# When Small Cap Stocks Underperform

extending the post by @steenbab (needless to say a must #FF), **When Small Cap Stocks Underperform**

below the trading strategy rules ,

$IWM ( dividend adjusted returns ) returns over the last 50 days are negative ( that is ROC(50) <0) as on current trading day, while $SPY 50 day returns are positive , as on current trading day

for ex: as on 26th Mar 2014 , the $IWM 50 day returns were , -0.32% while SPY returns were 1.15% .

below the $IWM returns going forward for next 1/2/3/4/5/10/20 trading days , **when $IWM ROC(50) is negative while $SPY ROC(50) is positive , **data since Jan 2001 ( since $IWM IPO)

Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |

t+1 | 330 | 204 | 61.8 | 0.45 | 0.46 | 1.38 | -1.06 | 1.30 | -5.16 |

t+2 | 329 | 216 | 65.7 | 0.90 | 0.90 | 2.00 | -1.20 | 1.66 | -4.38 |

t+3 | 329 | 239 | 72.6 | 1.27 | 1.19 | 2.29 | -1.43 | 1.59 | -6.40 |

t+4 | 329 | 240 | 72.9 | 1.63 | 1.65 | 2.72 | -1.30 | 2.09 | -6.35 |

t+5 | 329 | 251 | 76.3 | 1.82 | 1.77 | 2.87 | -1.56 | 1.85 | -9.62 |

t+10 | 329 | 283 | 86.0 | 3.17 | 3.14 | 4.02 | -2.06 | 1.95 | -6.19 |

t+20 | 329 | 266 | 80.9 | 3.63 | 4.27 | 5.70 | -5.12 | 1.11 | -21.84 |

1st +’ve exit in 5 days |
329 |
298 |
90.6 |
1.00 |
0.93 |
1.30 |
-1.97 |
0.66 |
-9.62 |

as there are too many trades generated with quite a few interleaving trade samples , but still if you can pay attention to the rows like t+10/t+20 etc ..

lets do with 20-day non- interleaving trade sample size , that is **when $IWM ROC(50) is negative while $SPY ROC(50) is positive , for the first time in 20 trading days , **data since Jan 2001 ( since $IWM IPO)

Exit |
# |
Wins |
% Wins |
Avg% |
Med% |
Avg Win % |
Avg Loss % |
Pay Off |
Max Loss % |

t+1 | 33 | 17 | 51.5 | 0.03 | 0.03 | 1.43 | -1.45 | 0.99 | -5.16 |

t+2 | 32 | 19 | 59.4 | 0.40 | 0.63 | 1.64 | -1.41 | 1.16 | -3.22 |

t+3 | 32 | 24 | 75.0 | 0.81 | 1.38 | 2.06 | -2.94 | 0.70 | -5.83 |

t+4 | 32 | 23 | 71.9 | 1.68 | 1.74 | 3.02 | -1.75 | 1.72 | -6.35 |

t+5 | 32 | 21 | 65.6 | 1.55 | 1.73 | 3.31 | -1.82 | 1.82 | -5.72 |

t+10 |
32 |
30 |
93.8 |
4.24 |
3.97 |
4.71 |
-2.70 |
1.74 |
-4.63 |

t+20 |
32 |
28 |
87.5 |
4.84 |
4.29 |
6.19 |
-4.60 |
1.35 |
-7.15 |

lets do with 50-day non interleaving trade sample size to sound all fifties , that is when **when $IWM ROC(50) is negative while $SPY ROC(50) is positive , for the first time in 50 trading days**

Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % |

t+1 | 21 | 9 | 42.9 | -0.52 | -0.21 | 0.97 | -1.64 | 0.59 | -5.16 |

t+2 | 20 | 11 | 55 | 0.06 | 0.23 | 1.29 | -1.45 | 0.89 | -3.22 |

t+3 | 20 | 15 | 75 | 0.69 | 1.42 | 2.01 | -3.27 | 0.61 | -5.83 |

t+4 | 20 | 15 | 75 | 1.52 | 1.74 | 2.81 | -2.37 | 1.19 | -6.35 |

t+5 | 20 | 14 | 70 | 1.71 | 2.09 | 3.36 | -2.15 | 1.56 | -5.72 |

t+10 |
20 |
18 |
90 |
4.15 |
3.97 |
4.91 |
-2.7 |
1.82 |
-4.63 |

t+20 |
20 |
18 |
90 |
4.56 |
4.13 |
5.75 |
-6.13 |
0.94 |
-7.15 |

t+50 |
20 |
19 |
95 |
8.28 |
8.3 |
9.45 |
-13.88 |
0.68 |
-13.88 |

I’ll leave the above exercise to be done on $SPY , to the readers , as a weekend exercise and post your results below in the comments section ,

in return I’ll send a 80% discount coupon for **Anatomy of $SPY on First Trading Day of the Month , **

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