when $SPY posts best one day gain in a year

when $SPY best one day gain in a year

when $SPY posts biggest one day gainer in a year

with $SPY posting a best one day gain in terms of percentages in a year ( i;e 250 trading days) below trading strategy rule

1) $SPY posts biggest one day percentage rally in a 250 trading days

below the returns for $SPY longs over 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+1 25 6 24.0 -0.63 -0.54 0.67 -1.04 0.65 -4.42 0.09
t+2 25 11 44.0 -1.14 -0.13 0.78 -2.64 0.29 -11.18 0.15
t+3 25 11 44.0 -0.80 -0.15 1.47 -2.59 0.57 -7.48 0.32
t+4 25 8 32.0 -0.85 -0.44 2.09 -2.23 0.94 -8.03 0.25
t+5 25 12 48.0 -0.39 -0.10 1.72 -2.34 0.74 -7.51 0.42
1st +’ve exit in 5 days % 25 17 68.0 -0.55 0.28 0.69 -3.20 0.22 -7.51 0.27
1st -‘ve exit in 5 days % 25 24 96.0 0.86 -0.71 -0.95 1.36 0.70 1.36 8.89

24/25 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 86 bps and a median of 71 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 ( 26th Mar 2018 close ) , or at the end of the 5th trading day at close

below the historical returns of $SPY after posting biggest one day gainer in a year , since Y2K

Date Close t% 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 #day to 1st -‘ve cls
26-Mar-18 265.11 2.74 ?? ?? ?? ?? ?? ?? ?? ?? ??
06-Feb-18 268.05 1.97 -0.54 -4.27 -2.84 -1.41 -1.16 -1.16 -0.54 5 1
26-Jan-18 285.43 1.16 -0.66 -1.68 -1.63 -1.74 -3.88 -3.88 -0.66 5 1
26-Aug-15 183.90 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38 1 4
18-Dec-14 192.69 2.47 0.42 0.89 1.02 1.03 1.36 0.42 1.36 1 5
21-Oct-14 180.84 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71 2 1
08-Oct-14 183.24 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98 5 1
02-Jan-13 131.58 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23 2 1
09-Aug-11 102.36 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42 3 1
10-May-10 98.75 4.40 -0.28 1.11 -0.15 -1.95 -1.90 1.11 -0.28 2 1
13-Oct-08 83.18 14.52 -1.48 -11.18 -7.48 -8.03 -2.51 -2.51 -1.48 5 1
18-Mar-08 107.98 4.15 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 3 1
11-Mar-08 107.15 3.59 -0.94 -0.72 -2.25 -3.24 0.78 0.78 -0.94 5 1
28-Nov-07 118.28 3.20 0.03 1.04 0.37 -0.52 1.14 0.03 -0.52 1 4
13-Nov-07 119.04 3.05 -0.28 -1.72 -1.55 -2.92 -2.32 -2.32 -0.28 5 1
18-Sep-07 121.98 2.94 0.59 -0.12 0.15 -0.03 -0.23 0.59 -0.12 1 2
29-Aug-07 117.25 1.96 -0.27 0.72 1.73 0.85 1.09 0.72 -0.27 2 1
17-Aug-07 115.78 1.84 -0.05 0.15 1.34 1.25 2.50 0.15 -0.05 2 1
15-Jun-06 98.65 2.12 -0.73 -1.51 -1.17 -0.44 -0.88 -0.88 -0.73 5 1
21-Apr-05 89.17 1.94 -0.38 0.28 -0.70 -0.31 -1.56 0.28 -0.38 2 1
01-Oct-04 86.34 1.69 0.17 0.22 0.91 -0.18 -1.00 0.17 -0.18 1 4
24-Jul-02 62.04 5.97 -0.85 1.04 5.96 7.34 7.60 1.04 -0.85 2 1
05-Jul-02 72.73 3.98 -1.25 -3.74 -7.24 -6.48 -7.51 -7.51 -1.25 5 1
08-May-02 79.55 3.72 -1.16 -3.02 -1.05 1.11 0.72 1.11 -1.16 4 1
03-Jan-01 96.99 4.80 -1.08 -4.31 -3.56 -3.82 -2.13 -2.13 -1.08 5 1
07-Jan-00 103.61 5.81 0.34 -0.86 -1.84 -0.51 0.84 0.34 -0.86 1 2

highlighted in red is the only instance , since Y2K , when $SPY failed to lower than entry before 5 trading days 

ps: busy with a book editing that we are publishing in few weeks down the line , so is the reason for break from blogging

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when $SPY down for 3 or more days in row in march

when $SPY down for 3 or more days in row in march

$SPY down for more than 3 days in row in marchwith $SPY down for 3 days in row , below trading strategy rules

1) $SPY down for 3 or more days in row

2) current trading month is march

below the trading odds for $SPY , 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+1 31 25 80.6 0.68 0.35 1.01 -0.68 1.47 -1.30 3.97
t+2 31 24 77.4 1.05 0.82 1.56 -0.71 2.21 -1.81 5.93
t+3 31 24 77.4 1.02 0.64 1.79 -1.64 1.09 -2.55 3.55
t+4 31 20 64.5 0.67 0.33 1.78 -1.34 1.33 -3.75 2.15
t+5 31 24 77.4 1.34 1.02 2.14 -1.41 1.52 -4.12 4.40
1st +’ve exit in 5 days % 31 30 96.8 0.88 0.63 0.96 -1.33 0.72 -1.33 8.41

30/31 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 88 bps and a median gains of 63 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 down for 3 or more days in row , in march , 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
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
27-Mar-17 230.17 0.73 0.82 1.14 0.91 0.73 0.73 1
21-Mar-17 230.28 0.24 0.13 0.06 -0.05 0.68 0.24 1
20-Mar-17 233.28 -1.28 -1.05 -1.16 -1.23 -1.33 -1.33 5
08-Mar-17 232.06 0.13 0.48 0.53 0.14 1.01 0.13 1
24-Mar-16 196.06 0.06 0.98 1.43 1.18 1.87 0.06 1
26-Mar-15 193.96 0.23 1.45 0.57 0.21 0.57 0.23 1
25-Mar-15 194.42 -0.24 -0.01 1.21 0.33 -0.03 1.21 3
19-Mar-13 140.46 0.70 -0.16 0.64 0.22 1.02 0.70 1
29-Mar-12 124.62 0.41 1.15 0.73 -0.26 -0.31 0.41 1
22-Mar-12 123.71 0.32 1.73 1.42 0.91 0.74 0.32 1
06-Mar-12 119.23 0.70 1.70 2.09 2.10 3.94 0.70 1
16-Mar-11 109.36 1.32 1.69 3.27 2.91 3.20 1.32 1
26-Mar-10 99.51 0.63 0.70 0.36 1.05 1.87 0.63 1
03-Mar-09 58.21 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
28-Mar-08 107.22 0.35 3.88 3.95 4.21 4.09 0.35 1
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
04-Mar-08 107.90 0.63 -1.45 -2.47 -3.75 -0.29 0.63 1
03-Mar-08 108.31 -0.38 0.25 -1.83 -2.84 -4.12 0.25 2
28-Mar-07 113.44 0.11 0.13 0.24 1.32 1.43 0.11 1
05-Mar-07 109.43 1.71 1.61 2.47 2.50 2.65 1.71 1
07-Mar-06 100.10 0.21 -0.46 0.48 0.67 1.73 0.21 1
06-Mar-06 100.26 -0.16 0.05 -0.62 0.33 0.51 0.05 2
22-Mar-05 90.21 0.09 0.21 0.35 -0.32 1.09 0.09 1
23-Mar-04 82.85 0.08 1.41 1.43 2.86 3.21 0.08 1
11-Mar-04 83.81 1.31 0.07 0.60 1.73 1.75 1.31 1
10-Mar-04 84.91 -1.30 0.00 -1.23 -0.70 0.41 0.41 5
14-Mar-02 84.66 0.95 0.97 1.64 -0.27 -0.23 0.95 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
14-Mar-00 97.51 2.33 7.11 7.82 7.27 9.47 2.33 1
08-Mar-00 97.69 2.92 2.37 1.26 -0.18 2.15 2.92 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days ,

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when $SPY lost by more than 1% for 3 or more days

when $SPY lost by more than 1% for 3 or more days

3 , 1% down days in row

with $SPY losing more than 1% for 3 or more consecutive days , below the $SPY trading odds 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+1 31 22 71.0 1.06 0.52 2.58 -2.65 0.97 -6.98 1.88
t+2 31 18 58.1 1.21 0.91 4.08 -2.78 1.47 -9.33 1.84
t+3 31 18 58.1 0.89 1.59 4.04 -3.48 1.16 -13.39 1.45
t+4 31 22 71.0 1.62 1.32 3.61 -3.22 1.12 -15.49 2.47
t+5 31 18 58.1 1.74 1.54 4.71 -2.37 1.99 -7.68 2.27
1st +’ve exit in 5 days % 31 29 93.5 2.58 1.60 2.94 -2.72 1.08 -3.22 11.93

29/31 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 258 bps and a median gains of 160 bps

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

as there was once during a sequence of 7 , 1% down moves during 6-10 oct 2008 , and few other times when it went to 4 consecutive 1% down days , here the trading odds for $SPY , when $SPY falls by more than 1% for exactly 3 days ( that is the first occurrence of 3 consecutive , 1% down  days)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 24 18 75.0 0.79 0.52 1.72 -1.99 0.86 -4.48 2.10
t+2 24 14 58.3 0.88 0.90 2.67 -1.62 1.65 -6.89 1.99
t+3 24 12 50.0 0.33 -0.03 3.47 -2.81 1.23 -13.39 1.01
t+4 24 16 66.7 0.72 0.61 2.84 -3.53 0.80 -15.49 1.35
t+5 24 13 54.2 1.25 0.74 4.07 -2.08 1.96 -5.03 1.86
1st +’ve exit in 5 days % 24 22 91.7 1.54 1.08 1.93 -2.72 0.71 -3.22 6.15

below the prior instances of $SPY falling by more than 1% for 3 or more days in row , 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
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
08-Jan-16 184.30 0.10 0.91 -1.61 0.01 -2.14 0.10 1
25-Aug-15 177.82 3.84 6.41 6.41 5.55 2.40 3.84 1
24-Aug-15 179.93 -1.18 2.62 5.16 5.16 4.31 2.62 2
13-Oct-14 175.34 0.15 -0.52 -0.61 0.57 1.54 0.15 1
22-Jan-10 92.83 0.51 0.09 0.57 -0.59 -1.67 0.51 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
12-Nov-08 70.71 6.23 0.93 -0.41 1.47 -5.03 6.23 1
10-Oct-08 72.92 14.52 12.82 1.72 5.95 5.32 14.52 1
09-Oct-08 74.74 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 80.35 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 82.42 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
06-Oct-08 86.29 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 5
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
22-Jan-08 106.06 2.40 3.27 1.77 3.46 3.97 2.40 1
15-Apr-05 88.09 0.31 1.10 -0.31 1.63 1.24 0.31 1
22-Jan-03 65.43 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
11-Nov-02 65.19 0.79 0.90 2.80 3.56 2.52 0.79 1
07-Oct-02 58.44 1.57 -1.30 1.90 6.36 6.95 1.57 1
04-Oct-02 59.68 -2.07 -0.53 -3.34 -0.21 4.16 4.16 5
19-Sep-02 62.28 0.03 -0.79 -2.39 0.03 1.67 0.03 1
05-Aug-02 61.59 3.37 5.17 8.57 8.98 8.18 3.37 1
23-Jul-02 58.78 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.74 3.07 2.19 4.14 9.21 3.07 2
10-Jul-02 67.73 0.81 -0.29 0.24 -1.69 -1.50 0.81 1
21-Jun-02 73.00 0.52 -1.73 -1.57 0.15 -0.32 0.52 1
21-Sep-01 70.83 3.52 4.59 4.22 5.13 7.36 3.52 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
21-Feb-01 90.61 0.15 -0.53 1.59 0.65 -1.33 0.15 1
15-Dec-00 94.47 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
19-May-00 100.98 -0.75 -2.21 -0.62 -2.33 -2.21 -2.21 5
14-Apr-00 97.31 3.49 6.23 5.24 5.74 4.60 3.49 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days ,

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when $SPY loses by more than 1stdevp(50) on last but one day of the month

when $SPY loses by more than 1stdevp(50) on last but one day of the month

$SPY turn of the month

 

with $SPY losing by more than -110.97% of the standard deviation’s calculated on the last 50 day percent changes , below trading strategy rules

  • current trading day is last but one trading day of the month
  • $SPY lost by more than 1 stdevp(50)

below the trading odds for longs , for $SPY , over 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+1 30 20 66.7 0.50 0.43 1.09 -0.68 1.59 -2.03 3.07
t+2 30 26 86.7 1.18 0.95 1.61 -1.63 0.99 -2.73 5.77
t+3 30 23 76.7 1.01 0.77 1.71 -1.30 1.31 -2.78 2.41
t+4 30 19 63.3 0.70 0.65 2.07 -1.67 1.24 -6.33 1.10
t+5 30 23 76.7 0.74 0.58 1.84 -2.86 0.64 -5.98 1.41
1st +’ve exit in 5 days % 30 30 100.0 1.07 0.75 1.07 INF INF NA NA

30/30 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 107 bps and a median gains of 75 bps

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

below prior instances of $SPY losing by more than 1stdevp(50) % on last but one trading day of the month , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #dasy to 1st +’ve cls
27-Feb-18 274.43 ?? ?? ?? ?? ?? ?? ??
30-Jan-18 281.76 0.05 -0.06 -2.24 -6.33 -4.48 0.05 1
30-Oct-17 255.46 0.16 0.29 0.33 0.66 0.82 0.16 1
29-Jun-17 238.95 0.19 0.36 0.59 -0.33 0.31 0.19 1
30-Jan-17 223.22 -0.01 0.03 0.10 0.79 0.61 0.03 2
29-Sep-16 209.36 0.75 0.51 0.00 0.44 0.51 0.75 1
28-Apr-16 200.24 -0.54 0.25 -0.62 -1.18 -1.20 0.25 2
29-Jun-15 195.05 0.21 1.01 0.92 0.63 1.27 0.21 1
28-Dec-12 126.65 1.70 4.31 4.07 4.53 4.24 1.70 1
30-May-12 117.10 -0.22 -2.73 -2.78 -2.04 0.16 0.16 5
28-Jan-11 110.70 0.75 2.36 2.17 2.40 2.69 0.75 1
30-Aug-10 90.31 0.00 2.99 3.95 5.30 4.11 2.99 2
29-Jun-10 89.37 -0.95 -1.39 -1.93 -1.29 1.82 1.82 5
28-Jan-10 92.29 -1.09 0.45 1.67 1.16 -1.96 0.45 2
27-Nov-09 92.64 0.34 1.58 1.53 0.74 1.31 0.34 1
30-Mar-09 65.93 0.93 2.88 5.89 6.94 6.10 0.93 1
29-Jan-09 70.24 -2.03 -2.33 -0.96 -1.44 0.02 0.02 5
29-Sep-08 91.78 4.14 4.20 0.42 -0.93 -5.98 4.14 1
27-Feb-07 111.14 1.03 0.72 -0.59 -1.54 0.14 1.03 1
30-May-06 99.03 1.12 2.09 2.30 0.81 0.56 1.12 1
28-Apr-05 88.13 1.36 1.93 2.10 2.89 2.85 1.36 1
30-Aug-04 83.96 0.52 0.71 1.85 1.44 2.11 0.52 1
29-Apr-04 84.64 -0.78 0.29 0.21 0.85 -0.02 0.29 2
27-Jun-03 73.03 -0.03 0.89 2.16 1.11 3.11 0.89 2
30-Jan-03 62.66 1.93 2.13 1.13 0.50 0.02 1.93 1
27-Sep-02 61.12 -1.16 3.59 0.48 -0.53 -2.36 3.59 2
30-Aug-01 82.20 0.73 0.09 0.34 -2.25 -4.06 0.73 1
30-Aug-00 107.83 1.33 1.43 0.62 -0.52 0.33 1.33 1
28-Jul-00 101.91 0.64 1.25 1.76 2.46 3.01 0.64 1
30-Mar-00 106.39 1.13 1.72 0.97 0.34 1.21 1.13 1
28-Jan-00 96.98 2.71 3.73 3.82 5.38 4.94 2.71 1

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a $SPY TOTM short covering pattern

a $SPY TOTM short covering pattern

TOTM short $SPY covering rally pattern below trading strategy rules

1) 4 more trading day’s remain in the month ( i.e TOTM , turn of the month as per our definition for this post )

2) as on current trading day $SPY lost by 4% or for the month ( as on 22nd Feb 2018 , $SPY lost minus 4.08% for the month)

below the $SPY forward returns 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+1 30 25 83.3 1.58 1.08 2.08 -0.94 2.21 -2.24 9.20
t+2 30 21 70.0 2.00 1.68 3.44 -1.36 2.53 -2.26 5.11
t+3 30 20 66.7 1.96 1.17 3.71 -1.55 2.40 -6.35 3.85
t+4 30 17 56.7 2.28 1.30 5.11 -1.41 3.63 -2.66 4.25
t+5 30 17 56.7 1.69 2.08 4.61 -2.14 2.15 -5.43 2.48
1st +’ve exit in 5 days % 30 29 96.7 1.83 1.19 1.99 -2.78 0.72 -2.78 21.58

29/30 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 183 bps and a median gains of 119 bps

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

below prior instances of $SPY short covering rally around TOTM ( for the lack of a better word we are using that , since Y2K

Date Close MTD% t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
22-Feb-18 270.40 -4.08 ?? ?? ?? ?? ?? ?? ??
25-Jan-16 180.19 -7.96 1.36 0.26 0.78 3.24 3.20 1.36 1
25-Aug-15 177.82 -11.04 3.84 6.41 6.41 5.55 2.40 3.84 1
24-May-12 117.78 -5.25 -0.32 0.88 -0.58 -0.80 -3.30 0.88 2
23-Nov-11 102.49 -7.12 -0.19 2.70 2.99 7.23 7.22 2.70 2
26-Sep-11 102.21 -4.40 1.12 -0.95 -0.16 -2.66 -5.43 1.12 1
25-Aug-11 101.72 -10.09 1.45 4.37 4.64 5.11 4.01 1.45 1
24-Jun-11 110.93 -5.53 0.89 2.21 3.08 4.07 5.61 0.89 1
24-May-10 91.93 -9.34 0.10 -0.50 2.83 1.54 -0.17 0.10 1
23-Feb-09 62.01 -9.88 3.79 2.97 1.30 -0.96 -5.43 3.79 1
26-Jan-09 69.51 -7.27 1.02 4.43 1.04 -1.02 -1.31 1.02 1
21-Nov-08 65.52 -17.88 6.93 7.72 11.88 13.29 3.26 6.93 1
27-Oct-08 69.17 -27.62 11.69 10.88 14.71 15.34 15.68 11.69 1
24-Sep-08 98.00 -7.14 1.56 1.61 -6.35 -2.47 -2.41 1.56 1
24-Jun-08 107.50 -6.05 0.47 -2.26 -2.79 -2.45 -2.14 0.47 1
25-Jan-08 107.94 -9.01 1.65 2.16 1.41 3.25 4.92 1.65 1
26-Nov-07 113.76 -8.86 1.15 4.38 4.42 5.47 4.77 1.15 1
24-May-06 99.09 -4.03 1.24 1.75 -0.06 1.06 2.03 1.24 1
26-Jul-04 82.61 -5.05 0.94 1.24 1.67 1.92 2.13 0.94 1
24-Dec-02 66.31 -4.47 0.04 -2.20 -1.39 -1.25 1.93 0.04 1
24-Sep-02 60.79 -9.92 2.48 4.16 0.53 -0.63 4.14 2.48 1
25-Jul-02 61.76 -15.12 1.90 6.87 8.26 8.52 5.69 1.90 1
24-Jun-02 73.38 -6.59 -2.24 -2.08 -0.37 -0.84 -2.78 -2.78 5
24-Apr-02 80.16 -4.46 0.05 -1.85 -2.33 -1.42 -0.21 0.05 1
24-Sep-01 73.32 -11.45 1.04 0.69 1.56 3.71 3.55 1.04 1
26-Mar-01 83.86 -6.21 2.04 -0.78 -0.40 0.65 -1.50 2.04 1
22-Feb-01 90.75 -8.18 -0.68 1.44 0.50 -1.48 -0.96 1.44 2
24-Nov-00 96.96 -5.67 0.88 -0.86 -1.04 -1.90 -1.95 0.88 1
25-Oct-00 98.02 -5.09 0.28 2.18 3.09 4.87 4.52 0.28 1
25-Sep-00 103.72 -5.07 -1.28 -0.76 0.52 -0.43 -0.28 0.52 3
24-Apr-00 101.78 -5.40 4.15 2.98 2.64 2.00 3.38 4.15 1

highlighted in red , during jun n2002 , is the only instance when the short covering rally didn’t materialize and closed lower at the end of the 5th trading day than our entry

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when $SPY closes at the bottom 1/3rd of the day’s range for 4 days in row

$SPY closes at the bottom1/3rd of the range for 4 days in row

$SPY bottom range closewith $SPY closing at bottom 22% of day’s range as on 22nd Feb 2018 , ( i.e range of 273.05-269.64 , and close being 270.40 , gives us a value of (270-04-269.64)/(273.05-269.64) = 0.22 or 22%

below the trading strategy rules ,

1) $SPY closes at the bottom 1/3rd of the day’s range for 4 or more days in row

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+1 33 21 63.6 0.47 0.49 1.41 -1.18 1.20 -2.96 1.78
t+2 33 21 63.6 0.52 0.58 1.65 -1.45 1.14 -5.62 1.88
t+3 33 24 72.7 1.21 0.77 1.95 -0.75 2.60 -2.70 6.39
t+4 33 26 78.8 1.61 1.08 2.30 -0.97 2.37 -2.80 9.69
t+5 33 24 72.7 2.02 1.38 3.11 -0.87 3.59 -1.90 9.24
1st +’ve exit in 5 days % 33 31 93.9 1.20 0.85 1.32 -0.64 2.07 -0.85 23.06

31/33 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 120 bps and a median gains of 85 bps

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

below prior instances of $SPY closing at the bottom 1/3rd range for 4 or more days in row , 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
22-Feb-18 270.40 ?? ?? ?? ?? ?? ?? ??
16-Dec-14 185.16 1.96 4.48 4.92 5.41 5.55 1.96 1
15-Dec-14 186.66 -0.80 1.14 3.64 4.08 4.56 1.14 2
14-Oct-14 175.61 -0.68 -0.76 0.41 1.39 3.39 0.41 3
19-Aug-13 150.48 0.49 -0.13 0.78 1.12 0.75 0.49 1
12-Oct-12 128.32 0.83 1.85 2.32 2.05 0.35 0.83 1
18-May-12 115.30 1.72 1.90 1.95 2.15 1.82 1.72 1
17-May-12 116.30 -0.86 0.85 1.02 1.08 1.28 0.85 2
16-May-12 118.05 -1.48 -2.33 -0.65 -0.47 -0.42 -0.42 5
15-May-12 118.50 -0.38 -1.86 -2.70 -1.03 -0.85 -0.85 5
19-Dec-11 106.44 3.03 3.23 4.14 5.07 5.15 3.03 1
16-Dec-11 107.59 -1.07 1.92 2.12 3.03 3.95 1.92 2
14-Jul-11 114.53 0.58 -0.24 1.37 1.31 2.72 0.58 1
08-Jun-11 111.78 0.76 -0.64 -0.56 0.70 -1.09 0.76 1
28-Oct-09 88.28 2.15 -0.81 -0.09 0.23 0.49 2.15 1
03-Mar-09 58.21 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
18-Jan-08 107.14 -1.01 1.36 2.22 0.74 2.41 1.36 2
24-May-07 120.83 0.42 0.78 1.60 1.50 2.00 0.42 1
21-Dec-05 98.58 0.52 0.58 -0.44 -0.22 -0.67 0.52 1
20-Dec-05 98.43 0.16 0.68 0.74 -0.29 -0.06 0.16 1
29-Mar-05 89.93 1.42 1.23 0.77 0.94 1.42 1.42 1
28-Mar-05 90.53 -0.66 0.74 0.55 0.10 0.27 0.74 2
25-Jan-05 89.84 0.30 0.47 0.47 1.10 1.74 0.30 1
24-Jan-05 89.59 0.28 0.58 0.76 0.76 1.38 0.28 1
05-Jan-05 90.71 0.51 0.36 0.84 0.14 0.47 0.51 1
04-Jan-05 91.34 -0.69 -0.19 -0.33 0.14 -0.55 0.14 4
19-Jul-04 83.74 1.27 -0.60 -0.33 -1.16 -1.35 1.27 1
30-Apr-04 83.98 1.07 0.99 1.64 0.77 -0.90 1.07 1
11-Mar-04 83.81 1.31 0.07 0.60 1.73 1.75 1.31 1
20-Sep-02 62.30 -0.82 -2.42 0.00 1.64 -1.90 1.64 4
23-Jul-02 58.78 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.74 3.07 2.19 4.14 9.21 3.07 2
19-Jul-02 62.28 -2.96 -5.62 0.01 -0.84 1.05 0.01 3
31-Oct-01 77.03 2.56 3.26 4.61 6.24 6.10 2.56 1

highlighted in red are 2 losing trading trades when $SPY failed to close higher than the entry over the next 5 trading days 

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tickalert

$SPY and rule #34

$SPY and rule #34

rule #34

 

ps: DO NOT search for images or anything on internet with “rule 34″ , it is NSFW !

below the trading strategy rules ,

  • current trading day is 34th for the year

below the returns for $SPY longs over 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+1 24 3 12.5 -0.72 -0.46 0.67 -0.91 0.73 -3.58 0.05
t+2 24 10 41.7 -0.35 -0.26 0.40 -0.89 0.45 -2.61 0.23
t+3 24 13 54.2 -0.20 0.12 0.60 -1.14 0.52 -2.74 0.44
t+4 24 14 58.3 -0.32 0.07 0.69 -1.73 0.40 -4.44 0.40
t+5 24 13 54.2 -0.33 0.05 0.63 -1.47 0.43 -4.51 0.44
1st +’ve exit in 5 days % 24 20 83.3 0.03 0.38 0.48 -2.22 0.21 -3.46 0.86
1st -‘ve exit in 5 days % 24 24 100.0 0.85 -0.60 -0.85 INF INF INF

24/24 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 85 bps and a median of 60 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 ( 20th Feb 2018 close ) , or at the end of the 5th trading day at close

below the historical returns of $SPY from 34th trading day of the year , sine 1994

Date Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % #days to 1st -‘ve cls
20-Feb-18 271.40 ?? ?? ?? ?? ?? ?? ??
21-Feb-17 231.99 -0.09 -0.02 0.11 0.26 -0.01 -0.09 1
22-Feb-16 187.05 -1.26 -0.81 0.39 0.16 -0.63 -1.26 1
20-Feb-15 198.72 -0.01 0.27 0.18 0.07 -0.27 -0.01 1
20-Feb-14 169.87 -0.11 0.44 0.40 0.41 0.93 -0.11 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 -0.61 1
21-Feb-12 120.75 -0.32 0.12 0.34 0.51 0.80 -0.32 1
18-Feb-11 116.60 -2.01 -2.61 -2.68 -1.64 -1.03 -2.01 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 -1.21 1
20-Feb-09 64.31 -3.58 0.08 -0.71 -2.32 -4.51 -3.58 1
20-Feb-08 110.28 -0.83 -0.22 1.04 1.80 1.69 -0.83 1
21-Feb-07 116.30 -0.08 -0.47 -0.55 -4.44 -3.46 -0.08 1
21-Feb-06 100.51 0.61 0.46 0.72 0.75 -0.20 -0.20 5
18-Feb-05 92.54 -1.49 -0.78 -0.12 0.86 0.20 -1.49 1
20-Feb-04 86.64 -0.25 -0.43 -0.01 0.05 0.12 -0.25 1
20-Feb-03 62.58 1.01 -0.63 0.17 -1.29 0.01 -0.63 2
20-Feb-02 80.80 -2.07 -0.86 0.78 0.57 0.96 -2.07 1
20-Feb-01 92.61 -2.16 -2.01 -2.67 -0.60 -1.52 -2.16 1
18-Feb-00 96.57 -0.25 0.92 -1.11 -1.47 0.60 -0.25 1
22-Feb-99 90.07 -0.05 -1.81 -2.74 -3.14 -2.87 -0.05 1
20-Feb-98 72.26 0.39 -0.39 0.84 1.42 1.42 -0.39 2
19-Feb-97 55.83 -1.21 -1.17 0.00 0.08 -0.90 -1.21 1
16-Feb-96 43.71 -0.99 0.24 1.83 1.54 0.10 -0.99 1
17-Feb-95 31.88 -0.03 0.71 0.87 1.13 0.32 -0.03 1
17-Feb-94 30.22 -0.60 0.40 0.13 -1.19 -0.73 -0.60 1

 

—–

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dissecting , $SPY returns under and above 50-DMA

dissecting , $SPY 50-DMA x’oversdisect

 

with $SPY closing above 50DMA as on 15 Feb close , after closing below as on 5 Feb 2018, below a study for your future reference

the first 50-DMA crossover , since Y2K , happened on 4th Jan 2000, when $SPY was at 99.74 , and crossed below 50-DMA , after being above 50-DMA as on previous trading.

we will consider points for the study , as they are additive and arithmetic in nature , while percent’s are geometric in nature ( for example a point change sum of 10, -10 , 10 and -10 is a zero loss  , while the same if considered is loss of -2%)

1) since 4th Jan 2000 , till 15th Feb 2018 , $SPY gains are 169 points ( 273-104) , for a total calendar days of 6617 ( 15 feb 2018 – 4 jan 2000)

2) since Y2K , buying $SPY under bearish 50-DMA cycle , that is going long , when $SPY crosses below and exiting when $SPY crosses above 50-DMA , translates to a total of 140 points , and by being in the market for 2340 calendar days

3) since Y2K, buying $SPY under bullish 50-DMA cycle , that is going long , when $SPY crosses above and exiting when $SPY crosses below 50-DMA , translates to a total of 33 points , and by being in the market for 4277 calendar days

now translating the average gains by 1/100th of point per day under each period ,

Gain in pts Days pt gain per day * 100
all period 169 6617 2.6
bull 33 4277 0.8
bear 140 2340 6.0

that’s a whopping gains of 7.7x ( 6/0.8) times for being in the market during bearish 50-DMA period vs bullish period

point is do not fear to go aggressive with longs or the least ,  for heaven’s sake, do not get out of the market by using that cute stop of 50-DMA , the least pain you can bear for one’s own longer term wealth creation

below the table with all bull/bear 50-DMA periods since Y2K , along with $SPY , and the dates .

$SPY 50-DMA Bullish X’overs

Date Bull Start Date Bull End Gains Days
15-Feb-18 273.0 ?? ?? ?? ??
29-Aug-17 242.4 05-Feb-18 263.9 21.5 160
22-Aug-17 243.0 23-Aug-17 242.1 -0.9 1
14-Aug-17 244.1 17-Aug-17 240.7 -3.4 3
18-May-17 233.3 10-Aug-17 241.3 8.0 84
24-Apr-17 233.7 17-May-17 232.3 -1.4 23
20-Apr-17 231.9 21-Apr-17 231.1 -0.8 1
17-Apr-17 231.1 18-Apr-17 230.4 -0.7 1
09-Nov-16 211.0 12-Apr-17 230.6 19.6 154
10-Oct-16 210.8 11-Oct-16 208.1 -2.7 1
30-Sep-16 210.9 03-Oct-16 210.4 -0.5 3
28-Sep-16 211.3 29-Sep-16 209.4 -1.9 1
22-Sep-16 211.8 26-Sep-16 208.9 -2.9 4
30-Jun-16 203.3 09-Sep-16 206.9 3.6 71
20-Jun-16 201.7 24-Jun-16 197.2 -4.5 4
16-Jun-16 201.1 17-Jun-16 200.4 -0.7 1
24-May-16 200.7 15-Jun-16 200.5 -0.2 22
16-May-16 199.6 17-May-16 197.7 -1.9 1
01-Mar-16 190.3 13-May-16 197.7 7.4 73
25-Feb-16 187.8 29-Feb-16 185.9 -1.9 4
29-Dec-15 199.2 31-Dec-15 195.8 -3.4 2
23-Dec-15 197.8 28-Dec-15 197.1 -0.7 5
16-Dec-15 198.6 17-Dec-15 195.6 -3.0 1
07-Oct-15 190.3 11-Dec-15 192.7 2.4 65
14-Aug-15 198.9 19-Aug-15 197.8 -1.1 5
10-Aug-15 199.9 11-Aug-15 198.1 -1.8 1
05-Aug-15 199.5 06-Aug-15 197.8 -1.7 1
29-Jul-15 200.1 04-Aug-15 198.8 -1.3 6
13-Jul-15 199.2 24-Jul-15 197.5 -1.7 11
18-Jun-15 201.1 25-Jun-15 199.3 -1.8 7
10-Jun-15 199.3 12-Jun-15 198.4 -0.9 2
07-May-15 197.4 05-Jun-15 198.2 0.8 29
01-May-15 199.1 06-May-15 196.6 -2.5 5
20-Apr-15 198.3 30-Apr-15 197.0 -1.3 10
06-Apr-15 196.4 17-Apr-15 196.5 0.1 11
30-Mar-15 196.8 31-Mar-15 195.1 -1.7 1
16-Mar-15 196.2 25-Mar-15 194.4 -1.8 9
12-Mar-15 194.8 13-Mar-15 193.6 -1.2 1
03-Feb-15 192.7 10-Mar-15 192.8 0.1 35
22-Jan-15 193.9 27-Jan-15 190.7 -3.2 5
08-Jan-15 193.7 12-Jan-15 190.6 -3.1 4
17-Dec-14 188.8 05-Jan-15 189.8 1.0 19
28-Oct-14 185.6 15-Dec-14 186.7 1.1 48
24-Oct-14 183.8 27-Oct-14 183.5 -0.3 3
26-Sep-14 185.2 30-Sep-14 184.3 -0.9 4
14-Aug-14 182.3 25-Sep-14 183.7 1.4 42
16-Apr-14 172.5 31-Jul-14 179.8 7.3 106
11-Feb-14 167.9 10-Apr-14 169.8 1.9 58
10-Oct-13 155.3 24-Jan-14 165.1 9.8 106
09-Sep-13 153.1 07-Oct-13 153.7 0.6 28
22-Aug-13 151.7 27-Aug-13 149.2 -2.5 5
05-Jul-13 148.9 19-Aug-13 150.5 1.6 45
31-Dec-12 128.8 20-Jun-13 144.8 16.0 171
06-Dec-12 127.5 28-Dec-12 126.7 -0.8 22
29-Jun-12 121.6 23-Oct-12 127.0 5.4 116
18-Jun-12 120.1 21-Jun-12 118.3 -1.8 3
25-Apr-12 123.7 04-May-12 121.8 -1.9 9
20-Apr-12 122.6 23-Apr-12 121.6 -1.0 3
17-Apr-12 123.6 19-Apr-12 122.4 -1.2 2
12-Apr-12 123.3 13-Apr-12 121.9 -1.4 1
20-Dec-11 109.7 10-Apr-12 120.8 11.1 112
30-Nov-11 109.9 14-Dec-11 107.0 -2.9 14
10-Oct-11 105.1 21-Nov-11 105.2 0.1 42
19-Jul-11 116.1 27-Jul-11 114.2 -1.9 8
15-Jul-11 115.2 18-Jul-11 114.3 -0.9 3
30-Jun-11 115.4 14-Jul-11 114.5 -0.9 14
26-May-11 115.8 01-Jun-11 114.8 -1.0 6
20-Apr-11 115.9 23-May-11 115.0 -0.9 33
24-Mar-11 113.9 18-Apr-11 113.7 -0.2 25
11-Mar-11 113.4 14-Mar-11 112.7 -0.7 3
01-Sep-10 93.0 10-Mar-11 112.6 19.6 190
17-Aug-10 94.0 19-Aug-10 92.5 -1.5 2
22-Jul-10 93.9 12-Aug-10 93.2 -0.7 21
13-Jul-10 94.0 16-Jul-10 91.5 -2.5 3
12-May-10 100.3 13-May-10 99.0 -1.3 1
01-Mar-10 95.1 05-May-10 99.7 4.6 65
18-Feb-10 94.3 23-Feb-10 93.3 -1.0 5
05-Nov-09 90.3 22-Jan-10 92.8 2.5 78
29-Oct-09 90.2 30-Oct-09 87.6 -2.6 1
15-Jul-09 78.5 28-Oct-09 88.3 9.8 105
24-Jun-09 75.8 02-Jul-09 75.6 -0.2 8
31-Mar-09 66.5 22-Jun-09 75.1 8.6 83
23-Mar-09 68.8 30-Mar-09 65.9 -2.9 7
06-Feb-09 72.3 10-Feb-09 69.0 -3.3 4
28-Jan-09 72.6 29-Jan-09 70.2 -2.4 1
30-Dec-08 73.9 12-Jan-09 72.2 -1.7 13
16-Dec-08 75.7 18-Dec-08 73.6 -2.1 2
08-Sep-08 104.1 09-Sep-08 101.0 -3.1 1
27-Aug-08 105.4 04-Sep-08 101.6 -3.8 8
22-Aug-08 106.2 25-Aug-08 104.1 -2.1 3
14-Aug-08 106.2 18-Aug-08 105.2 -1.0 4
11-Aug-08 107.1 13-Aug-08 105.4 -1.7 2
05-Jun-08 114.8 06-Jun-08 111.1 -3.7 1
16-Apr-08 111.6 03-Jun-08 112.6 1.0 48
01-Apr-08 111.4 11-Apr-08 108.7 -2.7 10
24-Mar-08 109.8 26-Mar-08 108.6 -1.2 2
21-Dec-07 120.2 27-Dec-07 119.8 -0.4 6
06-Dec-07 121.8 11-Dec-07 119.4 -2.4 5
06-Nov-07 122.7 07-Nov-07 119.4 -3.3 1
18-Sep-07 122.5 05-Nov-07 121.1 -1.4 48
13-Sep-07 119.6 17-Sep-07 119.0 -0.6 4
04-Sep-07 119.8 05-Sep-07 118.7 -1.1 1
11-Jul-07 122.1 24-Jul-07 121.5 -0.6 13
02-Jul-07 121.9 10-Jul-07 121.2 -0.7 8
27-Jun-07 120.8 28-Jun-07 120.8 0.0 1
02-Apr-07 113.7 25-Jun-07 120.4 6.7 84
21-Mar-07 114.6 28-Mar-07 113.4 -1.2 7
24-Jul-06 99.6 27-Feb-07 111.1 11.5 218
11-Jul-06 100.5 12-Jul-06 99.4 -1.1 1
06-Jul-06 100.5 07-Jul-06 99.9 -0.6 1
30-Jun-06 100.4 05-Jul-06 100.2 -0.2 5
10-Mar-06 100.6 12-May-06 101.5 0.9 63
14-Feb-06 99.9 09-Mar-06 99.6 -0.3 23
02-Nov-05 94.7 03-Feb-06 98.8 4.1 93
29-Sep-05 95.4 04-Oct-05 94.3 -1.1 5
31-Aug-05 95.0 20-Sep-05 95.0 0.0 20
17-May-05 90.7 24-Aug-05 93.9 3.2 99
07-Apr-05 92.0 08-Apr-05 91.1 -0.9 1
23-Feb-05 91.8 16-Mar-05 91.6 -0.2 21
01-Feb-05 91.4 22-Feb-05 91.2 -0.2 21
18-Jan-05 91.8 19-Jan-05 90.9 -0.9 1
12-Jan-05 91.1 13-Jan-05 90.4 -0.7 1
27-Oct-04 86.1 11-Jan-05 90.8 4.7 76
15-Oct-04 84.9 19-Oct-04 84.5 -0.4 4
31-Aug-04 84.4 14-Oct-04 84.4 0.0 44
25-Aug-04 84.4 30-Aug-04 84.0 -0.4 5
07-Jul-04 85.3 08-Jul-04 84.7 -0.6 1
04-Jun-04 85.5 06-Jul-04 85.0 -0.5 32
26-May-04 85.0 03-Jun-04 84.8 -0.2 8
22-Apr-04 86.5 28-Apr-04 85.4 -1.1 6
16-Apr-04 86.2 20-Apr-04 84.7 -1.5 4
01-Apr-04 86.1 13-Apr-04 85.7 -0.4 12
21-Nov-03 78.2 10-Mar-04 84.9 6.7 110
19-Nov-03 78.6 20-Nov-03 77.9 -0.7 1
01-Oct-03 76.6 18-Nov-03 78.0 1.4 48
29-Sep-03 75.8 30-Sep-03 75.0 -0.8 1
14-Aug-03 74.3 26-Sep-03 75.0 0.7 43
12-Aug-03 74.4 13-Aug-03 74.1 -0.3 1
01-Apr-03 64.1 01-Aug-03 73.7 9.6 122
17-Mar-03 64.4 31-Mar-03 63.1 -1.3 14
02-Jan-03 67.6 17-Jan-03 67.3 -0.3 15
20-Dec-02 66.8 23-Dec-02 66.8 0.0 3
16-Dec-02 67.7 18-Dec-02 66.3 -1.4 2
17-Oct-02 65.2 13-Dec-02 66.0 0.8 57
15-Oct-02 65.5 16-Oct-02 63.9 -1.6 1
10-Sep-02 67.4 12-Sep-02 65.8 -1.6 2
19-Aug-02 70.1 28-Aug-02 67.7 -2.4 9
16-Apr-02 82.9 18-Apr-02 82.4 -0.5 2
10-Apr-02 83.1 11-Apr-02 81.0 -2.1 1
08-Apr-02 82.7 09-Apr-02 82.2 -0.5 1
01-Mar-02 83.1 04-Apr-02 82.6 -0.5 34
15-Jan-02 84.1 16-Jan-02 82.4 -1.7 1
02-Nov-01 79.5 14-Jan-02 83.5 4.0 73
25-Oct-01 80.5 29-Oct-01 78.2 -2.3 4
18-Apr-01 89.7 14-Jun-01 88.2 -1.5 57
18-Jan-01 97.2 08-Feb-01 96.0 -1.2 21
11-Dec-00 99.7 13-Dec-00 97.9 -1.8 2
06-Nov-00 103.4 08-Nov-00 101.1 -2.3 2
13-Sep-00 106.8 15-Sep-00 105.0 -1.8 2
11-Aug-00 105.7 12-Sep-00 106.5 0.8 32
04-Aug-00 105.0 10-Aug-00 105.2 0.2 6
01-Jun-00 104.0 27-Jul-00 104.3 0.3 56
15-May-00 104.0 17-May-00 103.9 -0.1 2
25-Apr-00 106.0 03-May-00 100.7 -5.3 8
18-Apr-00 103.4 24-Apr-00 101.8 -1.6 6
16-Mar-00 104.5 14-Apr-00 97.3 -7.2 29
08-Feb-00 103.0 09-Feb-00 100.8 -2.2 1
03-Feb-00 102.2 04-Feb-00 101.8 -0.4 1
07-Jan-00 104.0 24-Jan-00 100.2 -3.8 17
Total 33.0 4277.0

$SPY bearish 50-DMA crossover’s

Date Bear Start Date Bear End Gains Days
05-Feb-18 263.9 15-Feb-18 273.0 9.1 10
23-Aug-17 242.1 29-Aug-17 242.4 0.3 6
17-Aug-17 240.7 22-Aug-17 243 2.3 5
10-Aug-17 241.3 14-Aug-17 244.1 2.8 4
17-May-17 232.3 18-May-17 233.3 1.0 1
21-Apr-17 231.1 24-Apr-17 233.7 2.6 3
18-Apr-17 230.4 20-Apr-17 231.9 1.5 2
12-Apr-17 230.6 17-Apr-17 231.1 0.5 5
11-Oct-16 208.1 09-Nov-16 211 2.9 29
03-Oct-16 210.4 10-Oct-16 210.8 0.4 7
29-Sep-16 209.4 30-Sep-16 210.9 1.5 1
26-Sep-16 208.9 28-Sep-16 211.3 2.4 2
09-Sep-16 206.9 22-Sep-16 211.8 4.9 13
24-Jun-16 197.2 30-Jun-16 203.3 6.1 6
17-Jun-16 200.4 20-Jun-16 201.7 1.3 3
15-Jun-16 200.5 16-Jun-16 201.1 0.6 1
17-May-16 197.7 24-May-16 200.7 3.0 7
13-May-16 197.7 16-May-16 199.6 1.9 3
29-Feb-16 185.9 01-Mar-16 190.3 4.4 1
31-Dec-15 195.8 25-Feb-16 187.8 -8.0 56
28-Dec-15 197.1 29-Dec-15 199.2 2.1 1
17-Dec-15 195.6 23-Dec-15 197.8 2.2 6
11-Dec-15 192.7 16-Dec-15 198.6 5.9 5
19-Aug-15 197.8 07-Oct-15 190.3 -7.5 49
11-Aug-15 198.1 14-Aug-15 198.9 0.8 3
06-Aug-15 197.8 10-Aug-15 199.9 2.1 4
04-Aug-15 198.8 05-Aug-15 199.5 0.7 1
24-Jul-15 197.5 29-Jul-15 200.1 2.6 5
25-Jun-15 199.3 13-Jul-15 199.2 -0.1 18
12-Jun-15 198.4 18-Jun-15 201.1 2.7 6
05-Jun-15 198.2 10-Jun-15 199.3 1.1 5
06-May-15 196.6 07-May-15 197.4 0.8 1
30-Apr-15 197 01-May-15 199.1 2.1 1
17-Apr-15 196.5 20-Apr-15 198.3 1.8 3
31-Mar-15 195.1 06-Apr-15 196.4 1.3 6
25-Mar-15 194.4 30-Mar-15 196.8 2.4 5
13-Mar-15 193.6 16-Mar-15 196.2 2.6 3
10-Mar-15 192.8 12-Mar-15 194.8 2.0 2
27-Jan-15 190.7 03-Feb-15 192.7 2.0 7
12-Jan-15 190.6 22-Jan-15 193.9 3.3 10
05-Jan-15 189.8 08-Jan-15 193.7 3.9 3
15-Dec-14 186.7 17-Dec-14 188.8 2.1 2
27-Oct-14 183.5 28-Oct-14 185.6 2.1 1
30-Sep-14 184.3 24-Oct-14 183.8 -0.5 24
25-Sep-14 183.7 26-Sep-14 185.2 1.5 1
31-Jul-14 179.8 14-Aug-14 182.3 2.5 14
10-Apr-14 169.8 16-Apr-14 172.5 2.7 6
24-Jan-14 165.1 11-Feb-14 167.9 2.8 18
07-Oct-13 153.7 10-Oct-13 155.3 1.6 3
27-Aug-13 149.2 09-Sep-13 153.1 3.9 13
19-Aug-13 150.5 22-Aug-13 151.7 1.2 3
20-Jun-13 144.8 05-Jul-13 148.9 4.1 15
28-Dec-12 126.7 31-Dec-12 128.8 2.1 3
23-Oct-12 127 06-Dec-12 127.5 0.5 44
21-Jun-12 118.3 29-Jun-12 121.6 3.3 8
04-May-12 121.8 18-Jun-12 120.1 -1.7 45
23-Apr-12 121.6 25-Apr-12 123.7 2.1 2
19-Apr-12 122.4 20-Apr-12 122.6 0.2 1
13-Apr-12 121.9 17-Apr-12 123.6 1.7 4
10-Apr-12 120.8 12-Apr-12 123.3 2.5 2
14-Dec-11 107 20-Dec-11 109.7 2.7 6
21-Nov-11 105.2 30-Nov-11 109.9 4.7 9
27-Jul-11 114.2 10-Oct-11 105.1 -9.1 75
18-Jul-11 114.3 19-Jul-11 116.1 1.8 1
14-Jul-11 114.5 15-Jul-11 115.2 0.7 1
01-Jun-11 114.8 30-Jun-11 115.4 0.6 29
23-May-11 115 26-May-11 115.8 0.8 3
18-Apr-11 113.7 20-Apr-11 115.9 2.2 2
14-Mar-11 112.7 24-Mar-11 113.9 1.2 10
10-Mar-11 112.6 11-Mar-11 113.4 0.8 1
19-Aug-10 92.5 01-Sep-10 93 0.5 13
12-Aug-10 93.2 17-Aug-10 94 0.8 5
16-Jul-10 91.5 22-Jul-10 93.9 2.4 6
13-May-10 99 13-Jul-10 94 -5.0 61
05-May-10 99.7 12-May-10 100.3 0.6 7
23-Feb-10 93.3 01-Mar-10 95.1 1.8 6
22-Jan-10 92.8 18-Feb-10 94.3 1.5 27
30-Oct-09 87.6 05-Nov-09 90.3 2.7 6
28-Oct-09 88.3 29-Oct-09 90.2 1.9 1
02-Jul-09 75.6 15-Jul-09 78.5 2.9 13
22-Jun-09 75.1 24-Jun-09 75.8 0.7 2
30-Mar-09 65.9 31-Mar-09 66.5 0.6 1
10-Feb-09 69 23-Mar-09 68.8 -0.2 41
29-Jan-09 70.2 06-Feb-09 72.3 2.1 8
12-Jan-09 72.2 28-Jan-09 72.6 0.4 16
18-Dec-08 73.6 30-Dec-08 73.9 0.3 12
09-Sep-08 101 16-Dec-08 75.7 -25.3 98
04-Sep-08 101.6 08-Sep-08 104.1 2.5 4
25-Aug-08 104.1 27-Aug-08 105.4 1.3 2
18-Aug-08 105.2 22-Aug-08 106.2 1.0 4
13-Aug-08 105.4 14-Aug-08 106.2 0.8 1
06-Jun-08 111.1 11-Aug-08 107.1 -4.0 66
03-Jun-08 112.6 05-Jun-08 114.8 2.2 2
11-Apr-08 108.7 16-Apr-08 111.6 2.9 5
26-Mar-08 108.6 01-Apr-08 111.4 2.8 6
27-Dec-07 119.8 24-Mar-08 109.8 -10.0 88
11-Dec-07 119.4 21-Dec-07 120.2 0.8 10
07-Nov-07 119.4 06-Dec-07 121.8 2.4 29
05-Nov-07 121.1 06-Nov-07 122.7 1.6 1
17-Sep-07 119 18-Sep-07 122.5 3.5 1
05-Sep-07 118.7 13-Sep-07 119.6 0.9 8
24-Jul-07 121.5 04-Sep-07 119.8 -1.7 42
10-Jul-07 121.2 11-Jul-07 122.1 0.9 1
28-Jun-07 120.8 02-Jul-07 121.9 1.1 4
25-Jun-07 120.4 27-Jun-07 120.8 0.4 2
28-Mar-07 113.4 02-Apr-07 113.7 0.3 5
27-Feb-07 111.1 21-Mar-07 114.6 3.5 22
12-Jul-06 99.4 24-Jul-06 99.6 0.2 12
07-Jul-06 99.9 11-Jul-06 100.5 0.6 4
05-Jul-06 100.2 06-Jul-06 100.5 0.3 1
12-May-06 101.5 30-Jun-06 100.4 -1.1 49
09-Mar-06 99.6 10-Mar-06 100.6 1.0 1
03-Feb-06 98.8 14-Feb-06 99.9 1.1 11
04-Oct-05 94.3 02-Nov-05 94.7 0.4 29
20-Sep-05 95 29-Sep-05 95.4 0.4 9
24-Aug-05 93.9 31-Aug-05 95 1.1 7
08-Apr-05 91.1 17-May-05 90.7 -0.4 39
16-Mar-05 91.6 07-Apr-05 92 0.4 22
22-Feb-05 91.2 23-Feb-05 91.8 0.6 1
19-Jan-05 90.9 01-Feb-05 91.4 0.5 13
13-Jan-05 90.4 18-Jan-05 91.8 1.4 5
11-Jan-05 90.8 12-Jan-05 91.1 0.3 1
19-Oct-04 84.5 27-Oct-04 86.1 1.6 8
14-Oct-04 84.4 15-Oct-04 84.9 0.5 1
30-Aug-04 84 31-Aug-04 84.4 0.4 1
08-Jul-04 84.7 25-Aug-04 84.4 -0.3 48
06-Jul-04 85 07-Jul-04 85.3 0.3 1
03-Jun-04 84.8 04-Jun-04 85.5 0.7 1
28-Apr-04 85.4 26-May-04 85 -0.4 28
20-Apr-04 84.7 22-Apr-04 86.5 1.8 2
13-Apr-04 85.7 16-Apr-04 86.2 0.5 3
10-Mar-04 84.9 01-Apr-04 86.1 1.2 22
20-Nov-03 77.9 21-Nov-03 78.2 0.3 1
18-Nov-03 78 19-Nov-03 78.6 0.6 1
30-Sep-03 75 01-Oct-03 76.6 1.6 1
26-Sep-03 75 29-Sep-03 75.8 0.8 3
13-Aug-03 74.1 14-Aug-03 74.3 0.2 1
01-Aug-03 73.7 12-Aug-03 74.4 0.7 11
31-Mar-03 63.1 01-Apr-03 64.1 1.0 1
17-Jan-03 67.3 17-Mar-03 64.4 -2.9 59
23-Dec-02 66.8 02-Jan-03 67.6 0.8 10
18-Dec-02 66.3 20-Dec-02 66.8 0.5 2
13-Dec-02 66 16-Dec-02 67.7 1.7 3
16-Oct-02 63.9 17-Oct-02 65.2 1.3 1
12-Sep-02 65.8 15-Oct-02 65.5 -0.3 33
28-Aug-02 67.7 10-Sep-02 67.4 -0.3 13
18-Apr-02 82.4 19-Aug-02 70.1 -12.3 123
11-Apr-02 81 16-Apr-02 82.9 1.9 5
09-Apr-02 82.2 10-Apr-02 83.1 0.9 1
04-Apr-02 82.6 08-Apr-02 82.7 0.1 4
16-Jan-02 82.4 01-Mar-02 83.1 0.7 44
14-Jan-02 83.5 15-Jan-02 84.1 0.6 1
29-Oct-01 78.2 02-Nov-01 79.5 1.3 4
14-Jun-01 88.2 25-Oct-01 80.5 -7.7 133
08-Feb-01 96 18-Apr-01 89.7 -6.3 69
13-Dec-00 97.9 18-Jan-01 97.2 -0.7 36
08-Nov-00 101.1 11-Dec-00 99.7 -1.4 33
15-Sep-00 105 06-Nov-00 103.4 -1.6 52
12-Sep-00 106.5 13-Sep-00 106.8 0.3 1
10-Aug-00 105.2 11-Aug-00 105.7 0.5 1
27-Jul-00 104.3 04-Aug-00 105 0.7 8
17-May-00 103.9 01-Jun-00 104 0.1 15
03-May-00 100.7 15-May-00 104 3.3 12
24-Apr-00 101.8 25-Apr-00 106 4.2 1
14-Apr-00 97.3 18-Apr-00 103.4 6.1 4
09-Feb-00 100.8 16-Mar-00 104.5 3.7 36
04-Feb-00 101.8 08-Feb-00 103 1.2 4
24-Jan-00 100.2 03-Feb-00 102.2 2.0 10
04-Jan-00 99.7 07-Jan-00 104 4.3 3
Total 140.3 2340.0

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when $SPY gains by more than 1% from lows for 4 days in row

$SPY gains by more than 1% from lows

$SPY posts 4 or more up days , along with 1% gains from the lows of the day

 

below the trading strategy rules ,

$SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .

below the returns for $SPY longs over 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+1 46 19 41.3 -0.79 -0.38 1.27 -2.24 0.57 -8.86 0.34
t+2 46 16 34.8 -0.90 -0.58 1.64 -2.26 0.73 -9.51 0.34
t+3 46 16 34.8 -1.08 -0.71 1.81 -2.62 0.69 -8.11 0.35
t+4 46 17 37.0 -1.41 -1.49 1.60 -3.17 0.50 -7.88 0.29
t+5 46 15 32.6 -1.71 -1.36 1.75 -3.38 0.52 -10.78 0.20
1st +’ve exit in 5 days % 46 31 67.4 -0.42 0.35 1.21 -3.81 0.32 -10.78 0.61
1st -‘ve exit in 5 days % 46 42 91.3 1.59 -1.19 -2.02 2.99 0.68 6.30 6.12

42/46 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 159 bps and a median of 119 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 ( 14th Feb 2018 close ) , or at the end of the 5th trading day at close

below the prior instances of $SPY posting 4 or more 1% gains from the low’s to close of the day in a row , since Y2K

Date 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
14-Feb-18 ?? ?? ?? ?? ?? ?? ?? ??
05-Oct-15 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34 1
08-Nov-11 -3.69 -2.78 -0.95 -1.89 -1.41 -1.41 -3.69 1
15-Sep-11 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41 2
06-Apr-09 -2.33 -1.28 2.64 2.67 0.90 2.64 -2.33 1
13-Mar-09 -0.30 2.75 5.05 3.75 1.55 2.75 -0.30 1
28-Jan-09 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25 1
27-Jan-09 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01 3
26-Jan-09 1.02 4.43 1.04 -1.02 -1.31 1.02 -1.02 4
16-Jan-09 -5.28 -1.19 -2.72 -2.29 -1.62 -1.62 -5.28 1
05-Jan-09 0.67 -2.35 -1.95 -4.05 -6.35 0.67 -2.35 2
02-Jan-09 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12 1
18-Dec-08 -0.43 -1.70 -2.72 -2.15 -1.59 -1.59 -0.43 1
17-Dec-08 -1.87 -2.29 -3.54 -4.54 -3.98 -3.98 -1.87 1
08-Dec-08 -1.65 -0.98 -3.36 -2.21 -3.57 -3.57 -1.65 1
05-Dec-08 3.49 1.79 2.48 0.01 1.21 3.49 1.21 5
28-Nov-08 -8.86 -5.35 -3.07 -5.32 -2.40 -2.40 -8.86 1
26-Nov-08 1.26 -7.71 -4.16 -1.85 -4.12 1.26 -7.71 2
05-Nov-08 -5.54 -2.42 -3.70 -6.67 -10.78 -10.78 -5.54 1
04-Nov-08 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20 1
03-Nov-08 3.40 -0.95 -6.44 -3.35 -4.61 3.40 -0.95 2
31-Oct-08 0.29 3.70 -0.66 -6.17 -3.07 0.29 -0.66 3
18-Mar-08 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 1
26-Oct-07 0.33 -0.36 0.67 -1.69 -1.58 0.33 -0.36 2
25-Oct-07 1.17 1.51 0.80 1.85 -0.53 1.17 -0.53 5
21-Mar-03 -3.32 -2.40 -2.89 -2.81 -3.30 -3.30 -3.32 1
20-Mar-03 2.13 -1.27 -0.32 -0.82 -0.74 2.13 -1.27 2
19-Feb-03 -1.00 0.00 -1.62 -0.83 -2.28 -2.28 -1.00 1
23-Oct-02 -2.04 0.00 -0.65 -1.81 -0.85 -0.85 -2.04 1
15-Oct-02 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42 1
19-Aug-02 -1.06 0.37 1.34 -0.84 -0.15 0.37 -1.06 1
12-Aug-02 -1.82 1.77 3.18 2.87 5.27 1.77 -1.82 1
09-Aug-02 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73 1
31-Jul-02 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61 1
30-Jul-02 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38 2
29-Jul-02 1.30 1.55 -1.10 -3.32 -6.68 1.30 -1.10 3
03-Oct-01 0.08 -0.11 -0.76 -1.29 0.90 0.08 -0.11 2
02-Oct-01 1.68 1.76 1.56 0.90 0.36 1.68 0.36 5
10-Apr-01 0.07 1.89 0.81 2.24 6.30 0.07 6.30 5
09-Apr-01 1.82 1.89 3.74 2.65 4.10 1.82 4.10 5
27-Mar-01 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76 1
27-Dec-00 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59 2
31-Oct-00 -0.34 -0.17 -0.12 0.58 0.56 0.58 -0.34 1
23-Oct-00 -0.67 -3.00 -2.74 -0.89 0.00 0.00 -0.67 1
05-Apr-00 0.87 1.51 1.11 0.82 -1.95 0.87 -1.95 5
04-Apr-00 -0.62 0.24 0.87 0.48 0.19 0.24 -0.62 1
03-Apr-00 -0.74 -1.36 -0.51 0.12 -0.27 0.12 -0.74 1

highlighted in red are the 4 instances , where one had to cover the short for a big loss at the end of the 5th trading day. 

2) a variation of the above trading strategy ,  with a low n

  • $SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .&&
  • $SPY gains for 4 days in row

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since 1993 ( or $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 16 4 25.0 -1.56 -0.54 1.07 -2.44 0.44 -8.86 0.08
t+2 16 3 18.8 -2.53 -2.00 1.11 -3.38 0.33 -9.51 0.03
t+3 16 4 25.0 -1.84 -1.51 1.91 -3.10 0.62 -8.11 0.12
t+4 16 7 43.8 -1.31 -1.25 1.70 -3.65 0.47 -7.75 0.30
t+5 16 8 50.0 -1.64 -0.28 1.18 -4.47 0.26 -10.60 0.20
1st +’ve exit in 5 days % 16 11 68.8 -0.70 0.53 1.19 -4.86 0.25 -10.60 0.45
1st -‘ve exit in 5 days % 16 16 100.0 2.52 -2.01 -2.52 INF INF NA INF

16/16 times $SPY closed lower atleast once over the next 5 trading days from the current day’s close , by an average loss of 252 bps , and by a median loss of 201 bps

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happy #ValentinesDay folks !

happy #ValentinesDay folks !

the wink that floored the nation
the wink that floored India

that’s the internet storm back home at India , anyway

below the trading strategy rules

  • today is valentines day ( i’e 14th Feb )

below the odds for $SPY longs from the close of 14th Feb ( if market is open for trading ) , for the next 1/23/4/5 trading days , since $SPY IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 17 11 64.7 0.28 0.35 0.66 -0.43 1.54 -1.04 2.24
t+2 17 12 70.6 0.00 0.31 0.52 -1.23 0.42 -2.94 0.92
t+3 17 9 52.9 -0.30 0.03 0.45 -1.14 0.40 -2.78 0.52
t+4 17 6 35.3 -0.62 -0.24 0.84 -1.42 0.59 -4.88 0.27
t+5 17 10 58.8 -0.46 0.18 0.59 -1.96 0.30 -4.73 0.31
1st +’ve exit in 5 days % 17 16 94.1 0.46 0.53 0.62 -2.16 0.29 -2.16 4.32

16/17 times , since IPO , $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 46 bps and a median gains of 53 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 $SPY retunes over the next 1/2/34/5 trading days , from valentines day , since IPO

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Feb-18 ~267 ?? ?? ?? ?? ?? ?? ??
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
14-Feb-13 137.74 -0.12 0.63 -0.62 -1.23 -0.26 0.63 2
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
14-Feb-11 115.65 -0.31 0.31 0.61 0.82 -1.20 0.31 2
14-Feb-08 109.67 -0.02 0.26 0.55 -0.28 0.33 0.26 2
14-Feb-07 116.01 0.13 0.08 0.30 0.25 0.18 0.13 1
14-Feb-06 99.93 0.35 1.10 0.83 0.58 1.19 0.35 1
14-Feb-05 92.77 0.37 0.44 -0.37 -0.24 -1.72 0.37 1
14-Feb-03 62.45 1.76 1.22 0.21 1.22 -0.42 1.76 1
14-Feb-02 81.87 -1.04 -2.94 -1.31 -3.36 -2.16 -2.16 5
14-Feb-01 95.26 0.97 -1.26 -2.78 -4.88 -4.73 0.97 1
14-Feb-00 99.56 1.13 -0.36 -0.87 -3.00 -3.25 1.13 1
14-Feb-97 55.73 0.85 0.17 -1.04 -1.00 0.17 0.85 1
14-Feb-96 44.16 -0.62 -1.02 -2.00 -0.79 0.79 0.79 5
14-Feb-95 31.87 0.55 0.42 0.03 0.00 0.74 0.55 1
14-Feb-94 30.26 0.53 0.46 -0.13 -0.73 0.26 0.53 1

 

highlighted in red ( in 2002 , when it last 216 bps at the end of 5th day) where $SPY was not able to close higher over next five days ,

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