few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 bps

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 forward 1/2/3/4/5 trading returns , when $SPY closes in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $SPY , 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 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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