$SPY from the day before of Ides of March

$SPY from the day before of Ides of March

 $SPY from the trading day before Ides of March , since 1993

h/t @ Barbara Kollmeyer , who prompted this Ides of March ,

below the trading odds for $SPY longs from the close of 14th Mar ( if market is open , other wise , the prior trading day, or simply from the 10th trading of March , or Ides of March ) , for the next 1/2/3/4/5/10/20 trading days , data since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 14 60.9 0.36 0.14 0.94 -0.55 1.70 -1.23 2.23 1.65
t+2 23 16 69.6 0.85 0.73 1.78 -1.28 1.39 -2.98 2.12 1.99
t+3 23 18 78.3 1.20 0.74 1.83 -1.07 1.71 -1.69 4.24 2.72
t+4 23 17 73.9 1.13 0.82 2.00 -1.32 1.52 -2.67 3.50 2.54
t+5 23 16 69.6 1.18 0.48 2.32 -1.43 1.63 -4.32 2.95 1.98
t+10 23 15 65.2 1.03 0.84 2.55 -1.81 1.41 -5.05 2.13 1.52
t+20 23 14 60.9 1.78 2.04 4.29 -2.12 2.02 -6.33 3.23 1.99
1st +’ve in 5 days 23 21 91.3 0.84 0.58 1.08 -1.60 0.67 -2.13 4.68 3.34
1st -‘ve in 5 days 23 15 65.2 -0.74 -0.13 -0.56 3.17 0.18 9.47 0.22 -1.36

21/23 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 58 basis points at the 1st positive 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 historical returns from the 10th trading day of the March ( prior trading day to Ides of March ) to the next 1/2/3/4/5 trading days , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
14-Mar-16 202.50 ?? ?? ?? ?? ?? ?? ??
13-Mar-15 201.67 1.34 1.03 2.25 1.78 2.68 1.34 2.68
14-Mar-14 177.46 0.90 1.62 1.08 1.67 1.28 0.90 1.28
14-Mar-13 147.64 -0.13 -0.68 -0.91 -0.22 -1.07 -1.07 -0.13
14-Mar-12 128.93 0.58 0.72 1.11 0.82 0.65 0.58 0.65
14-Mar-11 117.38 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15
12-Mar-10 102.21 0.03 0.82 1.42 1.37 0.86 0.03 0.86
13-Mar-09 65.83 -0.30 2.75 5.05 3.75 1.54 2.75 -0.30
14-Mar-08 109.50 -1.01 3.10 0.55 2.41 4.46 3.10 -1.01
14-Mar-07 115.54 0.14 -0.14 1.06 1.61 3.29 0.14 -0.14
14-Mar-06 106.03 0.45 0.65 0.74 0.58 -0.06 0.45 -0.06
14-Mar-05 96.96 -0.83 -1.67 -1.47 -1.76 -2.13 -2.13 -0.83
12-Mar-04 88.41 -1.23 -0.70 0.41 0.44 -1.00 0.41 -1.23
14-Mar-03 65.01 3.15 3.76 4.55 4.78 7.01 3.15 7.01
14-Mar-02 88.15 0.95 0.97 1.65 -0.27 -0.22 0.95 -0.27
14-Mar-01 88.36 0.03 -1.98 0.01 -2.67 -4.32 0.03 -1.98
14-Mar-00 101.55 2.33 7.11 7.82 7.27 9.47 2.33 9.47
12-Mar-99 95.14 1.43 1.04 0.60 2.22 0.48 1.43 0.48
13-Mar-98 77.74 1.08 1.37 1.75 2.01 2.89 1.08 2.89
14-Mar-97 56.97 0.27 -0.80 -1.14 -1.65 -1.19 0.27 -0.80
14-Mar-96 45.18 -0.07 1.86 1.64 1.52 1.27 1.86 -0.07
14-Mar-95 33.97 -0.19 0.41 0.51 0.51 0.26 0.41 -0.19
14-Mar-94 31.30 -0.07 0.73 0.73 0.71 0.44 0.73 -0.07
12-Mar-93 29.35 0.49 0.49 -0.14 0.49 0.33 0.49 -0.14

highlighted in red were those 2  instances , when bears , did “Et tu, Brute?”  to bulls :) !!

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When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

with $SPY posting gains for 4- days in row , and also posting 4 consecutive green candles in row , below few trading strategies ..

I) $SPY gains for 4 or more days in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 52 20 38.5 -0.52 -0.27 0.82 -1.35 0.61 -8.86 0.33 -2.13
t+2% 52 20 38.5 -1.04 -0.44 1.17 -2.43 0.48 -9.51 0.28 -2.91
t+3% 52 19 36.5 -0.85 -0.35 1.51 -2.21 0.68 -8.11 0.36 -2.36
t+4% 52 22 42.3 -0.62 -0.13 1.72 -2.33 0.74 -7.75 0.47 -1.59
t+5% 52 23 44.2 -1.02 -0.54 1.25 -2.82 0.45 -10.60 0.31 -2.61
t+10% 52 21 40.4 -0.67 -0.78 2.37 -2.72 0.87 -13.28 0.57 -1.32
t+20% 52 27 51.9 -0.56 0.28 3.42 -4.86 0.70 -13.47 0.75 -0.77
1st +’ve in 5 days 52 40 76.9 -0.38 0.41 0.79 -4.29 0.19 -10.60 0.56 -1.07
1st -‘ve in 5 days 52 48 92.3 1.11 -0.76 -1.32 1.45 0.91 3.25 5.93 4.35

48/52 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 111 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 )

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

II) $SPY posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts 4 consecutive green candles in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 58 23 39.7 -0.34 -0.27 1.01 -1.23 0.82 -4.20 0.45 -1.80
t+2% 58 21 36.2 -0.86 -0.48 1.07 -1.96 0.55 -9.51 0.25 -3.11
t+3% 58 23 39.7 -0.76 -0.55 1.44 -2.21 0.65 -8.11 0.39 -2.43
t+4% 58 22 37.9 -0.70 -0.73 1.71 -2.17 0.79 -7.75 0.39 -2.09
t+5% 58 26 44.8 -0.65 -0.22 1.80 -2.64 0.68 -10.60 0.46 -1.62
t+10% 58 28 48.3 -0.67 -0.13 3.15 -4.23 0.74 -13.28 0.68 -1.09
t+20% 57 30 52.6 -1.14 0.29 3.02 -5.77 0.52 -13.47 0.57 -1.59
1st +’ve in 5 days 58 42 72.4 -0.24 0.39 0.93 -3.30 0.28 -10.60 0.67 -0.74
1st -‘ve in 5 days 58 53 91.4 0.89 -0.99 -1.23 2.78 0.44 5.84 5.21 4.22

53/58 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 89 basis points at the 1st negative close within in the next five trading days. 

III) $SPY gains for 4 or more days in row &  posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

3) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA,  since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 7 30.4 -0.52 -0.29 1.17 -1.25 0.94 -4.20 0.33 -1.59
t+2% 23 8 34.8 -1.25 -0.48 0.92 -2.41 0.38 -9.51 0.18 -2.35
t+3% 23 9 39.1 -1.17 -0.31 0.91 -2.52 0.36 -8.11 0.20 -2.15
t+4% 23 9 39.1 -1.10 -0.13 1.31 -2.65 0.49 -7.75 0.23 -1.89
t+5% 23 11 47.8 -1.39 -0.68 1.16 -3.72 0.31 -10.60 0.20 -2.06
t+10% 23 9 39.1 -1.14 -0.76 2.28 -3.33 0.68 -13.28 0.34 -1.42
t+20% 23 12 52.2 -1.59 0.27 2.41 -5.94 0.40 -13.47 0.37 -1.45
1st +’ve in 5 days 23 17 73.9 -0.71 0.46 0.86 -5.15 0.17 -10.60 0.40 -1.11
1st -‘ve in 5 days 23 21 91.3 0.99 -0.83 -1.19 1.12 1.06 1.87 10.53 3.78

21/23 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 99 basis points at the 1st negative close within in the next five trading days. 

below the historical instances of $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
5-Oct-15 197.30 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34
16-Sep-11 111.28 -1.00 -1.11 -4.02 -7.13 -6.57 -6.57 -1.00
15-Sep-11 110.63 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41
13-Jul-10 97.94 -0.01 0.02 -2.74 -2.16 -1.08 0.02 -0.01
12-Jul-10 96.48 1.51 1.50 1.53 -1.27 -0.68 1.51 -1.27
28-Jan-09 75.61 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25
4-Nov-08 86.18 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20
18-Aug-04 87.03 -0.29 0.41 0.15 0.29 0.97 0.41 -0.29
20-Mar-03 68.12 2.13 -1.26 -0.31 -0.82 -0.74 2.13 -1.26
6-Jan-03 71.83 -0.25 -1.69 -0.16 0.11 0.08 0.11 -0.25
3-Jan-03 70.59 1.76 1.51 0.04 1.60 1.87 1.76 1.87
15-Nov-02 70.28 -1.01 -1.14 1.06 2.94 2.21 1.06 -1.01
15-Oct-02 68.21 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42
9-Aug-02 69.89 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73
31-Jul-02 69.79 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61
19-Dec-01 87.78 -0.98 -0.38 -0.57 -0.03 0.58 0.58 -0.98
6-Nov-01 85.21 -0.13 0.18 0.28 -0.33 1.91 0.18 -0.13
5-Jun-01 97.00 -0.83 -0.47 -1.40 -2.10 -2.27 -2.27 -0.83
21-May-01 99.15 -0.13 -1.82 -1.53 -2.70 -3.47 -3.47 -0.13
18-May-01 97.71 1.47 1.34 -0.38 -0.08 -1.26 1.47 -0.38
17-May-01 97.26 0.46 1.94 1.80 0.08 0.37 0.46 0.37
28-Dec-00 100.43 -1.89 -3.67 0.96 -0.13 -3.39 0.96 -1.89
27-Dec-00 100.13 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59

highlighted in the green under 1st -‘ve in 5 days column , were the prior , loss making trades for bears,

IV) not  only that $SPY posted gains for exactly 4 days in row , but each day’s gains were smaller than prior trading day , below the prior 5 instance .. 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
29-Apr-11 123.68 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
21-Jul-08 107.56 1.13 1.68 -0.43 -0.45 -1.91 1.13 -0.43
21-Apr-06 107.25 -0.18 -0.59 -0.57 -0.09 0.24 0.24 -0.18
30-Jul-01 91.27 0.41 1.04 1.46 0.90 -0.46 0.41 -0.46
2-Mar-00 102.96 1.87 0.88 -1.07 -1.20 1.69 1.87 -1.07

as n is very , very small , i will not conclude anything , just found that rare pattern , and wanted to bring out to the reader’s notice

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when $SPY posts an upside reversal day

when $SPY posts an upside reversal day

when $SPY posts an 1.5% upside reversal day , since Y2K

inspired a reader’s question

with $SPY turning around higher on the day by 0.46% from a 1.56% decline at the intra-day lows , as on 24th Feb 2016 , below trading strategy rules ,

1) $SPY posts an intradown low of more than 1.5% to that of previous day’s close &

2) $SPY closes in the green for the day ( lets call it an 1.5% upside reversal day)

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts an 1.5% upside reversal day , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 65 27 41.5 -0.65 -0.60 1.51 -2.19 0.69 -7.84 0.47 -2.18
t+2% 65 29 44.6 -0.63 -0.15 2.09 -2.83 0.74 -13.37 0.57 -1.54
t+3% 65 32 49.2 -0.55 -0.32 2.32 -3.32 0.70 -11.02 0.64 -1.22
t+4% 65 26 40.0 -0.89 -0.64 2.62 -3.22 0.81 -13.81 0.50 -1.79
t+5% 65 26 40.0 -0.94 -0.60 2.88 -3.49 0.83 -17.25 0.49 -1.62
t+10% 65 31 47.7 -1.15 -0.17 3.03 -4.96 0.61 -26.77 0.44 -1.53
t+20% 64 32 50.0 -2.16 -0.27 4.73 -9.05 0.52 -27.98 0.42 -1.81
1st +’ve in 5 days 65 48 73.8 -0.37 0.78 1.61 -5.95 0.27 -17.25 0.73 -0.69
1st -‘ve in 5 days 65 57 87.7 1.36 -1.12 -2.03 3.43 0.59 6.55 3.10 4.23

57/65 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 136 basis points at the 1st negative close within in the next five trading days. 

mind you that avg loss for bears , while shorting based on the above pattern are huge and stands at 3.43 ( in todays terms it would be roughly 65 $es_f handles ) !!

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

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , when $SPY posts an 1.5% upside reversal day , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
24-Feb-16 193.20 ?? ?? ?? ?? ?? ?? ??
3-Feb-16 191.30 0.16 -1.75 -3.07 -3.07 -3.15 0.16 -1.75
2-Oct-15 193.85 1.78 1.43 2.26 3.18 3.24 1.78 3.24
12-Aug-15 206.61 -0.13 0.24 0.80 0.51 -0.29 0.24 -0.13
23-May-12 122.43 0.20 -0.13 1.08 -0.38 -0.60 0.20 -0.13
4-Oct-11 102.87 1.86 3.69 3.00 6.45 6.55 1.86 6.55
12-Sep-11 106.29 0.91 2.31 4.08 4.69 3.65 0.91 3.65
30-Aug-11 110.85 0.45 -0.60 -3.15 -3.85 -1.14 0.45 -0.60
26-Aug-11 107.47 2.88 3.15 3.61 2.52 -0.10 2.88 -0.10
9-Aug-11 107.03 -4.42 -0.13 0.54 2.67 1.79 0.54 -4.42
3-Aug-11 114.94 -4.68 -4.82 -11.02 -6.88 -11.00 -11.00 -4.68
25-May-10 95.84 -0.61 2.72 1.44 -0.27 2.33 2.72 -0.61
21-May-10 96.99 -1.29 -1.19 -1.78 1.51 0.24 1.51 -1.29
17-May-10 101.29 -1.36 -1.93 -5.63 -4.25 -5.48 -5.48 -1.36
5-Feb-10 94.42 -0.72 0.52 0.33 1.38 1.29 0.52 -0.72
14-Sep-09 92.26 0.41 1.94 1.79 1.85 1.59 0.41 1.59
25-Mar-09 70.98 2.03 0.18 -3.27 -2.38 -0.48 2.03 -3.27
6-Mar-09 59.63 -1.17 4.71 5.40 9.54 10.40 4.71 -1.17
12-Feb-09 72.38 -1.08 -5.31 -5.53 -6.55 -7.46 -7.46 -1.08
5-Feb-09 73.17 2.86 2.99 -1.72 -1.15 -1.08 2.86 -1.72
23-Jan-09 71.91 0.68 1.71 5.15 1.72 -0.35 0.68 -0.35
16-Jan-09 73.59 -5.27 -1.18 -2.70 -2.28 -1.62 -1.62 -5.27
15-Jan-09 73.02 0.78 -4.53 -0.41 -1.94 -1.52 0.78 -4.53
12-Dec-08 76.37 -1.39 3.25 2.25 0.34 -0.09 3.25 -1.39
5-Dec-08 75.46 3.50 1.79 2.49 0.01 1.21 3.50 1.21
3-Dec-08 74.94 -2.31 0.69 4.22 2.50 3.20 0.69 -2.31
26-Nov-08 76.36 1.26 -7.71 -4.16 -1.86 -4.13 1.26 -7.71
18-Nov-08 74.74 -6.41 -13.37 -8.68 -2.35 -1.63 -1.63 -6.41
13-Nov-08 78.25 -5.00 -6.26 -4.49 -10.61 -17.25 -17.25 -5.00
31-Oct-08 83.10 0.29 3.71 -0.66 -6.16 -3.07 0.29 -0.66
23-Oct-08 78.69 -5.07 -8.44 2.26 1.51 5.03 2.26 -5.07
16-Oct-08 80.48 -0.60 5.37 2.22 -3.34 -2.22 5.37 -0.60
1-Oct-08 99.61 -3.63 -4.93 -9.78 -13.81 -15.98 -15.98 -3.63
26-Sep-08 103.72 -7.84 -4.02 -3.96 -7.45 -8.70 -8.70 -7.84
18-Sep-08 102.46 3.96 1.61 -0.70 -0.38 1.18 3.96 -0.70
16-Sep-08 104.19 -4.50 -1.66 2.24 -0.08 -2.35 2.24 -4.50
11-Sep-08 107.10 0.46 -4.32 -2.72 -7.10 -4.33 0.46 -4.32
5-Sep-08 106.17 2.06 -0.97 -0.57 0.88 1.34 2.06 -0.97
1-Jul-08 109.55 -1.72 -1.62 -2.62 -0.89 -2.80 -2.80 -1.72
13-Mar-08 111.23 -1.56 -2.54 1.50 -1.02 0.82 1.50 -1.56
23-Jan-08 113.09 0.85 -0.61 1.03 1.54 0.79 0.85 -0.61
16-Aug-07 118.86 1.83 1.78 1.99 3.20 3.11 1.83 3.11
12-May-04 87.05 -0.43 -0.38 -1.23 -0.74 -1.07 -1.07 -0.43
10-Apr-03 67.90 -0.41 1.63 2.59 0.84 2.34 1.63 -0.41
20-Mar-03 68.12 2.13 -1.26 -0.32 -0.82 -0.73 2.13 -1.26
7-Mar-03 64.38 -2.39 -3.36 -2.70 0.65 0.98 0.65 -2.39
25-Feb-03 65.27 -1.46 -0.15 0.52 -0.44 -2.04 0.52 -1.46
6-Dec-02 70.77 -2.76 -1.46 -1.36 -1.37 -2.92 -2.92 -2.76
13-Nov-02 68.48 1.88 2.63 1.61 1.46 3.72 1.88 3.72
23-Oct-02 69.36 -2.03 0.00 -0.65 -1.80 -0.85 -0.85 -2.03
18-Oct-02 68.16 1.73 1.00 1.76 -0.31 1.76 1.73 -0.31
9-Aug-02 69.89 -0.74 -2.55 1.02 2.42 2.10 1.02 -0.74
31-Jul-02 69.79 -2.62 -4.80 -8.11 -5.02 -3.37 -3.37 -2.62
24-Jul-02 64.86 -0.86 1.03 5.95 7.34 7.60 1.03 -0.86
15-Jul-02 70.69 -1.92 -1.74 -4.92 -8.26 -10.98 -10.98 -1.92
11-Jul-02 71.09 -1.10 -0.56 -2.48 -2.29 -5.46 -5.46 -1.10
26-Jun-02 74.81 1.75 1.27 -0.71 -2.82 -2.26 1.75 -0.71
24-Jun-02 76.40 -2.24 -2.08 -0.37 -0.84 -2.77 -2.77 -2.24
30-Jan-02 85.10 1.16 0.69 -1.81 -2.42 -2.83 1.16 -1.81
25-Oct-01 83.82 -0.23 -2.82 -3.98 -4.32 -1.86 -1.86 -0.23
1-May-01 95.68 -0.18 -1.44 0.23 -0.64 -0.68 0.23 -0.18
29-Mar-01 86.97 1.05 -1.12 -4.42 -4.01 -0.38 1.05 -1.12
1-Mar-01 93.58 -0.79 0.12 1.20 1.91 2.03 0.12 -0.79
22-Feb-01 94.49 -0.68 1.44 0.51 -1.47 -0.96 1.44 -0.68
26-Oct-00 102.35 1.90 2.81 4.58 4.23 4.40 1.90 4.40
5-Jan-00 104.06 -1.61 4.10 4.46 3.21 2.18 4.10 -1.61

highlighted in the green under 1st -‘ve in 5 days column , were the prior , bit huge loss making trades for bears,

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check out the new look of the paststat

remember the rule #34 on $SPY ?

the rule #34 on $SPY

 $SPY trading odds from the 34th trading day of the year , since 1994

 

searching for rule #34 images is NSFW !! 

just a data mining exercise , but here are the trading rules

  • current trading day is either 34th trading day of the year ,
  • below the $SPY returns for the next 1/2/3/4/5 trading days , since 1994
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 3 13.6 -0.72 -0.46 0.67 -0.94 0.71 -3.58 0.06 -3.25
t+2 22 10 45.5 -0.35 -0.27 0.40 -0.97 0.41 -2.61 0.27 -1.84
t+3 22 11 50.0 -0.24 0.07 0.66 -1.14 0.58 -2.74 0.36 -0.93
t+4 22 12 54.5 -0.37 0.06 0.77 -1.73 0.44 -4.44 0.35 -1.13
t+5 22 13 59.1 -0.33 0.11 0.63 -1.72 0.37 -4.51 0.48 -1.02
t+10 22 11 50.0 -0.22 0.06 2.12 -2.56 0.83 -10.98 0.70 -0.32
t+20 22 14 63.6 0.81 1.18 3.23 -3.42 0.94 -10.81 1.27 0.92
1st +’ve in 5 days 22 18 81.8 0.01 0.38 0.50 -2.22 0.23 -3.46 0.76 0.03
1st -‘ve in 5 days 22 22 100.0 0.87 -0.61 -0.87 INF INF -0.01 INF 4.54

22/22 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 87 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 )

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , from the close of 34th trading day of the year , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
22-Feb-16 194.78 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
20-Feb-14 176.92 -0.11 0.44 0.40 0.41 0.93 0.44 -0.11
20-Feb-13 142.56 -0.61 0.36 -1.55 -0.87 0.38 0.36 -0.61
21-Feb-12 125.76 -0.32 0.12 0.34 0.51 0.80 0.12 -0.32
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
22-Feb-10 98.40 -1.21 -0.31 -0.44 -0.38 0.66 0.66 -1.21
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
20-Feb-08 114.83 -0.83 -0.22 1.04 1.80 1.69 1.04 -0.83
21-Feb-07 121.10 -0.08 -0.47 -0.55 -4.44 -3.46 -3.46 -0.08
21-Feb-06 104.65 0.61 0.46 0.72 0.75 -0.20 0.61 -0.20
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
20-Feb-03 65.17 1.01 -0.63 0.17 -1.29 0.01 1.01 -0.63
20-Feb-02 84.12 -2.07 -0.86 0.78 0.57 0.96 0.78 -2.07
20-Feb-01 96.43 -2.16 -2.01 -2.67 -0.60 -1.52 -1.52 -2.16
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
22-Feb-99 93.80 -0.05 -1.81 -2.74 -3.14 -2.87 -2.87 -0.05
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
19-Feb-97 58.14 -1.21 -1.17 0.00 0.08 -0.90 0.08 -1.21
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
17-Feb-94 31.47 -0.60 0.40 0.13 -1.19 -0.73 0.40 -0.60
17-May-93 28.88 -0.07 1.98 2.26 1.34 1.77 1.98 -0.07

are we heading for a 23rd straight win for this $SPY bearish seasonal trading pattern ?

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$SPY post Feb Opex , is both bullish and bearish

$SPY post Feb Opex

 $SPY post Feb Opex , since $SPY inception

below the $SPY trading odds for longs , from the close of Feb Opex day , to next 1/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 11 47.8 -0.28 -0.01 0.68 -1.16 0.58 -3.58 0.35 -1.05
t+2 23 13 56.5 -0.10 0.17 0.67 -1.10 0.61 -3.67 0.45 -0.38
t+3 23 11 47.8 -0.33 -0.01 0.67 -1.25 0.53 -3.52 0.28 -1.22
t+4 23 11 47.8 -0.22 -0.13 0.83 -1.17 0.71 -4.17 0.40 -0.77
t+5 23 12 52.2 -0.18 0.10 0.77 -1.20 0.64 -4.51 0.50 -0.61
t+10 23 15 65.2 -0.11 0.53 1.76 -3.63 0.49 -10.98 0.69 -0.16
t+20 23 15 65.2 1.08 1.64 3.53 -3.52 1.00 -9.77 1.31 1.25
1st +’ve in 5 days 23 20 87.0 0.35 0.36 0.57 -1.16 0.49 -2.13 2.15 1.97
1st -‘ve in 5 days 23 21 91.3 0.68 -0.39 -0.90 1.63 0.55 1.94 4.72 2.96

how do you trade this below information

20/23 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 35 basis points at the 1st positive close within in the next five trading days.

21/23 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 68 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 )

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , post Feb Opex , since 93

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
19-Feb-16 192.00 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
21-Feb-14 176.72 0.55 0.52 0.52 1.05 1.31 0.55 1.31
15-Feb-13 143.28 0.75 -0.51 -1.11 -0.14 -2.04 0.75 -0.51
17-Feb-12 125.71 0.04 -0.28 0.16 0.38 0.55 0.04 -0.28
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
19-Feb-10 98.38 0.02 -1.20 -0.29 -0.42 -0.36 0.02 -1.20
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
15-Feb-08 114.18 0.28 0.58 -0.26 0.36 1.62 0.28 -0.26
16-Feb-07 120.89 0.21 0.17 0.10 -0.30 -0.38 0.21 -0.30
17-Feb-06 104.92 -0.25 0.36 0.21 0.47 0.50 0.36 -0.25
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
21-Feb-03 65.82 -1.62 -0.83 -2.28 -0.99 -0.33 -0.33 -1.62
15-Feb-02 84.35 -1.92 -0.27 -2.34 -1.13 0.51 0.51 -1.92
16-Feb-01 97.94 -1.54 -3.67 -3.52 -4.17 -2.13 -2.13 -1.54
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
19-Feb-99 91.37 2.67 2.62 0.80 -0.15 -0.55 2.67 -0.15
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
21-Feb-97 57.46 1.19 1.26 0.27 -1.22 -1.52 1.19 -1.22
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
18-Feb-94 31.28 1.00 0.73 -0.60 -0.13 -0.13 1.00 -0.60
19-Feb-93 28.36 0.36 0.29 1.58 1.79 1.94 0.36 1.94

highlighted in the red under 1st +’ve in 5 days were the loss making trades for bulls , and under 1st -‘ve in 5 days were the loss making trades for bears !!

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when $SPY gains more than 1% for three consecutive days

when $SPY gains more than 1% for three consecutive days 

when $SPY gains more than 1% for 3 days in row

with $SPY gaining by more than 1% for three consecutive days , as on 17th Feb 2016 , below trading strategy rules

1) $SPY gains more than 1% for three consecutive days in row

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains more than 1% for three consecutive days in row  , since Feb 1993 ( or since $SPY inception)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 4 26.7 -0.72 -0.63 0.42 -1.14 0.36 -2.96 0.04 -2.65
t+2 15 5 33.3 -0.82 -0.36 0.78 -1.62 0.48 -3.42 0.06 -2.05
t+3 15 2 13.3 -1.28 -1.31 2.07 -1.80 1.15 -4.56 0.05 -2.80
t+4 15 4 26.7 -1.34 -1.27 2.19 -2.63 0.83 -7.88 0.13 -1.83
t+5 15 5 33.3 -1.53 -1.23 1.77 -3.18 0.56 -6.69 0.13 -1.99
t+10 15 5 33.3 -0.17 -0.90 4.06 -2.29 1.78 -8.50 0.58 -0.18
t+20 15 10 66.7 1.51 2.67 3.97 -3.41 1.16 -11.17 1.70 1.25
1st +’ve in 5 days 15 11 73.3 -0.64 0.24 0.69 -4.28 0.16 -6.69 0.24 -0.97
1st -‘ve in 5 days 15 15 100.0 1.10 -0.92 -1.10 INF INF -0.09 INF 4.68

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 110  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 historical instances, and $SPY forward 1/2/3/4/5 trading day returns , when $SPY gains by more than 1% for three days in row , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
17-Feb-16 192.88 ?? ?? ?? ?? ?? ?? ??
06-Oct-11 106.67 -0.67 2.65 2.76 3.66 3.45 2.65 -0.67
01-Jun-09 82.58 0.08 -1.18 -0.25 -0.23 -0.64 0.08 -1.18
02-Jan-09 80.43 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12
08-Aug-07 125.32 -2.96 -3.42 -3.07 -4.55 -5.87 -5.87 -2.96
08-Aug-02 69.63 0.37 -0.36 -2.18 1.40 2.80 0.37 -0.36
30-Jul-02 69.62 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38
19-Apr-01 94.63 -0.92 -2.71 -3.24 -1.97 -1.54 -1.54 -0.92
27-Mar-01 89.10 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09
29-Oct-99 101.58 -1.05 -1.76 -1.09 -0.34 0.64 0.64 -1.05
17-Nov-97 68.53 -0.63 -0.13 1.38 2.08 0.23 1.38 -0.63
20-Aug-97 67.90 -1.76 -1.79 -2.16 -3.60 -3.02 -3.02 -1.76
03-Jul-97 66.32 -1.02 0.02 -1.09 -0.65 -0.31 0.02 -1.02
16-Apr-97 54.90 -0.41 0.08 -0.57 1.61 1.72 0.08 -0.41
13-Feb-97 58.17 -0.23 0.61 -0.06 -1.27 -1.23 0.61 -0.23

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when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

with the help of Quant-Ideas mining tool  we were able to find the below trading strategy on $QQQ ,

trading strategy rules

1) $QQQ closes below lower bollinger band for two trading days in row  ( bollinger bands are calculated on 20 day moving averages , with 2 standard deviations )

below the trading odds for longs for $QQQ , for the next 1/2/3/4/5/10/20 trading days , when $QQQ closes below lower bollinger bands for , 2 consecutive days in row , since 2010

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 35 22 62.9 0.45 0.33 1.67 -1.62 1.03 -6.02 1.47 1.16
t+2% 35 23 65.7 1.03 0.91 2.41 -1.62 1.49 -4.21 2.39 2.48
t+3% 35 25 71.4 1.59 2.05 3.11 -2.20 1.41 -5.52 3.83 2.94
t+4% 35 26 74.3 2.03 2.20 3.51 -2.26 1.56 -4.55 4.43 3.73
t+5% 35 26 74.3 2.16 2.13 3.44 -1.54 2.23 -3.13 5.53 4.45
t+10% 35 20 57.1 1.79 2.31 5.10 -2.61 1.95 -7.06 2.86 2.44
t+20% 34 23 67.6 2.90 3.34 5.85 -3.28 1.79 -7.11 3.47 3.18
1st +’ve in 5 days 35 33 94.3 1.40 0.78 1.53 -0.86 1.79 -1.23 34.58 5.21
1st -‘ve in 5 days 35 22 62.9 -0.57 -0.53 -1.51 4.10 0.37 7.45 0.48 -1.08

33/35 times  $QQQ closed higher than the current close at some point of time in the next five trading days .. with an average gain of 140 basis points at the 1st positive 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 historical instances, and $QQQ forward 1/2/3/4/5 trading day returns , when $QQQ closes below lower bollinger band for 2 days in row , since 2010.

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
8-Feb-16 96.62 ?? ?? ?? ?? ?? ?? ??
11-Jan-16 104.33 1.16 -2.33 -0.25 -3.35 -3.13 1.16 -2.33
8-Jan-16 104.01 0.31 1.47 -2.03 0.06 -3.05 0.31 -2.03
7-Jan-16 104.87 -0.82 -0.51 0.64 -2.83 -0.76 0.64 -0.82
29-Sep-15 99.17 2.30 2.76 4.56 6.06 5.56 2.30 5.56
25-Aug-15 97.55 5.04 7.70 7.68 6.34 3.02 5.04 3.02
24-Aug-15 97.92 -0.38 4.64 7.29 7.27 5.94 4.64 -0.38
21-Aug-15 101.84 -3.85 -4.21 0.62 3.16 3.14 0.62 -3.85
16-Dec-14 98.61 1.82 4.27 4.73 4.99 4.62 1.82 4.62
16-Oct-14 90.53 1.32 2.83 5.53 4.99 6.57 1.32 6.57
15-Oct-14 91.10 -0.63 0.68 2.19 4.87 4.33 0.68 -0.63
14-Oct-14 91.70 -0.65 -1.27 0.03 1.53 4.19 0.03 -0.65
13-Oct-14 91.69 0.01 -0.63 -1.26 0.04 1.54 0.01 -0.63
2-Oct-14 95.88 0.99 0.77 -0.66 1.28 -0.36 0.99 -0.66
11-Apr-14 82.54 0.78 1.12 2.46 2.48 3.25 0.78 3.25
7-Apr-14 83.95 0.92 2.65 -0.53 -1.68 -0.91 0.92 -0.53
27-Mar-14 85.26 0.20 0.91 2.68 2.95 2.13 0.20 2.13
9-Oct-13 74.82 2.12 2.92 3.65 3.25 4.42 2.12 4.42
24-Jun-13 67.57 0.73 1.63 2.07 2.21 2.84 0.73 2.84
21-Jun-13 68.25 -0.99 -0.27 0.62 1.05 1.19 0.62 -0.99
11-Oct-12 63.94 -0.04 0.69 2.11 2.05 0.87 0.69 -0.04
10-Oct-12 64.14 -0.31 -0.36 0.37 1.79 1.73 0.37 -0.31
18-May-12 57.98 2.80 2.68 2.88 2.20 2.07 2.80 2.07
25-Nov-11 50.14 3.48 2.84 6.64 7.38 7.07 3.48 7.07
23-Nov-11 50.53 -0.77 2.68 2.05 5.82 6.55 2.68 -0.77
22-Nov-11 51.70 -2.26 -3.01 0.37 -0.26 3.43 0.37 -2.26
21-Nov-11 51.53 0.33 -1.93 -2.69 0.70 0.07 0.33 -1.93
18-Nov-11 52.53 -1.91 -1.59 -3.81 -4.55 -1.23 -1.23 -1.91
8-Aug-11 47.88 4.82 0.53 4.96 5.89 7.45 4.82 7.45
5-Aug-11 50.95 -6.02 -1.49 -5.52 -1.36 -0.48 -0.48 -6.02
24-May-11 53.42 0.39 1.01 1.52 3.16 0.92 0.39 0.92
7-May-10 42.48 5.20 5.09 7.07 5.37 3.35 5.20 3.35
6-May-10 43.56 -2.49 2.58 2.47 4.40 2.75 2.58 -2.49
29-Jan-10 39.98 1.10 2.01 2.57 -0.40 0.44 1.10 -0.40
26-Jan-10 41.44 0.79 -1.80 -3.52 -2.46 -1.58 0.79 -1.80
25-Jan-10 41.40 0.09 0.88 -1.72 -3.43 -2.37 0.09 -1.72

highlighted in the red were the loss making trades !!

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when $SPY closes at a quarterly low on a monday

when $SPY closes at a quarterly low on a monday

when $SPY closes at the lowest in a quarter on a Monday

with $SPY closing at a quarterly close , as on 8 Feb 2016 , below trading strategy rule

1) $SPY closes at the lowest close in last 62 trading days (i.e : quarterly lowest close) &

2) current trading day is monday ( this monday panic buy strategy is inspired by the bullet no 4) from the article ->  22 Things a Man Should Know About Trading, from Victor Niederhoffer )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes at the lowest in a quarter on a monday , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 40 26 65.0 1.17 0.90 2.52 -1.33 1.90 -4.48 2.61 2.66
t+2% 40 27 67.5 1.38 1.47 2.82 -1.63 1.73 -6.89 2.88 2.96
t+3% 40 29 72.5 1.60 2.07 3.30 -2.87 1.15 -13.39 2.57 2.41
t+4% 40 31 77.5 1.80 1.78 3.36 -3.57 0.94 -15.49 2.87 2.47
t+5% 40 28 70.0 2.34 1.57 4.34 -2.34 1.85 -5.98 3.93 3.29
t+10% 40 31 77.5 2.63 1.29 4.72 -4.55 1.04 -9.01 3.25 2.85
t+20% 40 29 72.5 3.86 4.62 7.65 -6.15 1.24 -24.63 2.70 2.92
1st +’ve in 5 days 40 37 92.5 1.92 1.62 2.29 -2.53 0.90 -3.22 9.21 4.92
1st -‘ve in 5 days 40 24 60.0 -1.36 -0.36 -1.20 5.19 0.23 15.68 0.33 -2.07

37/40 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 192 basis points at the 1st positive 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 historical instances of $SPY forward 1/2/3/4/5 trading returns , when $SPY closes at the lowest in a quarter in a monday

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
08-Feb-16 185.42 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 187.40 -1.18 2.62 5.16 5.16 4.31 2.62 -1.18
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15 -0.52
04-Jun-12 118.57 0.76 3.02 3.08 3.90 2.58 0.76 2.58
03-Oct-11 100.67 2.19 4.08 5.97 5.26 8.78 2.19 8.78
08-Aug-11 102.27 4.65 0.03 4.52 5.22 7.45 4.65 7.45
07-Jun-10 93.77 1.07 0.53 3.47 3.97 3.81 1.07 3.81
08-Feb-10 93.74 1.26 1.06 2.12 2.03 3.64 1.26 3.64
09-Mar-09 58.93 5.96 6.65 10.85 11.72 11.38 5.96 11.38
02-Mar-09 61.08 -0.75 1.60 -2.55 -2.38 -3.53 1.60 -0.75
23-Feb-09 64.59 3.79 2.97 1.30 -0.96 -5.43 3.79 -0.96
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69 15.68
06-Oct-08 89.87 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 -4.48
29-Sep-08 95.59 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
15-Sep-08 102.47 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
14-Jul-08 104.72 -1.41 1.01 2.02 2.66 2.71 1.01 -1.41
07-Jul-08 106.68 1.78 -0.18 0.22 -0.94 -1.84 1.78 -0.18
10-Mar-08 108.14 3.59 2.63 2.85 1.26 0.23 3.59 0.23
26-Nov-07 118.46 1.15 4.38 4.42 5.47 4.77 1.15 4.77
05-Mar-07 113.94 1.71 1.61 2.47 2.50 2.65 1.71 2.65
12-Jun-06 101.39 -1.16 -0.40 1.72 0.98 0.18 1.72 -1.16
22-May-06 103.14 -0.76 0.03 1.27 1.78 -0.02 0.03 -0.76
10-Oct-05 96.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 -0.14
10-May-04 85.77 0.85 1.49 1.07 1.11 0.25 0.85 0.25
10-Mar-03 62.84 -0.98 -0.32 3.12 3.46 6.71 3.12 -0.98
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57 -1.30
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07 -2.74
01-Jul-02 74.28 -2.12 -1.57 2.35 1.07 -1.47 2.35 -2.12
03-Jun-02 79.62 0.25 1.19 -0.87 -0.99 -0.60 0.25 -0.87
06-May-02 80.46 -0.35 3.36 2.16 0.24 2.28 3.36 -0.35
29-Apr-02 81.52 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
04-Feb-02 83.56 -0.62 -1.05 -1.67 0.22 1.45 0.22 -0.62
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
12-Mar-01 88.69 1.64 -0.36 -0.34 -2.34 -0.35 1.64 -0.36
09-Oct-00 104.83 -1.65 -2.48 -4.91 -1.74 -1.29 -1.29 -1.65
31-Aug-98 70.11 4.23 3.48 2.67 1.82 7.29 4.23 7.29
15-Jun-98 78.28 1.54 3.66 3.20 2.68 3.18 1.54 3.18
27-Oct-97 63.04 5.77 5.48 3.15 5.59 7.81 5.77 7.81
15-Jul-96 44.34 0.25 1.45 2.84 2.09 1.35 0.25 1.35
04-Apr-94 29.47 2.06 2.06 2.56 1.78 2.21 2.06 2.21

highlighted in the red were the loss making trades !!

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a bullish turnaround tuesday pattern on $SPY

a bullish turnaround tuesday pattern on $SPY

bullish turnaround Tuesday trading strategy , on  $SPY , since 2011

with losing -1.86% which is a 149.8% standard deviations ( measured on 50 trading days , including that of current trading day , as on 2nd Feb 2016 , the 50 days standard deviation moves stands at 1.2% ) down move , below trading strategy

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011 ( i.e last 5 years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 31 21 67.7 0.39 0.38 0.92 -0.70 1.30 -1.85 2.35 2.06
t+2% 31 21 67.7 0.85 0.48 1.72 -0.73 2.37 -4.17 3.82 2.54
t+3% 31 22 71.0 0.75 0.41 1.45 -0.97 1.49 -4.31 3.01 2.23
t+4% 31 24 77.4 0.72 0.82 1.54 -2.07 0.74 -10.54 2.53 1.58
t+5% 31 26 83.9 0.90 1.00 1.51 -2.26 0.67 -6.38 3.61 2.58
t+10% 31 22 71.0 0.92 1.24 2.52 -3.00 0.84 -10.25 1.77 1.58
t+20% 31 21 67.7 1.06 1.82 2.86 -2.73 1.05 -6.65 2.06 1.91
1st +’ve in 5 days 31 31 100.0 0.85 0.70 0.88 0.00 INF 0.00 NA 6.28
1st -‘ve in 5 days 31 16 51.6 -0.50 -0.10 -0.86 1.95 0.44 4.82 0.34 -1.55

31/31 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 85 basis points at the 1st positive 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 historical instances of $SPY losing more than 1x stdev(50) , on a tuesday , and next 1/2/3/4/5 trading day returns , since 2011 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
2-Feb-16 190.16 ?? ?? ?? ?? ?? ?? ??
1-Sep-15 189.65 1.90 1.97 0.43 2.95 1.57 1.90 1.57
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84 2.40
11-Aug-15 206.35 0.12 0.00 0.36 0.92 0.63 0.12 0.63
26-May-15 207.36 0.95 0.84 0.21 0.41 0.31 0.95 0.31
5-May-15 205.59 -0.41 -0.01 1.30 0.82 0.52 1.30 -0.41
31-Mar-15 203.16 -0.35 0.00 0.68 0.41 0.75 0.00 -0.35
10-Mar-15 200.84 -0.23 1.03 0.41 1.76 1.45 1.03 -0.23
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
6-Jan-15 195.78 1.25 3.04 2.22 1.42 1.13 1.25 1.13
7-Oct-14 188.31 1.75 -0.27 -1.41 -3.03 -2.88 1.75 -0.27
23-Sep-14 192.94 0.78 -0.84 -0.06 -0.24 -0.50 0.78 -0.84
9-Sep-14 193.31 0.38 0.49 -0.10 -0.17 0.58 0.38 -0.10
5-Aug-14 186.22 0.03 -0.51 0.64 0.93 0.79 0.03 -0.51
8-Jul-14 190.33 0.45 0.05 0.19 0.69 0.50 0.45 0.50
24-Jun-14 188.83 0.45 0.38 0.58 0.52 1.20 0.45 1.20
6-May-14 180.29 0.59 0.48 0.63 1.61 1.70 0.59 1.70
15-Oct-13 162.20 1.40 2.07 2.76 2.77 3.36 1.40 3.36
8-Oct-13 158.17 0.07 2.23 2.89 3.30 2.55 0.07 2.55
27-Aug-13 155.36 0.36 0.51 0.20 0.65 1.48 0.36 1.48
11-Jun-13 154.32 -0.83 0.68 0.05 0.82 1.62 0.68 -0.83
23-Oct-12 132.28 -0.28 0.01 -0.05 -0.05 1.00 0.01 -0.28
9-Oct-12 134.88 -0.64 -0.58 -0.91 -0.08 0.93 0.93 -0.64
25-Sep-12 134.78 -0.56 0.37 -0.09 0.17 0.28 0.37 -0.56
10-Apr-12 125.79 0.81 2.13 0.91 0.85 2.34 0.81 2.34
6-Mar-12 124.18 0.70 1.70 2.09 2.10 3.94 0.70 3.94
1-Nov-11 111.72 1.63 3.48 2.85 3.49 4.82 1.63 4.82
25-Oct-11 112.68 1.02 4.53 4.51 1.99 -0.85 1.02 -0.85
2-Aug-11 114.32 0.54 -4.17 -4.31 -10.54 -6.38 0.54 -4.17
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
1-Mar-11 118.18 0.21 1.94 1.18 0.38 1.26 0.21 1.26
22-Feb-11 118.99 -0.61 -0.68 0.38 1.00 -0.68 0.38 -0.61

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