$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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advMayDayance to comrades across the globe !!

$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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$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

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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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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check out the new look of the paststat

$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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check out the new look of the paststat