$SPY rest of the year returns from Oct Opex , if $SPY up for the year, since 1994

$SPY ROY returns from Oct Opex

Rest of the year returns , if $SPY up for the year as on Oct Opex

below the returns for the rest of the year , if $SPY up for the year , as on october opex , sine 1994

Rest of the year returns , if $SPY up for the year as on Oct Opex 
Oct Opex $SPY YTD Gains EOY $SPY ROY %
19-Oct-18 276.25 4.87 31-Dec-17 ?? ??
20-Oct-17 252.51 16.66 29-Dec-17 263.42 4.32
21-Oct-16 205.98 6.59 30-Dec-16 216.45 5.08
16-Oct-15 191.52 0.35 31-Dec-15 193.25 0.90
17-Oct-14 174.06 3.47 31-Dec-14 190.86 9.66
18-Oct-13 157.98 24.26 31-Dec-13 168.22 6.48
19-Oct-12 127.11 15.96 31-Dec-12 127.14 0.03
21-Oct-11 107.60 0.01 30-Dec-11 109.61 1.88
15-Oct-10 100.17 7.13 31-Dec-10 107.58 7.40
16-Oct-09 90.88 22.82 31-Dec-09 93.50 2.89
19-Oct-07 119.24 7.06 31-Dec-07 117.09 -1.80
20-Oct-06 107.02 11.32 29-Dec-06 111.38 4.07
15-Oct-04 83.77 1.12 31-Dec-04 91.71 9.48
17-Oct-03 77.25 19.52 31-Dec-03 82.85 7.24
15-Oct-99 87.76 2.11 31-Dec-99 103.47 17.90
16-Oct-98 73.64 10.26 31-Dec-98 85.95 16.72
17-Oct-97 64.62 29.14 31-Dec-97 66.79 3.36
18-Oct-96 48.02 17.56 31-Dec-96 50.04 4.19
20-Oct-95 38.85 31.27 29-Dec-95 40.85 5.16
21-Oct-94 30.00 1.80 30-Dec-94 29.59 -1.37
n 19
up 17
% up 89
avg 5.45
med 4.32

$SPY up by 17 of 19 times for an average of 5.45% ( 545 bps) , for the rest of the year, if $SPY up for the year as on October Opex

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$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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$SPY 1% down days ahead of Opex and post Fed Minutes

$SPY 1% down days ahead of Opex and post Fed Minutes

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes

small sample sizes in both cases ,

1) here are the odds for $SPY, when $SPY falls by more than 1% the day after fed minutes release , since 2009

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 12 3 25.0 -0.53 -0.53 0.71 -0.95 0.75 -3.01 0.06
t+2 12 5 41.7 -0.94 -0.10 1.22 -2.47 0.49 -7.09 0.12
t+3 12 7 58.3 -0.73 0.39 1.04 -3.20 0.33 -8.19 0.28
t+4 12 6 50.0 -0.18 0.13 2.41 -2.76 0.87 -4.66 0.44
t+5 12 7 58.3 0.20 0.82 2.76 -3.40 0.81 -6.95 0.74
1st -‘ve exit in 5 days % 12 11 91.7 0.72 -0.88 -0.97 1.99 0.49 1.99 2.45

9/12 times $SPY had fallen the next trading days by an average of 53 bps , and a median of 53 bps

below the prior instances of $SPY falling by more than 1% post fed minutes release , since 2009 , and the $SPY returns for the next 1/2/3/4/5 trading days

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 237.57 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
07-Apr-16 194.32 -1.20 0.27 0.03 0.97 1.99 1.99 1.99 5
07-Jan-16 183.95 -2.40 -1.10 -1.00 -0.20 -2.69 -1.09 -1.10 1
20-Aug-15 191.17 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
09-Oct-14 178.00 -1.98 -1.14 -2.77 -2.61 -3.27 -3.36 -1.14 1
10-Apr-14 167.56 -2.10 -0.90 -0.12 0.57 1.62 1.76 -0.90 1
17-May-12 114.80 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
23-Nov-11 101.17 -2.21 -0.19 2.70 2.99 7.23 7.22 -0.19 1
20-May-10 90.61 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
21-May-09 73.69 -1.44 -0.21 2.34 0.52 1.92 3.72 -0.21 1
19-Feb-09 64.11 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1
07-Jan-09 74.35 -3.00 0.41 -1.74 -4.10 -3.93 -6.95 -1.74 2

highlighted in red is the only instance , since 2009 , when $SPY failed to close lower than the entry , over next 5 trading days .

2) odds for $SPY, when $SPY falls by more than 1% ahead monthly expiry day, since 2009

odds for $SPY longs , since 2009 , when $SPY falls by more than 1% ahead of monthly expiry day
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 15 4 26.7 -0.55 -0.33 0.84 -1.06 0.80 -3.01 0.15
t+2 15 6 40.0 -0.64 -0.70 1.54 -2.09 0.74 -7.09 0.19
t+3 15 9 60.0 -0.21 0.26 1.23 -2.37 0.52 -8.19 0.46
t+4 15 9 60.0 0.12 0.99 1.77 -2.35 0.75 -4.66 0.81
t+5 15 9 60.0 0.39 1.01 2.11 -2.20 0.96 -4.73 1.12
1st -‘ve exit in 5 days % 15 13 86.7 0.59 -0.36 -0.99 2.07 0.48 2.63 2.20

11/15 times $SPY had fallen by an average of 55 bps , on the day of expiry day , when on prior day $SPY had fallen by more than 1% , since 2009 .

below the prior instances of $SPY falling by more than 1% ahead of expiry day since 2009

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 240.64 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
17-Dec-15 196.36 -1.52 -1.77 -0.96 -0.06 1.18 1.01 -1.77 1
20-Aug-15 193.55 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
17-Jul-14 181.41 -1.14 1.02 0.83 1.27 1.50 1.50 1.50 5
15-Aug-13 150.92 -1.40 -0.33 -0.97 -0.48 -1.09 -0.19 -0.33 1
20-Jun-13 145.15 -2.48 0.32 -0.95 0.00 0.99 1.59 -0.95 2
17-May-12 116.55 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
17-Nov-11 107.49 -1.59 -0.11 -2.01 -2.39 -4.55 -4.73 -0.11 1
18-Aug-11 100.60 -4.31 -1.63 -1.55 1.69 3.12 1.55 -1.63 1
19-Aug-10 92.46 -1.74 -0.32 -0.70 -2.18 -1.80 -2.46 -0.32 1
20-May-10 92.16 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
17-Dec-09 92.41 -1.20 0.56 1.58 1.95 2.15 2.63 2.63 5
19-Nov-09 92.23 -1.30 -0.36 0.91 1.07 1.42 -0.23 -0.36 1
19-Mar-09 66.36 -1.24 -2.11 4.92 2.85 3.93 6.05 -2.11 1
19-Feb-09 65.47 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1

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when $SPY posts largest percentage gain in 6 months ??

when $SPY posts largest percentage in 6 months ??

odds for $SPY longs , since Y2K , when $SPY posts biggest one percentage day gain in six months

 

below the trading strategy rules ,

  • $SPY posts biggest gain in percentage terms as on current trading days in 6 months ( 125 trading days to be precise )

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 % Max Loss % OAPF
t+1 38 14 36.8 -0.51 -0.28 0.49 -1.09 -4.42 0.17
t+2 38 19 50.0 -0.84 0.02 0.90 -2.59 -11.18 0.33
t+3 37 19 51.4 -0.61 0.15 1.25 -2.57 -7.48 0.42
t+4 37 14 37.8 -0.80 -0.35 1.82 -2.39 -9.72 0.33
t+5 37 17 45.9 -0.58 -0.23 1.73 -2.55 -13.76 0.44
t+10 37 21 56.8 -1.29 0.68 1.79 -5.33 -17.17 0.40
t+20 37 23 62.2 -0.50 1.36 3.13 -6.47 -24.90 0.80
1st +’ve exit in 5 days % 38 28 73.7 -0.34 0.32 0.61 -2.99 -7.51 0.43
1st -‘ve exit in 5 days % 38 32 84.2 0.63 -0.61 -1.06 1.69 2.39 2.76

32/38 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 63 basis points ( and a median loss of 61 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to find the edge by being bearish

below the prior instances of $SPY posting biggest gains in 6 months , and 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 % 1st -‘ve exit in 5 days % # days to 1st -‘ve cls
16-Oct-18 280.40 ?? ?? ?? ?? ?? ?? ?? ??
12-Oct-18 275.95 -0.56 1.61 1.61 -0.56 1
26-Mar-18 262.74 -1.70 -1.99 -0.74 -2.88 -1.64 -1.64 -1.70 1
06-Feb-18 265.66 -0.54 -4.27 -2.84 -1.41 -1.16 -1.16 -0.54 1
26-Jan-18 282.88 -0.66 -1.68 -1.63 -1.74 -3.88 -3.88 -0.66 1
07-Nov-16 205.18 0.45 1.52 1.77 1.53 1.61 0.45 1.61 5
26-Aug-15 182.26 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38 4
18-Dec-14 190.97 0.42 0.89 1.02 1.03 1.36 0.42 1.36 5
21-Oct-14 179.23 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71 1
08-Oct-14 181.60 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98 1
10-Oct-13 153.26 0.64 1.05 0.31 1.71 2.39 0.64 2.39 5
02-Jan-13 130.40 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23 1
29-Jun-12 120.00 0.30 0.96 0.51 -0.45 -0.57 0.30 -0.45 4
09-Aug-11 101.44 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42 1
10-May-10 97.87 -0.28 1.11 -0.15 -1.95 -1.90 1.11 -0.28 1
13-Oct-08 82.43 -1.48 -11.18 -7.48 -8.03 -2.51 -2.51 -1.48 1
30-Sep-08 94.34 0.06 -3.57 -4.87 -9.72 -13.76 0.06 -3.57 2
19-Sep-08 100.95 -2.26 -4.49 -4.18 -2.68 -2.63 -2.63 -2.26 1
18-Mar-08 107.02 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 1
11-Mar-08 106.20 -0.94 -0.72 -2.25 -3.24 0.78 0.78 -0.94 1
28-Nov-07 117.22 0.03 1.04 0.37 -0.52 1.14 0.03 -0.52 4
13-Nov-07 117.98 -0.28 -1.72 -1.55 -2.92 -2.32 -2.32 -0.28 1
18-Sep-07 120.89 0.59 -0.12 0.15 -0.03 -0.23 0.59 -0.12 2
29-Aug-07 116.20 -0.27 0.72 1.73 0.85 1.09 0.72 -0.27 1
17-Aug-07 114.75 -0.05 0.15 1.34 1.25 2.50 0.15 -0.05 1
06-Mar-07 109.87 -0.10 0.74 0.77 0.92 -1.04 0.74 -0.10 1
15-Jun-06 97.77 -0.73 -1.51 -1.17 -0.44 -0.88 -0.88 -0.73 1
03-Jan-06 97.83 0.47 0.54 1.37 1.63 1.74 0.47 1.74 5
19-Oct-05 92.00 -1.76 -1.38 0.15 -0.05 -0.34 0.15 -1.76 1
21-Apr-05 88.37 -0.38 0.28 -0.70 -0.31 -1.56 0.28 -0.38 1
01-Oct-04 85.57 0.17 0.22 0.91 -0.18 -1.00 0.17 -0.18 4
07-Jun-04 85.70 0.14 -0.79 -0.31 -1.29 -0.59 0.14 -0.79 2
25-May-04 83.57 0.35 0.91 0.90 0.77 1.14 0.35 1.14 5
01-Oct-03 75.64 0.36 1.28 1.74 2.14 1.88 0.36 1.88 5
24-Jul-02 61.49 -0.85 1.04 5.96 7.34 7.60 1.04 -0.85 1
05-Jul-02 72.08 -1.25 -3.74 -7.24 -6.48 -7.51 -7.51 -1.25 1
08-May-02 78.84 -1.16 -3.02 -1.05 1.11 0.72 1.11 -1.16 1
03-Jan-01 96.12 -1.08 -4.31 -3.56 -3.82 -2.13 -2.13 -1.08 1
07-Jan-00 102.68 0.34 -0.86 -1.84 -0.51 0.84 0.34 -0.86 2

highlighted in bold were prior instances where $SPY failed close lower than the entry

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when $SPY gains by 1% but still down by more than 4% in a week

$SPY gains by 1% but down more than 4% in a week

15oct

 

below the trading strategy rules,

  1. $SPY gains by more than 1% for the day
  2. $SPY is down by more than 4% over last 5 trading days

below the $SPY trading odds for longs for the next 1/2/3/4/5 trading days ,since $SPY IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Max Loss % OAPF
t+1 18 7 38.9 0.12 -0.63 3.01 -1.72 -4.42 1.11
t+2 18 10 55.6 0.54 0.42 2.58 -2.01 -4.27 1.01
t+3 18 11 61.1 1.28 0.90 3.62 -2.40 -5.05 1.52
t+4 18 13 72.2 2.61 2.17 4.20 -1.51 -2.43 3.21
t+5 18 15 83.3 2.38 1.79 3.29 -2.18 -4.59 4.24
t+10 18 12 66.7 3.23 1.56 6.19 -2.67 -6.33 3.26
t+20 18 13 72.2 3.03 2.94 6.61 -6.26 -21.47 2.05
1st +’ve exit in 5 days % 18 16 88.9 1.38 1.49 1.91 -2.88 -4.59 3.50

15/18 times , since Feb 1993 ,  $SPY closed higher than the current trading day’s close , in the next five trading days at close , with an average gains of 238 bps , and a median gain of 179 bps

below the prior instances of $SPY posting a 1% gain , but losing by more than 4% over the last 5 trading days , since Feb 1993

Date Close t% ROC(5)% t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % 1st -‘ve exit in 5 days %
12-Oct-18 275.95 1.39 -4.12
09-Feb-18 258.13 1.50 -5.06 1.47 1.72 3.09 4.41 4.44 1.47 4.44
06-Feb-18 265.66 1.97 -4.48 -0.54 -4.27 -2.84 -1.41 -1.16 -1.16 -0.54
26-Aug-15 182.26 3.84 -6.65 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38
04-Oct-11 97.50 2.19 -4.42 1.85 3.69 3.00 6.44 6.55 1.85 6.55
09-Aug-11 101.44 4.65 -6.38 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42
21-May-10 91.93 1.46 -4.20 -1.28 -1.18 -1.78 1.51 0.24 1.51 -1.28
04-Mar-09 58.82 2.37 -6.69 -4.08 -3.92 -5.05 0.61 1.27 0.61 -4.08
21-Nov-08 64.68 5.39 -8.20 6.93 7.72 11.88 13.29 3.26 6.93 3.26
18-Sep-08 97.12 2.97 -4.33 3.95 1.60 -0.72 -0.40 1.16 3.95 -0.72
30-Jul-07 116.86 1.56 -4.28 -1.13 -0.64 0.15 -2.43 -0.79 0.15 -1.13
08-Oct-02 58.59 1.57 -6.24 -2.82 0.32 4.72 5.30 10.36 0.32 -2.82
04-Sep-02 64.99 1.43 -4.91 -0.85 0.51 1.25 2.41 1.78 0.51 -0.85
06-Aug-02 62.85 3.37 -4.78 1.74 5.04 5.43 4.65 2.75 1.74 2.75
24-Jul-02 61.49 5.97 -6.63 -0.85 1.04 5.96 7.34 7.60 1.04 -0.85
13-Mar-01 85.45 1.64 -4.81 -1.97 -1.95 -3.91 -1.96 -4.59 -4.59 -1.97
17-Apr-00 99.41 3.49 -6.69 2.64 1.69 2.18 1.07 5.26 2.64 5.26
01-Sep-98 69.27 4.23 -8.62 -0.72 -1.50 -2.31 2.94 0.44 2.94 -0.72
28-Oct-97 63.20 5.77 -5.40 -0.27 -2.47 -0.17 1.93 1.93 1.93 -0.27
avg 0.12 0.54 1.28 2.61 2.38 1.38 0.07
med -0.63 0.42 0.90 2.17 1.79 1.49 -0.78

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when $VIX gains by more than 4 standard deviations

$VIX gains by more than 4 stdevps

odds for $SPY longs , since IPO , when $VIX gains by more than 4 standard deviations

 

at the time of wiring with $VIX index quoting at 15.6 and above , below the $study rules.

  1. VIX gains by more than 4 standard deviations , calculated on daily percentage changes over last 50 trading days , including that of today

ex on 4 the Oct 2018: with VIX at 15.6 current day’s gain is 34.36 % , last 50 trading days standard deviation calculated on daily percent change of VIX stands at 7.71 giving us a 4.45 standard deviation move

below the $SPY forward 1/2/3/4/5 trading days returns since IPO ( i.e since feb 1993)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 30 22 73.3 0.70 0.45 1.32 -1.01 1.31 -4.21 1.99
t+2 30 21 70.0 0.44 0.63 1.36 -1.71 0.80 -6.65 1.43
t+3 30 20 66.7 0.41 0.57 1.43 -1.62 0.88 -5.36 1.30
t+4 30 23 76.7 0.60 0.95 1.62 -2.72 0.59 -6.63 1.94
t+5 30 21 70.0 0.95 0.62 2.04 -1.59 1.28 -5.98 2.93
1st +’ve exit in 5 days % 30 28 93.3 0.90 0.70 1.16 -2.76 0.42 -3.09 6.74

28/30 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 90 bps and a median gains of 70 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 $VIX gains by more than 4 standard deviations, since $SPY IPO

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
04-Oct-18 ?? ?? ?? ?? ?? ?? ?? ?? ??
05-Feb-18 260.53 -4.18 1.97 1.42 -2.39 -0.92 0.53 1.97 1
10-Aug-17 238.22 -1.41 0.15 1.14 1.13 1.30 -0.27 0.15 1
17-May-17 229.34 -1.77 0.40 1.06 1.57 1.79 2.03 0.40 1
09-Sep-16 204.27 -2.39 1.43 -0.02 -0.06 0.94 0.55 1.43 1
24-Jun-16 194.66 -3.59 -1.79 -0.02 1.68 3.07 3.29 1.68 3
21-Aug-15 185.42 -3.01 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
29-Jun-15 192.53 -2.10 0.21 1.01 0.92 0.63 1.27 0.21 1
17-Jul-14 179.90 -1.14 1.02 0.83 1.27 1.50 1.50 1.02 1
24-Jan-14 162.94 -2.13 -0.49 0.10 -0.86 0.19 -0.40 0.10 2
15-Apr-13 139.11 -2.32 1.48 -0.01 -0.63 0.23 0.68 1.48 1
25-Feb-13 133.03 -1.90 0.68 1.95 1.75 2.09 2.63 0.68 1
08-Aug-11 96.93 -6.51 4.65 0.03 4.52 5.22 7.45 4.65 1
04-Aug-11 103.84 -4.68 -0.15 -6.65 -2.31 -6.63 -2.44 -2.44 5
22-Feb-11 112.78 -2.01 -0.61 -0.68 0.38 1.00 -0.68 0.38 3
27-Apr-10 99.82 -2.37 0.76 2.01 0.28 1.58 -0.81 0.76 1
30-Oct-09 86.43 -2.90 0.73 1.05 1.31 3.18 3.45 0.73 1
29-Sep-08 90.59 -7.84 4.14 4.20 0.42 -0.93 -5.98 4.14 1
06-Jun-08 109.68 -3.19 0.24 -0.26 -1.72 -1.35 -0.10 0.24 1
27-Feb-07 109.71 -3.91 1.03 0.72 -0.59 -1.54 0.14 1.03 1
27-Nov-06 108.26 -1.38 0.43 1.48 1.52 1.30 2.07 0.43 1
30-May-06 97.75 -1.78 1.12 2.09 2.30 0.81 0.56 1.12 1
17-May-06 98.34 -1.90 -0.50 0.20 -0.57 -1.32 -0.54 0.20 2
20-Jan-06 97.27 -1.82 0.36 0.46 0.55 1.10 2.04 0.36 1
22-Feb-05 89.99 -1.49 0.72 1.38 2.39 1.71 2.22 0.72 1
17-Sep-01 74.68 -5.22 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 5
27-Oct-97 59.76 -7.25 5.77 5.48 3.15 5.59 7.81 5.77 1
18-Dec-95 40.28 -1.92 1.06 0.08 0.59 0.95 1.44 1.06 1
04-Feb-94 29.71 -2.28 0.47 0.53 0.93 0.07 0.40 0.47 1
06-Jul-93 27.61 -1.05 0.28 1.41 1.70 1.63 1.55 0.28 1
16-Feb-93 26.82 -2.52 -0.07 -0.14 0.22 0.58 0.50 0.22 3

highlighted in the red are 2 instances where $SPY failed to closed above than the entry atleast once over next 5 trading days

1) 4 Aug 2011 – US debt down grade drama

2) 17 Sep 2001 – 9/11 shit

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$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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when $SPY posts a down day along with a red candle for 4 day in row

$SPY posts 4 down days & red candles

odds for $SPY longs , since IPO , when $SPY posts a down day along with a red candle , for 4 or more days in row

below the trading strategy rules ,

  1. as on current trading day , $SPY posted a down day and a red candle ( i.e close is less than open) , for 4 or more days in row

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since $SPY IPO from Feb 1993 , when $SPY posts a down day along with red candle for 4 days in row

odds for $SPY longs , since IPO , when $SPY posts a down day along with a red candle , for 4 or more days in row 
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 101 67 66.3 0.32 0.41 1.10 -1.20 0.92 -6.98 1.51
t+2 101 69 68.3 0.52 0.44 1.57 -1.73 0.91 -9.33 1.65
t+3 101 70 69.3 0.84 0.84 1.96 -1.68 1.16 -11.53 2.42
t+4 101 71 70.3 1.07 0.85 2.20 -1.59 1.38 -4.54 2.91
t+5 101 75 74.3 1.32 1.24 2.50 -2.08 1.20 -7.68 2.98
1st +’ve exit in 5 days % 101 95 94.1 0.91 0.66 1.12 -2.34 0.48 -3.83 6.85

95/101 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 91 bps and a median gains of 66 bps 

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

instead of pasting all the 101 trades , here are the 6 loss making trades ,

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days %
19-Feb-09 64.11 -0.97 -4.52 -0.90 -1.68 -3.27 -3.27
04-Jan-08 113.17 -0.08 -1.70 -0.67 -0.01 -0.82 -0.82
03-Jan-08 116.01 -2.45 -2.53 -4.11 -3.10 -2.46 -2.46
02-Jan-08 116.07 -0.05 -2.50 -2.58 -4.15 -3.15 -3.15
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83
06-May-94 28.47 -0.87 -0.10 -1.01 -0.52 -0.52 -0.52

if you noticed all the above losing trades are from first of the year , pat your self , here are the $SPY trading odds for the longs for the next 1/2/3/4/5 trading days , since IPO , when $SPY posts a down day along with a red candle for 4 days in row

 

odds for $SPY longs , since IPO , when $SPY posts a down day along with a red candle, during second half of the year , for 4 or more days in row 
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 42 29 69.0 0.30 0.51 1.25 -1.67 0.75 -6.98 1.23
t+2 43 29 67.4 0.57 0.37 2.02 -2.42 0.83 -9.33 1.31
t+3 43 31 72.1 1.18 1.10 2.39 -1.95 1.23 -11.53 2.73
t+4 43 31 72.1 1.55 1.09 2.65 -1.30 2.03 -2.93 4.67
t+5 43 30 69.8 1.60 0.73 3.13 -1.94 1.62 -7.68 3.76
1st +’ve exit in 5 days % 43 43 100.0 1.38 0.73 1.38 INF INF 0.03 NA

43/43 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 138 bps and a median gains of 73 bps 

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$SPY turnaround tuesday pattern with 101/105 wins since IPO – 25 Sep 2018

$SPY turnaround tuesday pattern

odds for $SPY longs , since IPO , when $SPY down for 3 or more days in row , on a Tuesday

below the trading strategy rules , for the turnaround tuesday pattern

  1. current trading day is Tuesday
  2. & $SPY is down for 3 days in row

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since $SPY IPO from Feb 1993 , when $SPY is down on tuesday for 3 or more days in row

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 104 79 76.0 0.56 0.45 0.96 -0.68 1.41 -2.52 4.30
t+2 105 67 63.8 0.56 0.38 1.58 -1.23 1.28 -9.33 2.15
t+3 105 69 65.7 0.71 0.75 1.80 -1.40 1.29 -11.53 2.46
t+4 105 77 73.3 1.05 0.86 2.02 -1.61 1.25 -10.54 2.95
t+5 105 78 74.3 1.41 1.09 2.34 -1.26 1.85 -6.38 4.62
1st +’ve exit in 5 days % 105 101 96.2 0.74 0.56 0.86 -2.26 0.38 -3.83 10.49

101/105 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 74 bps and a median gains of 56 bps 

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

instead of pasting all the 105 trades , here are the only 4 loss trades ,

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
15-May-12 116.97 -0.38 -1.86 -2.70 -1.03 -0.85 -0.85 5
17-Jan-06 99.09 -0.40 -0.02 -1.84 -1.49 -1.39 -1.39 5
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83 5
12-Jun-01 89.87 -0.86 -3.08 -2.93 -3.40 -2.97 -2.97 5

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