Extending Doc Brett’s post of When Small Cap Stocks Underperform

When Small Cap Stocks Underperform

'That's insubordination! How dare you type in all caps to me!'

 

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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