-00 102.35 1.90 2.81 4.58 4.23 4.40 1.90 4.40
5-Jan-00 104.06 -1.61 4.10 4.46 3.21 2.18 4.10 -1.61

highlighted in the green under 1st -‘ve in 5 days column , were the prior , bit huge loss making trades for bears,

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when $SPY gains more than 1% for three consecutive days

when $SPY gains more than 1% for three consecutive days 

when $SPY gains more than 1% for 3 days in row

with $SPY gaining by more than 1% for three consecutive days , as on 17th Feb 2016 , below trading strategy rules

1) $SPY gains more than 1% for three consecutive days in row

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains more than 1% for three consecutive days in row  , since Feb 1993 ( or since $SPY inception)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 4 26.7 -0.72 -0.63 0.42 -1.14 0.36 -2.96 0.04 -2.65
t+2 15 5 33.3 -0.82 -0.36 0.78 -1.62 0.48 -3.42 0.06 -2.05
t+3 15 2 13.3 -1.28 -1.31 2.07 -1.80 1.15 -4.56 0.05 -2.80
t+4 15 4 26.7 -1.34 -1.27 2.19 -2.63 0.83 -7.88 0.13 -1.83
t+5 15 5 33.3 -1.53 -1.23 1.77 -3.18 0.56 -6.69 0.13 -1.99
t+10 15 5 33.3 -0.17 -0.90 4.06 -2.29 1.78 -8.50 0.58 -0.18
t+20 15 10 66.7 1.51 2.67 3.97 -3.41 1.16 -11.17 1.70 1.25
1st +’ve in 5 days 15 11 73.3 -0.64 0.24 0.69 -4.28 0.16 -6.69 0.24 -0.97
1st -‘ve in 5 days 15 15 100.0 1.10 -0.92 -1.10 INF INF -0.09 INF 4.68

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 110  basis points at the 1st negative close within in the next five trading days.

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

below the historical instances, and $SPY forward 1/2/3/4/5 trading day returns , when $SPY gains by more than 1% for three days in row , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
17-Feb-16 192.88 ?? ?? ?? ?? ?? ?? ??
06-Oct-11 106.67 -0.67 2.65 2.76 3.66 3.45 2.65 -0.67
01-Jun-09 82.58 0.08 -1.18 -0.25 -0.23 -0.64 0.08 -1.18
02-Jan-09 80.43 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12
08-Aug-07 125.32 -2.96 -3.42 -3.07 -4.55 -5.87 -5.87 -2.96
08-Aug-02 69.63 0.37 -0.36 -2.18 1.40 2.80 0.37 -0.36
30-Jul-02 69.62 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38
19-Apr-01 94.63 -0.92 -2.71 -3.24 -1.97 -1.54 -1.54 -0.92
27-Mar-01 89.10 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09
29-Oct-99 101.58 -1.05 -1.76 -1.09 -0.34 0.64 0.64 -1.05
17-Nov-97 68.53 -0.63 -0.13 1.38 2.08 0.23 1.38 -0.63
20-Aug-97 67.90 -1.76 -1.79 -2.16 -3.60 -3.02 -3.02 -1.76
03-Jul-97 66.32 -1.02 0.02 -1.09 -0.65 -0.31 0.02 -1.02
16-Apr-97 54.90 -0.41 0.08 -0.57 1.61 1.72 0.08 -0.41
13-Feb-97 58.17 -0.23 0.61 -0.06 -1.27 -1.23 0.61 -0.23

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when $SPY closes at a quarterly low on a monday

when $SPY closes at a quarterly low on a monday

when $SPY closes at the lowest in a quarter on a Monday

with $SPY closing at a quarterly close , as on 8 Feb 2016 , below trading strategy rule

1) $SPY closes at the lowest close in last 62 trading days (i.e : quarterly lowest close) &

2) current trading day is monday ( this monday panic buy strategy is inspired by the bullet no 4) from the article ->  22 Things a Man Should Know About Trading, from Victor Niederhoffer )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes at the lowest in a quarter on a monday , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 40 26 65.0 1.17 0.90 2.52 -1.33 1.90 -4.48 2.61 2.66
t+2% 40 27 67.5 1.38 1.47 2.82 -1.63 1.73 -6.89 2.88 2.96
t+3% 40 29 72.5 1.60 2.07 3.30 -2.87 1.15 -13.39 2.57 2.41
t+4% 40 31 77.5 1.80 1.78 3.36 -3.57 0.94 -15.49 2.87 2.47
t+5% 40 28 70.0 2.34 1.57 4.34 -2.34 1.85 -5.98 3.93 3.29
t+10% 40 31 77.5 2.63 1.29 4.72 -4.55 1.04 -9.01 3.25 2.85
t+20% 40 29 72.5 3.86 4.62 7.65 -6.15 1.24 -24.63 2.70 2.92
1st +’ve in 5 days 40 37 92.5 1.92 1.62 2.29 -2.53 0.90 -3.22 9.21 4.92
1st -‘ve in 5 days 40 24 60.0 -1.36 -0.36 -1.20 5.19 0.23 15.68 0.33 -2.07

37/40 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 192 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 forward 1/2/3/4/5 trading returns , when $SPY closes at the lowest in a quarter in a monday

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
08-Feb-16 185.42 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 187.40 -1.18 2.62 5.16 5.16 4.31 2.62 -1.18
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15 -0.52
04-Jun-12 118.57 0.76 3.02 3.08 3.90 2.58 0.76 2.58
03-Oct-11 100.67 2.19 4.08 5.97 5.26 8.78 2.19 8.78
08-Aug-11 102.27 4.65 0.03 4.52 5.22 7.45 4.65 7.45
07-Jun-10 93.77 1.07 0.53 3.47 3.97 3.81 1.07 3.81
08-Feb-10 93.74 1.26 1.06 2.12 2.03 3.64 1.26 3.64
09-Mar-09 58.93 5.96 6.65 10.85 11.72 11.38 5.96 11.38
02-Mar-09 61.08 -0.75 1.60 -2.55 -2.38 -3.53 1.60 -0.75
23-Feb-09 64.59 3.79 2.97 1.30 -0.96 -5.43 3.79 -0.96
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69 15.68
06-Oct-08 89.87 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 -4.48
29-Sep-08 95.59 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
15-Sep-08 102.47 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
14-Jul-08 104.72 -1.41 1.01 2.02 2.66 2.71 1.01 -1.41
07-Jul-08 106.68 1.78 -0.18 0.22 -0.94 -1.84 1.78 -0.18
10-Mar-08 108.14 3.59 2.63 2.85 1.26 0.23 3.59 0.23
26-Nov-07 118.46 1.15 4.38 4.42 5.47 4.77 1.15 4.77
05-Mar-07 113.94 1.71 1.61 2.47 2.50 2.65 1.71 2.65
12-Jun-06 101.39 -1.16 -0.40 1.72 0.98 0.18 1.72 -1.16
22-May-06 103.14 -0.76 0.03 1.27 1.78 -0.02 0.03 -0.76
10-Oct-05 96.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 -0.14
10-May-04 85.77 0.85 1.49 1.07 1.11 0.25 0.85 0.25
10-Mar-03 62.84 -0.98 -0.32 3.12 3.46 6.71 3.12 -0.98
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57 -1.30
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07 -2.74
01-Jul-02 74.28 -2.12 -1.57 2.35 1.07 -1.47 2.35 -2.12
03-Jun-02 79.62 0.25 1.19 -0.87 -0.99 -0.60 0.25 -0.87
06-May-02 80.46 -0.35 3.36 2.16 0.24 2.28 3.36 -0.35
29-Apr-02 81.52 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
04-Feb-02 83.56 -0.62 -1.05 -1.67 0.22 1.45 0.22 -0.62
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
12-Mar-01 88.69 1.64 -0.36 -0.34 -2.34 -0.35 1.64 -0.36
09-Oct-00 104.83 -1.65 -2.48 -4.91 -1.74 -1.29 -1.29 -1.65
31-Aug-98 70.11 4.23 3.48 2.67 1.82 7.29 4.23 7.29
15-Jun-98 78.28 1.54 3.66 3.20 2.68 3.18 1.54 3.18
27-Oct-97 63.04 5.77 5.48 3.15 5.59 7.81 5.77 7.81
15-Jul-96 44.34 0.25 1.45 2.84 2.09 1.35 0.25 1.35
04-Apr-94 29.47 2.06 2.06 2.56 1.78 2.21 2.06 2.21

highlighted in the red were the loss making trades !!

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When $SPY posts a best one day gain in a quarter

When $SPY posts a best one day gain in a quarter 

when $SPY posts , best one day gain in a quarter , since 2011

with $SPY posting a gain of 2.44% on 29th Jan 2016 , which is the best one day gain in percentages in a quarter ( about 62 trading days ) , below trading strategy 

1) $SPY posts best one day gain in a quarter 

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since 2011 ( i.e last 5 years ) , when $SPY posts best one day in a quarter ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 21 6 28.6 -0.47 -0.23 0.70 -0.94 0.74 -4.42 0.13
t+2 21 12 57.1 -0.06 0.14 0.73 -1.12 0.66 -3.10 0.57
t+3 21 12 57.1 -0.11 0.47 0.91 -1.48 0.62 -4.69 0.61
t+4 21 10 47.6 -0.09 -0.35 1.12 -1.19 0.94 -4.55 0.60
t+5 21 14 66.7 -0.14 0.12 0.97 -2.37 0.41 -5.19 0.64
t+10 20 8 40.0 -0.92 -1.14 2.47 -3.17 0.78 -10.01 0.38
t+20 20 12 60.0 0.60 2.15 3.21 -3.33 0.96 -9.90 1.11
1st +’ve in 5 days 21 18 85.7 -0.06 0.25 0.57 -3.84 0.15 -5.19 0.57
1st -‘ve in 5 days 21 18 85.7 0.54 -0.60 -0.91 1.68 0.54 2.39 2.28

18/21 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 54 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 posting best one day gain in a quarter and next 1/2/3/4/5 trading day returns , since 2011

Date $SPY t% t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
29-Jan-16 193.72 2.44 ?? ?? ?? ?? ?? ?? ??
22-Jan-16 190.52 2.05 -1.51 -0.17 -1.25 -0.74 1.68 1.68 -1.51
4-Dec-15 208.38 1.95 -0.61 -1.27 -2.04 -1.79 -3.69 -3.69 -0.61
26-Aug-15 192.31 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38
10-Aug-15 208.24 1.26 -0.91 -0.78 -0.91 -0.55 0.01 0.01 -0.91
18-Dec-14 201.49 2.47 0.43 0.89 1.02 1.03 1.36 0.43 1.36
21-Oct-14 189.10 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71
8-Oct-14 191.61 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98
8-Aug-14 187.42 1.16 0.29 0.15 0.83 1.30 1.28 0.29 1.28
18-Jul-14 191.75 1.02 -0.19 0.25 0.47 0.48 0.01 0.25 -0.19
10-Oct-13 161.70 2.16 0.64 1.05 0.31 1.71 2.39 0.64 2.39
13-Jun-13 155.37 1.52 -0.63 0.14 0.93 -0.46 -2.93 0.14 -0.63
16-Apr-13 148.94 1.48 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
2-Jan-13 137.59 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23
29-Jun-12 126.62 2.49 0.30 0.96 0.51 -0.45 -0.57 0.30 -0.45
6-Jun-12 122.15 2.25 0.06 0.86 -0.42 0.72 0.08 0.06 -0.42
30-Nov-11 114.46 4.11 -0.02 -0.10 0.98 1.02 1.39 0.98 -0.02
9-Aug-11 107.03 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42
19-Jul-11 120.92 1.62 -0.06 1.33 1.39 0.83 0.45 1.33 -0.06
1-Jul-11 122.00 1.48 -0.08 0.04 1.08 0.36 -1.46 0.04 -0.08
21-Jun-11 117.93 1.37 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
3-Mar-11 120.47 1.72 -0.75 -1.53 -0.67 -0.81 -2.64 -2.64 -0.75

highlighted in the green were the loss making trades, for someone who shorted based on the above pattern  !!

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when $SPY rises from the lows of the day by more than 250 bps

when $SPY rises from the lows of the day by more than 250 bps

paststat single click backtesting engine

with $SPY rising by 2.56% from the lows of the day to close , as on 20 Jan 2016 , below

trading strategy rules

1) $SPY closes above the low of the day by more than 2.5%

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since last 2010 , when $SPY rises by more than 2.5% from the lows of the day to the close .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 13 56.5 -0.10 0.26 1.25 -1.87 0.67 -6.51 0.77 -0.24
t+2 23 15 65.2 0.94 1.08 2.02 -1.08 1.88 -3.18 3.60 2.53
t+3 23 18 78.3 1.21 1.78 2.28 -2.63 0.86 -6.49 2.98 2.28
t+4 23 17 73.9 1.80 2.52 3.19 -2.14 1.49 -3.36 3.64 3.24
t+5 23 17 73.9 1.28 1.80 2.74 -2.84 0.96 -5.43 2.59 2.05
t+10 23 12 52.2 0.78 0.71 3.66 -2.36 1.55 -6.20 1.62 1.03
t+20 23 15 65.2 2.16 1.79 4.57 -2.38 1.93 -6.00 3.41 2.44
1st +’ve in 5 days 23 22 95.7 1.33 1.13 1.46 -1.63 0.90 -1.63 19.21 5.93
1st -‘ve in 5 days 23 17 73.9 0.22 -0.67 -1.60 3.69 0.43 6.55 0.93 0.36

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 133 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 2.5% from the lows of the day to the close , and next 1/2/3/4/5 trading day returns

Date $SPY Cls/Low(%) t+1% t+2% t+3% t+4% t+5% 1st +’ve  in 5 days %
20-Jan-16 185.65 2.56 ?? ?? ?? ?? ?? ??
02-Oct-15 193.85 3.11 1.78 1.43 2.26 3.18 3.25 1.78
26-Aug-15 192.31 3.23 2.47 2.48 1.65 -1.38 0.49 2.47
24-Aug-15 187.4 3.89 -1.18 2.62 5.16 5.16 4.31 2.62
20-Dec-11 114.21 2.96 0.19 1.08 1.98 2.07 0.73 0.19
30-Nov-11 114.46 4.16 -0.02 -0.10 0.98 1.02 1.39 0.98
18-Oct-11 112.25 2.84 -1.18 -0.75 1.13 2.37 0.38 1.13
06-Oct-11 106.67 2.63 -0.67 2.65 2.76 3.66 3.45 2.65
05-Oct-11 104.78 2.55 1.81 1.13 4.51 4.61 5.53 1.81
04-Oct-11 102.87 4.57 1.85 3.69 3.00 6.44 6.55 1.85
26-Sep-11 106.45 2.89 1.12 -0.95 -0.16 -2.66 -5.43 1.12
29-Aug-11 110.56 2.80 0.26 0.71 -0.35 -2.89 -3.60 0.26
26-Aug-11 107.47 3.62 2.87 3.14 3.60 2.52 -0.10 2.87
23-Aug-11 106.08 3.43 1.41 -0.14 1.31 4.23 4.50 1.41
11-Aug-11 106.89 4.46 0.67 2.80 1.93 1.99 -2.40 0.67
09-Aug-11 107.03 6.54 -4.42 -0.13 0.54 2.67 1.80 0.54
05-Aug-11 109.4 2.76 -6.51 -2.17 -6.49 -2.29 -1.63 -1.63
20-Jul-10 96.88 2.51 -1.30 0.90 1.78 2.84 2.83 0.90
07-Jul-10 94.77 3.00 0.99 1.74 1.81 3.35 3.34 0.99
10-Jun-10 97.02 2.93 0.49 0.33 2.61 2.57 2.74 0.49
02-Jun-10 98.07 2.62 0.34 -3.18 -4.39 -3.36 -3.88 0.34
25-May-10 95.84 3.30 -0.60 2.73 1.44 -0.27 2.33 2.73
21-May-10 96.99 3.56 -1.28 -1.18 -1.78 1.51 0.24 1.51
06-May-10 100.39 7.56 -1.49 2.85 2.56 3.99 2.70 2.85

highlighted in the red were the loss making trades !! 

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check out the new look of the paststat