when $SPY gains by more than 1% from lows for 4 days in row

$SPY gains by more than 1% from lows

$SPY posts 4 or more up days , along with 1% gains from the lows of the day

 

below the trading strategy rules ,

$SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 46 19 41.3 -0.79 -0.38 1.27 -2.24 0.57 -8.86 0.34
t+2 46 16 34.8 -0.90 -0.58 1.64 -2.26 0.73 -9.51 0.34
t+3 46 16 34.8 -1.08 -0.71 1.81 -2.62 0.69 -8.11 0.35
t+4 46 17 37.0 -1.41 -1.49 1.60 -3.17 0.50 -7.88 0.29
t+5 46 15 32.6 -1.71 -1.36 1.75 -3.38 0.52 -10.78 0.20
1st +’ve exit in 5 days % 46 31 67.4 -0.42 0.35 1.21 -3.81 0.32 -10.78 0.61
1st -‘ve exit in 5 days % 46 42 91.3 1.59 -1.19 -2.02 2.99 0.68 6.30 6.12

42/46 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 159 bps and a median of 119 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 14th Feb 2018 close ) , or at the end of the 5th trading day at close

below the prior instances of $SPY posting 4 or more 1% gains from the low’s to close of the day in a row , since Y2K

Date t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % 1st -‘ve exit in 5 days % #  days to 1st -‘ve cls
14-Feb-18 ?? ?? ?? ?? ?? ?? ?? ??
05-Oct-15 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34 1
08-Nov-11 -3.69 -2.78 -0.95 -1.89 -1.41 -1.41 -3.69 1
15-Sep-11 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41 2
06-Apr-09 -2.33 -1.28 2.64 2.67 0.90 2.64 -2.33 1
13-Mar-09 -0.30 2.75 5.05 3.75 1.55 2.75 -0.30 1
28-Jan-09 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25 1
27-Jan-09 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01 3
26-Jan-09 1.02 4.43 1.04 -1.02 -1.31 1.02 -1.02 4
16-Jan-09 -5.28 -1.19 -2.72 -2.29 -1.62 -1.62 -5.28 1
05-Jan-09 0.67 -2.35 -1.95 -4.05 -6.35 0.67 -2.35 2
02-Jan-09 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12 1
18-Dec-08 -0.43 -1.70 -2.72 -2.15 -1.59 -1.59 -0.43 1
17-Dec-08 -1.87 -2.29 -3.54 -4.54 -3.98 -3.98 -1.87 1
08-Dec-08 -1.65 -0.98 -3.36 -2.21 -3.57 -3.57 -1.65 1
05-Dec-08 3.49 1.79 2.48 0.01 1.21 3.49 1.21 5
28-Nov-08 -8.86 -5.35 -3.07 -5.32 -2.40 -2.40 -8.86 1
26-Nov-08 1.26 -7.71 -4.16 -1.85 -4.12 1.26 -7.71 2
05-Nov-08 -5.54 -2.42 -3.70 -6.67 -10.78 -10.78 -5.54 1
04-Nov-08 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20 1
03-Nov-08 3.40 -0.95 -6.44 -3.35 -4.61 3.40 -0.95 2
31-Oct-08 0.29 3.70 -0.66 -6.17 -3.07 0.29 -0.66 3
18-Mar-08 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 1
26-Oct-07 0.33 -0.36 0.67 -1.69 -1.58 0.33 -0.36 2
25-Oct-07 1.17 1.51 0.80 1.85 -0.53 1.17 -0.53 5
21-Mar-03 -3.32 -2.40 -2.89 -2.81 -3.30 -3.30 -3.32 1
20-Mar-03 2.13 -1.27 -0.32 -0.82 -0.74 2.13 -1.27 2
19-Feb-03 -1.00 0.00 -1.62 -0.83 -2.28 -2.28 -1.00 1
23-Oct-02 -2.04 0.00 -0.65 -1.81 -0.85 -0.85 -2.04 1
15-Oct-02 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42 1
19-Aug-02 -1.06 0.37 1.34 -0.84 -0.15 0.37 -1.06 1
12-Aug-02 -1.82 1.77 3.18 2.87 5.27 1.77 -1.82 1
09-Aug-02 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73 1
31-Jul-02 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61 1
30-Jul-02 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38 2
29-Jul-02 1.30 1.55 -1.10 -3.32 -6.68 1.30 -1.10 3
03-Oct-01 0.08 -0.11 -0.76 -1.29 0.90 0.08 -0.11 2
02-Oct-01 1.68 1.76 1.56 0.90 0.36 1.68 0.36 5
10-Apr-01 0.07 1.89 0.81 2.24 6.30 0.07 6.30 5
09-Apr-01 1.82 1.89 3.74 2.65 4.10 1.82 4.10 5
27-Mar-01 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76 1
27-Dec-00 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59 2
31-Oct-00 -0.34 -0.17 -0.12 0.58 0.56 0.58 -0.34 1
23-Oct-00 -0.67 -3.00 -2.74 -0.89 0.00 0.00 -0.67 1
05-Apr-00 0.87 1.51 1.11 0.82 -1.95 0.87 -1.95 5
04-Apr-00 -0.62 0.24 0.87 0.48 0.19 0.24 -0.62 1
03-Apr-00 -0.74 -1.36 -0.51 0.12 -0.27 0.12 -0.74 1

highlighted in red are the 4 instances , where one had to cover the short for a big loss at the end of the 5th trading day. 

2) a variation of the above trading strategy ,  with a low n

  • $SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .&&
  • $SPY gains for 4 days in row

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since 1993 ( or $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 16 4 25.0 -1.56 -0.54 1.07 -2.44 0.44 -8.86 0.08
t+2 16 3 18.8 -2.53 -2.00 1.11 -3.38 0.33 -9.51 0.03
t+3 16 4 25.0 -1.84 -1.51 1.91 -3.10 0.62 -8.11 0.12
t+4 16 7 43.8 -1.31 -1.25 1.70 -3.65 0.47 -7.75 0.30
t+5 16 8 50.0 -1.64 -0.28 1.18 -4.47 0.26 -10.60 0.20
1st +’ve exit in 5 days % 16 11 68.8 -0.70 0.53 1.19 -4.86 0.25 -10.60 0.45
1st -‘ve exit in 5 days % 16 16 100.0 2.52 -2.01 -2.52 INF INF NA INF

16/16 times $SPY closed lower atleast once over the next 5 trading days from the current day’s close , by an average loss of 252 bps , and by a median loss of 201 bps

—–

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happy #ValentinesDay folks !

happy #ValentinesDay folks !

the wink that floored the nation
the wink that floored India

that’s the internet storm back home at India , anyway

below the trading strategy rules

  • today is valentines day ( i’e 14th Feb )

below the odds for $SPY longs from the close of 14th Feb ( if market is open for trading ) , for the next 1/23/4/5 trading days , since $SPY IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 17 11 64.7 0.28 0.35 0.66 -0.43 1.54 -1.04 2.24
t+2 17 12 70.6 0.00 0.31 0.52 -1.23 0.42 -2.94 0.92
t+3 17 9 52.9 -0.30 0.03 0.45 -1.14 0.40 -2.78 0.52
t+4 17 6 35.3 -0.62 -0.24 0.84 -1.42 0.59 -4.88 0.27
t+5 17 10 58.8 -0.46 0.18 0.59 -1.96 0.30 -4.73 0.31
1st +’ve exit in 5 days % 17 16 94.1 0.46 0.53 0.62 -2.16 0.29 -2.16 4.32

16/17 times , since IPO , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 46 bps and a median gains of 53 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 $SPY retunes over the next 1/2/34/5 trading days , from valentines day , since IPO

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Feb-18 ~267 ?? ?? ?? ?? ?? ?? ??
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
14-Feb-13 137.74 -0.12 0.63 -0.62 -1.23 -0.26 0.63 2
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
14-Feb-11 115.65 -0.31 0.31 0.61 0.82 -1.20 0.31 2
14-Feb-08 109.67 -0.02 0.26 0.55 -0.28 0.33 0.26 2
14-Feb-07 116.01 0.13 0.08 0.30 0.25 0.18 0.13 1
14-Feb-06 99.93 0.35 1.10 0.83 0.58 1.19 0.35 1
14-Feb-05 92.77 0.37 0.44 -0.37 -0.24 -1.72 0.37 1
14-Feb-03 62.45 1.76 1.22 0.21 1.22 -0.42 1.76 1
14-Feb-02 81.87 -1.04 -2.94 -1.31 -3.36 -2.16 -2.16 5
14-Feb-01 95.26 0.97 -1.26 -2.78 -4.88 -4.73 0.97 1
14-Feb-00 99.56 1.13 -0.36 -0.87 -3.00 -3.25 1.13 1
14-Feb-97 55.73 0.85 0.17 -1.04 -1.00 0.17 0.85 1
14-Feb-96 44.16 -0.62 -1.02 -2.00 -0.79 0.79 0.79 5
14-Feb-95 31.87 0.55 0.42 0.03 0.00 0.74 0.55 1
14-Feb-94 30.26 0.53 0.46 -0.13 -0.73 0.26 0.53 1

 

highlighted in red ( in 2002 , when it last 216 bps at the end of 5th day) where $SPY was not able to close higher over next five days ,

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well $SPX corrected ! what next ?

well $SPX corrected ! 

$SPX corrections since 1950

with $SPX ( S&P 500 cash index ) falling by more than 10% form the All Time High Close ( printed on 26th Jan 2018 close , with a close of 2872.87 ) and down by more than 10% as on 8th Feb close at 2581 , a loss of minus 10.16% ,

below the $SPX forward 1/2/3/4/5/10/20 trading returns , when $SPX corrects ( the first time close of 10% below from the all time high close ) , since 1950

Date t+1% t+2% t+3% t+4% t+5% t+10% t+20%
08-Feb-18 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 -1.35 2.50 4.99 5.05 4.17 4.02 2.62
26-Nov-07 1.49 4.39 4.44 5.25 4.63 7.73 6.34
14-Apr-00 3.31 6.27 5.23 5.75 5.40 8.23 7.06
29-Sep-99 1.13 1.14 2.86 2.60 4.50 1.35 2.23
14-Aug-98 1.97 3.62 3.32 2.71 1.74 -3.35 -3.11
27-Oct-97 5.12 4.81 3.04 4.29 7.07 5.03 7.95
17-Aug-90 0.21 -1.82 -3.44 -6.34 -4.98 -1.61 -3.07
30-Jan-90 1.89 1.80 2.46 2.75 2.07 2.49 2.76
15-Oct-87 -5.16 -24.57 -20.55 -13.32 -16.72 -17.88 -16.63
13-Feb-84 1.07 0.84 0.76 0.51 -0.20 1.21 1.18
24-Aug-81 -0.29 -0.43 -1.59 -1.13 -2.16 -5.99 -7.03
27-Apr-73 -0.24 -0.12 1.12 2.79 3.52 0.88 0.66
19-Jun-69 -0.59 -1.04 0.08 -0.24 0.01 2.44 -2.35
05-Mar-68 1.76 1.57 1.49 2.75 2.86 1.45 5.61
16-May-66 -0.92 0.84 0.72 1.21 2.12 2.04 3.15
30-Apr-62 0.71 1.15 1.98 1.53 1.20 -3.28 -14.93
04-Mar-60 -1.01 -2.02 -0.97 -1.36 -0.60 0.81 1.58
21-Nov-56 1.05 0.45 0.54 -0.54 -0.65 4.79 3.13
11-Oct-55 1.76 1.45 1.03 1.35 2.08 4.49 9.34
09-Jun-53 -0.25 0.64 0.93 0.08 -0.21 2.20 3.86
29-Jun-50 1.43 1.15 2.12 2.69 1.32 -3.27 1.43
avg 0.62 0.12 0.50 0.88 0.82 0.66 0.56
med 1.05 1.14 1.12 1.53 1.74 1.45 2.23
# 21 21 21 21 21 21 21
% wins 62 71 81 71 67 71 71
avg win  1.76 2.17 2.18 2.75 3.05 3.28 3.93
avg loss -1.23 -5.00 -6.64 -3.82 -3.65 -5.90 -7.85

18/21 times $SPX closed , 3 trading days later for an average of 0.5% ( which includes 1987 Oct crash ) , removing that outlier , 17/20 times $SPX closed higher , 3 trading days later , for an average of 1.56% , and a median of 1.31%

2) of-course $SPY has smaller history only dating back to 1993 , below the $SPY returns , when $SPX corrects ( a 10% fall from ATH close ) , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
08-Feb-18 257.63 ?? ?? ?? ?? ??
24-Aug-15 179.93 -1.18 2.62 5.16 5.16 4.31
26-Nov-07 113.76 1.15 4.38 4.42 5.47 4.77
14-Apr-00 97.31 3.49 6.23 5.24 5.74 4.60
29-Sep-99 90.29 1.53 1.31 3.10 3.01 4.58
14-Aug-98 74.43 2.12 4.00 3.74 3.12 2.30
27-Oct-97 60.54 5.77 5.48 3.15 5.59 7.81
avg 2.15 4.00 4.14 4.68 4.73
med 1.82 4.19 4.08 5.32 4.59

6/6 times $SPY closed , 5 trading days later for an average of 4.73% , and a median of 4.59%

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$SPY and 20 day high and 20 day low cycles

$SPY and 20 day high/low cycles

20 day low sequence on $SPY

this is a similar study done $IWM , few years ago

this study is on $SPY sequences of 20 day low closings and 20 day high closings.

If a current close is a 20 day low coming after a 20 day high closing, calling it as the 1st 20 day low closing (marked as 1, under #), and if another 20 day low closing is printed, then call it as a second 20 day low (marked as 2 under #) after a 20 day is already printed, and so on. The sequence is counted till a new 20 day high is printed.

Currently we printed a 1st 20 day closing as on Mon close on $SPY.

since 1994 , there were 491 , 20 day low closes , of which only 21 , stopped at the first 20 day low close , before regaining a 20 day high close.

since 1994 , there were 102 such cycles of 20 day low close to 20 day high close and then to 20 day low close , of which , one cycle continued as long as 29 consecutive 20 day low closes  ( from 3 Apr 2002 , with $SPY at 82.9 , till the final 20 day low close of 58.78 as on 23 jul 2002 , before regaining to do 20 day high close of 67.81 on 14 Aug 2002 )

below the last two 20-day high /low cycles on $SPY , for your understanding of the concept

Date Close # 20h/l
05-Feb-18 263.93 1 20L
26-Jan-18 286.58 46 20H
25-Jan-18 283.30 45 20H
12-Sep-17 247.56 2 20H
11-Sep-17 246.73 1 20H
18-Aug-17 240.29 3 20L
17-Aug-17 240.67 2 20L
10-Aug-17 241.33 1 20L
07-Aug-17 245.40 8 20H
14-Jul-17 243.12 1 20H
06-Jul-17 238.16 1 20L
19-Jun-17 242.23 14 20H
24-Apr-17 233.67 1 20H
13-Apr-17 229.08 1 20L

# is the 1st 20 day high or 20 day low cycle , and as you can the last 20 day high cycle of consecutive 20 day highs , that started on 11th Sep 2017 till 26th Jan 2018 printed 46 , 20 day high’s before hitting a 20 day low close . a prior 20 day low close cycle that started on 10 Aug 2017 printed 3 consecutive ( not consecutive days ! ) 20 day low closes , till 18th Aug 2017 , before regaining a 20 day high close .

caution no one knows how many consecutive 20 day low’s or for that matter how many 20 day high’s will be printed in a cycle till it lasts . for ex: if you think we are over done in printing 46, 20 day closing high’s , no !!  we have over done even more than that on these , 3 prior times

05-Feb-18 ( 46) , 10-Mar-11 ( 50) , 27-Feb-07 ( 51) , 10-Oct-95 ( 74)

below is the distribution of the 20 day low close sequences ( not consecutive days , it is a sequence of 20 day low close’s before we start numbering 20 day high close’s again )

sequence # % age stopped % age not stopped
1 21 20.59 79.41
2 16 15.69 63.73
3 14 13.73 50.00
4 8 7.84 42.16
5 12 11.76 30.39
6 5 4.90 25.49
7 7 6.86 18.63
8 3 2.94 15.69
9 3 2.94 12.75
10 3 2.94 9.80
11 3 2.94 6.86
12 3 2.94 3.92
15 3 2.94 0.98
29 1 0.98 0.00
total 102 100 100

sequence : how many 20 day low closes were hit in this cycle before reclaiming a 20 day high close

# : no such 20 day low cycles out of 102 , where the sequence is stopped at

% age stopped : % age of 20 day low close sequences that stopped at that sequence number , for ex : there were 21 of 102 , 20.6% on whole stopped just by printing 1 20 day low close , before reclaiming a 20 day high close ,

% age not stopped :  it is the reverse of the % age stopped

conclusion : 79% of the 20 day low cycles , continue hitting at least one more 20 day low close , before reclaiming 20 day high close !! which basically warrants caution for all the bottom ( on close basis ) callers ! may be at a 3rd 20 day low close , where i’d have 50% confidence in calling the bottom close , better at 5th 20 day low close , where i have 70% confidence !!

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when $SPY posts back to back 2% falls

when $SPY posts back to back 2% falls

$SPY back to back losses of 2% or more

may be this time i’ll get this one right , lets see , here are the trading strategy rules

1) $SPY posts 2 consecutive down days of 2% losses

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 30 19 63.3 1.14 0.62 3.30 -2.60 1.27 -6.98 1.29
t+2 30 19 63.3 1.79 1.92 4.86 -3.51 1.38 -9.33 1.76
t+3 30 20 66.7 2.21 1.83 4.76 -2.89 1.65 -11.53 2.77
t+4 30 21 70.0 2.88 2.25 5.23 -2.61 2.01 -6.05 3.99
t+5 30 21 70.0 3.24 3.11 6.06 -3.33 1.82 -7.68 3.80
1st +’ve exit in 5 days % 30 30 100.0 3.09 1.64 3.09 INF INF NA NA

30/30 times , since IPO , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 309 bps and a median gains of 164 bps

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

ps; the above  strategy includes few clusters  of 2% down days , below they are ,

1) a sequence of 5 such , between 6th to 10th Oct 2008 , that whole week , from mon to fri posted 2% ++ down days ,

posting the % change changes of those 5 days , for your risk management perspective

Date Open High Low Close % change
10-Oct-08 71.49 77.41 68.87 72.92 -2.43
09-Oct-08 82.12 82.91 74.36 74.74 -6.98
08-Oct-08 80.35 84.19 79.77 80.35 -2.52
07-Oct-08 88.03 88.44 82.11 82.42 -4.48
06-Oct-08 88.29 88.68 82.93 86.29 -5.09

2) there was a cluster of 2% down days of 4 in row from 18 jul 2002 to 23 jul 2002

3) and cluster of 3 consec 2% down day’s , 1) from 1st aug 2002 to 5 aug 2002 , 2) and recently from 20th aug 2015 to 24th Aug 2015

2) removing the averaging down business of adding on to all 2% down days , below the trading odds for $SPY longs , when $SPY posts exactly 2 down days of 2% or more , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 23 16 69.6 1.02 0.64 2.43 -2.19 1.11 -4.21 1.33
t+2 23 13 56.5 0.98 1.10 4.00 -2.94 1.36 -9.33 1.17
t+3 23 13 56.5 1.20 0.24 4.34 -2.89 1.50 -11.53 1.42
t+4 23 15 65.2 2.10 1.47 4.73 -2.84 1.67 -6.05 2.39
t+5 23 15 65.2 2.64 1.05 5.54 -2.79 1.99 -7.34 3.22
1st +’ve exit in 5 days % 23 23 100.0 2.07 1.32 2.07 INF INF 0.01 NA

below the prior instances of $SPY gaining by more than 4% for the month and the forward $SPY returns for the next 1/2/3/4/5 trading days

23/23 times , since IPO , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 207 bps and a median gains of 132 bps , if you remove the big outlier , the average stands at 163 bps ( not enough to recover yesday’s losses , but something to keep in mind)

below the prior instances of $SPY back to back 2% losses , since IPO

Date Close t% # 2% losses in row t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
05-Feb-18 263.93 -4.18 2 ? ? ? ? ? ? ?
24-Aug-15 179.93 -4.21 3 -1.18 2.62 5.16 5.16 4.31 2.62 2
21-Aug-15 187.84 -3.01 2 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
01-Nov-11 107.27 -2.79 2 1.63 3.48 2.85 3.49 4.82 1.63 1
03-Oct-11 96.66 -2.85 2 2.19 4.08 5.97 5.26 8.78 2.19 1
22-Sep-11 99.23 -3.23 2 0.60 2.99 4.15 2.02 2.83 0.60 1
02-Mar-09 58.65 -4.50 2 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
30-Jan-09 68.81 -2.03 2 -0.30 1.10 0.60 2.10 5.01 1.10 2
12-Jan-09 72.23 -2.40 2 0.18 -2.97 -2.93 -2.17 -7.34 0.18 1
20-Nov-08 62.17 -7.42 2 5.39 12.70 13.53 17.92 19.40 5.39 1
12-Nov-08 70.71 -4.40 2 6.23 0.93 -0.41 1.47 -5.03 6.23 1
06-Nov-08 74.87 -5.54 2 3.30 1.95 -1.20 -5.55 0.34 3.30 1
27-Oct-08 69.17 -3.55 2 11.69 10.88 14.71 15.34 15.68 11.69 1
22-Oct-08 74.69 -5.45 2 1.16 -3.97 -7.38 3.44 2.69 1.16 1
10-Oct-08 72.92 -2.43 5 14.52 12.82 1.72 5.95 5.32 14.52 1
09-Oct-08 74.74 -6.98 4 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 80.35 -2.52 3 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 82.42 -4.48 2 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
23-Sep-08 97.68 -2.28 2 0.32 1.89 1.94 -6.05 -2.16 0.32 1
05-Aug-02 61.59 -3.48 3 3.37 5.17 8.57 8.98 8.18 3.37 1
02-Aug-02 63.81 -2.24 2 -3.48 -0.23 1.51 4.79 5.18 1.51 3
23-Jul-02 58.78 -2.74 4 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.96 3 -2.74 3.07 2.19 4.14 9.21 3.07 2
19-Jul-02 62.28 -3.52 2 -2.96 -5.62 0.01 -0.84 1.05 0.01 3
10-Jul-02 67.73 -3.64 2 0.81 -0.29 0.24 -1.69 -1.50 0.81 1
20-Sep-01 71.60 -3.18 2 -1.07 2.40 3.47 3.10 4.00 2.40 2
03-Apr-01 79.84 -3.34 2 0.42 4.22 2.64 3.78 5.67 0.42 1
12-Mar-01 85.17 -4.28 2 1.64 -0.36 -0.34 -2.33 -0.35 1.64 1
20-Dec-00 91.07 -2.90 2 0.69 3.71 4.83 5.59 5.92 0.69 1
01-Oct-98 69.54 -2.89 2 1.93 -0.13 -0.22 -1.71 -2.25 1.93 1
31-Mar-97 51.94 -2.11 2 0.64 -1.16 -0.62 0.62 1.02 0.64 1

highlighted in red are that went beyond more than 2 consecutive 2% down days

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sorry for writing rubbish over last few days

sorry for writing rubbish

sorry

 

like below last three dud studies

1) when $SPY posts 3 out of 5 , losses of 1 stdevp(20) magnitude

2) $SPY pattern with 43/44 wins since 2009

3) $SPY 1DOM pattern with 35/35 wins , since Y2K

yes , it’s over , what next for $SPY

it’s over , what next for $SPY

record streak of days without a 3% pullback for the S&P 500

yes ! it’s over  , but what next ?

here the trading rules ,

1) $SPY had been within 3% of the 52 week close ( I.e 250 trading days , on closing basis ) for more than 50 or more trading days ,

2) as on current day at close , $SPY closes below 3% of the 52 week closing high

below the trading odds for $SPY since 1995 , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 20 12 60.0 0.14 0.38 0.69 -0.68 1.02 -1.79 1.00
t+2 20 15 75.0 0.38 0.15 0.67 -0.47 1.42 -1.06 2.90
t+3 20 10 50.0 0.12 0.09 1.15 -0.90 1.28 -3.00 1.12
t+4 20 11 55.0 0.41 0.37 1.55 -0.98 1.59 -2.89 1.60
t+5 20 15 75.0 0.97 1.07 1.62 -0.98 1.65 -1.67 4.51
1st +’ve exit in 5 days % 20 20 100.0 0.62 0.57 0.62 INF INF NA NA

20/20 times since last 1995, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 62 bps and a median gains of 57 bps

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

below the prior instances of $SPY pulling back by more than 3% on closing basis , from the 250 trading day’s closing high , after being above for more than 50 trading days or so , since 1995

Date Close % from 52 wk high # days with out 3% pullback t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
02-Feb-18 275.45 -3.88 311 ? ? ? ? ? ? ?
01-Nov-16 205.78 -3.20 87 -0.60 -1.06 -1.17 1.01 1.47 1.01 4
24-Jun-16 197.20 -3.80 69 -1.79 -0.02 1.68 3.07 3.29 1.68 3
29-Jun-15 195.05 -3.31 75 0.21 1.01 0.92 0.63 1.27 0.21 1
01-Aug-14 179.26 -3.10 75 0.72 -0.25 -0.22 -0.76 0.38 0.72 1
24-Jan-14 165.07 -3.14 72 -0.49 0.10 -0.86 0.19 -0.40 0.10 2
18-Apr-13 140.03 -3.17 74 0.87 1.32 2.36 2.43 2.84 0.87 1
23-Oct-12 127.00 -3.44 56 -0.28 0.01 -0.05 -0.05 1.00 0.01 2
10-Apr-12 120.78 -4.19 57 0.81 2.13 0.91 0.85 2.34 0.81 1
10-Mar-11 112.62 -3.41 68 0.69 0.08 -1.06 -2.89 -1.61 0.69 1
22-Jan-10 92.83 -5.08 52 0.51 0.09 0.57 -0.59 -1.67 0.51 1
07-Jun-07 119.26 -3.24 54 1.30 1.48 0.37 1.87 2.52 1.30 1
27-Feb-07 111.14 -4.48 133 1.03 0.72 -0.59 -1.54 0.14 1.03 1
17-May-06 99.62 -4.35 135 -0.50 0.20 -0.57 -1.32 -0.54 0.20 2
26-Aug-05 93.57 -3.18 70 0.77 0.24 1.51 1.43 1.25 0.77 1
13-Jan-05 90.41 -3.08 54 0.53 1.57 0.51 -0.10 -0.71 0.53 1
10-Mar-04 84.91 -3.27 110 -1.30 0.00 -1.23 -0.70 0.41 0.41 5
27-Apr-98 76.00 -3.87 68 -0.14 0.55 2.41 3.56 3.31 0.55 2
12-Aug-97 64.03 -3.61 73 -0.30 0.07 -3.00 -0.84 0.30 0.07 2
12-Dec-96 49.95 -3.94 68 0.26 -1.03 -0.24 0.56 2.63 0.26 1
10-Jan-96 40.37 -3.76 257 0.60 0.44 0.23 1.46 1.15 0.60 1

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when the #Superbowl final result is “Underdog-Over”

#Superbowl final result is Underdog-Over

superbowl and stock markets

“Anyone foolish enough to bet on a game based on the stock market, or credulous enough to believe that a football game can forecast the stock market, probably should hire an investment manager, a psychiatrist, or both.”

but anyway here are rest of year from the fri close before the superbowl till end of the year , since 1967

superbowl vegas odds source -> http://www.vegasinsider.com/nfl/superbowl/history/

below $SPX returns from the superbowl day to end of year

# Year ATS result Date ( Fri) $SPX EOY %
LII 2018 Underdog-Over 02-Feb-18 2762.0 ?? ??
XLVIII 2014 Underdog-Over 31-Jan-14 1790.9 2058.9 15.0
XLVII 2013 Underdog-Over 01-Feb-13 1498.1 1848.4 23.4
XLIII 2009 Underdog-Over 30-Jan-09 845.7 1115.1 31.9
XXXVIII 2004 Underdog-Over 30-Jan-04 1134.1 1211.9 6.9
XXXVII 2003 Underdog-Over 24-Jan-03 887.3 1111.9 25.3
XXXII 1998 Underdog-Over 23-Jan-98 963.0 1229.2 27.6
XXII 1988 Underdog-Over 29-Jan-88 253.3 277.7 9.6
XVII 1983 Underdog-Over 28-Jan-83 144.3 164.9 14.3
X 1976 Underdog-Over 16-Jan-76 96.6 107.5 11.2
          avg 18.4
          med 15.0

9/9 times when the result is underdog-over , $SPX closed higher from the super bowl day to last trading day of the year , with an average gains of 18.4%

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when $SPY posts 3 out of 5 , losses of 1 stdevp(20) magnitude

when $SPY posts 3 out of 5 , losses of 1 stdevp(20) magnitude$SPY posts 3 1 stdevp(20) losses

 

apart from 10 bullish patterns over the weekend on twitter 10 things on happened last night on $ES_F !!

here is another , trading strategy rules

1) $SPY lost by more than 1 standard deviation , period used is 20, and standard deviation is calculated on daily percentage changes for previous 20 trading days including today

2) in the last 5 trading days , including today , $SPY posted  3 or more such losses of 1 standard deviations

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 100 68 68.0 0.53 0.45 1.37 -1.25 1.10 -4.21 2.06
t+2 100 70 70.0 1.01 0.97 2.20 -1.75 1.26 -9.33 2.81
t+3 100 75 75.0 1.31 0.99 2.36 -1.84 1.29 -11.53 3.92
t+4 100 73 73.0 1.49 1.10 2.62 -1.55 1.69 -6.38 4.49
t+5 100 70 70.0 1.85 1.44 3.23 -1.35 2.39 -7.34 5.73
1st +’ve exit in 5 days % 100 94 94.0 1.18 0.73 1.35 -1.40 0.96 -3.09 12.96

 

94/100 times since last Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 118 bps and a median gains of 73 bps

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

below the 6 instances , where $SPY failed to close higher than the entry

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days %
07-Jan-16 186.35 -1.10 -1.00 -0.20 -2.69 -1.09 -1.09
10-Oct-14 178.27 -1.64 -1.49 -2.16 -2.24 -1.09 -1.09
21-Jan-10 94.95 -2.23 -1.73 -2.14 -1.67 -2.80 -2.80
26-Jul-07 118.91 -1.97 -0.43 -1.55 -1.07 -0.28 -0.28
20-Jan-05 90.32 -0.61 -0.81 -0.53 -0.23 -0.06 -0.06
17-Sep-01 75.65 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09

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$SPY pattern with 43/44 wins since 2009

$SPY pattern with 43/44 wins

$SPY trading pattern

below the trading strategy rules

1) $SPY is down for the day

2) $SPY close is above 200-DMA

3) current month is Feb

trading odds for $SPY longs since 2009 , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 44 36 81.8 0.39 0.54 0.64 -0.72 0.89 -3.09 4.30
t+2 44 38 86.4 0.55 0.60 0.79 -1.00 0.79 -2.89 5.51
t+3 44 36 81.8 0.72 0.76 1.07 -0.88 1.22 -3.59 5.89
t+4 44 33 75.0 0.86 0.97 1.37 -0.66 2.08 -2.38 6.25
t+5 44 36 81.8 1.06 1.25 1.59 -1.29 1.23 -2.57 5.25
1st +’ve exit in 5 days % 44 43 97.7 0.54 0.60 0.61 -2.57 0.24 -2.57 14.30

43/44 times since last 2009, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 54 bps and a median gains of 60 bps

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

below the prior instances of $SPY posting a down day in Feb , while close is above 200-DMA , since 2009 , for the next 1/2/3/4/5 trading days

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
01-Feb-18 281.58 ?? ?? ?? ?? ?? ?? ??
28-Feb-17 231.97 1.40 0.76 0.82 0.52 0.22 1.40 1
22-Feb-17 231.78 0.07 0.19 0.35 0.08 1.48 0.07 1
16-Feb-17 230.25 0.16 0.75 0.66 0.73 0.86 0.16 1
06-Feb-17 224.57 0.00 0.14 0.73 1.13 1.68 0.00 1
27-Feb-15 198.18 0.63 0.22 -0.20 -0.09 -1.50 0.63 1
26-Feb-15 198.85 -0.34 0.29 -0.12 -0.54 -0.44 0.29 2
25-Feb-15 199.09 -0.12 -0.46 0.17 -0.24 -0.66 0.17 3
23-Feb-15 198.69 0.28 0.20 0.08 -0.26 0.37 0.28 1
19-Feb-15 197.54 0.60 0.59 0.87 0.79 0.67 0.60 1
09-Feb-15 192.50 1.07 1.12 2.10 2.52 2.68 1.07 1
06-Feb-15 193.37 -0.45 0.61 0.67 1.64 2.06 0.61 2
04-Feb-15 191.97 1.01 0.73 0.28 1.35 1.41 1.01 1
25-Feb-14 170.56 0.01 0.53 0.78 0.08 1.48 0.01 1
21-Feb-14 169.68 0.55 0.52 0.52 1.05 1.31 0.55 1
19-Feb-14 168.88 0.59 0.48 1.03 0.99 1.00 0.59 1
05-Feb-14 161.63 1.32 2.57 2.76 3.89 3.94 1.32 1
03-Feb-14 160.71 0.70 0.57 1.90 3.16 3.35 0.70 1
28-Feb-13 137.13 0.33 0.86 1.77 1.91 2.09 0.33 1
25-Feb-13 134.76 0.68 1.95 1.75 2.09 2.63 0.68 1
21-Feb-13 136.05 0.98 -0.94 -0.27 0.99 0.79 0.98 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 0.36 2
15-Feb-13 137.58 0.75 -0.51 -1.11 -0.14 -2.04 0.75 1
11-Feb-13 137.27 0.16 0.25 0.34 0.22 0.98 0.16 1
07-Feb-13 136.54 0.56 0.54 0.70 0.79 0.88 0.56 1
04-Feb-13 135.25 1.01 1.08 0.95 1.51 1.49 1.01 1
29-Feb-12 121.24 0.52 0.21 -0.20 -1.66 -0.97 0.52 1
22-Feb-12 120.36 0.44 0.66 0.83 1.12 0.73 0.44 1
15-Feb-12 119.06 1.11 1.37 1.42 1.09 1.54 1.11 1
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
10-Feb-12 118.89 0.74 0.62 0.15 1.26 1.53 0.74 1
06-Feb-12 118.97 0.25 0.55 0.68 -0.07 0.68 0.25 1
24-Feb-11 113.48 1.07 1.70 0.00 0.21 1.94 1.07 1
23-Feb-11 113.56 -0.07 1.00 1.63 -0.07 0.15 1.00 2
22-Feb-11 114.26 -0.61 -0.68 0.38 1.00 -0.68 0.38 3
15-Feb-11 115.28 0.63 0.93 1.14 -0.89 -1.50 0.63 1
09-Feb-11 114.64 0.04 0.64 0.88 0.56 1.19 0.04 1
02-Feb-11 113.10 0.22 0.51 1.13 1.59 1.36 0.22 1
25-Feb-10 94.07 0.06 1.10 1.38 1.47 1.78 0.06 1
23-Feb-10 93.34 0.92 0.78 0.85 1.89 2.18 0.92 1
12-Feb-10 91.84 1.57 2.05 2.66 2.87 2.89 1.57 1
10-Feb-10 90.96 1.05 0.96 2.55 3.04 3.64 1.05 1
08-Feb-10 90.01 1.26 1.06 2.12 2.03 3.64 1.26 1
04-Feb-10 90.48 0.21 -0.52 0.73 0.54 1.59 0.21 1
03-Feb-10 93.36 -3.09 -2.89 -3.59 -2.38 -2.57 -2.57 5

highlighted in red is the only instance as on 3rd Feb , when $SPY failed to close higher at the end of the fifth trading day , and lost big by 257 bps

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