$SPY post Oct Opex since Y2K

$SPY post Oct Opex since Y2K

odds for $SPY longs , since Y2K , from Oct Opex

below the trading odds for $SPY longs from the close of October Opex day for the next 1/2/3/4/5 trading days , since Y2K

odds for $SPY longs , since Y2K , from Oct Opex
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 18 17 94.4 0.97 0.54 1.05 -0.39 2.70 -0.39 12.03
t+2 18 11 61.1 0.52 0.43 1.21 -0.56 2.16 -1.37 2.02
t+3 18 9 50.0 -0.08 0.00 1.01 -1.16 0.87 -2.76 0.53
t+4 18 9 50.0 0.43 0.17 1.69 -0.83 2.03 -2.30 1.53
t+5 18 11 61.1 0.52 0.67 1.92 -1.67 1.15 -6.62 1.77
1st +’ve exit in 5 days % 18 18 100.0 1.01 0.54 1.01 INF INF NA NA

18/18 times $SPY closed higher atleast once over next 5 trading days for an average of 101 bps and for a median of 54 bps

below the $SPY returns from october opex close , for the next 1/2/3/4/5 trading days , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
18-Oct-18 ~278.5 ?? ?? ?? ?? ?? ?? ??
20-Oct-17 252.11 -0.39 -0.21 -0.71 -0.58 0.23 0.23 5
21-Oct-16 205.89 0.43 0.09 -0.11 -0.38 -0.67 0.43 1
16-Oct-15 191.11 0.05 -0.08 -0.70 0.98 2.09 0.05 1
17-Oct-14 174.01 0.97 2.97 2.24 3.43 4.22 0.97 1
18-Oct-13 157.50 0.01 0.58 0.10 0.44 0.89 0.01 1
19-Oct-12 129.02 0.01 -1.37 -1.65 -1.37 -1.42 0.01 1
21-Oct-11 106.83 1.23 -0.74 0.27 3.76 3.73 1.23 1
15-Oct-10 100.66 0.49 -0.82 0.14 0.37 0.55 0.49 1
16-Oct-09 90.80 0.83 0.29 -0.61 0.40 -0.74 0.83 1
17-Oct-08 74.82 6.01 2.84 -2.76 -1.63 -6.62 6.01 1
19-Oct-07 121.97 0.58 1.40 1.21 1.45 2.64 0.58 1
20-Oct-06 107.02 0.46 0.76 1.10 1.42 0.78 0.46 1
21-Oct-05 90.85 1.55 1.35 1.05 -0.03 1.41 1.55 1
15-Oct-04 83.59 0.38 -0.47 -0.67 -0.02 -1.14 0.38 1
17-Oct-03 78.15 0.75 0.58 -0.69 -0.87 -0.65 0.75 1
18-Oct-02 63.90 1.73 0.99 1.76 -0.32 1.76 1.73 1
19-Oct-01 76.90 1.97 1.45 1.18 3.00 2.77 1.97 1
20-Oct-00 98.22 0.45 -0.22 -2.57 -2.30 -0.45 0.45 1

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50% off on paststat pro acess

$SPX from Sep – Mar , during 2nd year of presidential cycle , since 1950

$SPX from Sep – Mar , during 2nd year of presidential cycle , since 1950

$SPX from Sep - Mar , during 2nd presidential cycle , since 1950

below $SPX returns from Sep end to Mar end during the 2nd year of presidential cycle , since 1950

Month Close Month May % Gains %
Sep-2018 2913.98 Mar-2019 ?? ??
Sep-2014 1972.29 Mar-2015 2067.89 4.85
Sep-2010 1141.20 Mar-2011 1325.83 16.18
Sep-2006 1335.85 Mar-2007 1420.86 6.36
Sep-2002 815.28 Mar-2003 848.18 4.04
Sep-1998 1017.01 Mar-1999 1286.37 26.49
Sep-1994 462.71 Mar-1995 500.71 8.21
Sep-1990 306.05 Mar-1991 375.22 22.60
Sep-1986 231.32 Mar-1987 291.70 26.10
Sep-1982 120.42 Mar-1983 152.96 27.02
Sep-1978 102.54 Mar-1979 101.59 -0.93
Sep-1974 63.54 Mar-1975 83.36 31.19
Sep-1970 84.30 Mar-1971 100.31 18.99
Sep-1966 76.56 Mar-1967 90.20 17.82
Sep-1962 56.27 Mar-1963 66.57 18.30
Sep-1958 50.06 Mar-1959 55.44 10.75
Sep-1954 32.31 Mar-1955 36.58 13.22
Sep-1950 19.45 Mar-1951 21.40 10.03

 

$SPX ix up 16/17 times from sep to mar , in the 2nd year of presidential cycle , since 1950 , for an average of 15.37% , and median of 16.18% vs , the returns for an average of 4.35% for any six months period

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a very bullish $SPX Q4 pattern with 15/15 wins since 1950

$SPX Q4 pattern with 15/15 wins

$SPX in Q4 , when all months in Q2 are up

 

trading strategy rules

1) $SPX is up for every month in the quarter ( that is $SPX is up in Apr , May & June)

below the returns for $SPX in Q4 , since 1950

Date Close Apr % May % Jun % Q4%
Sep-2018 2913.98 0.27 2.16 0.48 ??
Sep-2017 2519.36 0.91 1.16 0.48 6.12
Sep-2016 2168.27 0.27 1.53 0.09 3.25
Sep-2014 1972.29 0.62 2.10 1.91 4.39
Sep-2009 1057.08 9.39 5.31 0.02 5.49
Sep-2003 995.97 8.10 5.09 1.13 11.64
Sep-1997 947.28 5.84 5.86 4.35 2.44
Sep-1996 687.33 1.34 2.29 0.23 7.77
Sep-1995 584.41 2.80 3.63 2.13 5.39
Sep-1988 271.91 0.94 0.32 4.33 2.14
Sep-1980 125.46 4.11 4.66 2.70 8.21
Sep-1975 83.87 4.73 4.41 4.43 7.54
Sep-1968 102.67 8.05 1.25 0.91 1.16
Sep-1964 84.18 0.61 1.15 1.64 0.68
Sep-1958 50.06 3.18 1.50 2.61 10.29
Sep-1954 32.31 4.90 3.29 0.07 11.36
avg 5.86
med 5.49
wins % 100.00

$SPX is up 15/15 times in the Q4 , for an average gains of 5.86% , since 1950 , when all months in the Q2 are up

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a $SPY quarter end re-balancing pattern as on 25 Sep 2018

$SPY quarter end re-balancing pattern

Re-balancing

below the $SPY quarter ending re-balancing pattern trading strategy rules

1) current trading day is last but 3rd trading of the quarter ( 25 Sep 2018 close for the current quarter )

2) $SPY is up for the quarter as on  current trading day’s close ( as on 24 Sep 2018 , $SPY is currently up by 4.03% for the quarter )

below the $SPY forward returns for the next 1/2/3/4/5 trading days , since Y2K , when $SPY is up for the quarter , as on last but 3rd trading day of the quarter

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 46 31 67.4 0.20 0.15 0.56 -0.49 1.14 -2.25 1.93
t+2 47 31 66.0 0.25 0.28 0.71 -0.64 1.11 -2.12 1.74
t+3 47 26 55.3 0.05 0.07 0.65 -0.69 0.94 -2.69 1.10
t+4 47 35 74.5 0.49 0.36 0.93 -0.81 1.15 -1.44 2.76
t+5 47 35 74.5 0.56 0.60 1.17 -1.22 0.97 -3.22 2.36
1st +’ve exit in 5 days % 47 46 97.9 0.50 0.48 0.54 -1.22 0.45 -1.22 11.22

46/47 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 50 bps and a median gains of 48 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 forward 1/2/3/4/5 trading returns , when $SPY is up for the quarter , as on last but , 3rd trading day of the quarter , since Y2K

Date Close QTD % t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
25-Sep-18 ?? ~4.03 ?? ?? ?? ?? ?? ?? ??
26-Jun-18 270.38 2.35 -0.83 -0.26 -0.12 0.10 -0.26 0.10 4
26-Dec-17 263.74 4.59 0.05 0.25 -0.12 0.59 1.23 0.05 1
26-Sep-17 244.63 1.38 0.39 0.51 0.86 1.30 1.52 0.39 1
27-Jun-17 235.85 1.64 0.90 0.01 0.19 0.36 0.60 0.90 1
28-Mar-17 228.86 3.87 0.09 0.41 0.18 0.00 0.07 0.09 1
27-Dec-16 219.10 7.09 -0.83 -0.85 -1.21 -0.46 0.14 0.14 5
28-Mar-16 193.65 8.02 0.93 1.37 1.12 1.81 1.48 0.93 1
25-Jun-15 196.69 0.15 -0.02 -2.12 -1.91 -1.12 -1.22 -1.22 5
26-Mar-15 191.46 2.07 0.23 1.45 0.57 0.21 0.57 0.23 1
26-Dec-14 193.56 5.12 0.13 -0.40 -1.39 -1.44 -3.22 0.13 1
25-Sep-14 181.32 0.14 0.79 0.61 0.35 -1.01 -1.00 0.79 1
25-Jun-14 179.78 4.67 -0.07 0.12 0.07 0.74 0.84 0.12 2
26-Mar-14 169.22 3.66 -0.21 0.28 1.10 1.77 2.11 0.28 2
26-Dec-13 167.46 4.86 -0.01 -0.02 0.45 -0.51 -0.53 0.45 3
25-Sep-13 153.14 0.76 0.38 -0.08 -0.61 0.18 0.08 0.38 1
25-Jun-13 142.95 0.07 0.99 1.58 1.17 1.76 1.66 0.99 1
25-Mar-13 138.95 3.71 0.80 0.80 1.11 0.71 1.21 0.80 1
26-Dec-12 126.55 1.00 -0.13 -1.21 0.47 3.04 2.81 0.47 3
25-Sep-12 127.74 4.46 -0.56 0.37 -0.09 0.17 0.28 0.37 2
27-Mar-12 123.84 7.93 -0.50 -0.67 -0.26 0.47 0.06 0.47 4
28-Mar-11 112.54 3.00 0.67 1.37 1.23 1.66 1.74 0.67 1
28-Dec-10 107.65 6.83 0.07 -0.09 -0.06 0.97 0.91 0.07 1
27-Sep-10 97.25 4.16 0.35 0.18 -0.12 0.30 -0.46 0.35 1
26-Mar-10 98.22 7.82 0.63 0.70 0.36 1.05 1.87 0.63 1
28-Dec-09 94.58 6.26 -0.14 -0.18 -1.14 0.54 0.81 0.54 4
25-Sep-09 87.17 6.36 1.79 1.48 1.09 -1.42 -1.88 1.79 1
25-Jun-09 76.48 5.96 -0.26 0.67 -0.14 0.27 -2.47 0.67 2
25-Sep-07 120.61 3.21 0.53 1.12 0.79 1.92 1.78 0.53 1
27-Mar-07 112.80 0.45 -0.73 -0.62 -0.60 -0.49 0.58 0.58 5
26-Dec-06 111.34 3.31 0.66 0.44 0.03 -0.15 0.06 0.66 1
26-Sep-06 104.47 4.83 0.12 0.08 0.00 -0.37 -0.16 0.12 1
28-Mar-06 100.17 1.01 0.63 0.45 0.47 0.39 1.04 0.63 1
27-Dec-05 96.88 5.29 0.22 -0.22 -0.77 0.98 1.46 0.22 1
27-Jun-05 91.13 4.75 0.84 0.57 0.03 0.32 1.12 0.84 1
28-Mar-05 89.36 0.29 -0.66 0.74 0.55 0.10 0.27 0.74 2
28-Dec-04 91.95 7.86 0.15 -0.04 -0.26 -0.73 -1.94 0.15 1
27-Sep-04 83.39 0.58 0.48 0.98 0.91 2.62 2.79 0.48 1
25-Jun-04 85.36 2.17 -0.34 0.07 0.61 -0.79 -0.84 0.07 2
26-Dec-03 81.67 4.57 1.33 1.35 1.44 1.39 2.50 1.33 1
25-Sep-03 74.30 1.52 -0.33 0.65 -0.33 1.79 2.16 0.65 2
25-Jun-03 71.99 6.27 1.30 0.13 0.10 1.03 2.30 1.30 1
26-Mar-03 64.04 3.55 0.08 -0.42 -2.69 -1.19 1.19 0.08 1
26-Dec-02 65.48 0.44 -2.25 -1.43 -1.30 1.88 2.19 1.88 4
25-Mar-02 82.16 1.84 0.58 0.84 0.80 0.84 0.29 0.58 1
26-Dec-01 83.19 9.04 0.61 0.55 -0.92 0.15 1.28 0.61 1
26-Sep-00 101.08 0.48 0.53 1.82 0.86 1.01 0.07 0.53 1
28-Mar-00 106.69 11.46 0.10 -1.57 -0.46 0.12 -0.62 0.10 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days

Correction , and thanks for @realtraderdave pointing out that $SPY is up for 7.76 for the quarter 

https://twitter.com/realtraderdave/status/1044749919507140608

below the modified trading odds for the next 1/2/3/4/5/ trading days ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 48 32 66.7 0.18 0.15 0.63 -0.66 0.96 -2.72 1.75
t+2 49 32 65.3 0.20 0.28 0.70 -0.74 0.96 -3.25 1.51
t+3 49 26 53.1 0.06 0.03 0.73 -0.70 1.04 -2.91 1.03
t+4 49 36 73.5 0.42 0.36 0.94 -1.01 0.93 -2.60 1.95
t+5 49 33 67.3 0.43 0.60 1.29 -1.34 0.97 -4.27 1.65
1st +’ve exit in 5 days % 49 47 95.9 0.46 0.50 0.59 -2.74 0.22 -4.27 4.53

the other loss that was not mentioned was from , 25 jun 2008 , lost 4.27% at the end of fifth day

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$SPY on last but 4 trading day on quarter ending since 2015

$SPY on last but 4 trading day of the Qtr

$SPY on last 4th trading day of the quarter since 2015

this might be a phenomenon of recent regime , here is $SPY perfromance on the last , but 4th trading day of the quarter , since 2015

$SPY on last 4th trading day of the quarter since 2015
Date $SPY Date Close t%
21-Sep-18 290.88 24-Sep-18 ?? ??
22-Jun-18 274.74 25-Jun-18 271.00 -1.36
22-Mar-18 262.49 23-Mar-18 256.89 -2.13
21-Dec-17 265.32 22-Dec-17 265.25 -0.03
22-Sep-17 246.09 25-Sep-17 245.58 -0.20
23-Jun-17 238.68 26-Jun-17 238.84 0.07
24-Mar-17 228.46 27-Mar-17 228.23 -0.10
22-Dec-16 219.22 23-Dec-16 219.55 0.15
23-Sep-16 208.86 26-Sep-16 207.17 -0.81
23-Jun-16 202.82 24-Jun-16 195.54 -3.59
23-Mar-16 194.49 24-Mar-16 194.41 -0.04
23-Dec-15 196.17 24-Dec-15 195.85 -0.17
23-Sep-15 183.24 24-Sep-15 182.57 -0.36
23-Jun-15 199.64 24-Jun-15 198.19 -0.73
24-Mar-15 195.65 25-Mar-15 192.78 -1.47
n 14
% wins 14
avg -0.77
med -0.28

12/14 times closed down for an average loss of 77 bps 

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$SPY and rule #34

$SPY and rule #34

rule #34

 

ps: DO NOT search for images or anything on internet with “rule 34″ , it is NSFW !

below the trading strategy rules ,

  • current trading day is 34th for the year

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 24 3 12.5 -0.72 -0.46 0.67 -0.91 0.73 -3.58 0.05
t+2 24 10 41.7 -0.35 -0.26 0.40 -0.89 0.45 -2.61 0.23
t+3 24 13 54.2 -0.20 0.12 0.60 -1.14 0.52 -2.74 0.44
t+4 24 14 58.3 -0.32 0.07 0.69 -1.73 0.40 -4.44 0.40
t+5 24 13 54.2 -0.33 0.05 0.63 -1.47 0.43 -4.51 0.44
1st +’ve exit in 5 days % 24 20 83.3 0.03 0.38 0.48 -2.22 0.21 -3.46 0.86
1st -‘ve exit in 5 days % 24 24 100.0 0.85 -0.60 -0.85 INF INF INF

24/24 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 85 bps and a median of 60 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 20th Feb 2018 close ) , or at the end of the 5th trading day at close

below the historical returns of $SPY from 34th trading day of the year , sine 1994

Date Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % #days to 1st -‘ve cls
20-Feb-18 271.40 ?? ?? ?? ?? ?? ?? ??
21-Feb-17 231.99 -0.09 -0.02 0.11 0.26 -0.01 -0.09 1
22-Feb-16 187.05 -1.26 -0.81 0.39 0.16 -0.63 -1.26 1
20-Feb-15 198.72 -0.01 0.27 0.18 0.07 -0.27 -0.01 1
20-Feb-14 169.87 -0.11 0.44 0.40 0.41 0.93 -0.11 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 -0.61 1
21-Feb-12 120.75 -0.32 0.12 0.34 0.51 0.80 -0.32 1
18-Feb-11 116.60 -2.01 -2.61 -2.68 -1.64 -1.03 -2.01 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 -1.21 1
20-Feb-09 64.31 -3.58 0.08 -0.71 -2.32 -4.51 -3.58 1
20-Feb-08 110.28 -0.83 -0.22 1.04 1.80 1.69 -0.83 1
21-Feb-07 116.30 -0.08 -0.47 -0.55 -4.44 -3.46 -0.08 1
21-Feb-06 100.51 0.61 0.46 0.72 0.75 -0.20 -0.20 5
18-Feb-05 92.54 -1.49 -0.78 -0.12 0.86 0.20 -1.49 1
20-Feb-04 86.64 -0.25 -0.43 -0.01 0.05 0.12 -0.25 1
20-Feb-03 62.58 1.01 -0.63 0.17 -1.29 0.01 -0.63 2
20-Feb-02 80.80 -2.07 -0.86 0.78 0.57 0.96 -2.07 1
20-Feb-01 92.61 -2.16 -2.01 -2.67 -0.60 -1.52 -2.16 1
18-Feb-00 96.57 -0.25 0.92 -1.11 -1.47 0.60 -0.25 1
22-Feb-99 90.07 -0.05 -1.81 -2.74 -3.14 -2.87 -0.05 1
20-Feb-98 72.26 0.39 -0.39 0.84 1.42 1.42 -0.39 2
19-Feb-97 55.83 -1.21 -1.17 0.00 0.08 -0.90 -1.21 1
16-Feb-96 43.71 -0.99 0.24 1.83 1.54 0.10 -0.99 1
17-Feb-95 31.88 -0.03 0.71 0.87 1.13 0.32 -0.03 1
17-Feb-94 30.22 -0.60 0.40 0.13 -1.19 -0.73 -0.60 1

 

—–

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happy #ValentinesDay folks !

happy #ValentinesDay folks !

the wink that floored the nation
the wink that floored India

that’s the internet storm back home at India , anyway

below the trading strategy rules

  • today is valentines day ( i’e 14th Feb )

below the odds for $SPY longs from the close of 14th Feb ( if market is open for trading ) , for the next 1/23/4/5 trading days , since $SPY IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 17 11 64.7 0.28 0.35 0.66 -0.43 1.54 -1.04 2.24
t+2 17 12 70.6 0.00 0.31 0.52 -1.23 0.42 -2.94 0.92
t+3 17 9 52.9 -0.30 0.03 0.45 -1.14 0.40 -2.78 0.52
t+4 17 6 35.3 -0.62 -0.24 0.84 -1.42 0.59 -4.88 0.27
t+5 17 10 58.8 -0.46 0.18 0.59 -1.96 0.30 -4.73 0.31
1st +’ve exit in 5 days % 17 16 94.1 0.46 0.53 0.62 -2.16 0.29 -2.16 4.32

16/17 times , since IPO , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 46 bps and a median gains of 53 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 $SPY returns over the next 1/2/34/5 trading days , from valentines day , since IPO

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Feb-18 ~267 ?? ?? ?? ?? ?? ?? ??
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
14-Feb-13 137.74 -0.12 0.63 -0.62 -1.23 -0.26 0.63 2
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
14-Feb-11 115.65 -0.31 0.31 0.61 0.82 -1.20 0.31 2
14-Feb-08 109.67 -0.02 0.26 0.55 -0.28 0.33 0.26 2
14-Feb-07 116.01 0.13 0.08 0.30 0.25 0.18 0.13 1
14-Feb-06 99.93 0.35 1.10 0.83 0.58 1.19 0.35 1
14-Feb-05 92.77 0.37 0.44 -0.37 -0.24 -1.72 0.37 1
14-Feb-03 62.45 1.76 1.22 0.21 1.22 -0.42 1.76 1
14-Feb-02 81.87 -1.04 -2.94 -1.31 -3.36 -2.16 -2.16 5
14-Feb-01 95.26 0.97 -1.26 -2.78 -4.88 -4.73 0.97 1
14-Feb-00 99.56 1.13 -0.36 -0.87 -3.00 -3.25 1.13 1
14-Feb-97 55.73 0.85 0.17 -1.04 -1.00 0.17 0.85 1
14-Feb-96 44.16 -0.62 -1.02 -2.00 -0.79 0.79 0.79 5
14-Feb-95 31.87 0.55 0.42 0.03 0.00 0.74 0.55 1
14-Feb-94 30.26 0.53 0.46 -0.13 -0.73 0.26 0.53 1

 

highlighted in red ( in 2002 , when it last 216 bps at the end of 5th day) where $SPY was not able to close higher over next five days ,

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$SPY post june opex – very bearish since Y2K

$SPY post june opex – very bearish

$SPY post June Opex , since Y2K

trading strategy rules

 1) current day is june opex 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% 17 7 41.2 -0.22 -0.10 0.53 -0.75 0.70 -3.00 0.50 -0.99
t+2% 17 8 47.1 -0.20 -0.05 0.73 -1.03 0.71 -2.92 0.68 -0.71
t+3% 17 10 58.8 -0.16 0.17 0.67 -1.34 0.50 -2.24 0.75 -0.57
t+4% 17 7 41.2 -0.29 -0.26 0.97 -1.18 0.82 -3.86 0.40 -0.85
t+5% 17 3 17.6 -0.89 -0.47 0.62 -1.21 0.51 -3.45 0.05 -3.05
t+10% 17 8 47.1 -0.44 -0.66 2.05 -2.66 0.77 -8.53 0.58 -0.59
t+20% 17 10 58.8 -0.38 0.82 2.50 -4.50 0.56 -17.20 0.94 -0.31
1st -‘ve cls in 5 days 17 17 100.0 0.84 -0.66 -0.84 INF INF -0.03 INF 4.55

17/17 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 84 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 16th Jun 2017 close ) , or at the end of the 5th trading day at close

 

below the returns of $SPY from june opex day close , 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
16-Jun-17 242.64 ?? ?? ?? ?? ?? ?? ??
17-Jun-16 202.41 0.64 0.93 0.77 2.08 -1.59 -1.59 5
19-Jun-15 202.23 0.51 0.58 -0.15 -0.45 -0.47 -0.15 3
20-Jun-14 184.34 -0.03 -0.63 -0.18 -0.26 -0.06 -0.03 1
21-Jun-13 146.77 -1.26 -0.31 0.67 1.26 0.85 -1.26 1
15-Jun-12 121.06 0.19 1.16 1.00 -1.27 -0.51 -1.27 4
17-Jun-11 112.27 0.51 1.89 1.28 0.98 -0.19 -0.19 5
18-Jun-10 96.79 -0.29 -1.93 -2.24 -3.86 -3.45 -0.29 1
19-Jun-09 78.24 -3.00 -2.92 -2.09 0.04 -0.22 -3.00 1
20-Jun-08 108.91 -0.10 -0.30 0.17 -2.55 -3.08 -0.10 1
15-Jun-07 124.19 -0.12 0.13 -1.26 -0.71 -1.65 -0.12 1
16-Jun-06 99.31 -0.79 -0.45 0.29 -0.15 -0.17 -0.79 1
17-Jun-05 94.97 0.03 0.09 0.17 -1.24 -1.96 -1.24 4
18-Jun-04 87.18 -0.38 0.12 0.99 0.67 0.18 -0.38 1
20-Jun-03 75.11 -1.03 -0.93 -1.92 -0.64 -1.79 -1.03 1
21-Jun-02 73.72 0.52 -1.73 -1.57 0.15 -0.32 -1.73 2
15-Jun-01 89.27 -0.48 -0.05 0.48 1.62 0.82 -0.48 1
16-Jun-00 106.21 1.28 0.92 0.87 -0.66 -1.51 -0.66 4

will it be a straight 19th winner ? ( this streak started from 18th Jun 1999 #FYI)

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$QQQ trade-idea with 51/55 wins since 2007

$QQQ trade-idea with 51/55 wins

$QQQ when down on 11th trading day , since 2007

with $QQQ underwater ( by about ~80 bps) ,after the trade idea presented  yesterday , we looked at the logical extension of that trade , and , below are the trading strategy rules

1) current trading day is 11th trading day of the month
2) and $QQQ is down for the day

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2007 ( last 10 years reference period)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 55 34 61.8 0.47 0.30 1.25 -0.78 1.60 -2.41 1.84 2.33
t+2% 55 31 56.4 0.38 0.30 1.45 -1.00 1.45 -5.32 1.77 1.62
t+3% 55 39 70.9 0.66 0.76 1.74 -1.99 0.88 -9.90 2.42 1.96
t+4% 55 41 74.5 1.00 0.93 2.01 -1.97 1.02 -5.99 3.78 3.11
t+5% 55 40 72.7 1.41 1.27 2.43 -1.31 1.86 -3.32 5.03 4.27
t+10% 55 38 69.1 1.63 1.66 3.25 -1.99 1.63 -8.90 3.56 3.65
t+20% 55 37 67.3 1.53 1.77 4.43 -4.43 1.00 -12.62 1.98 2.17
1st +’ve in 5 days 55 51 92.7 0.88 0.65 1.06 -1.40 0.76 -2.48 9.59 4.90

51/55 times , since 2007, $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 88 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 11th trading day it closed down , since 2007

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
15-Jun-17 ~138.81 ?? ?? ?? ?? ?? ?? ??
18-Apr-17 131.28 0.16 1.00 0.98 2.19 2.93 0.16 1
17-Oct-16 116.23 0.89 0.88 0.76 1.14 2.35 0.89 1
16-Sep-16 116.70 -0.43 -0.25 0.73 1.53 0.89 0.73 3
15-Jun-16 106.63 0.30 -0.88 -0.25 0.06 -0.18 0.30 1
15-Apr-16 109.52 0.53 -0.08 0.00 0.01 -1.50 0.53 1
15-Mar-16 105.24 0.89 0.83 0.99 1.39 1.70 0.89 1
15-Jun-15 105.97 0.55 0.82 2.29 1.79 2.54 0.55 1
16-Apr-15 105.46 -1.56 -0.08 0.34 0.89 1.27 0.34 3
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
17-Nov-14 100.17 0.75 0.29 0.74 0.93 1.72 0.75 1
15-Oct-14 89.91 -0.63 0.68 2.19 4.87 4.33 0.68 2
15-May-14 84.39 0.65 1.35 0.99 1.95 2.40 0.65 1
15-Oct-13 76.24 1.13 1.71 3.36 3.59 3.74 1.13 1
15-Aug-13 72.22 -0.04 -0.21 0.23 -0.12 0.86 0.23 3
16-Jul-13 72.08 0.25 0.00 -1.03 -0.74 -1.47 0.25 1
15-Apr-13 65.36 1.33 -0.66 -2.03 -0.69 0.34 1.33 1
15-Mar-13 65.31 -0.22 -0.41 0.29 -0.85 0.12 0.29 3
15-Feb-13 64.44 0.72 -0.83 -1.89 -0.90 -2.13 0.72 1
15-Nov-12 58.67 0.44 2.82 2.85 3.06 4.63 0.44 1
15-May-12 59.63 -0.68 -2.78 -4.04 -1.36 -1.47 -1.47 5
15-Feb-12 58.97 1.37 1.05 1.34 0.88 1.55 1.37 1
15-Dec-11 51.23 0.51 -0.47 2.48 1.01 1.87 0.51 1
17-Oct-11 53.61 1.24 -0.72 -1.20 0.03 2.11 1.24 1
18-Jul-11 53.75 2.28 1.84 2.52 3.58 3.37 2.28 1
15-Jun-11 50.60 -0.39 -0.70 -0.18 1.96 1.22 1.96 4
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
15-Apr-11 52.80 -0.71 -0.09 2.17 2.98 3.25 2.17 3
15-Mar-11 51.65 -2.41 -1.51 -1.74 0.16 -0.02 0.16 4
15-Feb-11 54.45 0.65 0.62 0.39 -2.51 -3.32 0.65 1
15-Dec-10 50.31 0.78 0.86 0.94 1.55 1.53 0.78 1
15-Nov-10 48.59 -1.64 -1.36 0.23 0.31 1.15 0.23 3
16-Jul-10 41.09 0.86 2.07 0.68 3.23 3.88 0.86 1
16-Apr-10 45.72 -0.06 0.44 1.01 1.57 2.00 0.44 2
15-Mar-10 43.56 0.64 0.91 1.25 0.64 1.55 0.64 1
15-Dec-09 40.78 0.14 -1.08 0.53 1.66 2.27 0.14 1
15-Oct-09 39.64 -0.65 0.35 0.37 0.19 0.58 0.35 2
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
15-Jun-09 32.98 -0.97 -0.03 -0.22 0.85 -2.16 0.85 4
15-May-09 30.65 2.61 3.09 2.73 0.84 0.51 2.61 1
16-Mar-09 25.92 3.79 5.10 5.02 3.43 9.52 3.79 1
17-Feb-09 26.80 0.07 -1.47 -1.20 -4.65 -1.51 0.07 1
15-Dec-08 26.70 4.80 3.53 1.71 2.55 0.32 4.80 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
15-Oct-08 28.02 5.42 5.56 8.50 2.88 0.03 5.42 1
15-Aug-08 44.07 -1.16 -2.39 -2.22 -2.68 -1.39 -1.39 5
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
15-Feb-08 40.04 -0.18 0.27 -0.68 -0.32 0.18 0.27 2
16-Jan-08 42.08 -1.39 -1.52 -4.06 -4.43 -2.48 -2.48 5
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
15-Nov-07 45.48 0.92 -0.24 0.16 -1.02 0.04 0.92 1
15-Oct-07 48.49 -0.47 0.81 1.24 -1.28 -0.09 0.81 2
15-Aug-07 41.88 -0.98 0.89 1.37 2.44 3.83 0.89 2
15-May-07 42.03 0.98 0.50 1.32 1.97 2.06 0.98 1
15-Mar-07 39.08 -0.08 0.95 1.67 3.63 3.26 0.95 2
18-Jan-07 40.16 0.20 -0.88 -1.13 0.50 -0.79 0.20 1

40/41 times , since 2009 ,  $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 79 bps 

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$QQQ from 10th trading day close since 2014

$QQQ  from 10th trading day close

$QQQ from 10th trading day close , since 2014

with 14th Jun 2017 , being 10th trading day of the month , below trading strategy rules

 1)  current day is 10th trading day of the month

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2014

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 41 28 68.3 0.40 0.33 0.74 -0.34 2.16 -1.03 4.37 3.64
t+2% 41 29 70.7 0.55 0.32 1.07 -0.70 1.53 -2.62 3.33 2.82
t+3% 41 32 78.0 0.78 0.56 1.18 -0.65 1.81 -1.83 5.19 4.07
t+4% 41 34 82.9 1.03 0.69 1.45 -0.98 1.47 -3.10 5.97 4.63
t+5% 41 34 82.9 1.16 1.15 1.74 -1.64 1.06 -7.34 4.34 3.70
t+10% 41 32 78.0 1.39 1.46 2.48 -2.47 1.00 -6.36 3.23 3.18
t+20% 41 26 63.4 1.37 0.96 3.48 -2.29 1.52 -8.44 2.38 2.30
1st +’ve in 5 days 41 41 100.0 0.64 0.56 0.64 INF INF 0.01 NA 7.83

41/41 times  $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 64bps

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

below the returns of $QQQ from 10th trading day at close , since 2014

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
14-Jun-17 ?? ?? ?? ?? ?? ?? ?? ??
12-May-17 138.60 0.32 0.74 -1.83 -0.97 -0.55 0.32 1
17-Apr-17 131.48 -0.15 0.01 0.84 0.82 2.04 0.01 2
14-Mar-17 131.02 0.62 0.55 0.51 0.60 -0.92 0.62 1
14-Feb-17 128.26 0.59 0.56 1.00 1.49 1.53 0.59 1
17-Jan-17 122.54 0.20 0.15 0.37 0.46 1.13 0.20 1
14-Dec-16 119.61 0.16 -0.21 0.20 0.58 0.50 0.16 1
14-Nov-16 114.05 1.39 1.99 2.73 2.35 3.41 1.39 1
14-Oct-16 116.55 -0.27 0.61 0.61 0.49 0.86 0.61 2
15-Sep-16 116.76 -0.05 -0.48 -0.29 0.69 1.49 0.69 4
12-Aug-16 116.32 0.43 -0.13 0.05 0.08 0.05 0.43 1
15-Jul-16 110.96 0.66 0.30 1.47 1.23 1.65 0.66 1
14-Jun-16 106.93 -0.29 0.01 -1.16 -0.54 -0.23 0.01 2
13-May-16 104.43 1.25 -0.02 0.34 -0.18 0.92 1.25 1
14-Apr-16 109.80 -0.25 0.28 -0.33 -0.25 -0.24 0.28 2
14-Mar-16 105.28 -0.04 0.85 0.80 0.95 1.35 0.85 2
12-Feb-16 96.74 2.25 4.57 3.38 3.68 5.37 2.25 1
15-Jan-16 99.52 0.22 -0.09 0.01 2.91 1.38 0.22 1
14-Dec-15 109.84 0.61 2.11 0.62 -1.31 -0.22 0.61 1
13-Nov-15 108.07 1.44 1.50 3.45 3.52 4.22 1.44 1
14-Oct-15 104.23 1.64 2.07 2.65 2.12 1.50 1.64 1
15-Sep-15 104.52 0.56 0.60 -0.83 -0.52 -2.01 0.56 1
14-Aug-15 108.47 0.83 0.32 -0.34 -3.10 -7.34 0.83 1
15-Jul-15 108.34 1.41 2.91 3.26 3.20 2.03 1.41 1
12-Jun-15 106.50 -0.50 0.05 0.32 1.78 1.28 0.05 2
14-May-15 107.31 0.00 0.44 0.33 0.39 0.91 0.44 2
15-Apr-15 105.61 -0.14 -1.70 -0.22 0.20 0.75 0.20 4
13-Mar-15 102.92 1.29 1.45 2.45 2.60 3.27 1.29 1
13-Feb-15 104.46 0.09 0.23 0.73 1.40 1.51 0.09 1
15-Jan-15 97.36 1.17 1.98 2.50 4.40 4.63 1.17 1
12-Dec-14 99.94 -1.03 -2.62 -0.85 1.54 1.99 1.54 4
14-Nov-14 100.48 -0.30 0.45 -0.01 0.44 0.63 0.45 2
14-Oct-14 90.50 -0.65 -1.27 0.03 1.53 4.19 0.03 3
15-Sep-14 95.67 0.87 1.03 1.79 1.72 0.78 0.87 1
14-Aug-14 94.13 0.48 1.26 1.83 1.83 2.03 0.48 1
15-Jul-14 92.75 0.40 -0.93 0.64 0.51 1.15 0.40 1
13-Jun-14 89.41 0.09 0.14 0.70 0.64 0.76 0.09 1
14-May-14 85.06 -0.79 -0.14 0.56 0.19 1.15 0.56 3
14-Apr-14 82.10 0.33 1.66 1.69 2.44 3.26 0.33 1
14-Mar-14 85.68 0.88 2.10 1.55 1.83 0.60 0.88 1
14-Feb-14 86.42 0.49 -0.20 0.27 0.13 0.67 0.49 1
15-Jan-14 85.04 0.01 -0.55 0.20 0.46 0.12 0.01 1

will it be a straight 46th winner ? ( this never losing streak started from 16th Sep 2013 #FYI)

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