when $SPY lost more than 1stdev(50) on a tuesday

$SPY lost more than 1stdev(50) on a tue

with the aid of $SPY tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011

$SPY lost by more than 1 stdev(50) on a tue

ps: clicking the above image will take to the details of historical trades , of the $spy turn around trading strategy!

38/38 times , since last 4 years, $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 82 bps , and a median of 69 bps 

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

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tickalert

 

$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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tickalert

$SPY on the day of rate hike

$SPY on the day of rate hike

CME FedWatch Tool

With the CME FedWatch tool currently projecting a probability of nearly 96% for a rate hike at the June 14 meeting , below a look at the $SPY behavior on the day when fed hikes rates , since Y2K

Date Close Prv Close Change Change %
15-Mar-17 237.91 235.87 2.04 0.86
14-Dec-16 223.58 225.44 -1.86 -0.83
16-Dec-15 201.57 198.67 2.90 1.46
29-Jun-06 101.89 99.87 2.02 2.02
10-May-06 105.65 105.71 -0.06 -0.06
28-Mar-06 103 103.64 -0.64 -0.62
31-Jan-06 101.22 101.97 -0.75 -0.74
13-Dec-05 100.54 99.86 0.68 0.68
1-Nov-05 95.15 94.87 0.28 0.30
20-Sep-05 96.39 97.21 -0.82 -0.84
9-Aug-05 97.03 96.45 0.58 0.60
30-Jun-05 93.72 94.23 -0.51 -0.54
3-May-05 91.32 91.17 0.15 0.16
22-Mar-05 91.56 92.5 -0.94 -1.02
2-Feb-05 93.05 92.77 0.28 0.30
14-Dec-04 93.79 93.47 0.32 0.34
10-Nov-04 90.56 90.49 0.07 0.08
21-Sep-04 87.45 87.07 0.38 0.44
10-Aug-04 83.56 82.5 1.06 1.28
30-Jun-04 88.3 87.83 0.47 0.54
16-May-00 106.54 105.52 1.02 0.97
21-Mar-00 108.36 106.18 2.18 2.05
2-Feb-00 102.2 102.11 0.09 0.09
# 23 23
%wins 69.57 69.57
avg 0.39 0.33
med 0.28 0.30
avg win 0.91 0.76
avg loss -0.80 -0.66
max loss -1.86 -1.02
stdevp 1.10 0.85
t-test 1.70 1.85

$SPY gained 16/23 times , on the day when fed hiked the rates , at an avg of 33 bps , a median of 30 bps , with avg gain at 76 bps , and avg loss at 66 bps . the worst one day loss on the day when fed hiked was 102 bps on 22 March 2005

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tickalert

$SPY ahead of #fedday during #midmonth

$SPY ahead of #fedday during #midmonth

$SPY into #fedday during mid month , since Y2K

as on 13th JUn 2017 , with $spy heading into #fedday , below trading strategy rules

  1. tomorrow / next trading day is #fedday
  2. current trading day is either 9/10/11 th trading day of the month

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% 23 19 82.6 0.92 0.58 1.23 -0.58 2.11 -1.15 5.64 3.21
t+2% 23 14 60.9 0.45 0.67 1.53 -1.22 1.25 -2.98 1.39 1.27
t+3% 23 14 60.9 0.53 0.37 1.54 -1.04 1.49 -1.86 1.43 1.65
t+4% 23 14 60.9 0.67 0.38 1.96 -1.35 1.46 -3.19 1.36 1.46
t+5% 23 13 56.5 0.39 0.20 1.67 -1.27 1.32 -3.59 1.04 0.89
t+10% 23 12 52.2 0.17 1.04 2.31 -2.18 1.06 -6.72 0.77 0.28
t+20% 23 15 65.2 0.26 1.59 2.68 -4.27 0.63 -15.12 0.88 0.28
1st +’ve in 5 days% 23 21 91.3 0.91 0.58 1.13 -1.40 0.81 -2.78 4.17 2.99

21/23 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 91 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 performance of $SPY ahead of fed day , when the prior day is either 9/10/11’th trading day of the month ,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
13-Jun-17 244.53 ?? ?? ?? ?? ?? ?? ??
14-Mar-17 235.87 0.87 0.67 0.49 0.38 -0.91 0.87 1
13-Dec-16 225.44 -0.83 -0.42 -0.61 -0.40 -0.01 -0.01 5
14-Jun-16 203.83 -0.14 0.16 -0.21 0.43 0.71 0.16 2
15-Mar-16 197.06 0.58 1.22 1.61 1.76 1.70 0.58 1
15-Dec-15 198.67 1.46 -0.08 -1.86 -1.05 -0.16 1.46 1
16-Sep-15 192.97 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 5
16-Sep-14 189.53 0.13 0.67 0.58 -0.20 -0.77 0.13 1
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
14-Mar-11 114.42 -1.15 -2.98 -1.69 -1.33 0.20 0.20 5
13-Dec-10 109.02 0.09 -0.37 0.21 0.32 0.56 0.09 1
15-Mar-10 99.65 0.80 1.39 1.34 0.83 1.37 0.80 1
15-Dec-09 95.57 0.15 -1.05 -0.49 0.52 0.88 0.15 1
15-Dec-08 73.41 4.71 3.69 1.75 1.32 0.02 4.71 1
15-Sep-08 99.88 1.67 -2.90 -0.02 3.95 1.60 1.67 1
17-Mar-08 105.66 4.15 1.57 3.46 5.52 5.63 4.15 1
17-Sep-07 120.75 2.94 3.55 2.82 3.10 2.91 2.94 1
13-Dec-04 93.47 0.35 0.42 0.37 -0.30 -0.28 0.35 1
15-Mar-04 85.12 0.53 1.65 1.68 0.22 -1.05 0.53 1
15-Sep-03 77.49 1.46 1.26 2.46 1.94 0.84 1.46 1
17-Mar-03 65.36 0.59 1.36 1.58 3.75 0.30 0.59 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
14-Nov-00 101.54 0.31 -1.26 -1.79 -3.19 -2.70 0.31 1
15-May-00 105.52 0.97 -0.09 -1.31 -2.86 -3.59 0.97 1
  • highlighted in red were those 2 losses when $SPY failed to close higher in the next five days

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tickalert

when $SPY posts an inside day ahead of fed day

 when $SPY posts an inside day ahead of fed day

when $SPY posts an inside day ahead of fed day

 

with $SPY posting an inside day , at close  , as on 12th Jun 2017 , below trading strategy rules

 1)  $SPY posts an inside day ( lower high and higher low )

2) current trading day is either one or two trading days , before the fed 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 31 17 54.8 0.23 0.15 0.90 -0.58 1.56 -1.82 1.62 1.32
t+2 31 23 74.2 0.52 0.38 0.97 -0.77 1.26 -1.63 3.37 2.67
t+3 31 21 67.7 0.53 0.39 1.31 -1.10 1.19 -2.45 2.31 2.03
t+4 31 21 67.7 0.35 0.44 1.43 -1.93 0.75 -2.98 1.28 1.02
t+5 31 19 61.3 0.51 0.28 1.71 -1.38 1.24 -2.96 1.81 1.41
t+10 31 18 58.1 0.33 0.55 2.17 -2.22 0.98 -4.71 1.21 0.68
t+20 31 21 67.7 0.60 0.74 2.37 -3.13 0.76 -9.06 1.67 1.01
1st +’ve exit in 5 days 31 31 100.0 0.71 0.48 0.71 INF INF 0.05 NA 5.87

31/31 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

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 posting an inside day , either one or two trading days ahead of fed day since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
12-Jun-17 243.36 ?? ?? ?? ?? ?? ?? ??
2-May-17 238.77 -0.12 0.00 0.39 0.37 0.28 0.39 3
13-Mar-17 236.78 -0.38 0.48 0.28 0.11 0.00 0.48 2
31-Oct-16 210.39 -0.72 -1.32 -1.77 -1.88 0.28 0.28 5
20-Sep-16 211.25 1.12 1.76 1.20 0.38 1.01 1.12 1
26-Oct-15 200.58 -0.19 0.94 0.88 0.45 1.64 0.94 2
17-Mar-15 198.61 1.20 0.74 1.63 1.43 0.86 1.20 1
27-Oct-14 186.31 1.15 0.99 1.64 2.80 2.86 1.15 1
28-Jan-14 167.74 -0.96 0.09 -0.50 -2.74 -2.06 0.09 2
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
29-Jul-13 156.31 0.00 0.07 1.23 1.40 1.25 0.07 2
11-Sep-12 130.51 0.33 1.86 2.31 1.97 1.88 0.33 1
25-Jan-10 94.72 -0.42 0.05 -1.09 -2.17 -0.65 0.05 2
3-Nov-09 89.82 0.26 2.10 2.37 4.70 4.72 0.26 1
27-Jan-09 71.29 3.38 0.02 -2.01 -2.31 -0.93 3.38 1
23-Jun-08 109.33 -0.20 0.27 -2.45 -2.98 -2.64 0.27 2
8-May-06 105.50 0.20 0.14 -1.07 -2.36 -2.16 0.20 1
9-Dec-05 99.77 0.10 0.78 1.17 0.88 0.55 0.10 1
8-Nov-04 90.67 -0.20 -0.12 0.64 1.43 1.68 0.64 3
9-Aug-04 82.50 1.29 1.08 -0.02 0.18 1.21 1.29 1
29-Jun-04 87.83 0.54 -0.86 -0.91 -1.78 -1.49 0.54 1
3-May-04 86.15 -0.08 0.56 -0.30 -1.95 -2.96 0.56 2
12-Mar-04 86.18 -1.23 -0.70 0.41 0.44 -1.00 0.41 3
8-Dec-03 81.96 -0.77 -0.78 0.33 0.53 0.03 0.33 3
15-Sep-03 77.48 1.46 1.26 2.46 1.94 0.84 1.46 1
24-Jun-03 74.78 -1.00 0.28 -0.87 -0.90 0.01 0.28 2
28-Jan-03 64.65 0.76 -1.63 0.27 0.47 -0.52 0.76 1
12-Aug-02 67.62 -1.82 1.77 3.18 2.87 5.27 1.77 2
1-Oct-01 77.05 1.26 2.95 3.04 2.84 2.17 1.26 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
29-Sep-00 104.83 0.15 -0.78 0.04 0.39 -1.78 0.15 1
18-Aug-00 108.98 0.54 0.38 0.77 1.09 1.04 0.54 1
avg 0.23 0.52 0.53 0.35 0.51 0.71 1.68
med 0.15 0.38 0.39 0.44 0.28 0.48 1.63
stdevp 0.99 1.09 1.46 1.92 2.04 0.67
t-test 1.32 2.67 2.03 1.01 1.41 5.88

could it be a straight 32 winner ?

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

$SPY posts 2 unfilled gap downs in row ?

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

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

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

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

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

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

54/59 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 63 bps

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

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

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

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

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

 

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

29/29 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 57 bps

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

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

will it be 30 winning trades in row ??

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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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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 !!

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check out the new look of the paststat

few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 bps

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

below the historical instances of $SPY forward 1/2/3/4/5 trading returns , when $SPY closes in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $SPY , 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 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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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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