$SPY from 10th trading day since 2015

$SPY from 10th trading day since 2015

$SPY from 10th trading day close , since 2015

trading strategy rules ,

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

2) trading odds for the next 1/2/3/4/5/10/20 trading days , since 1st Jan 2015

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % Profit Factor
t+1 36 25 69.4 0.41 0.24 0.69 -0.24 2.90 -0.50 5.58
t+2 36 29 80.6 0.49 0.33 0.74 -0.53 1.39 -1.18 5.03
t+3 36 27 75.0 0.52 0.41 0.90 -0.64 1.42 -1.40 3.54
t+4 36 27 75.0 0.56 0.41 1.01 -0.79 1.28 -2.60 3.18
t+5 36 28 77.8 0.59 0.60 1.12 -1.26 0.89 -5.53 2.69
t+10 36 26 72.2 0.68 0.54 1.48 -1.41 1.06 -4.84 2.51
t+20 35 25 71.4 1.18 1.23 2.37 -1.79 1.32 -6.40 3.04
1st +’ve exit in 5 days % 36 36 100.0 0.59 0.47 0.59 INF INF 0.05 NA

36/36 times , since Jan 2015 ( indeed from feb 2014 , 47/47) , $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 59 bps , and a median of 47 bps 

below the $SPY returns for the next 1/2/3/4/5 trading days since 1st Jan 2015

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #  days to 1st +’ve cls
16-Jan-17 ?? ?? ?? ?? ?? ?? ?? ??
14-Dec-17 264.32 0.83 1.47 1.08 1.03 1.23 0.83 1
14-Nov-17 256.43 -0.50 0.35 0.05 0.22 0.88 0.35 2
13-Oct-17 253.66 0.13 0.20 0.30 0.33 0.85 0.13 1
15-Sep-17 247.93 0.21 0.31 0.35 0.08 0.10 0.21 1
14-Aug-17 244.09 -0.01 0.16 -1.40 -1.55 -1.48 0.16 2
17-Jul-17 243.09 0.05 0.59 0.64 0.55 0.53 0.05 1
14-Jun-17 240.64 -0.19 -0.17 0.66 -0.02 -0.04 0.66 3
12-May-17 235.45 0.55 0.46 -1.32 -0.92 -0.28 0.55 1
17-Apr-17 231.11 -0.30 -0.48 0.33 0.01 1.11 0.33 3
14-Mar-17 232.39 0.87 0.67 0.49 0.38 -0.91 0.87 1
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
17-Jan-17 221.94 0.22 -0.15 0.22 -0.04 0.60 0.22 1
14-Dec-16 220.28 0.41 0.22 0.43 0.82 0.54 0.41 1
14-Nov-16 211.22 0.78 0.59 1.11 0.88 1.64 0.78 1
14-Oct-16 207.84 -0.35 0.28 0.54 0.36 0.40 0.28 2
15-Sep-16 208.88 -0.38 -0.37 -0.36 0.76 1.39 0.76 4
12-Aug-16 211.97 0.29 -0.23 -0.04 0.18 0.04 0.29 1
15-Jul-16 209.42 0.27 0.17 0.58 0.20 0.65 0.27 1
14-Jun-16 200.81 -0.14 0.16 -0.21 0.43 0.72 0.16 2
13-May-16 197.65 0.99 0.04 0.07 -0.27 0.36 0.99 1
14-Apr-16 200.78 -0.11 0.59 0.91 1.00 0.46 0.59 2
14-Mar-16 194.46 -0.16 0.41 1.05 1.45 1.59 0.41 2
12-Feb-16 179.22 1.69 3.35 2.93 2.88 4.37 1.69 1
15-Jan-16 180.36 0.13 -1.15 -0.60 1.44 -0.09 0.13 1
14-Dec-15 193.68 1.05 2.53 0.97 -0.82 0.00 1.05 1
13-Nov-15 193.33 1.52 1.45 3.06 2.97 3.34 1.52 1
14-Oct-15 190.23 1.54 2.00 2.05 1.92 1.28 1.54 1
15-Sep-15 188.44 0.87 0.64 -1.00 -0.48 -1.78 0.87 1
14-Aug-15 198.85 0.56 0.27 -0.53 -2.60 -5.53 0.56 1
15-Jul-15 199.98 0.80 0.89 0.94 0.54 0.36 0.80 1
12-Jun-15 198.44 -0.43 0.11 0.28 1.32 0.87 0.11 2
14-May-15 200.52 0.11 0.42 0.39 0.32 0.61 0.11 1
15-Apr-15 198.84 -0.03 -1.18 -0.28 -0.39 0.10 0.10 5
13-Mar-15 193.63 1.34 1.03 2.25 1.78 2.68 1.34 1
13-Feb-15 197.35 0.16 0.17 0.10 0.70 0.68 0.16 1
15-Jan-15 187.23 1.31 1.53 2.04 3.56 2.99 1.31 1

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when $SPY posts 8++ 20 day high closes in last 9 trading days

when $SPY posts 8++ 20 day high closes in last 9 trading days

$SPY posts 8 or more 20 day high closes in last 9 trading days

below trading strategy rules

1) $SPY posts 8 or more 20 day high closes in last 9 trading days

2) below the backtest results for the next 1/2/3/4/5/10/20 trading days , since Y2K

# is on lower end at 19 ( ps: we consider anything below 25 is on lower end) , but its good to know

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 11 57.9 0.13 0.03 0.39 -0.23 1.72 -0.50 1.58 1.51
t+2 19 16 84.2 0.27 0.17 0.42 -0.57 0.74 -1.05 2.47 2.15
t+3 19 17 89.5 0.51 0.54 0.62 -0.39 1.59 -0.75 8.03 4.35
t+4 19 18 94.7 0.70 0.68 0.77 -0.67 1.16 -0.67 12.31 5.96
t+5 19 16 84.2 0.79 0.86 0.97 -0.19 5.25 -0.39 17.68 5.63
t+10 19 17 89.5 1.16 1.28 1.30 -0.09 14.44 -0.17 87.79 7.75
t+20 19 14 73.7 1.82 2.40 3.09 -1.75 1.77 -3.16 2.69 3.40
1st +’ve exit in 5 days % 19 18 94.7 0.32 0.31 0.36 -0.39 0.91 -0.39 9.40 4.16

since Y2K , 18/19 times , $SPY closed higher than the current trading day’s close ,after 4 trading days , at an average 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 posting 8 or more 20 day high closings , since Y2K , and the forward 1/2/3/4/5 trading day’s returns

Date Close t+1% t+2% t+3% t+4% t+5% t+10% 1st +’ve exit in 5 days %
12-Jan-18 277.92 ?? ?? ?? ?? ?? ?? ??
18-Nov-14 192.31 -0.16 0.01 0.55 0.83 0.76 1.14 0.01
17-Nov-14 191.21 0.58 0.42 0.59 1.13 1.41 1.33 0.58
11-Nov-14 191.03 -0.11 0.00 0.03 0.09 0.67 1.44 0.00
10-Jun-14 181.28 -0.35 -1.05 -0.75 -0.67 -0.39 0.02 -0.39
15-May-13 150.92 -0.47 0.49 0.49 0.63 -0.11 -0.17 0.49
14-May-13 150.11 0.54 0.07 1.03 1.03 1.17 -0.01 0.54
22-Dec-10 109.02 -0.14 -0.10 0.04 0.11 -0.05 1.28 0.04
21-Dec-10 108.68 0.31 0.17 0.21 0.35 0.42 1.79 0.31
20-Dec-10 107.99 0.63 0.95 0.80 0.84 0.99 1.91 0.63
18-Mar-10 99.49 -0.50 0.03 0.73 0.24 0.08 1.07 0.03
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.33 0.68
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 1.27 0.59
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 2.01 0.80
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 1.39 0.03
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 1.46 0.01
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 2.05 0.42
18-Apr-07 117.80 -0.03 0.92 0.54 0.58 1.50 1.54 0.92
17-Apr-07 117.65 0.12 0.10 1.04 0.66 0.70 1.07 0.12
16-Apr-07 117.34 0.27 0.39 0.36 1.31 0.93 1.08 0.27
avg 0.13 0.27 0.51 0.70 0.79 1.16 0.32
med 0.03 0.17 0.54 0.68 0.86 1.28 0.31
std 0.38 0.54 0.51 0.51 0.61 0.65 0.33
t-test 1.51 2.15 4.35 5.96 5.63 7.75 4.16
# 19 19 19 19 19 19 19
wins 11 16 17 18 16 17 18
%wins 57.89 84.21 89.47 94.74 84.21 89.47 94.74
avg win 0.39 0.42 0.62 0.77 0.97 1.30 0.36
avg loss -0.23 -0.57 -0.39 -0.67 -0.19 -0.09 -0.39
maxloss -0.50 -1.05 -0.75 -0.67 -0.39 -0.17 -0.39

10th Jan 2014 is the only time when $SPY failed to close higher after 4 trading days.

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tickalert

when $SPY posts 5 or more up days in 1st quarter

when $SPY posts 5 or more up days in 1st quarter

$SPY when up for 5 or more days , during the 1st qtr

trading strategy rules

1) $SPY posts 5 or more up days

2) & its first quarter of the year

3) since 1 Jan 2007

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
08-Jan-18 273.92 ?? ?? ?? ?? ?? ?? ??
15-Feb-17 230.45 -0.09 0.07 0.67 0.58 0.65 0.07 2
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
13-Feb-17 228.34 0.40 0.92 0.84 1.00 1.60 0.40 1
07-Mar-16 192.63 -1.09 -0.60 -0.52 1.08 0.95 1.08 4
18-Feb-15 197.68 -0.07 0.53 0.51 0.80 0.71 0.53 2
17-Feb-15 197.66 0.01 -0.06 0.54 0.52 0.81 0.01 1
18-Feb-14 170.00 -0.66 -0.08 -0.19 0.36 0.33 0.36 4
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
13-Feb-14 168.87 0.55 0.67 0.01 0.60 0.48 0.55 1
12-Feb-14 168.00 0.52 1.07 1.19 0.52 1.11 0.52 1
11-Mar-13 141.12 -0.22 -0.08 0.45 0.32 -0.24 0.45 3
08-Mar-13 140.59 0.38 0.15 0.30 0.83 0.70 0.38 1
07-Mar-13 139.99 0.43 0.81 0.58 0.72 1.26 0.43 1
25-Jan-13 135.90 -0.12 0.27 -0.12 -0.37 0.66 0.27 2
24-Jan-13 135.14 0.56 0.44 0.84 0.44 0.19 0.56 1
13-Mar-12 123.93 -0.11 0.47 0.61 1.00 0.71 0.47 2
27-Jan-11 112.66 -1.75 -1.01 0.58 0.38 0.61 0.58 3
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.68 4
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 0.59 1
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 0.80 1
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 0.03 1
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 0.01 1
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 0.42 1
09-Mar-10 97.29 0.45 0.86 0.87 0.90 1.70 0.45 1
08-Mar-10 97.13 0.17 0.61 1.03 1.04 1.07 0.17 1
05-Mar-10 97.11 0.02 0.18 0.63 1.05 1.06 0.02 1
04-Mar-10 95.75 1.43 1.45 1.62 2.07 2.49 1.43 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 0.66 5
11-Jan-10 97.52 -0.93 -0.10 0.17 -0.95 0.29 0.17 3
08-Jan-10 97.39 0.14 -0.79 0.04 0.31 -0.81 0.14 1
07-Feb-07 115.69 -0.13 -0.87 -1.21 -0.38 0.28 0.28 5
06-Feb-07 115.44 0.22 0.09 -0.66 -0.99 -0.16 0.22 1
05-Feb-07 115.40 0.03 0.25 0.12 -0.63 -0.97 0.03 1
avg 0.04 0.23 0.40 0.55 0.75 0.41 1.82
med 0.03 0.25 0.51 0.60 0.71 0.42 1.00
std 0.61 0.61 0.61 0.68 0.70 0.31
t 0.38 2.14 3.75 4.61 6.10 7.53
n 33 33 33 33 33 33
wins 21 22 26 26 29 33
% wins 63.64 66.67 78.79 78.79 87.88 100.00
avg win 0.37 0.57 0.63 0.84 0.93 0.41
avg loss -0.54 -0.45 -0.45 -0.54 -0.54
max loss -1.75 -1.01 -1.21 -0.99 -0.97

33/33 times , since Jan 2007 , $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 41 bps , and a median of 42 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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when $SPX gets out of the gate strongly

when $SPX gets out of the gate strongly

when $SPX gains by more than 2% during the first 4 days since 1950

firstly a very happy and new prosperous new year to the readers !!

with 4 trading days gone by into the new 2018 ,

below a look at the rest of the year returns for $SPX , since 1950 , when as on 4th trading day $SPX gains by more than 1%

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
06-Jan-17 2276.98 1.70 2673.61 17.42
07-Jan-13 1461.89 2.50 1848.36 26.44
06-Jan-12 1277.81 1.61 1426.19 11.61
06-Jan-11 1273.85 1.29 1257.60 -1.28
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-04 1126.33 1.30 1211.92 7.60
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-02 1164.89 1.46 879.82 -24.47
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-97 753.23 1.69 970.43 28.84
06-Jan-89 280.67 1.06 353.40 25.91
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
07-Jan-86 213.80 1.19 242.17 13.27
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
05-Jan-73 119.87 1.54 97.55 -18.62
06-Jan-72 103.51 1.39 118.05 14.05
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-63 64.12 1.62 75.02 17.00
07-Jan-58 41.00 2.53 55.21 34.66
07-Jan-54 25.06 1.01 35.98 43.58
05-Jan-51 20.87 2.15 23.77 13.90
06-Jan-50 16.98 1.92 20.43 20.32
avg 13.21
med 13.97
std 14.08
t-test 4.97
n 28.00
wins 23.00
% wins 82.14
avg win % 18.21
avg loss % -9.76
max loss % -24.47

vs

when $SPX returns are less than 1% during the first 4 trading days of the year , since 1950

n 40
wins 25
% wins 62.5
avg 5.37
med 4.99
avg win % 15.21
avg loss % -11.04

2) when $SPX returns are more than 2% as on 4 the trading of the year ,

nothing bearish here !!

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
07-Jan-13 1461.89 2.50 1848.36 26.44
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-58 41.00 2.53 55.21 34.66
05-Jan-51 20.87 2.15 23.77 13.90
      avg 14.32
      med 13.90
      std 9.82
      t-test 7.72
      n 15.00
      wins 13.00
      % wins 86.67
      avg win % 16.86
      avg loss % -2.22
      max loss % -3.23

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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