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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when $SPY posts back to back 2% falls

when $SPY posts back to back 2% falls

$SPY back to back losses of 2% or more

may be this time i’ll get this one right , lets see , here are the trading strategy rules

1) $SPY posts 2 consecutive down days of 2% losses

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 30 19 63.3 1.14 0.62 3.30 -2.60 1.27 -6.98 1.29
t+2 30 19 63.3 1.79 1.92 4.86 -3.51 1.38 -9.33 1.76
t+3 30 20 66.7 2.21 1.83 4.76 -2.89 1.65 -11.53 2.77
t+4 30 21 70.0 2.88 2.25 5.23 -2.61 2.01 -6.05 3.99
t+5 30 21 70.0 3.24 3.11 6.06 -3.33 1.82 -7.68 3.80
1st +’ve exit in 5 days % 30 30 100.0 3.09 1.64 3.09 INF INF NA NA

30/30 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 309 bps and a median gains of 164 bps

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

ps; the above  strategy includes few clusters  of 2% down days , below they are ,

1) a sequence of 5 such , between 6th to 10th Oct 2008 , that whole week , from mon to fri posted 2% ++ down days ,

posting the % change changes of those 5 days , for your risk management perspective

Date Open High Low Close % change
10-Oct-08 71.49 77.41 68.87 72.92 -2.43
09-Oct-08 82.12 82.91 74.36 74.74 -6.98
08-Oct-08 80.35 84.19 79.77 80.35 -2.52
07-Oct-08 88.03 88.44 82.11 82.42 -4.48
06-Oct-08 88.29 88.68 82.93 86.29 -5.09

2) there was a cluster of 2% down days of 4 in row from 18 jul 2002 to 23 jul 2002

3) and cluster of 3 consec 2% down day’s , 1) from 1st aug 2002 to 5 aug 2002 , 2) and recently from 20th aug 2015 to 24th Aug 2015

2) removing the averaging down business of adding on to all 2% down days , below the trading odds for $SPY longs , when $SPY posts exactly 2 down days of 2% or more , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 23 16 69.6 1.02 0.64 2.43 -2.19 1.11 -4.21 1.33
t+2 23 13 56.5 0.98 1.10 4.00 -2.94 1.36 -9.33 1.17
t+3 23 13 56.5 1.20 0.24 4.34 -2.89 1.50 -11.53 1.42
t+4 23 15 65.2 2.10 1.47 4.73 -2.84 1.67 -6.05 2.39
t+5 23 15 65.2 2.64 1.05 5.54 -2.79 1.99 -7.34 3.22
1st +’ve exit in 5 days % 23 23 100.0 2.07 1.32 2.07 INF INF 0.01 NA

below the prior instances of $SPY gaining by more than 4% for the month and the forward $SPY returns for the next 1/2/3/4/5 trading days

23/23 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 207 bps and a median gains of 132 bps , if you remove the big outlier , the average stands at 163 bps ( not enough to recover yesday’s losses , but something to keep in mind)

below the prior instances of $SPY back to back 2% losses , since IPO

Date Close t% # 2% losses in row t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
05-Feb-18 263.93 -4.18 2 ? ? ? ? ? ? ?
24-Aug-15 179.93 -4.21 3 -1.18 2.62 5.16 5.16 4.31 2.62 2
21-Aug-15 187.84 -3.01 2 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
01-Nov-11 107.27 -2.79 2 1.63 3.48 2.85 3.49 4.82 1.63 1
03-Oct-11 96.66 -2.85 2 2.19 4.08 5.97 5.26 8.78 2.19 1
22-Sep-11 99.23 -3.23 2 0.60 2.99 4.15 2.02 2.83 0.60 1
02-Mar-09 58.65 -4.50 2 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
30-Jan-09 68.81 -2.03 2 -0.30 1.10 0.60 2.10 5.01 1.10 2
12-Jan-09 72.23 -2.40 2 0.18 -2.97 -2.93 -2.17 -7.34 0.18 1
20-Nov-08 62.17 -7.42 2 5.39 12.70 13.53 17.92 19.40 5.39 1
12-Nov-08 70.71 -4.40 2 6.23 0.93 -0.41 1.47 -5.03 6.23 1
06-Nov-08 74.87 -5.54 2 3.30 1.95 -1.20 -5.55 0.34 3.30 1
27-Oct-08 69.17 -3.55 2 11.69 10.88 14.71 15.34 15.68 11.69 1
22-Oct-08 74.69 -5.45 2 1.16 -3.97 -7.38 3.44 2.69 1.16 1
10-Oct-08 72.92 -2.43 5 14.52 12.82 1.72 5.95 5.32 14.52 1
09-Oct-08 74.74 -6.98 4 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 80.35 -2.52 3 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 82.42 -4.48 2 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
23-Sep-08 97.68 -2.28 2 0.32 1.89 1.94 -6.05 -2.16 0.32 1
05-Aug-02 61.59 -3.48 3 3.37 5.17 8.57 8.98 8.18 3.37 1
02-Aug-02 63.81 -2.24 2 -3.48 -0.23 1.51 4.79 5.18 1.51 3
23-Jul-02 58.78 -2.74 4 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.96 3 -2.74 3.07 2.19 4.14 9.21 3.07 2
19-Jul-02 62.28 -3.52 2 -2.96 -5.62 0.01 -0.84 1.05 0.01 3
10-Jul-02 67.73 -3.64 2 0.81 -0.29 0.24 -1.69 -1.50 0.81 1
20-Sep-01 71.60 -3.18 2 -1.07 2.40 3.47 3.10 4.00 2.40 2
03-Apr-01 79.84 -3.34 2 0.42 4.22 2.64 3.78 5.67 0.42 1
12-Mar-01 85.17 -4.28 2 1.64 -0.36 -0.34 -2.33 -0.35 1.64 1
20-Dec-00 91.07 -2.90 2 0.69 3.71 4.83 5.59 5.92 0.69 1
01-Oct-98 69.54 -2.89 2 1.93 -0.13 -0.22 -1.71 -2.25 1.93 1
31-Mar-97 51.94 -2.11 2 0.64 -1.16 -0.62 0.62 1.02 0.64 1

highlighted in red are that went beyond more than 2 consecutive 2% down days

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yes , it’s over , what next for $SPY

it’s over , what next for $SPY

record streak of days without a 3% pullback for the S&P 500

yes ! it’s over  , but what next ?

here the trading rules ,

1) $SPY had been within 3% of the 52 week close ( I.e 250 trading days , on closing basis ) for more than 50 or more trading days ,

2) as on current day at close , $SPY closes below 3% of the 52 week closing high

below the trading odds for $SPY since 1995 , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 20 12 60.0 0.14 0.38 0.69 -0.68 1.02 -1.79 1.00
t+2 20 15 75.0 0.38 0.15 0.67 -0.47 1.42 -1.06 2.90
t+3 20 10 50.0 0.12 0.09 1.15 -0.90 1.28 -3.00 1.12
t+4 20 11 55.0 0.41 0.37 1.55 -0.98 1.59 -2.89 1.60
t+5 20 15 75.0 0.97 1.07 1.62 -0.98 1.65 -1.67 4.51
1st +’ve exit in 5 days % 20 20 100.0 0.62 0.57 0.62 INF INF NA NA

20/20 times since last 1995, $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 62 bps and a median gains of 57 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 pulling back by more than 3% on closing basis , from the 250 trading day’s closing high , after being above for more than 50 trading days or so , since 1995

Date Close % from 52 wk high # days with out 3% pullback t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
02-Feb-18 275.45 -3.88 311 ? ? ? ? ? ? ?
01-Nov-16 205.78 -3.20 87 -0.60 -1.06 -1.17 1.01 1.47 1.01 4
24-Jun-16 197.20 -3.80 69 -1.79 -0.02 1.68 3.07 3.29 1.68 3
29-Jun-15 195.05 -3.31 75 0.21 1.01 0.92 0.63 1.27 0.21 1
01-Aug-14 179.26 -3.10 75 0.72 -0.25 -0.22 -0.76 0.38 0.72 1
24-Jan-14 165.07 -3.14 72 -0.49 0.10 -0.86 0.19 -0.40 0.10 2
18-Apr-13 140.03 -3.17 74 0.87 1.32 2.36 2.43 2.84 0.87 1
23-Oct-12 127.00 -3.44 56 -0.28 0.01 -0.05 -0.05 1.00 0.01 2
10-Apr-12 120.78 -4.19 57 0.81 2.13 0.91 0.85 2.34 0.81 1
10-Mar-11 112.62 -3.41 68 0.69 0.08 -1.06 -2.89 -1.61 0.69 1
22-Jan-10 92.83 -5.08 52 0.51 0.09 0.57 -0.59 -1.67 0.51 1
07-Jun-07 119.26 -3.24 54 1.30 1.48 0.37 1.87 2.52 1.30 1
27-Feb-07 111.14 -4.48 133 1.03 0.72 -0.59 -1.54 0.14 1.03 1
17-May-06 99.62 -4.35 135 -0.50 0.20 -0.57 -1.32 -0.54 0.20 2
26-Aug-05 93.57 -3.18 70 0.77 0.24 1.51 1.43 1.25 0.77 1
13-Jan-05 90.41 -3.08 54 0.53 1.57 0.51 -0.10 -0.71 0.53 1
10-Mar-04 84.91 -3.27 110 -1.30 0.00 -1.23 -0.70 0.41 0.41 5
27-Apr-98 76.00 -3.87 68 -0.14 0.55 2.41 3.56 3.31 0.55 2
12-Aug-97 64.03 -3.61 73 -0.30 0.07 -3.00 -0.84 0.30 0.07 2
12-Dec-96 49.95 -3.94 68 0.26 -1.03 -0.24 0.56 2.63 0.26 1
10-Jan-96 40.37 -3.76 257 0.60 0.44 0.23 1.46 1.15 0.60 1

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when $SPY posts 3 out of 5 , losses of 1 stdevp(20) magnitude

when $SPY posts 3 out of 5 , losses of 1 stdevp(20) magnitude$SPY posts 3 1 stdevp(20) losses

 

apart from 10 bullish patterns over the weekend on twitter 10 things on happened last night on $ES_F !!

here is another , trading strategy rules

1) $SPY lost by more than 1 standard deviation , period used is 20, and standard deviation is calculated on daily percentage changes for previous 20 trading days including today

2) in the last 5 trading days , including today , $SPY posted  3 or more such losses of 1 standard deviations

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+1 100 68 68.0 0.53 0.45 1.37 -1.25 1.10 -4.21 2.06
t+2 100 70 70.0 1.01 0.97 2.20 -1.75 1.26 -9.33 2.81
t+3 100 75 75.0 1.31 0.99 2.36 -1.84 1.29 -11.53 3.92
t+4 100 73 73.0 1.49 1.10 2.62 -1.55 1.69 -6.38 4.49
t+5 100 70 70.0 1.85 1.44 3.23 -1.35 2.39 -7.34 5.73
1st +’ve exit in 5 days % 100 94 94.0 1.18 0.73 1.35 -1.40 0.96 -3.09 12.96

 

94/100 times since last 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 118 bps and a median gains of 73 bps

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

below the 6 instances , where $SPY failed to close higher than the entry

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days %
07-Jan-16 186.35 -1.10 -1.00 -0.20 -2.69 -1.09 -1.09
10-Oct-14 178.27 -1.64 -1.49 -2.16 -2.24 -1.09 -1.09
21-Jan-10 94.95 -2.23 -1.73 -2.14 -1.67 -2.80 -2.80
26-Jul-07 118.91 -1.97 -0.43 -1.55 -1.07 -0.28 -0.28
20-Jan-05 90.32 -0.61 -0.81 -0.53 -0.23 -0.06 -0.06
17-Sep-01 75.65 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09

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$SPY pattern with 43/44 wins since 2009

$SPY pattern with 43/44 wins

$SPY trading pattern

below the trading strategy rules

1) $SPY is down for the day

2) $SPY close is above 200-DMA

3) current month is Feb

trading odds for $SPY longs since 2009 , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 44 36 81.8 0.39 0.54 0.64 -0.72 0.89 -3.09 4.30
t+2 44 38 86.4 0.55 0.60 0.79 -1.00 0.79 -2.89 5.51
t+3 44 36 81.8 0.72 0.76 1.07 -0.88 1.22 -3.59 5.89
t+4 44 33 75.0 0.86 0.97 1.37 -0.66 2.08 -2.38 6.25
t+5 44 36 81.8 1.06 1.25 1.59 -1.29 1.23 -2.57 5.25
1st +’ve exit in 5 days % 44 43 97.7 0.54 0.60 0.61 -2.57 0.24 -2.57 14.30

43/44 times since last 2009, $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 54 bps and a median gains of 60 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 a down day in Feb , while close is above 200-DMA , since 2009 , for the next 1/2/3/4/5 trading days

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
01-Feb-18 281.58 ?? ?? ?? ?? ?? ?? ??
28-Feb-17 231.97 1.40 0.76 0.82 0.52 0.22 1.40 1
22-Feb-17 231.78 0.07 0.19 0.35 0.08 1.48 0.07 1
16-Feb-17 230.25 0.16 0.75 0.66 0.73 0.86 0.16 1
06-Feb-17 224.57 0.00 0.14 0.73 1.13 1.68 0.00 1
27-Feb-15 198.18 0.63 0.22 -0.20 -0.09 -1.50 0.63 1
26-Feb-15 198.85 -0.34 0.29 -0.12 -0.54 -0.44 0.29 2
25-Feb-15 199.09 -0.12 -0.46 0.17 -0.24 -0.66 0.17 3
23-Feb-15 198.69 0.28 0.20 0.08 -0.26 0.37 0.28 1
19-Feb-15 197.54 0.60 0.59 0.87 0.79 0.67 0.60 1
09-Feb-15 192.50 1.07 1.12 2.10 2.52 2.68 1.07 1
06-Feb-15 193.37 -0.45 0.61 0.67 1.64 2.06 0.61 2
04-Feb-15 191.97 1.01 0.73 0.28 1.35 1.41 1.01 1
25-Feb-14 170.56 0.01 0.53 0.78 0.08 1.48 0.01 1
21-Feb-14 169.68 0.55 0.52 0.52 1.05 1.31 0.55 1
19-Feb-14 168.88 0.59 0.48 1.03 0.99 1.00 0.59 1
05-Feb-14 161.63 1.32 2.57 2.76 3.89 3.94 1.32 1
03-Feb-14 160.71 0.70 0.57 1.90 3.16 3.35 0.70 1
28-Feb-13 137.13 0.33 0.86 1.77 1.91 2.09 0.33 1
25-Feb-13 134.76 0.68 1.95 1.75 2.09 2.63 0.68 1
21-Feb-13 136.05 0.98 -0.94 -0.27 0.99 0.79 0.98 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 0.36 2
15-Feb-13 137.58 0.75 -0.51 -1.11 -0.14 -2.04 0.75 1
11-Feb-13 137.27 0.16 0.25 0.34 0.22 0.98 0.16 1
07-Feb-13 136.54 0.56 0.54 0.70 0.79 0.88 0.56 1
04-Feb-13 135.25 1.01 1.08 0.95 1.51 1.49 1.01 1
29-Feb-12 121.24 0.52 0.21 -0.20 -1.66 -0.97 0.52 1
22-Feb-12 120.36 0.44 0.66 0.83 1.12 0.73 0.44 1
15-Feb-12 119.06 1.11 1.37 1.42 1.09 1.54 1.11 1
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
10-Feb-12 118.89 0.74 0.62 0.15 1.26 1.53 0.74 1
06-Feb-12 118.97 0.25 0.55 0.68 -0.07 0.68 0.25 1
24-Feb-11 113.48 1.07 1.70 0.00 0.21 1.94 1.07 1
23-Feb-11 113.56 -0.07 1.00 1.63 -0.07 0.15 1.00 2
22-Feb-11 114.26 -0.61 -0.68 0.38 1.00 -0.68 0.38 3
15-Feb-11 115.28 0.63 0.93 1.14 -0.89 -1.50 0.63 1
09-Feb-11 114.64 0.04 0.64 0.88 0.56 1.19 0.04 1
02-Feb-11 113.10 0.22 0.51 1.13 1.59 1.36 0.22 1
25-Feb-10 94.07 0.06 1.10 1.38 1.47 1.78 0.06 1
23-Feb-10 93.34 0.92 0.78 0.85 1.89 2.18 0.92 1
12-Feb-10 91.84 1.57 2.05 2.66 2.87 2.89 1.57 1
10-Feb-10 90.96 1.05 0.96 2.55 3.04 3.64 1.05 1
08-Feb-10 90.01 1.26 1.06 2.12 2.03 3.64 1.26 1
04-Feb-10 90.48 0.21 -0.52 0.73 0.54 1.59 0.21 1
03-Feb-10 93.36 -3.09 -2.89 -3.59 -2.38 -2.57 -2.57 5

highlighted in red is the only instance as on 3rd Feb , when $SPY failed to close higher at the end of the fifth trading day , and lost big by 257 bps

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$SPY 1DOM pattern with 35/35 wins , since Y2K

$SPY 1DOM pattern with 35/35 wins

$SPY 1DOM patterntrading strategy rules

1) $SPY gains by more than 4% for the month as on the last trading day of the month

trading odds for $SPY longs from last trading day of the month ( LDOM) for the next 1/2/3/4/5 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Max Loss % OAPF
t+1 35 30 85.7 0.69 0.66 0.94 -0.83 -2.79 5.63
t+2 35 28 80.0 0.96 0.98 1.39 -0.76 -1.62 6.64
t+3 35 27 77.1 1.08 1.15 1.67 -0.92 -1.83 4.89
t+4 35 28 80.0 1.26 1.09 1.83 -1.01 -2.71 6.31
t+5 35 26 74.3 0.84 0.91 1.52 -1.12 -2.07 2.74
1st +’ve exit in 5 days % 35 35 100.0 0.94 0.69 0.94 INF NA INF

35/35 times since last 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 95 bps and a median gains of 69 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 gaining by more than 4% for the month and the forward $SPY returns for the next 1/2/3/4/5 trading days

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #  days 1st +’ve cls
31-Jan-18 >277.53 ?? ?? ?? ?? ?? ?? ??
31-Mar-16 198.38 0.68 0.36 -0.65 0.44 -0.76 0.68 1
30-Oct-15 198.48 1.18 1.48 1.17 1.07 1.01 1.18 1
27-Feb-15 198.18 0.63 0.22 -0.20 -0.09 -1.50 0.63 1
28-Feb-14 171.89 -0.70 0.69 0.78 1.01 1.06 0.69 2
31-Oct-13 161.33 0.24 0.59 0.27 0.79 -0.49 0.24 1
31-Jul-13 154.08 1.16 1.33 1.18 0.60 0.28 1.16 1
31-Jan-13 135.40 1.03 -0.11 0.90 0.98 0.84 1.03 1
29-Jun-12 121.57 0.30 0.96 0.51 -0.45 -0.57 0.30 1
29-Feb-12 121.24 0.52 0.21 -0.20 -1.66 -0.97 0.52 1
31-Jan-12 116.20 0.88 1.04 2.45 2.38 2.64 0.88 1
31-Oct-11 110.35 -2.79 -1.20 0.60 -0.02 0.61 0.60 3
31-Dec-10 108.99 1.03 0.98 1.50 1.30 1.11 1.03 1
30-Sep-10 98.40 0.42 -0.33 1.67 1.66 1.54 0.42 1
30-Jul-10 94.57 2.26 1.77 2.45 2.34 1.92 2.26 1
31-Mar-10 99.86 0.68 1.50 1.74 1.16 1.51 0.68 1
30-Nov-09 92.95 1.24 1.19 0.40 0.97 0.82 1.24 1
31-Jul-09 83.15 1.65 1.91 1.62 1.09 2.42 1.65 1
29-May-09 77.43 2.42 2.51 1.21 2.16 2.18 2.42 1
30-Apr-09 73.15 0.54 3.96 3.60 5.40 3.94 0.54 1
31-Mar-09 66.54 1.94 4.92 5.96 5.13 2.68 1.94 1
30-Apr-08 112.72 2.07 2.35 1.86 2.74 0.91 2.07 1
30-Apr-07 118.61 0.26 0.84 1.39 1.77 1.79 0.26 1
30-Nov-05 97.58 1.02 1.15 0.93 1.12 0.53 1.02 1
30-Nov-04 90.19 1.14 1.22 1.15 1.12 0.18 1.14 1
31-Dec-03 83.93 -0.04 1.04 1.14 1.48 1.89 1.04 2
31-Oct-03 79.04 0.66 0.44 0.51 1.04 0.29 0.66 1
30-May-03 72.23 0.41 0.83 2.28 2.78 2.38 0.41 1
30-Apr-03 68.48 -0.01 1.41 1.22 2.18 1.61 1.41 2
29-Nov-02 69.41 0.16 -1.18 -1.63 -2.71 -2.07 0.16 1
31-Oct-02 65.38 1.98 2.95 3.76 5.11 2.53 1.98 1
30-Nov-01 83.04 -0.60 1.09 2.94 2.88 2.20 1.09 2
30-Apr-01 91.61 0.31 0.13 -1.14 0.54 -0.33 0.31 1
31-Jan-01 98.83 0.66 -1.62 -0.90 -1.19 -1.70 0.66 1
31-Aug-00 109.26 0.10 -0.70 -1.83 -0.98 -1.66 0.10 1
31-Mar-00 107.60 0.58 -0.17 -0.79 0.07 0.71 0.58 1
avg 0.69 0.96 1.08 1.26 0.84 0.94 1.17
med 0.66 0.98 1.15 1.09 0.91 0.69 1.00
n 35 35 35 35 35 35
%up 86 80 77 80 74 100
stdevp 0.94 1.32 1.55 1.72 1.43 0.61
t-test 4.30 4.32 4.12 4.34 3.49 9.16
avg win % 0.94 1.39 1.67 1.83 1.52 0.94
avg loss % -0.83 -0.76 -0.92 -1.01 -1.12 0.00

ps: a $SPY close above 277.53 triggers this pattern , otherwise this pattern is void !

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