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$SPY from the last trading day of April 

may5below the trading odds for $SPY longs from the last trading day of April , to the next 1/2/3/4/5/10/20 trading days , since 1993 ( IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 17 73.9 0.55 0.56 0.87 -0.37 2.34 -0.88 4.88 3.51
t+2% 23 16 69.6 0.58 0.52 1.09 -0.58 1.89 -1.51 3.67 2.46
t+3% 23 15 65.2 0.49 0.35 1.40 -1.22 1.14 -2.99 1.50 1.45
t+4% 23 13 56.5 0.25 0.54 1.78 -1.74 1.03 -4.94 0.83 0.54
t+5% 23 12 52.2 -0.11 0.20 1.43 -1.80 0.80 -6.35 0.66 -0.26
t+10% 23 13 56.5 0.41 0.40 2.00 -1.65 1.21 -4.14 1.09 0.90
t+20% 23 15 65.2 0.62 1.71 2.73 -3.33 0.82 -7.95 1.05 0.88
1st +’ve in 5 days 23 22 95.7 0.80 0.80 0.91 -1.63 0.56 -1.63 7.88 5.06

22/23 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 80 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 historical returns of $SPY returns from the last trading day of April since 1993 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
29-Apr-16 ~205.6 ?? ?? ?? ?? ?? ?? ??
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20
30-Apr-14 180.83 0.01 -0.13 0.06 -0.81 -0.23 0.01 -0.13
30-Apr-13 150.31 -0.88 0.04 1.06 1.32 1.83 0.04 -0.88
30-Apr-12 128.80 0.62 0.32 -0.44 -2.05 -1.98 0.62 -0.44
29-Apr-11 123.04 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
30-Apr-10 105.07 1.30 -1.09 -1.67 -4.94 -6.35 1.30 -1.09
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
30-Apr-08 116.79 2.07 2.35 1.86 2.74 0.91 2.07 0.91
30-Apr-07 122.87 0.26 0.84 1.39 1.77 1.79 0.26 1.79
28-Apr-06 106.96 -0.81 -0.07 -0.44 -0.08 0.80 0.80 -0.81
29-Apr-05 92.53 0.56 0.73 1.51 1.48 1.16 0.56 1.16
30-Apr-04 87.00 1.07 0.99 1.64 0.77 -0.90 1.07 -0.90
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
30-Apr-02 81.86 1.22 0.83 -0.26 -2.22 -2.56 1.22 -0.26
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
28-Apr-00 107.56 1.36 -0.67 -2.99 -2.26 -1.08 1.36 -0.67
30-Apr-99 97.72 1.83 0.38 1.17 0.55 1.31 1.83 1.31
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
30-Apr-97 57.18 -0.12 1.68 4.10 4.02 1.76 1.68 -0.12
30-Apr-96 45.80 0.22 -1.51 -1.65 -1.74 -2.15 0.22 -1.51
28-Apr-95 35.36 -0.27 -0.06 1.33 1.27 1.15 1.33 -0.27
29-Apr-94 30.11 0.62 0.52 0.35 0.21 -0.76 0.62 -0.76
30-Apr-93 28.65 0.64 0.99 1.28 0.92 0.71 0.64 0.71

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

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check out the new look of the paststat

$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 !!

you might want to consider subscribing to our daily quant rants email  !!

check out the new look of the paststat

second half of April $SPY bullish pattern

second half of April $SPY bullish pattern

when $SPY closes in red in the second half of April , since Y2K

with $SPY closing in red , with a loss of 54 bps , as on 21st Apr , below trading strategy rules

1) $SPY closes in red  &

2) current trading day is in the second half of April , ( i.e trading day of the month is greater than ore equal to 11 , or simply greater than 10 , which ever way you like it )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes in red in the second half of the April , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 68 46 67.6 0.37 0.37 0.91 -0.76 1.20 -2.37 2.19 2.91
t+2 68 45 66.2 0.55 0.75 1.28 -0.87 1.47 -2.35 2.86 3.75
t+3 68 48 70.6 0.64 0.83 1.42 -1.24 1.14 -2.99 2.60 3.48
t+4 68 48 70.6 0.62 0.99 1.68 -1.93 0.87 -4.94 2.00 2.51
t+5 67 47 70.1 0.72 0.83 1.80 -1.83 0.98 -6.35 2.24 2.66
t+10 67 42 62.7 0.58 1.01 2.42 -2.50 0.97 -5.71 1.52 1.55
t+20 67 41 61.2 0.62 1.21 3.42 -3.80 0.90 -11.24 1.30 1.16
1st +’ve in 5 days 68 63 92.6 0.62 0.53 0.82 -2.03 0.41 -3.73 5.79 4.64
1st -‘ve in 5 days 68 41 60.3 -0.38 -0.32 -0.77 2.12 0.36 5.84 0.53 -1.82

63/68 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 62 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 in red in the second half of Apr , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
21-Apr-16 208.97 ?? ?? ?? ?? ?? ?? ??
15-Apr-16 207.78 0.70 1.02 1.12 0.57 ?? 0.70 ??
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20
29-Apr-15 206.17 -1.00 0.07 0.36 -0.79 -1.20 0.07 -1.00
27-Apr-15 206.37 0.32 -0.09 -1.10 -0.02 0.26 0.32 -0.09
21-Apr-15 205.22 0.49 0.74 0.98 0.56 0.88 0.49 0.88
17-Apr-15 203.60 0.91 0.79 1.29 1.54 1.78 0.91 1.78
16-Apr-15 205.97 -1.15 -0.25 -0.37 0.12 0.38 0.12 -1.15
25-Apr-14 178.89 0.32 0.78 1.08 1.10 0.95 0.32 0.95
23-Apr-14 180.01 0.20 -0.62 -0.30 0.16 0.46 0.20 -0.62
26-Apr-13 148.95 0.67 0.91 0.03 0.95 1.98 0.67 1.98
18-Apr-13 145.09 0.87 1.32 2.36 2.43 2.84 0.87 2.84
17-Apr-13 146.01 -0.63 0.24 0.68 1.72 1.79 0.24 -0.63
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 1.48 -0.01
30-Apr-12 128.80 0.62 0.32 -0.44 -2.05 -1.98 0.62 -0.44
23-Apr-12 125.96 0.38 1.75 2.46 2.63 2.25 0.38 2.25
19-Apr-12 126.82 0.17 -0.68 -0.30 1.07 1.77 0.17 -0.68
18-Apr-12 127.64 -0.64 -0.48 -1.31 -0.94 0.42 0.42 -0.64
25-Apr-11 120.53 0.86 1.52 1.85 2.09 1.93 0.86 1.93
18-Apr-11 117.75 0.57 1.95 2.47 2.36 3.24 0.57 3.24
30-Apr-10 105.07 1.30 -1.09 -1.67 -4.94 -6.35 1.30 -1.09
27-Apr-10 104.77 0.76 2.01 0.28 1.58 -0.81 0.76 -0.81
26-Apr-10 107.31 -2.37 -1.62 -0.40 -2.09 -0.82 -0.82 -2.37
21-Apr-10 106.70 0.30 0.95 0.57 -1.81 -1.06 0.30 -1.81
16-Apr-10 105.55 0.38 1.27 1.09 1.39 2.05 0.38 2.05
28-Apr-09 74.18 2.13 2.16 2.71 6.21 5.84 2.13 5.84
27-Apr-09 74.42 -0.31 1.81 1.84 2.39 5.87 1.81 -0.31
22-Apr-09 73.29 0.98 2.51 1.54 1.22 3.37 0.98 3.37
20-Apr-09 72.33 1.95 1.33 2.33 3.87 2.89 1.95 2.89
30-Apr-08 116.79 2.07 2.35 1.86 2.74 0.91 2.07 0.91
29-Apr-08 117.48 -0.59 1.47 1.75 1.26 2.14 1.47 -0.59
23-Apr-08 116.33 0.44 1.37 1.39 0.99 0.39 0.44 0.39
22-Apr-08 116.52 -0.16 0.28 1.20 1.23 0.83 0.28 -0.16
30-Apr-07 122.87 0.26 0.84 1.39 1.77 1.79 0.26 1.79
27-Apr-07 123.90 -0.83 -0.58 0.01 0.55 0.93 0.01 -0.83
23-Apr-07 122.68 0.04 0.96 1.07 0.99 0.16 0.04 0.16
19-Apr-07 121.99 0.94 0.56 0.60 1.53 1.64 0.94 1.64
25-Apr-06 106.06 0.02 0.51 0.84 0.02 0.77 0.02 0.77
24-Apr-06 106.50 -0.41 -0.39 0.09 0.43 -0.39 0.09 -0.41
28-Apr-05 91.29 1.36 1.93 2.10 2.89 2.85 1.36 2.85
26-Apr-05 92.09 0.39 -0.87 0.48 1.04 1.22 0.39 -0.87
22-Apr-05 92.39 0.66 -0.32 0.07 -1.19 0.16 0.66 -0.32
20-Apr-05 90.97 1.94 1.56 2.22 1.23 1.63 1.94 1.63
15-Apr-05 91.25 0.31 1.10 -0.31 1.63 1.24 0.31 -0.31
30-Apr-04 87.00 1.07 0.99 1.64 0.77 -0.90 1.07 -0.90
29-Apr-04 87.68 -0.78 0.29 0.21 0.85 -0.02 0.29 -0.78
28-Apr-04 88.46 -0.88 -1.65 -0.59 -0.67 -0.04 -0.04 -0.88
26-Apr-04 89.54 0.09 -1.21 -2.08 -2.84 -1.80 0.09 -1.21
20-Apr-04 87.75 0.67 2.08 2.18 2.04 2.13 0.67 2.13
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
25-Apr-03 69.65 1.73 2.08 1.86 1.85 3.30 1.73 3.30
24-Apr-03 70.52 -1.24 0.47 0.82 0.60 0.59 0.47 -1.24
16-Apr-03 68.12 1.48 1.59 3.50 4.45 3.52 1.48 3.52
29-Apr-02 81.10 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
26-Apr-02 81.50 -0.49 0.44 1.67 1.28 0.18 0.44 -0.49
24-Apr-02 83.04 0.05 -1.85 -2.33 -1.42 -0.21 0.05 -1.85
23-Apr-02 83.88 -1.00 -0.95 -2.83 -3.31 -2.41 -2.41 -1.00
22-Apr-02 84.24 -0.43 -1.43 -1.38 -3.25 -3.73 -3.73 -0.43
18-Apr-02 85.36 0.36 -1.31 -1.73 -2.72 -2.67 0.36 -1.31
17-Apr-02 85.73 -0.43 -0.07 -1.74 -2.16 -3.14 -3.14 -0.43
15-Apr-02 83.92 2.38 2.16 1.72 2.09 0.39 2.38 0.39
24-Apr-01 91.09 1.31 1.76 3.45 4.18 4.50 1.31 4.50
23-Apr-01 91.59 -0.54 0.76 1.21 2.90 3.62 0.76 -0.54
20-Apr-01 93.28 -1.82 -2.35 -1.07 -0.63 1.03 1.03 -1.82
28-Apr-00 107.56 1.36 -0.67 -2.99 -2.26 -1.08 1.36 -0.67
27-Apr-00 108.23 -0.62 0.73 -1.28 -3.60 -2.87 0.73 -0.62
26-Apr-00 108.59 -0.33 -0.95 0.39 -1.61 -3.91 0.39 -0.33
24-Apr-00 105.45 4.15 2.98 2.64 2.00 3.38 4.15 3.38
19-Apr-00 106.10 0.48 -0.61 3.52 2.35 2.01 0.48 -0.61

highlighted in the red were the loss making trades !!

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$SPY from Tax Day , since IPO

$SPY from Tax Day , since IPO

 $SPY trading odds from Tax -Day , since IPO

below the trading odds from the Tax Day , for the longs for the next 1/2/3/4/5/10/20 trading days since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 14 60.9 0.49 0.31 1.28 -0.74 1.72 -1.70 2.79 1.90
t+2% 23 14 60.9 0.64 0.14 1.58 -0.82 1.92 -2.38 2.15 1.88
t+3% 23 11 47.8 0.64 -0.14 2.11 -0.71 2.97 -2.13 2.44 1.59
t+4% 23 17 73.9 1.03 0.66 1.63 -0.67 2.45 -1.65 5.40 3.09
t+5% 23 19 82.6 1.36 1.22 1.89 -1.14 1.66 -2.23 9.10 3.82
t+10% 23 18 78.3 1.55 1.40 2.50 -1.88 1.33 -3.36 5.20 3.03
t+20% 23 16 69.6 2.00 2.37 3.87 -2.27 1.70 -4.37 3.06 2.66
1st +’ve in 5 days 23 20 87.0 0.82 0.77 1.13 -1.24 0.91 -2.23 7.42 3.43
1st -‘ve in 5 days 23 13 56.5 -0.61 -0.03 -0.81 2.46 0.33 5.26 0.26 -1.51

19/23 times  $SPY closed  higher than the current close at the end of the 5th trading day at close , since $SPY IPO with an average gain of 136 basis points at the end of the 5th trading day close , from the current close ]

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 returns from the tax day’s close ” since IPO

Date $SPY t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve in 5 days% 1st -‘ve in 5 days%
18-Apr-16 209.24 ?? ?? ?? ?? ?? ?? ?? ?? ??
15-Apr-15 206.03 -0.03 -1.18 -0.28 -0.39 0.10 0.07 -0.19 0.10 -0.03
15-Apr-14 176.89 1.05 1.19 1.54 2.00 1.76 2.23 2.64 1.05 1.76
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 2.69 5.43 1.48 -0.01
17-Apr-12 128.07 -0.34 -0.98 -0.81 -1.65 -1.27 1.19 -4.13 -1.27 -0.34
18-Apr-11 117.75 0.57 1.95 2.47 2.36 3.24 3.96 2.00 0.57 3.24
15-Apr-10 107.26 -1.59 -1.22 -0.34 -0.52 -0.22 -0.35 -4.37 -0.22 -1.59
15-Apr-09 73.91 1.47 2.15 -2.13 -0.22 -0.83 2.51 4.02 1.47 -2.13
15-Apr-08 112.55 2.71 2.86 3.93 3.99 3.53 4.38 5.43 2.71 3.53
17-Apr-07 121.88 0.12 0.10 1.04 0.66 0.70 1.07 2.37 0.12 0.70
17-Apr-06 104.67 1.59 1.78 1.92 1.94 1.75 1.35 0.65 1.59 1.75
15-Apr-05 91.25 0.31 1.10 -0.31 1.63 1.24 1.40 1.38 0.31 -0.31
15-Apr-04 88.57 0.77 0.77 -0.92 -0.26 1.14 -1.00 -2.63 0.77 -0.92
15-Apr-03 69.30 -1.70 -0.25 -0.14 1.74 2.67 2.37 5.27 1.74 -1.70
15-Apr-02 83.92 2.38 2.16 1.72 2.09 0.39 -3.36 -2.44 2.38 0.39
16-Apr-01 88.11 1.41 5.44 6.85 5.87 3.95 7.70 6.63 1.41 3.95
17-Apr-00 104.34 2.64 1.69 2.18 1.07 5.26 2.40 4.22 2.64 5.26
15-Apr-99 97.28 -0.85 -2.38 -1.15 1.67 2.64 1.27 3.53 1.67 -0.85
15-Apr-98 81.21 -1.17 0.14 0.11 0.59 0.86 -2.51 0.08 0.14 -1.17
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 5.41 10.62 1.16 2.79
15-Apr-96 45.00 0.29 0.05 0.19 0.44 1.22 1.85 3.28 0.29 1.22
17-Apr-95 34.80 -0.34 -0.43 -0.28 0.22 1.38 1.32 4.37 0.22 -0.34
15-Apr-94 29.78 -0.67 -0.53 -0.63 0.70 0.60 1.75 -0.14 0.70 -0.67
15-Apr-93 29.24 0.00 -0.42 -0.90 -0.97 -2.23 -2.16 -2.02 -2.23 -0.42

highlighted in the red are the loss making trades for a 5 trading day holding from the close of tax day , since IPO

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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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$SPY from the day before of Ides of March

$SPY from the day before of Ides of March

 $SPY from the trading day before Ides of March , since 1993

h/t @ Barbara Kollmeyer , who prompted this Ides of March ,

below the trading odds for $SPY longs from the close of 14th Mar ( if market is open , other wise , the prior trading day, or simply from the 10th trading of March , or Ides of March ) , for the next 1/2/3/4/5/10/20 trading days , data since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 14 60.9 0.36 0.14 0.94 -0.55 1.70 -1.23 2.23 1.65
t+2 23 16 69.6 0.85 0.73 1.78 -1.28 1.39 -2.98 2.12 1.99
t+3 23 18 78.3 1.20 0.74 1.83 -1.07 1.71 -1.69 4.24 2.72
t+4 23 17 73.9 1.13 0.82 2.00 -1.32 1.52 -2.67 3.50 2.54
t+5 23 16 69.6 1.18 0.48 2.32 -1.43 1.63 -4.32 2.95 1.98
t+10 23 15 65.2 1.03 0.84 2.55 -1.81 1.41 -5.05 2.13 1.52
t+20 23 14 60.9 1.78 2.04 4.29 -2.12 2.02 -6.33 3.23 1.99
1st +’ve in 5 days 23 21 91.3 0.84 0.58 1.08 -1.60 0.67 -2.13 4.68 3.34
1st -‘ve in 5 days 23 15 65.2 -0.74 -0.13 -0.56 3.17 0.18 9.47 0.22 -1.36

21/23 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 58 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 returns from the 10th trading day of the March ( prior trading day to Ides of March ) to the next 1/2/3/4/5 trading days , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
14-Mar-16 202.50 ?? ?? ?? ?? ?? ?? ??
13-Mar-15 201.67 1.34 1.03 2.25 1.78 2.68 1.34 2.68
14-Mar-14 177.46 0.90 1.62 1.08 1.67 1.28 0.90 1.28
14-Mar-13 147.64 -0.13 -0.68 -0.91 -0.22 -1.07 -1.07 -0.13
14-Mar-12 128.93 0.58 0.72 1.11 0.82 0.65 0.58 0.65
14-Mar-11 117.38 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15
12-Mar-10 102.21 0.03 0.82 1.42 1.37 0.86 0.03 0.86
13-Mar-09 65.83 -0.30 2.75 5.05 3.75 1.54 2.75 -0.30
14-Mar-08 109.50 -1.01 3.10 0.55 2.41 4.46 3.10 -1.01
14-Mar-07 115.54 0.14 -0.14 1.06 1.61 3.29 0.14 -0.14
14-Mar-06 106.03 0.45 0.65 0.74 0.58 -0.06 0.45 -0.06
14-Mar-05 96.96 -0.83 -1.67 -1.47 -1.76 -2.13 -2.13 -0.83
12-Mar-04 88.41 -1.23 -0.70 0.41 0.44 -1.00 0.41 -1.23
14-Mar-03 65.01 3.15 3.76 4.55 4.78 7.01 3.15 7.01
14-Mar-02 88.15 0.95 0.97 1.65 -0.27 -0.22 0.95 -0.27
14-Mar-01 88.36 0.03 -1.98 0.01 -2.67 -4.32 0.03 -1.98
14-Mar-00 101.55 2.33 7.11 7.82 7.27 9.47 2.33 9.47
12-Mar-99 95.14 1.43 1.04 0.60 2.22 0.48 1.43 0.48
13-Mar-98 77.74 1.08 1.37 1.75 2.01 2.89 1.08 2.89
14-Mar-97 56.97 0.27 -0.80 -1.14 -1.65 -1.19 0.27 -0.80
14-Mar-96 45.18 -0.07 1.86 1.64 1.52 1.27 1.86 -0.07
14-Mar-95 33.97 -0.19 0.41 0.51 0.51 0.26 0.41 -0.19
14-Mar-94 31.30 -0.07 0.73 0.73 0.71 0.44 0.73 -0.07
12-Mar-93 29.35 0.49 0.49 -0.14 0.49 0.33 0.49 -0.14

highlighted in red were those 2  instances , when bears , did “Et tu, Brute?”  to bulls :) !!

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remember the rule #34 on $SPY ?

the rule #34 on $SPY

 $SPY trading odds from the 34th trading day of the year , since 1994

 

searching for rule #34 images is NSFW !! 

just a data mining exercise , but here are the trading rules

  • current trading day is either 34th trading day of the year ,
  • below the $SPY returns for 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-Test
t+1 22 3 13.6 -0.72 -0.46 0.67 -0.94 0.71 -3.58 0.06 -3.25
t+2 22 10 45.5 -0.35 -0.27 0.40 -0.97 0.41 -2.61 0.27 -1.84
t+3 22 11 50.0 -0.24 0.07 0.66 -1.14 0.58 -2.74 0.36 -0.93
t+4 22 12 54.5 -0.37 0.06 0.77 -1.73 0.44 -4.44 0.35 -1.13
t+5 22 13 59.1 -0.33 0.11 0.63 -1.72 0.37 -4.51 0.48 -1.02
t+10 22 11 50.0 -0.22 0.06 2.12 -2.56 0.83 -10.98 0.70 -0.32
t+20 22 14 63.6 0.81 1.18 3.23 -3.42 0.94 -10.81 1.27 0.92
1st +’ve in 5 days 22 18 81.8 0.01 0.38 0.50 -2.22 0.23 -3.46 0.76 0.03
1st -‘ve in 5 days 22 22 100.0 0.87 -0.61 -0.87 INF INF -0.01 INF 4.54

22/22 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 87 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

below the $SPY next 1/2/3/4/5 trading day returns , from the close of 34th trading day of the year , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
22-Feb-16 194.78 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
20-Feb-14 176.92 -0.11 0.44 0.40 0.41 0.93 0.44 -0.11
20-Feb-13 142.56 -0.61 0.36 -1.55 -0.87 0.38 0.36 -0.61
21-Feb-12 125.76 -0.32 0.12 0.34 0.51 0.80 0.12 -0.32
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
22-Feb-10 98.40 -1.21 -0.31 -0.44 -0.38 0.66 0.66 -1.21
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
20-Feb-08 114.83 -0.83 -0.22 1.04 1.80 1.69 1.04 -0.83
21-Feb-07 121.10 -0.08 -0.47 -0.55 -4.44 -3.46 -3.46 -0.08
21-Feb-06 104.65 0.61 0.46 0.72 0.75 -0.20 0.61 -0.20
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
20-Feb-03 65.17 1.01 -0.63 0.17 -1.29 0.01 1.01 -0.63
20-Feb-02 84.12 -2.07 -0.86 0.78 0.57 0.96 0.78 -2.07
20-Feb-01 96.43 -2.16 -2.01 -2.67 -0.60 -1.52 -1.52 -2.16
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
22-Feb-99 93.80 -0.05 -1.81 -2.74 -3.14 -2.87 -2.87 -0.05
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
19-Feb-97 58.14 -1.21 -1.17 0.00 0.08 -0.90 0.08 -1.21
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
17-Feb-94 31.47 -0.60 0.40 0.13 -1.19 -0.73 0.40 -0.60
17-May-93 28.88 -0.07 1.98 2.26 1.34 1.77 1.98 -0.07

are we heading for a 23rd straight win for this $SPY bearish seasonal trading pattern ?

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$SPY post Feb Opex , is both bullish and bearish

$SPY post Feb Opex

 $SPY post Feb Opex , since $SPY inception

below the $SPY trading odds for longs , from the close of Feb Opex day , to next 1/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 11 47.8 -0.28 -0.01 0.68 -1.16 0.58 -3.58 0.35 -1.05
t+2 23 13 56.5 -0.10 0.17 0.67 -1.10 0.61 -3.67 0.45 -0.38
t+3 23 11 47.8 -0.33 -0.01 0.67 -1.25 0.53 -3.52 0.28 -1.22
t+4 23 11 47.8 -0.22 -0.13 0.83 -1.17 0.71 -4.17 0.40 -0.77
t+5 23 12 52.2 -0.18 0.10 0.77 -1.20 0.64 -4.51 0.50 -0.61
t+10 23 15 65.2 -0.11 0.53 1.76 -3.63 0.49 -10.98 0.69 -0.16
t+20 23 15 65.2 1.08 1.64 3.53 -3.52 1.00 -9.77 1.31 1.25
1st +’ve in 5 days 23 20 87.0 0.35 0.36 0.57 -1.16 0.49 -2.13 2.15 1.97
1st -‘ve in 5 days 23 21 91.3 0.68 -0.39 -0.90 1.63 0.55 1.94 4.72 2.96

how do you trade this below information

20/23 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 35 basis points at the 1st positive close within in the next five trading days.

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 68 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

below the $SPY next 1/2/3/4/5 trading day returns , post Feb Opex , since 93

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
19-Feb-16 192.00 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
21-Feb-14 176.72 0.55 0.52 0.52 1.05 1.31 0.55 1.31
15-Feb-13 143.28 0.75 -0.51 -1.11 -0.14 -2.04 0.75 -0.51
17-Feb-12 125.71 0.04 -0.28 0.16 0.38 0.55 0.04 -0.28
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
19-Feb-10 98.38 0.02 -1.20 -0.29 -0.42 -0.36 0.02 -1.20
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
15-Feb-08 114.18 0.28 0.58 -0.26 0.36 1.62 0.28 -0.26
16-Feb-07 120.89 0.21 0.17 0.10 -0.30 -0.38 0.21 -0.30
17-Feb-06 104.92 -0.25 0.36 0.21 0.47 0.50 0.36 -0.25
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
21-Feb-03 65.82 -1.62 -0.83 -2.28 -0.99 -0.33 -0.33 -1.62
15-Feb-02 84.35 -1.92 -0.27 -2.34 -1.13 0.51 0.51 -1.92
16-Feb-01 97.94 -1.54 -3.67 -3.52 -4.17 -2.13 -2.13 -1.54
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
19-Feb-99 91.37 2.67 2.62 0.80 -0.15 -0.55 2.67 -0.15
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
21-Feb-97 57.46 1.19 1.26 0.27 -1.22 -1.52 1.19 -1.22
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
18-Feb-94 31.28 1.00 0.73 -0.60 -0.13 -0.13 1.00 -0.60
19-Feb-93 28.36 0.36 0.29 1.58 1.79 1.94 0.36 1.94

highlighted in the red under 1st +’ve in 5 days were the loss making trades for bulls , and under 1st -‘ve in 5 days were the loss making trades for bears !!

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a Jan month end window dressing pattern on $SPY

a Jan month end window dressing pattern on $SPY

$SPY from 17th trading day of Jan , since 1994

below the trading odds for $SPY from the 17th trading day of Jan , for the next 1/2/3/4/5/10/20 trading days , since 1994 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 22 12 54.5 0.27 0.14 0.91 -0.50 1.84 -1.28 1.25 1.25
t+2% 22 13 59.1 -0.02 0.22 0.92 -1.37 0.67 -3.51 0.58 -0.05
t+3% 22 12 54.5 0.10 0.09 1.02 -1.00 1.03 -2.01 0.82 0.43
t+4% 22 17 77.3 0.82 0.77 1.30 -0.81 1.61 -2.31 3.67 3.03
t+5% 22 16 72.7 1.03 0.85 1.72 -0.84 2.06 -2.16 3.05 3.00
t+10% 22 15 68.2 0.73 0.68 1.96 -1.92 1.02 -3.05 1.81 1.48
t+20% 22 15 68.2 1.02 1.29 3.23 -3.73 0.87 -9.06 1.53 1.13
1st +’ve in 5 days 22 21 95.5 0.68 0.48 0.74 -0.78 0.95 -0.78 17.77 4.03
1st -‘ve in 5 days 22 16 72.7 -0.09 -0.32 -0.81 2.50 0.32 4.92 0.84 -0.24

21/22 times  $SPY closed 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.

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 17th trading day of Jan and the 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 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
27-Jan-14 171.07 0.60 -0.37 0.69 0.10 -2.16 0.60 -0.37
25-Jan-13 141.53 -0.12 0.27 -0.12 -0.37 0.66 0.27 -0.12
26-Jan-12 121.53 -0.05 -0.39 -0.42 0.45 0.61 0.45 -0.05
26-Jan-11 117.04 0.25 -1.50 -0.76 0.83 0.63 0.25 -1.50
27-Jan-10 97.23 -1.15 -2.22 -0.70 0.50 0.00 0.50 -1.15
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
25-Jan-08 112.4 1.65 2.16 1.41 3.25 4.92 1.65 4.92
26-Jan-07 117.91 -0.06 0.46 1.14 1.74 1.89 0.46 -0.06
26-Jan-06 103.73 0.93 0.85 0.11 0.81 -0.36 0.93 -0.36
26-Jan-05 93.83 0.17 0.17 0.79 1.43 1.74 0.17 1.74
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
25-Jan-02 86.38 0.27 -2.88 -1.48 -0.33 -0.79 0.27 -2.88
25-Jan-01 102.17 -0.11 0.42 1.30 0.73 1.40 0.42 -0.11
26-Jan-00 104.66 -0.40 -3.51 -0.89 0.09 0.18 0.09 -0.40
27-Jan-99 91.62 1.68 2.46 1.86 1.23 2.26 1.68 2.26
27-Jan-98 70.3 0.90 1.45 1.52 3.19 3.97 0.90 3.97
24-Jan-97 54.87 -0.29 0.00 0.98 2.28 2.16 0.98 -0.29
24-Jan-96 43.4 -0.35 0.50 0.91 1.77 2.83 0.50 -0.35
25-Jan-95 32.12 0.10 0.50 0.07 0.47 0.43 0.10 0.43
25-Jan-94 31.49 0.26 1.19 1.46 2.19 1.66 0.26 1.66

highlighted in the red were the loss making trades !!

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$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

Four_seasons

 

1) $SPY trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 16 72.7 0.42 0.41 0.79 -0.57 1.38 -2.46 2.95 2.14
t+2 22 13 59.1 0.38 0.42 1.19 -0.79 1.51 -2.55 1.63 1.36
t+3 22 15 68.2 0.51 0.69 1.23 -1.01 1.21 -2.53 1.72 1.79
t+4 22 14 63.6 0.40 0.24 1.31 -1.18 1.10 -3.05 1.27 1.24
t+5 22 15 68.2 0.39 0.95 1.50 -1.98 0.76 -4.63 1.20 0.93
t+10 22 15 68.2 1.05 1.30 2.12 -1.23 1.72 -2.59 2.59 2.66
t+20 22 16 72.7 1.20 1.25 2.59 -2.51 1.04 -7.75 2.11 1.89
1st +’ve exit in 5 days 22 22 100.0 0.73 0.64 0.73 INF INF NA NA 5.97

2) $QQQ trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 15 93.8 0.64 0.67 0.87 -2.90 0.30 -2.90 4.38 2.36
t+2 16 12 75.0 0.65 0.80 1.42 -1.68 0.85 -3.13 2.99 1.61
t+3 16 12 75.0 1.06 0.67 2.00 -1.78 1.13 -2.93 2.80 1.86
t+4 16 10 62.5 0.96 1.03 2.91 -2.30 1.26 -4.89 1.37 1.24
t+5 16 11 68.8 1.06 1.73 3.10 -3.45 0.90 -6.61 1.45 1.15
t+10 16 12 75.0 2.68 2.09 4.12 -1.65 2.49 -2.43 6.41 3.12
t+20 16 13 81.3 2.53 2.23 5.02 -8.25 0.61 -15.34 2.49 1.50
1st +’ve exit in 5 days 16 16 100.0 0.84 0.67 0.84 INF INF NA NA 5.70

3) $DIA trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 11 64.7 0.32 0.18 0.77 -0.50 1.52 -1.93 2.08 1.51
t+2 17 11 64.7 0.30 0.21 1.05 -1.07 0.98 -3.03 1.33 0.90
t+3 17 8 47.1 0.39 -0.10 1.57 -0.65 2.42 -2.34 1.41 1.20
t+4 17 10 58.8 0.19 0.41 1.09 -1.10 0.99 -2.42 0.83 0.57
t+5 17 11 64.7 0.27 0.27 1.27 -1.57 0.81 -3.97 0.91 0.65
t+10 17 11 64.7 0.57 1.12 1.79 -1.67 1.07 -3.97 1.46 1.17
t+20 17 10 58.8 0.31 0.68 2.61 -2.98 0.88 -7.36 1.08 0.38
1st +’ve exit in 5 days 17 17 100.0 0.67 0.58 0.67 INF INF NA NA 5.29

4) $IWM trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 12 80.0 0.72 0.85 1.20 -1.17 1.02 -2.82 3.45 2.21
t+2 15 9 60.0 0.48 0.39 1.67 -1.32 1.27 -2.61 1.60 1.06
t+3 15 11 73.3 1.11 0.96 1.95 -1.20 1.62 -3.66 2.87 2.12
t+4 15 11 73.3 0.86 0.98 2.02 -2.33 0.87 -4.79 1.40 1.39
t+5 15 12 80.0 1.22 1.00 2.30 -3.12 0.74 -6.46 1.71 1.62
t+10 15 12 80.0 2.07 2.01 2.86 -1.12 2.55 -1.56 6.25 3.43
t+20 15 10 66.7 3.19 3.82 6.02 -2.48 2.43 -7.14 4.22 2.41
1st +’ve exit in 5 days 15 15 100.0 1.07 0.85 1.07 INF INF NA NA 5.88

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