Florida high school shooting: request for support

Florida high school shooting: request for support

by Rocky Humbert

alex

Hello Friends,

A relative of a good friend was killed in the Parkland Florida shooting.  The victim is a 14 year old boy, Alex Schachter;  he was a trombone player in the marching band.  The family has set up a Go-Fund-Me scholarship fund in his memory.  I would appreciate if you would make a contribution — even if it’s as little as $1 — just to show support and sympathy.  This isn’t about politics or gun control.  It’s about leaving behind a small positive in the face of  tragedy.  If you are a parent, you get it….

Thank you in advance.

Click on :

https://www.gofundme.com/55jm4g8

 

Funny Volume only Slightly Bearish Pattern on $SPY

Funny Volume only Slightly Bearish Pattern on $SPY

New Job Statistics

 

Not sure how to use these volume only patterns , but found this interesting pattern , here are the trading rules

1) $SPY posts highest volume in the last 10 trading days &&

2) current day is NFP day

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 33 12 36.4 -0.67 -0.23 0.51 -1.34 0.38 -6.51 0.29 0.23 1.56 -2.45
t+2 33 11 33.3 -0.66 -0.33 1.24 -1.61 0.77 -9.34 0.37 0.29 2.23 -1.70
t+3 33 12 36.4 -1.05 -0.90 1.52 -2.52 0.60 -11.63 0.35 0.28 2.95 -2.04
t+4 33 12 36.4 -1.01 -0.64 2.05 -2.75 0.74 -17.79 0.38 0.29 4.08 -1.42
t+5 33 13 39.4 -1.12 -0.82 1.83 -3.04 0.60 -19.79 0.35 0.25 4.42 -1.46
t+10 33 18 54.5 -0.47 0.26 3.01 -4.64 0.65 -15.53 0.76 0.66 4.96 -0.54
t+20 33 21 63.6 1.31 1.56 4.23 -3.79 1.12 -12.24 1.81 1.53 5.77 1.31
1st +’ve exit in 5 days 33 22 66.7 -0.71 0.22 0.78 -3.69 0.21 -19.79 0.43 0.36 3.75 -1.09
1st -‘ve exit in 5 days 33 28 84.8 0.84 -0.70 -1.23 1.35 0.91 2.35 4.02 3.20 1.73 2.79

1st -‘ve exit in 5 days , assumes one goes short at current close , and exits at a lower close than entry over the next five days , other wise buy to cover for a loss at the end of 5th day trading day ..

28/33 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 84 basis points at the 1st negative 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 $SPY returns over the next 1/2/3/4/5 trading days , when $SPY posts highest volume in 10 trading days , on NFP day , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit (%) in 5 days
08-May-15 211.62 ?? ?? ?? ?? ?? ??
06-Mar-15 206.58 0.41 -1.22 -1.45 -0.19 -0.80 -1.22
05-Sep-14 198.19 -0.26 -0.89 -0.51 -0.40 -0.98 -0.26
01-Aug-14 189.71 0.72 -0.26 -0.23 -0.76 0.38 -0.26
04-Apr-14 182.82 -1.10 -0.70 0.37 -1.74 -2.63 -1.10
06-Dec-13 175.73 0.26 -0.11 -1.23 -1.55 -1.56 -0.11
06-Sep-13 160.48 0.95 1.70 2.02 1.75 1.98 1.98
05-Apr-13 149.17 0.68 1.03 2.27 2.60 2.35 2.35
04-May-12 128.85 0.07 -0.33 -0.92 -0.71 -1.02 -0.33
05-Aug-11 111.16 -6.51 -2.17 -6.49 -2.29 -1.64 -6.51
03-Jun-11 120.13 -1.06 -1.12 -1.53 -0.78 -2.16 -1.06
04-Mar-11 121.49 -0.78 0.08 -0.06 -1.91 -1.23 -0.78
07-Jan-11 116.61 -0.13 0.22 1.13 0.96 1.70 -0.13
06-Aug-10 101.99 0.54 -0.01 -2.75 -3.34 -3.63 -0.01
05-Feb-10 95.94 -0.72 0.52 0.32 1.38 1.29 -0.72
04-Dec-09 99.32 -0.15 -1.27 -0.90 -0.33 0.09 -0.15
06-Mar-09 60.59 -1.17 4.72 5.40 9.54 10.40 -1.17
09-Jan-09 78.32 -2.40 -2.22 -5.30 -5.26 -4.52 -2.40
03-Oct-08 96.22 -5.09 -9.34 -11.63 -17.79 -19.79 -5.09
06-Jun-08 117.58 0.24 -0.26 -1.73 -1.35 -0.10 -0.26
07-Mar-08 111.35 -1.32 2.23 1.28 1.50 -0.07 -1.32
04-Jan-08 121.31 -0.08 -1.70 -0.67 -0.02 -0.82 -0.08
07-Sep-07 124.15 -0.19 0.97 1.23 1.94 1.93 -0.19
04-Aug-06 106.99 -0.23 -0.62 -0.95 -0.64 -0.93 -0.23
01-Apr-05 95.88 0.17 0.65 0.99 1.53 0.48 0.48
06-Aug-04 85.88 0.14 1.43 1.22 0.12 0.31 0.31
05-Mar-04 92.87 -1.22 -1.62 -3.26 -4.52 -3.26 -1.22
09-Jan-04 89.69 0.74 0.14 0.98 1.23 1.63 1.63
06-Jun-03 78.25 -1.01 -0.01 1.05 1.37 0.31 -1.01
07-Mar-03 65.42 -2.40 -3.36 -2.71 0.66 0.98 -2.40
04-Jan-02 90.91 -0.70 -0.93 -1.74 -1.31 -2.28 -0.70
07-Sep-01 83.43 1.22 -4.06 -4.29 -6.22 -9.21 -4.06
04-May-01 97.44 -0.86 -0.90 -1.32 -1.04 -1.71 -0.86
06-Oct-00 107.33 -0.75 -2.39 -3.21 -5.63 -2.49 -0.75

highlighted in bold were those 5 instances where $SPY failed to closed lower over the next five trading days ..

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The Importance of Benchmarking – Measuring the Sell in May Strategy

The following article is a guest post from Jared Broad, CEO and Founder of QuantConnect. QuantConnect is an online browser-based back-testing platform for C# that allows you to test custom strategies over 15 years of historical intraday data. This article will be part of a new bi-monthly post by Jared on algorithmic trading for retail investors.

There are two different techniques for measuring your strategy performance; relative and absolute performance. Before you design your strategy its important to define your metrics for success. As you iterate through strategy ideas this will help you know where you need to improve.

An absolute return strategy aims to make a consistent steady return independent of market conditions. It might rely on assets which are not affected by the market volatility such as bonds. Strategies which trade long and short are easier to be designed for an absolute return.

The alternative method is to compare or “benchmark” your strategy a market index. The precise index or market representation you choose can vary but often funds choose the S&P500. With a relative return strategy reducing holdings to cash is a net gain relative to a downward market.

We’ve integrated this directly into the QuantConnect results panel so you can load a custom benchmark into your charts, to know how your strategy is performing relative to the major indices. To access it, click on the “Select Benchmark” menu in the Chart Options on the right hand side:
bench

To demonstrate the benchmarking functionality we’ve written the next video in the QuantConnect University series – Sell in May and Go Away. It is a demonstration for how to code up the sell in may strategy, and then we benchmark it to the S&P500 over the same period.

With this particular implementation we achieved the same returns with lower volatility, resulting in and overall better than market strategy.

This article was written by Jared Broad and originally appeared on QuantConnect.

When $SPX posts the first 5-day losing streak of the year

$SPX first 5-day losing streak of the year since 1950

with $SPX posting it’s first 5-day losing streak of 2013 , below the details of $SPX trading odds for the next 20 trading odds since 1950

below the trading strategy rules that we applied

  • for the first time in the calendar year $SPX posts a 5 day decline (further $SPX  5 day declines during the rest of the year are ignored )
  • go long at close
  • exit after 20 trading days

trading odds for next 20 trading days , when $SPX declines for 5 days in row for the first time in the year since 1950

  • Winners : 41
  • Losers : 19
  • % Winners : 68%
  • Average Change % : 1.86
  • Median Change % : 1.62
  • Maximum Gain % : 11.55
  • Maximum Loss % : -8.51
  • Average Gain %if Winner : 3.90
  • Average Loss % if Loser : -2.55
  • Average Gain % / Average Loss % : 1.53
  • Average Absolute Change% : 3.47

below the table with how SPX index fared over the next 1/2/3/4/5/10/20 5 trading days , after falling for 5 days in row , for the first time in the year , since 1950.

$SPX first time declines of 5 days in row in the year, since 1950

as you can see in the above table , ( really!!  did you notice it ??) ,

  • 2006, 2005, 1998 were the only three years where $SPX  didn’t have 5-day losing streaks for the whole year
  • Also note that in the year 1960 , the first trading day of the year started with a consecutive 5- day decline ( no idea why during that year the trading started so late starting at 12th Jan 1960 , I wasn’t born then , if you could tell us why the market was closed between 1st Jan to 11th Jan in 1960 , the rest of the readers would be thankful to you)

So how does the rest of the year looks like after the first 5-day decline

below the table with the details of $SPX first 5-day decline in the year , and the year end closing.

Date Close Trading day Year end Close Rest of the Year Change % Trading days left in the Year Avg Gains Per trading day
25-Sep-13 1692.77 185 ?? ?? 67
10-Apr-12 1358.59 180 1426.19 4.98 70 0.07
07-Jun-11 1284.94 177 1257.6 -2.13 75 -0.03
02-Jul-10 1022.58 176 1257.64 22.99 76 0.30
20-Feb-09 770.05 174 1115.1 44.81 78 0.57
22-Jan-08 1310.5 172 903.25 -31.08 81 -0.38
27-Feb-07 1399.04 171 1468.36 4.95 80 0.06
24-Feb-04 1139.09 169 1211.92 6.39 83 0.08
22-Jan-03 878.36 168 1111.92 26.59 84 0.32
07-Feb-02 1080.17 164 879.82 -18.55 88 -0.21
23-Feb-01 1245.86 161 1148.08 -7.85 87 -0.09
14-Apr-00 1356.56 156 1320.28 -2.67 96 -0.03
01-Mar-99 1236.16 152 1469.25 18.86 100 0.19
12-Dec-97 953.39 151 970.43 1.79 102 0.02
20-Feb-96 640.65 146 740.74 15.62 108 0.14
03-Aug-95 558.75 145 615.93 10.23 107 0.10
29-Mar-94 452.48 142 459.27 1.50 110 0.01
23-Apr-93 437.03 139 466.45 6.73 114 0.06
07-Oct-92 404.25 137 435.71 7.78 117 0.07
08-Jan-91 314.9 133 417.09 32.45 120 0.27
30-Jan-90 322.98 130 330.22 2.24 123 0.02
14-Jun-89 323.83 128 353.4 9.13 124 0.07
10-Aug-88 261.9 127 277.72 6.04 126 0.05
08-Sep-87 313.56 125 247.08 -21.20 128 -0.17
11-Sep-86 235.18 123 242.17 2.97 130 0.02
21-Feb-85 180.19 120 211.28 17.25 132 0.13
13-Jan-84 167.02 112 167.24 0.13 141 0.00
02-Aug-83 162.01 110 164.93 1.80 143 0.01
08-Mar-82 107.34 103 140.64 31.02 150 0.21
23-Jan-81 130.23 97 122.55 -5.90 156 -0.04
26-Mar-80 98.68 93 135.76 37.58 160 0.23
27-Feb-79 96.13 91 107.94 12.29 162 0.08
09-Jan-78 90.64 86 96.11 6.03 166 0.04
23-Mar-77 100.2 82 95.1 -5.09 170 -0.03
12-Apr-76 100.2 78 107.46 7.25 175 0.04
24-Mar-75 81.42 74 90.19 10.77 179 0.06
10-Jan-74 92.39 65 68.56 -25.79 188 -0.14
27-Feb-73 110.9 56 97.55 -12.04 196 -0.06
25-Apr-72 107.12 51 118.05 10.20 200 0.05
25-Mar-71 99.61 47 102.09 2.49 206 0.01
29-Jan-70 85.69 42 92.15 7.54 212 0.04
20-Feb-69 99.79 36 92.06 -7.75 214 -0.04
19-Jan-68 95.24 31 103.86 9.05 195 0.05
04-Apr-67 89.22 27 96.47 8.13 224 0.04
01-Feb-66 92.16 21 80.33 -12.84 231 -0.06
21-Jul-65 84.07 20 92.43 9.94 232 0.04
24-Jul-64 83.46 18 84.75 1.55 235 0.01
16-Jul-63 69.14 17 75.02 8.50 234 0.04
22-Mar-62 70.4 8 63.1 -10.37 244 -0.04
27-Mar-61 64.35 6 71.55 11.19 244 0.05
12-Jan-60 58.41 1 58.11 -0.51 251 0.00
10-Aug-59 58.62 250 59.89 2.17 3 0.72
11-Feb-58 41.11 247 55.21 34.30 5 6.86
06-Feb-57 43.82 240 39.99 -8.74 12 -0.73
13-Feb-56 43.58 233 46.67 7.09 18 0.39
17-Jan-55 34.58 231 45.48 31.52 21 1.50
08-Jun-54 28.34 228 35.98 26.96 24 1.12
12-Jan-53 25.86 221 24.81 -4.06 30 -0.14
18-Feb-52 23.74 217 26.57 11.92 33 0.36
16-May-51 21.69 212 23.77 9.59 37 0.26
13-Jul-50 16.69 211 20.43 22.41 38 0.59
avg 6.47 0.22
med 6.56 0.04
%up 0.73 0.73

$SPX year end targets based on the above data

we hate to give year end targets , but for the fun of it , as there are 67 trading days,  left in the year , and if the average gains per day of 0.22% are realized ( as per the above data set),

67*0.22% = 14.7% ,

giving us an year end target of 1941.76 !! 

its a bit high ( even though , none of the bulls won’t have a problem with that year end target) and the usual problem with the averages , so lets take the median gains per day for the rest of the year , which are at 0.04% ,

67*0.04% = 2.97% ,

giving us an year end target of 1743.08 !!

if we take recent history from 1980’s alone as opposed to since 1950’s data

year end target as per above pattern , taking in to account of the average gains per trading day for the rest of the year , stands at , 67*0.07% = 4.61% , year end target of 1770.79

taking in to account of the median gains per trading day for the rest of the year , stands at , 67*0.06% = 4.05% , year end target of 1761.38

Whats your year end target ??

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$SPY closes above lower bollinger band after closing below the lower bollinger band for 3 days in row

$SPY closes above lower bollinger band after closing below the lower bollinger band for 3 days in row

$SPY close crossing above lower bollinger band stock chart

following up the yesterday post on the bollinger band trading strategy

here are the trading strategy rules, we employed

below the trading odds for the longs , with a one day holding period, test period since Jan 2000.

  • Winners : 7
  • Losers : 13
  • % Winners : 35%
  • Average Change % : -0.44
  • Median Change % : -0.28
  • Maximum Gain % : 1.23
  • Maximum Loss % : -4.42
  • Average Gain %if Winner : 0.79
  • Average Loss % if Loser : -1.09
  • Average Gain % / Average Loss % : 0.72
  • Average Absolute Change% : 1.00
  • Profit Factor : 0.42

below the trading odds for the longs , with a two trading day’s holding period, test period since Jan 2000.

  • Winners : 8
  • Losers : 12
  • % Winners : 40%
  • Average Change % : -0.85
  • Median Change % : -0.39
  • Maximum Gain % : 4.53
  • Maximum Loss % : -12.52
  • Average Gain %if Winner : 1.41
  • Average Loss % if Loser : -2.36
  • Average Gain % / Average Loss % : 0.60
  • Average Absolute Change% : 2.03
  • Profit Factor : 0.47

in other words expect a bit softness in $SPY for the day or two.

below the prior instances $SPY close crossing above lower bollinger band after closing below the lower bollinger band for three days in row , since Jan 2000.

Date Close Lower Bband # closes below Lower Bband prev day Next Day Change Next Day Change % Next 2 Days Change Next 2 Days Change %
20-Aug-13 165.58 165.3 3 ?? ?? ?? ??
25-Jun-13 158.57 157.64 3 1.57 0.99 2.51 1.59
28-Nov-11 115.25 112.23 4 0.33 0.29 5.08 4.53
09-Aug-11 112.52 111.31 5 -4.97 -4.42 -0.14 -0.13
09-Jun-11 123.33 122.22 4 -1.72 -1.39 -1.62 -1.33
10-May-10 108.55 106.03 4 -0.31 -0.29 1.21 1.14
27-Jan-10 102.22 101.45 3 -1.18 -1.15 -2.28 -2.25
24-Feb-09 70.48 68.63 5 -0.56 -0.79 -1.7 -2.48
13-Oct-08 91.45 81.69 7 -1.36 -1.49 -10.23 -12.52
11-Mar-08 117.78 114.82 3 -1.1 -0.93 -0.84 -0.73
23-Jan-08 118.9 115.44 3 1 0.84 -0.73 -0.63
09-Jan-08 124.68 124.01 3 0.82 0.66 -0.19 -0.15
13-Nov-07 130.84 127.94 4 -0.37 -0.28 -2.25 -1.76
06-Mar-07 121.84 120.27 5 -0.12 -0.1 0.9 0.75
19-Apr-05 97.49 96.77 3 -1.36 -1.4 0.51 0.53
10-Aug-04 90.13 89.1 3 -0.19 -0.21 -1.17 -1.31
24-Jul-02 68.18 65.1 4 -0.57 -0.84 0.71 1.09
08-Feb-02 88.04 86.44 4 1.08 1.23 0.8 0.93
24-Sep-01 80.26 77.15 5 0.83 1.03 0.55 0.71
26-Feb-01 100.77 98.25 5 -0.93 -0.92 -2.9 -2.95
13-Oct-00 108.33 106.65 3 0.5 0.46 -2.21 -2.07

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