$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 $DIA posts an NR7ID on thu ?

when $DIA posts an NR7ID on thu ?

with the aid of $DIA tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention , and the trading strategy rules

1) $DIA posts an NR7 ( that is current days range ( high minus low ) is the lowest in the seven trading days including current trading day ) ID ( inside day , a lower high and higher low , that is current days high less than prev days high and current days low is greater than prev days low ) , and in short is called an NR7ID day

2) current trading day is thursday

below the trading odds for $DIA  longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

$DIA posts NR7ID on thu , since Y2K

or for editable purposes

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 26 16 61.5 0.27 0.22 0.91 -0.75 1.21 -1.35 1.51 1.32
t+2% 26 15 57.7 0.38 0.19 1.05 -0.52 2.00 -0.88 1.92 1.66
t+3% 26 14 53.8 0.34 0.02 1.30 -0.78 1.66 -3.63 1.49 1.15
t+4% 26 13 50.0 -0.01 0.02 1.00 -1.01 0.98 -3.16 0.67 -0.03
t+5% 26 13 50.0 -0.34 -0.09 1.05 -1.72 0.61 -5.80 0.44 -0.87
t+10% 26 13 50.0 -0.11 -0.03 2.01 -2.22 0.90 -6.44 0.74 -0.21
t+20% 26 12 46.2 -0.85 -0.61 3.31 -4.40 0.75 -15.13 0.59 -0.87
1st +’ve in 5 days 26 25 96.2 0.66 0.32 0.71 -0.71 1.01 -0.71 22.27 4.39

25/26 times , since Y2K , $DIA closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 66 bps 

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

below prior $DIA instances of NR7ID and the returns over the next 1/2/3/4/5 trading days , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls
22-Jun-17 213.73 ?? ?? ?? ?? ?? ?? ??
22-Aug-13 136.83 0.29 -0.13 -1.27 -0.91 -0.77 0.29 1
31-Mar-11 106.06 0.36 0.60 0.51 0.93 0.72 0.36 1
27-Jan-11 102.69 -1.35 -0.87 0.38 0.39 0.61 0.38 3
4-Mar-10 87.53 1.21 1.04 1.15 1.21 1.70 1.21 1
30-Oct-08 74.30 1.08 1.01 4.01 -0.70 -5.80 1.08 1
22-May-08 100.16 -1.12 -0.47 -0.14 0.17 0.09 0.17 4
20-Dec-07 104.26 1.47 2.21 2.28 0.97 0.77 1.47 1
3-May-07 102.67 0.26 0.49 0.55 0.89 0.08 0.26 1
22-Mar-07 96.43 0.19 -0.07 -0.46 -1.17 -0.92 0.19 1
22-Dec-05 82.01 0.04 -0.88 -0.79 -0.95 -1.62 0.04 1
25-Aug-05 78.20 -0.52 0.18 -0.43 0.42 0.14 0.18 2
31-Mar-05 77.91 -0.89 -0.73 -0.37 0.04 0.51 0.04 4
3-Feb-05 78.29 1.03 1.05 1.28 0.79 1.51 1.03 1
18-Nov-04 77.92 -1.03 -0.81 -0.63 -0.59 -0.71 -0.71 5
26-Aug-04 74.59 0.28 -0.46 0.01 0.00 1.14 0.28 1
10-Jun-04 75.97 -0.62 -0.13 -0.25 -0.29 0.07 0.07 5
4-Mar-04 76.81 0.29 -0.66 -1.18 -2.89 -4.15 0.29 1
12-Feb-04 77.63 -0.55 0.21 -0.12 -0.18 -0.57 0.21 2
5-Jun-03 64.74 0.14 -0.56 0.32 1.51 1.87 0.14 1
14-Mar-02 73.34 0.87 0.41 1.39 -0.27 -0.63 0.87 1
28-Feb-02 70.36 2.71 4.76 3.64 4.78 4.46 2.71 1
23-Aug-01 70.65 2.12 1.43 -0.13 -1.23 -3.11 2.12 1
11-Jan-01 72.35 -0.57 0.47 0.03 0.73 -0.25 0.47 2
2-Nov-00 74.02 -0.39 1.27 1.01 0.11 -0.39 1.27 2
6-Apr-00 75.33 -0.45 0.58 1.65 -0.81 -2.14 0.58 2
2-Mar-00 68.65 2.16 0.03 -3.63 -3.16 -1.34 2.16 1

highlighted in red is the one instance where $DIA failed to close above the entry , over the next five days at close

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tickalert

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

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April, since IPO

below the trading strategy rules

1) as on current trading day $SPY MTD ( month to date) returns turns positive ( i.e while on previous trading day the MTD returns were negative )

2) current Month is April and not the first trading day of the month

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 16 69.6 0.16 0.31 0.60 -0.84 0.72 -2.10 0.86 0.89
t+2 23 16 69.6 0.07 0.33 0.62 -1.20 0.52 -2.98 0.58 0.32
t+3 23 14 60.9 0.08 0.17 0.69 -0.88 0.78 -2.22 0.70 0.37
t+4 23 11 47.8 0.10 -0.08 1.15 -0.85 1.35 -2.79 0.61 0.31
t+5 22 11 50.0 0.18 0.12 1.66 -1.29 1.28 -4.14 0.86 0.38
t+10 22 15 68.2 0.38 0.39 1.49 -2.00 0.75 -4.43 1.53 0.78
t+20 22 16 72.7 1.78 1.33 3.47 -2.75 1.26 -4.62 2.93 2.17
1st +’ve in 5 days 22 20 90.9 0.51 0.38 0.58 -0.28 2.12 -0.51 9.80 4.82
1st -‘ve in 5 days 22 17 77.3 -0.21 -0.21 -0.65 3.13 0.21 7.64 0.66 -0.49

20/22 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 51 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 MTD returns turning positive in 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 %
12-Apr-16 205.92 ?? ?? ?? ?? ?? ?? ??
06-Apr-16 206.42 -1.20 -0.93 -1.16 -0.24 ?? ?? ??
02-Apr-15 202.13 0.67 0.41 0.75 1.19 1.74 0.67 1.74
29-Apr-14 180.29 0.30 0.31 0.17 0.36 -0.52 0.30 -0.52
21-Apr-14 179.61 0.45 0.22 0.42 -0.40 -0.09 0.45 -0.40
09-Apr-14 179.66 -2.10 -2.98 -2.22 -1.54 -0.51 -0.51 -2.10
23-Apr-13 148.52 0.06 0.47 0.29 0.96 1.20 0.06 1.20
16-Apr-13 148.17 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
09-Apr-13 147.55 1.22 1.56 1.31 -1.04 0.42 1.22 -1.04
02-Apr-13 147.62 -1.01 -0.61 -1.06 -0.39 -0.04 -0.04 -1.01
20-Apr-11 120.04 0.51 0.41 1.27 1.93 2.26 0.51 2.26
18-Apr-06 106.33 0.19 0.33 0.34 0.16 -0.25 0.19 -0.25
04-Apr-06 106.22 0.34 0.24 -0.78 -0.63 -1.47 0.34 -0.78
05-Apr-05 94.48 0.35 0.89 -0.16 -0.08 0.43 0.35 -0.16
22-Apr-04 89.58 0.10 -0.04 0.04 -1.25 -2.12 0.10 -0.04
16-Apr-04 89.25 0.00 -1.68 -1.02 0.37 0.47 0.37 -1.68
11-Apr-01 87.46 1.82 0.75 2.17 6.23 7.64 1.82 7.64
06-Apr-00 111.56 0.63 0.24 -0.05 -2.79 -4.14 0.63 -0.05
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 1.16 2.79
04-Apr-97 54.15 0.39 1.11 0.29 -0.08 -3.25 0.39 -0.08
22-Apr-96 45.55 0.31 -0.05 0.41 0.62 0.62 0.31 -0.05
21-Apr-94 29.99 -0.10 0.94 0.84 0.10 0.42 0.94 -0.10
05-Apr-94 29.92 0.00 0.49 -0.28 0.14 0.00 0.49 -0.28

highlighted in the red were the loss making trades !!

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a $SPY momentum fuelled bullish 1DOM pattern

a $SPY momentum fuelled bullish 1DOM pattern

Anatomy of $SPY on First Trading Day of the Month

with 1DOM ( 1st day of the month ) around the corner ,

below the trading strategy rules,

1) as on the last trading day of the month $SPY gained by more than 5% for the month

2) tomorrow is 1DOM

below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days ,since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 24 20 83.3 0.71 0.65 1.02 -0.86 1.18 -2.79 5.01 3.30
t+2 24 18 75.0 1.08 1.07 1.65 -0.62 2.68 -1.20 6.42 3.64
t+3 24 19 79.2 1.26 1.20 1.89 -1.12 1.69 -1.83 5.04 3.58
t+4 24 20 83.3 1.51 1.13 2.00 -0.95 2.10 -2.71 9.37 4.03
t+5 24 20 83.3 1.12 1.31 1.62 -1.39 1.17 -2.07 3.89 3.86
t+10 24 15 62.5 0.45 1.75 2.51 -2.99 0.84 -9.56 0.86 0.65
t+20 24 16 66.7 1.04 1.36 3.18 -3.23 0.98 -5.79 1.23 1.35
1st +’ve cls in 5 days 24 24 100.0 1.02 1.03 1.02 INF INF 0.10 NA 7.86
1st -‘ve cls in 5 days 24 11 45.8 -0.66 0.29 -0.66 1.77 0.37 3.94 0.22 -2.12

24/24 times  $SPY closed  higher than the current close at some point of time in the next five trading days .. with an average gain of 102 basis points at the 1st positive close within in the next five trading days. 

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

below the prior historical instances of “$SPY momentum fuelled bullish 1DOM pattern ” since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
31-Mar-16 ~206.13 ?? ?? ?? ?? ?? ?? ??
30-Oct-15 205.64 1.18 1.48 1.17 1.07 1.01 1.18 1.01
27-Feb-15 205.34 0.63 0.22 -0.20 -0.09 -1.50 0.63 -0.20
31-Jul-13 159.65 1.16 1.33 1.18 0.60 0.28 1.16 0.28
31-Jan-13 140.29 1.03 -0.11 0.90 0.98 0.84 1.03 -0.11
31-Oct-11 114.34 -2.79 -1.20 0.60 -0.02 0.61 0.60 -2.79
31-Dec-10 112.92 1.03 0.98 1.50 1.30 1.11 1.03 1.11
30-Sep-10 101.95 0.42 -0.33 1.67 1.66 1.54 0.42 -0.33
30-Jul-10 97.98 2.26 1.77 2.45 2.34 1.92 2.26 1.92
31-Mar-10 103.47 0.68 1.50 1.74 1.16 1.51 0.68 1.51
30-Nov-09 96.30 1.24 1.19 0.40 0.97 0.82 1.24 0.82
31-Jul-09 86.14 1.65 1.91 1.62 1.09 2.42 1.65 2.42
29-May-09 80.22 2.42 2.51 1.21 2.16 2.18 2.42 2.18
30-Apr-09 75.79 0.54 3.96 3.60 5.40 3.94 0.54 3.94
31-Mar-09 68.94 1.94 4.92 5.96 5.13 2.68 1.94 2.68
31-Dec-03 86.94 -0.04 1.04 1.14 1.48 1.89 1.04 -0.04
31-Oct-03 81.89 0.66 0.44 0.51 1.04 0.29 0.66 0.29
30-May-03 74.83 0.41 0.83 2.28 2.78 2.38 0.41 2.38
30-Apr-03 70.94 -0.01 1.41 1.22 2.18 1.61 1.41 -0.01
29-Nov-02 71.90 0.16 -1.18 -1.63 -2.71 -2.07 0.16 -1.18
31-Oct-02 67.72 1.98 2.95 3.76 5.11 2.53 1.98 2.53
30-Nov-01 86.01 -0.60 1.09 2.94 2.88 2.20 1.09 -0.60
30-Apr-01 94.90 0.31 0.13 -1.14 0.54 -0.33 0.31 -1.14
31-Aug-00 113.20 0.10 -0.70 -1.83 -0.98 -1.66 0.10 -0.70
31-Mar-00 111.48 0.58 -0.17 -0.79 0.07 0.71 0.58 -0.17

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when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

with the help of Quant-Ideas mining tool  we were able to find the below trading strategy on $QQQ ,

trading strategy rules

1) $QQQ closes below lower bollinger band for two trading days in row  ( bollinger bands are calculated on 20 day moving averages , with 2 standard deviations )

below the trading odds for longs for $QQQ , for the next 1/2/3/4/5/10/20 trading days , when $QQQ closes below lower bollinger bands for , 2 consecutive days in row , since 2010

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 35 22 62.9 0.45 0.33 1.67 -1.62 1.03 -6.02 1.47 1.16
t+2% 35 23 65.7 1.03 0.91 2.41 -1.62 1.49 -4.21 2.39 2.48
t+3% 35 25 71.4 1.59 2.05 3.11 -2.20 1.41 -5.52 3.83 2.94
t+4% 35 26 74.3 2.03 2.20 3.51 -2.26 1.56 -4.55 4.43 3.73
t+5% 35 26 74.3 2.16 2.13 3.44 -1.54 2.23 -3.13 5.53 4.45
t+10% 35 20 57.1 1.79 2.31 5.10 -2.61 1.95 -7.06 2.86 2.44
t+20% 34 23 67.6 2.90 3.34 5.85 -3.28 1.79 -7.11 3.47 3.18
1st +’ve in 5 days 35 33 94.3 1.40 0.78 1.53 -0.86 1.79 -1.23 34.58 5.21
1st -‘ve in 5 days 35 22 62.9 -0.57 -0.53 -1.51 4.10 0.37 7.45 0.48 -1.08

33/35 times  $QQQ closed higher than the current close at some point of time in the next five trading days .. with an average gain of 140 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, and $QQQ forward 1/2/3/4/5 trading day returns , when $QQQ closes below lower bollinger band for 2 days in row , since 2010.

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
8-Feb-16 96.62 ?? ?? ?? ?? ?? ?? ??
11-Jan-16 104.33 1.16 -2.33 -0.25 -3.35 -3.13 1.16 -2.33
8-Jan-16 104.01 0.31 1.47 -2.03 0.06 -3.05 0.31 -2.03
7-Jan-16 104.87 -0.82 -0.51 0.64 -2.83 -0.76 0.64 -0.82
29-Sep-15 99.17 2.30 2.76 4.56 6.06 5.56 2.30 5.56
25-Aug-15 97.55 5.04 7.70 7.68 6.34 3.02 5.04 3.02
24-Aug-15 97.92 -0.38 4.64 7.29 7.27 5.94 4.64 -0.38
21-Aug-15 101.84 -3.85 -4.21 0.62 3.16 3.14 0.62 -3.85
16-Dec-14 98.61 1.82 4.27 4.73 4.99 4.62 1.82 4.62
16-Oct-14 90.53 1.32 2.83 5.53 4.99 6.57 1.32 6.57
15-Oct-14 91.10 -0.63 0.68 2.19 4.87 4.33 0.68 -0.63
14-Oct-14 91.70 -0.65 -1.27 0.03 1.53 4.19 0.03 -0.65
13-Oct-14 91.69 0.01 -0.63 -1.26 0.04 1.54 0.01 -0.63
2-Oct-14 95.88 0.99 0.77 -0.66 1.28 -0.36 0.99 -0.66
11-Apr-14 82.54 0.78 1.12 2.46 2.48 3.25 0.78 3.25
7-Apr-14 83.95 0.92 2.65 -0.53 -1.68 -0.91 0.92 -0.53
27-Mar-14 85.26 0.20 0.91 2.68 2.95 2.13 0.20 2.13
9-Oct-13 74.82 2.12 2.92 3.65 3.25 4.42 2.12 4.42
24-Jun-13 67.57 0.73 1.63 2.07 2.21 2.84 0.73 2.84
21-Jun-13 68.25 -0.99 -0.27 0.62 1.05 1.19 0.62 -0.99
11-Oct-12 63.94 -0.04 0.69 2.11 2.05 0.87 0.69 -0.04
10-Oct-12 64.14 -0.31 -0.36 0.37 1.79 1.73 0.37 -0.31
18-May-12 57.98 2.80 2.68 2.88 2.20 2.07 2.80 2.07
25-Nov-11 50.14 3.48 2.84 6.64 7.38 7.07 3.48 7.07
23-Nov-11 50.53 -0.77 2.68 2.05 5.82 6.55 2.68 -0.77
22-Nov-11 51.70 -2.26 -3.01 0.37 -0.26 3.43 0.37 -2.26
21-Nov-11 51.53 0.33 -1.93 -2.69 0.70 0.07 0.33 -1.93
18-Nov-11 52.53 -1.91 -1.59 -3.81 -4.55 -1.23 -1.23 -1.91
8-Aug-11 47.88 4.82 0.53 4.96 5.89 7.45 4.82 7.45
5-Aug-11 50.95 -6.02 -1.49 -5.52 -1.36 -0.48 -0.48 -6.02
24-May-11 53.42 0.39 1.01 1.52 3.16 0.92 0.39 0.92
7-May-10 42.48 5.20 5.09 7.07 5.37 3.35 5.20 3.35
6-May-10 43.56 -2.49 2.58 2.47 4.40 2.75 2.58 -2.49
29-Jan-10 39.98 1.10 2.01 2.57 -0.40 0.44 1.10 -0.40
26-Jan-10 41.44 0.79 -1.80 -3.52 -2.46 -1.58 0.79 -1.80
25-Jan-10 41.40 0.09 0.88 -1.72 -3.43 -2.37 0.09 -1.72

highlighted in the red were the loss making trades !!

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check out the new look of the paststat