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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a bullish turnaround tuesday pattern on $SPY

a bullish turnaround tuesday pattern on $SPY

bullish turnaround Tuesday trading strategy , on  $SPY , since 2011

with losing -1.86% which is a 149.8% standard deviations ( measured on 50 trading days , including that of current trading day , as on 2nd Feb 2016 , the 50 days standard deviation moves stands at 1.2% ) down move , below trading strategy

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 ( i.e last 5 years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 31 21 67.7 0.39 0.38 0.92 -0.70 1.30 -1.85 2.35 2.06
t+2% 31 21 67.7 0.85 0.48 1.72 -0.73 2.37 -4.17 3.82 2.54
t+3% 31 22 71.0 0.75 0.41 1.45 -0.97 1.49 -4.31 3.01 2.23
t+4% 31 24 77.4 0.72 0.82 1.54 -2.07 0.74 -10.54 2.53 1.58
t+5% 31 26 83.9 0.90 1.00 1.51 -2.26 0.67 -6.38 3.61 2.58
t+10% 31 22 71.0 0.92 1.24 2.52 -3.00 0.84 -10.25 1.77 1.58
t+20% 31 21 67.7 1.06 1.82 2.86 -2.73 1.05 -6.65 2.06 1.91
1st +’ve in 5 days 31 31 100.0 0.85 0.70 0.88 0.00 INF 0.00 NA 6.28
1st -‘ve in 5 days 31 16 51.6 -0.50 -0.10 -0.86 1.95 0.44 4.82 0.34 -1.55

31/31 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 85 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $SPY losing more than 1x stdev(50) , on a tuesday , and next 1/2/3/4/5 trading day returns , since 2011 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
2-Feb-16 190.16 ?? ?? ?? ?? ?? ?? ??
1-Sep-15 189.65 1.90 1.97 0.43 2.95 1.57 1.90 1.57
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84 2.40
11-Aug-15 206.35 0.12 0.00 0.36 0.92 0.63 0.12 0.63
26-May-15 207.36 0.95 0.84 0.21 0.41 0.31 0.95 0.31
5-May-15 205.59 -0.41 -0.01 1.30 0.82 0.52 1.30 -0.41
31-Mar-15 203.16 -0.35 0.00 0.68 0.41 0.75 0.00 -0.35
10-Mar-15 200.84 -0.23 1.03 0.41 1.76 1.45 1.03 -0.23
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
6-Jan-15 195.78 1.25 3.04 2.22 1.42 1.13 1.25 1.13
7-Oct-14 188.31 1.75 -0.27 -1.41 -3.03 -2.88 1.75 -0.27
23-Sep-14 192.94 0.78 -0.84 -0.06 -0.24 -0.50 0.78 -0.84
9-Sep-14 193.31 0.38 0.49 -0.10 -0.17 0.58 0.38 -0.10
5-Aug-14 186.22 0.03 -0.51 0.64 0.93 0.79 0.03 -0.51
8-Jul-14 190.33 0.45 0.05 0.19 0.69 0.50 0.45 0.50
24-Jun-14 188.83 0.45 0.38 0.58 0.52 1.20 0.45 1.20
6-May-14 180.29 0.59 0.48 0.63 1.61 1.70 0.59 1.70
15-Oct-13 162.20 1.40 2.07 2.76 2.77 3.36 1.40 3.36
8-Oct-13 158.17 0.07 2.23 2.89 3.30 2.55 0.07 2.55
27-Aug-13 155.36 0.36 0.51 0.20 0.65 1.48 0.36 1.48
11-Jun-13 154.32 -0.83 0.68 0.05 0.82 1.62 0.68 -0.83
23-Oct-12 132.28 -0.28 0.01 -0.05 -0.05 1.00 0.01 -0.28
9-Oct-12 134.88 -0.64 -0.58 -0.91 -0.08 0.93 0.93 -0.64
25-Sep-12 134.78 -0.56 0.37 -0.09 0.17 0.28 0.37 -0.56
10-Apr-12 125.79 0.81 2.13 0.91 0.85 2.34 0.81 2.34
6-Mar-12 124.18 0.70 1.70 2.09 2.10 3.94 0.70 3.94
1-Nov-11 111.72 1.63 3.48 2.85 3.49 4.82 1.63 4.82
25-Oct-11 112.68 1.02 4.53 4.51 1.99 -0.85 1.02 -0.85
2-Aug-11 114.32 0.54 -4.17 -4.31 -10.54 -6.38 0.54 -4.17
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
1-Mar-11 118.18 0.21 1.94 1.18 0.38 1.26 0.21 1.26
22-Feb-11 118.99 -0.61 -0.68 0.38 1.00 -0.68 0.38 -0.61

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when $DIA posts 4 red candles in row

when $DIA posts 4 red candles in row 

$DIA stock chart on 12 Jan 2016

with $DIA posttng , 4 consecutive red candles in row as on 12 th Jan 2016, below

trading strategy rules

1) $DIA closes below open for 4 or more trading days in row

below the trading odds for $DIA longs , for the next 1/2/3/4/5/10/20 trading days , since last 4 years ( i.e since 12th jan 2012 ) , when $DIA posts 4 consecutive red candles in row .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 35 22 62.9 0.24 0.35 0.71 -0.56 1.28 -1.07 1.86 1.98
t+2 35 24 68.6 0.64 0.54 1.24 -0.66 1.87 -1.65 3.13 3.23
t+3 35 25 71.4 0.65 0.49 1.15 -0.61 1.89 -1.16 3.71 3.36
t+4 35 24 68.6 0.63 0.38 1.25 -0.70 1.78 -1.35 3.02 2.96
t+5 35 23 65.7 0.50 0.61 1.24 -0.91 1.36 -2.84 2.11 2.21
t+10 35 20 57.1 0.61 0.64 2.45 -1.86 1.32 -5.12 1.56 1.39
t+20 35 23 65.7 0.97 1.03 3.49 -3.88 0.90 -8.80 1.25 1.33
1st +’ve in 5 days  35 34 97.1 0.57 0.51 0.62 -0.94 0.66 -0.94 21.44 6.95
1st -‘ve in 5 days 35 21 60.0 -0.28 -0.22 -0.55 1.53 0.36 3.44 0.56 -1.38

34/35 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 57 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $DIA posting 4 or more consecutive red candles in row in the last 4 years , and next 1/2/3/4/5 trading day returns

Date $DIA t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days %
12-Jan-16 164.95 ?? ?? ?? ?? ?? ??
07-Aug-15 171.90 1.35 0.16 0.21 0.27 0.61 1.35
06-Aug-15 172.27 -0.22 1.13 -0.06 -0.01 0.05 1.13
05-Aug-15 173.40 -0.65 -0.87 0.47 -0.71 -0.66 0.47
27-Jul-15 172.28 1.08 1.74 1.72 1.41 0.87 1.08
24-Jul-15 173.56 -0.73 0.34 0.99 0.97 0.66 0.34
23-Jul-15 175.18 -0.93 -1.65 -0.59 0.06 0.03 0.06
02-Jul-15 174.91 -0.21 0.33 -1.16 -1.01 0.20 0.33
01-Jul-15 175.25 -0.20 -0.41 0.13 -1.35 -1.21 0.13
30-Jun-15 173.69 0.90 0.70 0.49 1.03 -0.47 0.90
29-Jun-15 173.51 0.10 1.00 0.80 0.59 1.13 0.10
09-Jun-15 175.09 1.32 1.65 0.80 0.22 0.84 1.32
06-Mar-15 174.97 0.78 -0.96 -1.15 0.32 -0.47 0.78
06-Jan-15 169.45 1.27 3.10 2.21 1.64 1.49 1.27
05-Jan-15 170.86 -0.83 0.43 2.24 1.36 0.80 0.43
14-Oct-14 158.58 -1.07 -1.26 0.26 0.38 1.70 0.26
04-Sep-14 165.60 0.35 0.23 -0.32 0.01 -0.09 0.35
01-Aug-14 159.41 0.46 -0.39 -0.22 -0.62 0.47 0.46
27-Jan-14 151.42 0.58 -0.58 0.09 -0.80 -2.84 0.58
24-Jan-14 151.86 -0.29 0.29 -0.87 -0.20 -1.09 0.29
13-Jan-14 155.34 0.75 1.44 1.07 1.22 1.00 0.75
12-Dec-13 150.40 0.11 0.91 0.83 2.72 2.80 0.11
25-Sep-13 145.14 0.35 -0.14 -0.93 -0.52 -0.94 0.35
24-Sep-13 145.75 -0.42 -0.07 -0.56 -1.35 -0.94 -0.94
21-Aug-13 141.27 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Jun-13 139.46 1.01 1.77 0.85 1.44 1.11 1.01
24-Jun-13 138.49 0.70 1.72 2.47 1.55 2.15 0.70
28-Dec-12 120.79 1.17 3.64 3.53 3.87 3.44 1.17
04-Dec-12 120.72 0.66 1.04 1.68 1.82 2.40 0.66
12-Oct-12 123.72 0.67 1.63 1.73 1.68 0.12 0.67
11-Jul-12 116.27 -0.27 1.36 0.96 1.52 2.42 1.36
04-Jun-12 111.34 0.26 2.61 3.10 3.85 2.65 0.26
18-May-12 113.67 1.22 1.23 1.14 1.47 0.77 1.22
17-May-12 114.44 -0.67 0.54 0.55 0.46 0.79 0.54

highlighted in the red were the loss making trades !! 

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when $DIA closes below lower bollinger band for 4 day in row ?

when $DIA closes below lower bollinger band for 4 day in row ?

$DIA stock chart 11 Jan 2016

with $DIA closing below the lower bollinger band ( based on 20 day moving average and 2 standard deviations ) for 4 days in row , below

trading strategy rules

1) $DIA closes below the lower bollinger band for 4 or more days in row

below the trading odds for $DIA 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 34 20 58.8 0.48 0.32 2.47 -2.37 1.04 -6.40 1.16 0.78
t+2 34 17 50.0 0.63 0.38 3.66 -2.41 1.52 -8.37 1.21 0.87
t+3 34 23 67.6 0.72 0.87 2.70 -3.41 0.79 -9.03 1.44 1.07
t+4 34 20 58.8 0.68 0.49 3.11 -2.79 1.12 -8.77 1.36 0.97
t+5 34 18 52.9 0.62 0.56 3.66 -2.81 1.31 -9.79 1.30 0.84
t+10 34 20 58.8 0.89 0.58 3.70 -3.13 1.18 -9.81 1.71 1.14
t+20 34 28 82.4 4.07 3.79 5.57 -2.93 1.90 -6.69 9.20 5.14
1st +’ve in 5 days  34 29 85.3 1.58 0.95 2.51 -3.81 0.66 -9.79 3.02 2.40
1st -‘ve in 5 days 34 26 76.5 0.26 -0.70 -1.87 4.97 0.38 12.80 1.14 0.40

29/34 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 158 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $DIA closing below lower bollinger bands for 4 or more days in row , since Y2K

Date $DIA # closes below LBB t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 dyas %
11-Jan-16 163.83 4 ?? ?? ?? ?? ?? ??
25-Aug-15 155.24 4 3.94 6.36 6.29 5.55 2.54 3.94
16-Oct-14 156.58 6 1.53 1.66 2.99 2.11 3.40 1.53
15-Oct-14 156.87 5 -0.19 1.35 1.47 2.80 1.92 1.35
14-Oct-14 158.58 4 -1.07 -1.26 0.26 0.38 1.70 0.26
05-Aug-14 158.78 4 0.17 -0.23 0.87 0.99 0.96 0.17
21-Aug-13 141.27 6 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 5 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 4 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Nov-11 102.00 4 2.64 3.05 7.18 7.13 7.06 2.64
08-Aug-11 97.35 8 3.98 -0.83 2.94 4.38 6.24 3.98
05-Aug-11 102.92 7 -5.41 -1.65 -6.20 -2.63 -1.27 -1.27
04-Aug-11 102.43 6 0.47 -4.96 -1.18 -5.75 -2.16 0.47
03-Aug-11 107.01 5 -4.28 -3.83 -9.03 -5.41 -9.79 -9.79
02-Aug-11 106.71 4 0.29 -4.01 -3.55 -8.77 -5.14 0.29
26-Jan-10 88.33 4 0.41 -0.67 -1.31 -0.04 0.98 0.41
23-Feb-09 60.16 5 3.13 2.14 0.97 -0.55 -4.67 3.13
20-Feb-09 62.34 4 -3.50 -0.47 -1.44 -2.56 -4.03 -4.03
10-Oct-08 69.69 6 13.47 11.84 1.34 7.31 4.71 13.47
09-Oct-08 71.19 5 -2.10 11.08 9.49 -0.79 5.05 11.08
08-Oct-08 76.06 4 -6.40 -8.37 3.97 2.48 -7.14 3.97
12-Nov-07 105.49 4 2.60 2.27 1.31 1.58 0.16 2.60
05-Mar-07 96.51 5 1.46 1.41 2.08 2.24 2.37 1.46
02-Mar-07 97.04 4 -0.55 0.91 0.86 1.52 1.68 0.91
15-Mar-04 76.36 6 0.68 1.78 1.83 0.60 -0.61 0.68
12-Mar-04 77.15 5 -1.02 -0.35 0.74 0.79 -0.43 0.74
11-Mar-04 76.40 4 0.99 -0.05 0.63 1.73 1.78 0.99
23-Jul-02 56.14 4 6.39 5.97 7.36 12.38 12.80 6.39
21-Sep-01 59.39 8 4.11 4.95 3.93 4.77 6.70 4.11
20-Sep-01 59.86 7 -0.79 3.28 4.12 3.10 3.94 3.28
19-Sep-01 62.60 6 -4.37 -5.12 -1.23 -0.43 -1.40 -1.40
18-Sep-01 63.98 5 -2.16 -6.43 -7.17 -3.36 -2.58 -2.58
17-Sep-01 63.76 4 0.34 -1.83 -6.12 -6.86 -3.03 0.34
21-Sep-00 75.02 5 2.35 1.74 -0.09 0.25 1.97 2.35
20-Sep-00 75.51 4 -0.64 1.69 1.08 -0.73 -0.39 1.69

highlighted in the red were the loss making trades !! 

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$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

Four_seasons

 

1) $SPY trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 16 72.7 0.42 0.41 0.79 -0.57 1.38 -2.46 2.95 2.14
t+2 22 13 59.1 0.38 0.42 1.19 -0.79 1.51 -2.55 1.63 1.36
t+3 22 15 68.2 0.51 0.69 1.23 -1.01 1.21 -2.53 1.72 1.79
t+4 22 14 63.6 0.40 0.24 1.31 -1.18 1.10 -3.05 1.27 1.24
t+5 22 15 68.2 0.39 0.95 1.50 -1.98 0.76 -4.63 1.20 0.93
t+10 22 15 68.2 1.05 1.30 2.12 -1.23 1.72 -2.59 2.59 2.66
t+20 22 16 72.7 1.20 1.25 2.59 -2.51 1.04 -7.75 2.11 1.89
1st +’ve exit in 5 days 22 22 100.0 0.73 0.64 0.73 INF INF NA NA 5.97

2) $QQQ trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 15 93.8 0.64 0.67 0.87 -2.90 0.30 -2.90 4.38 2.36
t+2 16 12 75.0 0.65 0.80 1.42 -1.68 0.85 -3.13 2.99 1.61
t+3 16 12 75.0 1.06 0.67 2.00 -1.78 1.13 -2.93 2.80 1.86
t+4 16 10 62.5 0.96 1.03 2.91 -2.30 1.26 -4.89 1.37 1.24
t+5 16 11 68.8 1.06 1.73 3.10 -3.45 0.90 -6.61 1.45 1.15
t+10 16 12 75.0 2.68 2.09 4.12 -1.65 2.49 -2.43 6.41 3.12
t+20 16 13 81.3 2.53 2.23 5.02 -8.25 0.61 -15.34 2.49 1.50
1st +’ve exit in 5 days 16 16 100.0 0.84 0.67 0.84 INF INF NA NA 5.70

3) $DIA trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 11 64.7 0.32 0.18 0.77 -0.50 1.52 -1.93 2.08 1.51
t+2 17 11 64.7 0.30 0.21 1.05 -1.07 0.98 -3.03 1.33 0.90
t+3 17 8 47.1 0.39 -0.10 1.57 -0.65 2.42 -2.34 1.41 1.20
t+4 17 10 58.8 0.19 0.41 1.09 -1.10 0.99 -2.42 0.83 0.57
t+5 17 11 64.7 0.27 0.27 1.27 -1.57 0.81 -3.97 0.91 0.65
t+10 17 11 64.7 0.57 1.12 1.79 -1.67 1.07 -3.97 1.46 1.17
t+20 17 10 58.8 0.31 0.68 2.61 -2.98 0.88 -7.36 1.08 0.38
1st +’ve exit in 5 days 17 17 100.0 0.67 0.58 0.67 INF INF NA NA 5.29

4) $IWM trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 12 80.0 0.72 0.85 1.20 -1.17 1.02 -2.82 3.45 2.21
t+2 15 9 60.0 0.48 0.39 1.67 -1.32 1.27 -2.61 1.60 1.06
t+3 15 11 73.3 1.11 0.96 1.95 -1.20 1.62 -3.66 2.87 2.12
t+4 15 11 73.3 0.86 0.98 2.02 -2.33 0.87 -4.79 1.40 1.39
t+5 15 12 80.0 1.22 1.00 2.30 -3.12 0.74 -6.46 1.71 1.62
t+10 15 12 80.0 2.07 2.01 2.86 -1.12 2.55 -1.56 6.25 3.43
t+20 15 10 66.7 3.19 3.82 6.02 -2.48 2.43 -7.14 4.22 2.41
1st +’ve exit in 5 days 15 15 100.0 1.07 0.85 1.07 INF INF NA NA 5.88

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percentage based , curve fitted , slightly bearish $SPY pattern

percentage based , curve fitted , slightly bearish $SPY pattern

12aug2015

i don’t like to use between function ( hence i call curve fitting pattern ) & anyway here the trading rules

  • $SPY raised by more than 1.5% ( or 150 bps in short term trading terminology ) from the intra-day low to close
  • but $SPY gained for the day but not more than 25 bps ( that is t[0] % is >0 & <0.25 % )

below the $SPY trading odds for longs for the “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K , for the next 1/2/3/4/5/10/20 trading days ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 6 28.6 -1.12 -1.08 1.17 -2.04 0.57 -7.84 0.13 -2.42
t+2 21 8 38.1 -1.09 -1.55 2.23 -3.13 0.71 -5.30 0.31 -1.64
t+3 21 8 38.1 -1.56 -0.52 2.04 -3.77 0.54 -9.77 0.23 -1.88
t+4 21 4 19.0 -2.44 -1.48 3.90 -3.93 0.99 -13.81 0.10 -2.39
t+5 21 7 33.3 -2.32 -1.53 2.99 -4.98 0.60 -15.98 0.15 -1.98
t+10 21 8 38.1 -3.47 -1.64 3.77 -7.92 0.48 -26.77 0.17 -1.81
t+20 21 10 47.6 -3.05 -1.71 4.61 -10.01 0.46 -27.97 0.21 -1.38
1st +’ve exit in 5 days 21 14 66.7 -1.59 0.42 1.61 -8.00 0.20 -15.98 0.29 -1.42
1st -‘ve exit in 5 days 21 20 95.2 1.69 -1.36 -1.96 3.73 0.53 3.73 10.13 3.74

20/21 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 169 basis points ( and a median loss of 136 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

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

below the historical instances of the above “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K

Date $SPY t Cls-Low % t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 0.08 1.69 ?? ?? ?? ?? ?? ??
23-May-12 123.80 0.06 1.76 0.19 -0.13 1.07 -0.39 -0.61 -0.13
25-May-10 96.91 0.10 3.29 -0.60 2.72 1.43 -0.27 2.33 -0.60
17-May-10 102.42 0.05 1.95 -1.36 -1.92 -5.62 -4.25 -5.48 -1.36
05-Feb-10 95.47 0.20 1.99 -0.71 0.53 0.34 1.38 1.30 -0.71
06-Mar-09 60.30 0.18 2.73 -1.18 4.71 5.39 9.54 10.40 -1.18
12-Feb-09 73.19 0.07 3.22 -1.08 -5.30 -5.53 -6.54 -7.46 -1.08
15-Jan-09 73.84 0.04 3.29 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
01-Oct-08 100.72 0.06 1.85 -3.62 -4.92 -9.77 -13.81 -15.98 -3.62
26-Sep-08 104.88 0.05 1.97 -7.84 -4.02 -3.97 -7.45 -8.70 -7.84
13-Mar-08 112.47 0.22 2.38 -1.55 -2.54 1.50 -1.01 0.83 -1.55
04-Aug-03 77.56 0.00 1.56 -2.11 -1.55 -0.52 -0.23 0.14 -2.11
20-Mar-03 68.88 0.22 2.09 2.13 -1.26 -0.32 -0.81 -0.74 -1.26
13-Nov-02 69.24 0.10 1.82 1.89 2.64 1.60 1.47 3.73 3.73
16-Sep-02 69.58 0.24 1.61 -2.29 -3.26 -5.76 -5.73 -6.51 -2.29
13-Sep-02 69.41 0.25 1.61 0.24 -2.05 -3.03 -5.53 -5.50 -2.05
31-Jul-02 70.57 0.24 2.14 -2.62 -4.80 -8.11 -5.02 -3.36 -2.62
26-Jun-02 75.64 0.16 2.65 1.76 1.27 -0.70 -2.80 -2.26 -0.70
08-Apr-02 87.11 0.21 1.53 -0.70 0.42 -2.07 -1.33 -2.09 -0.70
05-Sep-01 86.83 0.24 1.57 -2.58 -4.38 -3.21 -8.27 -8.49 -2.58
22-Feb-01 95.55 0.15 2.27 -0.68 1.43 0.50 -1.48 -0.96 -0.68
05-Jan-00 105.22 0.18 2.01 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green is the only instances where $SPY failed to close lower in the next 5 trading days , and the shorts ran for a cover

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a high risk bearish pattern on $SPY as on 12 Aug 2015 close

a high risk bearish pattern on $SPY as on 12 Aug 2015 close

12aug2015

below the trading strategy rules

  • $SPY hits an intra-day low for 20 trading day’s
  • current day’s volume is highest in 20 trading days
  • $SPY closes green for the day

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 32 11 34.4 -0.67 -0.71 1.47 -1.79 0.82 -4.99 0.34 -1.83
t+2 32 14 43.8 -0.35 -0.20 1.50 -1.78 0.84 -6.26 0.56 -0.88
t+3 32 15 46.9 -0.20 -0.04 2.23 -2.36 0.95 -11.02 0.66 -0.36
t+4 32 16 50.0 0.01 0.07 2.57 -2.54 1.01 -10.60 0.92 0.02
t+5 32 17 53.1 -0.46 0.74 2.70 -4.06 0.67 -17.24 0.67 -0.52
t+10 32 16 50.0 -0.24 -0.09 2.83 -3.30 0.86 -9.56 0.69 -0.34
t+20 32 17 53.1 -0.48 0.10 4.13 -5.71 0.72 -21.45 0.64 -0.38
1st +’ve exit in 5 days 32 24 75.0 -0.57 0.66 1.31 -6.22 0.21 -17.24 0.64 -0.72
1st -‘ve exit in 5 days 32 28 87.5 1.19 -0.93 -1.72 2.52 0.68 3.19 3.78 3.37

28/32 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 119 basis points ( and a median loss of 93 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

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

below the historical instances of the above trading strategy , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 ?? ?? ?? ?? ?? ??
18-Dec-13 175.61 -0.11 0.47 1.00 1.22 1.74 -0.11
09-Aug-11 108.22 -4.42 -0.12 0.55 2.68 1.80 -4.42
03-Aug-11 116.23 -4.69 -4.83 -11.02 -6.89 -11.00 -4.69
16-Jun-11 116.69 0.30 0.81 2.19 1.58 1.29 1.29
05-Feb-10 95.47 -0.71 0.53 0.34 1.38 1.30 -0.71
15-Jan-09 73.84 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
13-Nov-08 79.12 -4.99 -6.26 -4.49 -10.60 -17.24 -4.99
18-Sep-08 103.60 3.98 1.62 -0.69 -0.38 1.19 -0.69
16-Sep-08 105.35 -4.49 -1.66 2.25 -0.07 -2.34 -4.49
10-Jul-08 108.11 -1.17 -2.05 -3.44 -1.06 -0.07 -1.17
01-Jul-08 110.77 -1.72 -1.62 -2.62 -0.88 -2.80 -1.72
20-Nov-07 122.92 -2.05 -0.36 -2.55 -1.43 1.72 -2.05
16-Aug-07 120.19 1.83 1.79 1.99 3.20 3.11 3.11
01-Aug-07 123.85 0.80 -1.80 -0.15 0.91 2.32 -1.80
18-Jul-06 102.96 1.39 0.70 -0.02 1.81 2.18 -0.02
24-May-06 104.33 1.24 1.74 -0.06 1.06 2.02 -0.06
07-Jul-05 97.85 1.14 1.67 1.93 2.07 2.47 2.47
12-Jan-05 95.96 -0.80 -0.27 0.76 -0.29 -0.90 -0.80
22-Jul-04 87.88 -0.83 -1.02 -0.09 0.20 0.64 -0.83
12-May-04 88.02 -0.42 -0.37 -1.23 -0.73 -1.07 -0.42
08-Oct-02 62.49 -2.82 0.32 4.72 5.30 10.37 -2.82
24-Jul-02 65.58 -0.85 1.04 5.96 7.35 7.61 -0.85
15-Jul-02 71.48 -1.93 -1.73 -4.91 -8.27 -10.98 -1.93
11-Jul-02 71.89 -1.10 -0.57 -2.49 -2.30 -5.45 -1.10
12-Jun-02 79.13 -1.01 -1.15 1.50 2.33 -0.06 -1.01
30-Jan-02 86.05 1.17 0.70 -1.80 -2.42 -2.84 -1.80
15-Jun-01 93.05 -0.48 -0.04 0.48 1.62 0.83 -0.48
22-Feb-01 95.55 -0.68 1.43 0.50 -1.48 -0.96 -0.68
21-Dec-00 96.55 2.99 4.10 4.87 5.19 3.19 3.19
22-Sep-00 110.00 -0.71 -1.98 -1.46 -0.19 -1.14 -0.71
13-Sep-00 112.45 0.51 -1.70 -2.60 -1.72 -2.45 -1.70
05-Jan-00 105.22 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green were those instances where $SPY failed to close lower in the next 5 trading days , and the shorts running for cover with an average loss % , greater than the average win %

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Rule #153 on $SPY

Rule #153 on $SPY

# 153it’s an outcome of pure data mining , but it is good to know

below the trading odds for $SPY longs from the close of 153’rd trading day of the year , for the next 1/2/3/4/5/10/20 trading days , data since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 10 47.6 0.33 -0.05 1.12 -0.39 2.88 -1.10 1.63 1.32
t+2 21 10 47.6 0.17 -0.02 1.18 -0.74 1.59 -2.55 0.99 0.53
t+3 21 15 71.4 0.55 0.32 1.19 -1.06 1.13 -2.53 1.57 1.36
t+4 21 13 61.9 0.63 0.26 1.62 -0.98 1.65 -1.80 1.61 1.56
t+5 21 14 66.7 0.87 0.81 1.87 -1.12 1.67 -3.85 2.46 1.96
t+10 21 15 71.4 1.33 1.79 2.49 -1.59 1.57 -3.08 3.14 2.55
t+20 21 15 71.4 0.92 2.21 2.65 -3.39 0.78 -8.55 1.82 1.24
1st +’ve exit in 5 days 21 21 100.0 0.89 0.54 0.89 INF INF NA NA 4.17

21/21 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 89 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 returns from the 153rd trading day of the year , to the next 1/2/3/4/5 trading days , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit (%) in 5 days
11-Aug-15 208.66 ?? ?? ?? ?? ?? ??
11-Aug-14 190.06 -0.14 0.54 1.01 0.99 1.84 0.54
09-Aug-13 162.84 -0.12 0.18 -0.33 -1.73 -2.05 0.18
09-Aug-12 132.28 0.17 0.11 0.13 0.24 0.98 0.17
10-Aug-11 103.44 4.50 5.19 7.42 6.51 6.57 4.50
11-Aug-10 98.71 -0.62 -0.91 -0.95 0.26 0.45 0.26
11-Aug-09 88.37 1.08 1.84 1.06 -1.43 -0.63 1.08
08-Aug-08 111.63 1.03 -0.02 -0.63 0.13 0.62 1.03
10-Aug-07 122.39 0.36 -1.17 -2.53 -1.80 0.00 0.36
10-Aug-06 105.79 -0.28 -0.21 0.98 1.82 2.08 0.98
10-Aug-05 100.61 0.40 -0.22 0.40 -0.90 -0.91 0.40
11-Aug-04 86.51 -1.10 -0.90 0.13 0.69 1.72 0.13
11-Aug-03 77.67 0.91 0.40 0.67 0.99 1.85 0.91
09-Aug-02 70.67 -0.74 -2.55 1.02 2.42 2.11 1.02
09-Aug-01 90.79 0.34 0.36 0.32 -0.54 -0.20 0.34
09-Aug-00 111.35 -0.48 -0.02 1.26 1.17 0.81 1.26
11-Aug-99 97.35 -0.05 2.26 2.71 3.39 2.64 2.26
11-Aug-98 78.93 1.70 0.47 -0.71 1.39 3.27 1.70
08-Aug-97 68.02 0.74 -0.87 -1.18 -0.81 -3.85 0.74
07-Aug-96 47.62 -0.15 -0.48 0.25 -0.55 -0.21 0.25
09-Aug-95 39.30 -0.23 -0.79 0.13 -0.08 0.20 0.13
10-Aug-94 31.52 -0.38 0.41 0.38 1.08 1.02 0.41

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