historical 6 months or more winning streak for S&P 500 Index since 1950

historical 6 or more months winning streak for S&P 500 Index

With S&P 500 index gaining for 6 months  in row , we looked at how the S&P 500 Index fared over the next 1 month , 1 quarter , 6 months and over the next one year since 1950.

#FYI , this is the 48 th instance of S&P 500 Index gaining for 6 months (interleaving instances , if S&P 500 Index gains for 7 months , it is included as well under 6 months of consecutive gains ) in row since 1950

Winning odds for the next month  

  • Winners : 29
  • Losers : 18
  • % Winners : 62%
  • Average Change % : 0.79
  • Median Change % : 1.26
  • Maximum Gain % : 10.24
  • Maximum Loss % : -6.77
  • Average Gain %if Winner : 2.87
  • Average Loss % if Loser : -2.57
  • Average Gain % / Average Loss % : 1.12

Winning odds for the next Quarter ( i.e 3 month holding period)

  • Winners : 40
  • Losers : 7
  • % Winners : 85%
  • Average Change % : 3.38
  • Median Change % : 2.59
  • Maximum Gain % : 13.17
  • Maximum Loss % : -11.89
  • Average Gain %if Winner : 4.79
  • Average Loss % if Loser : -4.66
  • Average Gain % / Average Loss % : 1.03

 Winning odds for the next Half Year  ( i.e 6 month holding period)

  • Winners : 38
  • Losers : 7
  • % Winners : 84%
  • Average Change % : 7.77
  • Median Change % : 8.40
  • Maximum Gain % : 23.18
  • Maximum Loss % : -9.35
  • Average Gain %if Winner : 9.96
  • Average Loss % if Loser : -4.13
  • Average Gain % / Average Loss % : 2.42

 Winning odds for the next One Year  ( i.e 12 month holding period)

  • Winners : 38
  • Losers : 7
  • % Winners : 84%
  • Average Change % : 11.77
  • Median Change % : 9.30
  • Maximum Gain % : 40.08
  • Maximum Loss % : -13.26
  • Average Gain %if Winner : 14.79
  • Average Loss % if Loser : -4.64
  • Average Gain % / Average Loss % : 3.19

Below the table with S&P change % details after 1 Month, 1 Quarter , Half Year , 1 year , after S&P 500 Index winning streaks of 6 or more

SPY Change % after 6 or more months of winning streak since 1950

do note that that Sell in May and Go Away do spoil the returns in this momentum continuation of 6 or more months of S&P 500  Index continuous gains.

as can be be seen the average 6 months gains for 6 or more months of winning streaks are mere 2.64% as against the average of 7.77% gains

Month Chg % 6 Mths Later
Apr-13 ??
Apr-98 -1.18
Apr-96 7.81
Apr-91 4.56
Apr-83 -0.54
Apr-71 -9.35
Apr-61 5.07
Apr-54 12.1
avg 2.64

inspiration by Rob Hanna from Quantifiable Edges What Happens After 6 Months Of Gains post

Historical VIX Price Movements on Fed Meeting 2007

Historical VIX Price Movements on Fed Meeting 2007

With the Federal Open Market Committee ( FOMO) set to announce the meeting minutes later in the day, below a look at the historical price movements of Volatility S&P500 Index (VIX)

Full day VIX Index  movement ( change from previous close to Fed meeting minutes announcement day’s close) since Jan 2007 , assuming one is holding on to Longs.

  • Winners : 16
  • Losers : 36
  • % Winners : 31%
  • Average Change % : -3.03
  • Median Change % : -3.48
  • Maximum Gain % : 15.10
  • Maximum Loss % : -26.96
  • Average Gain %if Winner : 5.58
  • Average Loss % if Loser : -6.86
  • Average Gain % / Average Loss % : 0.81
  • Average Absolute Change% : 6.12
  • Profit Factor : 0.37

VIX Index on average looses 3% on the fed meeting minutes days since 2007. who shorted the VIX Index ??

Below the table with historical VIX price movements on fed meeting minutes announcement day since 2007

VIX Index Historical Price Movements on Fed Meeting Minutes Date since 2007

 

Historical GLD Price Movements on Fed Meeting Since 2007

Historical GLD Price Movements on Fed Meeting Since 2007

With the Federal Open Market Committee ( FOMO) set to announce the meeting minutes later in the day, below a look at the historical price movements of SPDR Gold Shares (GLD)

Over Night Gap Movement for SPDR Gold Shares (GLD) ETF on the Fed Meeting Minutes announcement Day since Jan 2007

here is how the $GLD stock price gaps on the Fed meeting minutes day.

below the backtest performance summary for holding the GLD longs overnight before the Fed Meeting Minutes are announced .

  • Winners : 22
  • Losers : 30
  • % Winners : 42%
  • Average Change % : 0.02
  • Median Change % : -0.08
  • Maximum Gain % : 3.92
  • Maximum Loss % : -2.53
  • Average Gain %if Winner : 0.80
  • Average Loss % if Loser : -0.55
  • Average Gain % / Average Loss % : 1.45
  • Profit Factor : 1.01

no trading edge if one is playing for Fed meeting Drift on to GLD unlike on SPY

Intraday Movements for GLD ETF on the Fed Meeting Minutes announcement Day since Jan 2007

here is how the $GLD stock price moved from Open to Close on the Fed meeting minutes day.

below the backtest performance summary for holding the GLD longs from open to close on the day Fed Meeting Minutes are announced .

  • Winners : 27
  • Losers : 25
  • % Winners : 52%
  • Average Change % : 0.21
  • Median Change % : 0.04
  • Maximum Gain % : 4.89
  • Maximum Loss % : -2.87
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -0.72
  • Average Gain % / Average Loss % : 1.48
  • Profit Factor : 1.49

Full day $GLD ETF price movement ( change from previous close to Fed meeting minutes announcement day’s close) since Jan 2007  , assuming one is holding on to Longs.

  • Winners : 31
  • Losers : 21
  • % Winners : 60%
  • Average Change % : 0.22
  • Median Change % : 0.24
  • Maximum Gain % : 3.39
  • Maximum Loss % : -2.69
  • Average Gain %if Winner : 1.08
  • Average Loss % if Loser : -1.04
  • Average Gain % / Average Loss % : 1.04
  • Profit Factor : 1.39

ps: profit factor is the gross profit ( sum of positive changes in GLD ) divided by gross loss ( sum of negative changes in GLD) 

Below the table with historical GLD price movements on fed meeting minutes announcement day since 2007

$GLD Historical Price Movements on Fed Meeting Minutes Date since 2007

Post Fed Meeting Drift on SPY Since 2007

Post Fed Meeting Drift on SPY

With the Federal Open Market Committee ( FOMO) set to announce the meeting minutes later in the day, we looked at the historical price movements of SPDR S&P 500 ETF ( SPY).

Over Night Gap Movement for SPY ETF on the Fed Meeting Minutes announcement Day since Jan 2007

here is how the $SPY stock price gaps on the Fed meeting minutes day.

below the backtest performance summary for holding the SPY longs overnight before the Fed Meeting Minutes are announced .

  • Winners : 34
  • Losers : 18
  • % Winners : 65%
  • Average Change % : 0.19
  • Median Change % : 0.17
  • Maximum Gain % : 4.71
  • Maximum Loss % : -3.68
  • Average Gain %if Winner : 0.70
  • Average Loss % if Loser : -0.82
  • Average Gain % / Average Loss % : 0.85
  • Profit Factor : 1.62

Intraday Movements for SPY  ETF on the Fed Meeting Minutes announcement Day since Jan 2007

here is how the $SPY stock price moved from Open to Close on the Fed meeting minutes day.

below the backtest performance summary for holding the SPY longs from open to close on the day Fed Meeting Minutes are announced .

  • Winners : 30
  • Losers : 22
  • % Winners : 58%
  • Average Change % : 0.41
  • Median Change % : 0.19
  • Maximum Gain % : 4.18
  • Maximum Loss % : -2.99
  • Average Gain %if Winner : 1.19
  • Average Loss % if Loser : -0.72
  • Average Gain % / Average Loss % : 1.64
  • Profit Factor : 2.29

Full day $SPY ETF price movement ( change from previous close to Fed meeting minutes announcement day’s close) since Jan 2007  assuming one is holding on to Longs.

  • Winners : 33
  • Losers : 19
  • % Winners : 63%
  • Average Change % : 0.59
  • Median Change % : 0.44
  • Maximum Gain % : 4.71
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.44
  • Average Loss % if Loser : -0.88
  • Average Gain % / Average Loss % : 1.64
  • Profit Factor : 2.65

ps: profit factor is the gross profit ( sum of positive changes in SPY ) divided by gross loss ( sum of negative changes in SPY) 

Below the table with historical SPY price movements on fed meeting minutes announcement day since 2007

$SPY historical Price Movements on Fed Meeting Minutes Date since 2007

S&P 500 Stocks With High Probability of Loosing in May

S&P 500 Stocks With High Probability of Loosing in May

Fedex Stock Price History in May

Below two S&P 500 stocks that meet the following criteria of High Probability of Loosing  in the Month of May purely from seasonal perspective.

  • Current S&P 500 Constituents and the stock is trading since 1990
  • The Average Loss in May is at-least -1%
  • Percentage win rate is less than or equal to 40 % or the stock lost a minimum of 14 out 23 times in the month of May
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) is les than 1

below the 2 most bearish stocks with high probability of loosing in the month of May as per the above criteria

Symbol Company # Avg Max Min # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
FDX FedEx Corporation 23 -1.72 13.88 -15.55 9 4.59 14 -5.78 39 0.79
SWY Safeway Inc. 23 -1.78 13.37 -13.79 8 4.12 15 -4.93 35 0.83

have you downloaded “S&P 500 Stocks May Month Seasonality” Excel Sheet

S&P 500 Stocks May Seasonality Excel Sheet

S&P 500 Stocks May Seasonality Excel Sheet

Stocks Seasonality

 “Just as the seasons change, so does investment sentiment toward various stocks and industries. The patterns and trends, which would seemingly be widely known and acted upon, repeat over and over and can be exploited by confident investors willing to research when stocks tend to rally and falter.”

S&P 500 Stocks May Seasonality 

Contains May Month Seasonality for all the S&P 500 Stocks since 1990 , with the following columns as shown below

Sample First 10 Columns in the S&P  500 Stocks May Seasonality Excel Sheet

Symbol Company # Avg Max Min # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
A Agilent Technologies Inc. 13 -0.63 23.73 -16.93 4 15.93 9 -7.98 31 2.00
AA Alcoa, Inc. 23 0.53 16.90 -13.08 14 5.85 9 -7.74 61 0.75
AAPL Apple Inc. 23 0.54 26.11 -32.30 10 11.52 13 -7.91 43 1.46
ABC AmerisourceBergen Corporation 18 3.53 21.21 -6.20 13 5.78 5 -2.34 72 2.47
ABT Abbott Laboratories 23 1.90 12.44 -11.95 15 5.00 8 -3.92 65 1.28
ACE ACE Limited 20 -0.44 12.53 -20.47 9 6.32 11 -5.98 45 1.06
ACN Accenture plc 11 0.34 9.41 -14.03 7 5.11 4 -8.02 64 0.64
ACT Actavis, Inc. 20 3.85 27.35 -10.94 12 9.64 8 -4.83 60 2.00
ADBE Adobe Systems Inc. 23 -0.56 18.16 -26.96 12 9.01 11 -11.00 52 0.82

Definitions

  • # : Total number of instances
  • Avg: Average May Monthly Returns in percentage
  • Max : Best May Monthly returns in percentage
  • Min:  Worst May Monthly returns in percentage
  • # Wins : Number of winning May Months ( i’e number of months when returns are positive)
  • Avg if Win : Average % change if the returns in May month are positive
  • # Loss: Number of loosing May Months ( i’e number of months when returns are negative)
  • Avg if Loss : Average % change if the returns in May month are negative
  • % Wins:  Percentage times that May Month had given positive returns.
  • Avg Win/ Avg Loss: Ratio of Average Win % divided by Average Loss% , a.k.a Pay-off Ratio.

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check out  S&P 500 Stocks Seasonality Trends 

Trade Idea : UTX Intraday Low Crosses Above Lower Bollinger Band

UTX Intraday Low Crosses Above Lower Bollinger Band

UTX Stock Intraday low crosses above Lower Bollinger Band Chart

United Technologies Corp ( UTX ) Stock Intra-day low crosses above Lower Bollinger Band trading strategy description.

  • UTX Stock intra-day low is above Lower Bollinger Band
  • While the Stock intra-day low is below the lower Bollinger Band during the previous trading session
  • Go Long  at close
  • Exit at close next trading day

Below the backtest performance summary for going long when “UTX crosses above Lower Bollinger Band ” trading strategy during the last four years.

Go Long when UTX intraday low crosses above the Lower Bollinger Band Backtest Performance Summary
Total number of trades 28 Percent profitable 82%
Number of winning trades 23 Number of losing trades 5
Average profit per trade % 0.97 Median trade 0.63
Average winning trade % 1.31% Average losing trade % -0.61%
Largest winning trade % 3.89% Largest losing trade % 1.77%
Max consecutive winners 6 Max consecutive losers 1
Ratio avg win/avg loss % 2.15
Profit Factor 10.72 Outlier Adjusted Profit Factor 9.33

Below the details of next day change , change % of UTX stock price , when UTX  Stock Intraday low crosses above low bollinger band , during  last 4 years.

UTX Stock Intraday low crosses above Lower Bollinger Band during last four years
Date Next Day Change Next Day Change %
30-Apr-13
24-Apr-13 0.11 0.12
19-Apr-13 0.41 0.44
08-Apr-13 0.74 0.79
16-Nov-12 1.32 1.76
11-Oct-12 -0.09 -0.12
01-Oct-12 0.04 0.05
25-Jul-12 0.32 0.45
16-Jul-12 0.38 0.53
05-Jun-12 2.7 3.89
21-May-12 0.24 0.33
11-Apr-12 1.5 1.93
28-Nov-11 -0.16 -0.23
05-Oct-11 1.32 1.97
26-Sep-11 1.54 2.24
11-Aug-11 2.59 3.88
07-Jun-11 -0.2 -0.25
27-May-11 1.38 1.67
20-Apr-11 1.14 1.4
17-Mar-11 0.64 0.85
12-Jan-11 0.06 0.08
27-Aug-10 -1.11 -1.77
26-May-10 1.84 2.97
10-May-10 0.08 0.12
08-Feb-10 1.03 1.7
01-Feb-10 0.45 0.72
06-Oct-09 -0.39 -0.69
07-Jul-09 0.23 0.51
26-Jun-09 0.84 1.79

use Quant Ideas tab to find the trades for tomorrow , by winning  , Profit Factor , Avg win % etc.  parameters

S&P 500 Stocks With High Probability of Gaining in May

S&P 500 Stocks With High Probability of Gaining in May

conagra foods logo

With the aid of “Pay what you want” S&P 500 Stocks May Month Seasonality” Excel Working Sheet

here are four S&P 500 Stocks that meet the following criteria of High Probability of Gaining in the Month of May purely from seasonal perspective.

  • Current S&P 500 Constituents and the stock is trading since 1990
  • The Average gain in May is at-least 2.5%
  • Percentage win rate is at-least 70 % or atleast the stock gained a minimum of 17 out 23 times in the month of May
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) more than 2.5

below the 4 four most bullish stocks with high probability of gaining in the month of May as per the above criteria

Symbol Company # Avg Max Min # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
CAG ConAgra Foods, Inc. 23 3.93 22.20 -2.70 18 5.53 5 -1.81 78 3.05
KO The Coca-Cola Company 23 4.75 18.42 -3.83 18 6.81 5 -2.66 78 2.56
S Sprint Nextel Corp. 23 7.40 20.71 -5.61 18 10.34 5 -3.21 78 3.23
WEC Wisconsin Energy Corp. 23 2.79 9.09 -5.96 17 4.22 6 -1.26 74 3.34

have you downloaded yet , “S&P 500 Stocks May Month Seasonality” Excel Sheet 

First Trading Day of the Month Returns Month wise for SPY Since Feb 1993

First Trading Day of the Month Returns Month wise for SPY Since Feb 1993

There is a possible seasonal influence that could have a bullish impact for tomorrow for SPDR S&P 500 (SPY) ETF midst all the chants of Sell in May and Go Away
A look at historical returns for the First trading of the month shows that the First trading  day of the May days are
  • profitable 75% ( 15/20) of the times ( 3rd best , after July and Feb)
  • average returns are 0.62% ( the second best after Jan)
  • best pay off ratio ( defined as avg win % divided avg loss% ) of 3.38.

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each First trading day of the month for SPDR S&P 500 ETF since Feb 1993

$SPY First Trading of the Month Returns Since Feb 2003

ps: typo in the image , read Feb 2003 , as Feb 1993 ..
You might want to download ,Pay What You Want ,”S&P 500 Stocks and Major ETF May Month Seasonality” Excel Sheet , which includes the May Month Seasonality for all the S&P 500 Stocks since 1990 and for the Major ETF’s with more than 1 mil average volume.

Mastercard Earnings Day Historical Stock Performance

Mastercard Earnings Day Historical Stock Performance

With Mastercard Incorporated ($MA) releasing  Q1 earnings Before Market Open tomorrow ( 1st May 2013) , below the details of $MA stock price reacts to post earnings announcement since the stock went public in 2006 , regardless whether the management beats EPS /Revenue estimates.

Over Night Gap Movement for Mastercard stock price after earnings are reported

here is how the $MA  stock price gap’ed before earnings are reported

below the backtest performance summary for holding the longs overnight before the day MasterCard Earnings are announced 

  • Winners : 18
  • Losers : 9
  • % Winners : 67%
  • Average Change % : 3.05
  • Median Change % : 2.87
  • Maximum Gain % : 12.95
  • Maximum Loss % : -8.88
  • Average Gain %if Winner : 6.11
  • Average Loss % if Loser : -3.07
  • Average Gain % / Average Loss % : 1.99
  • Average Absolute Change% : 2.60

Full day $MA stock price movement ( change from previous close to earnings day’s close) since Aug 2006 ,or since the stock went for IPO.

here is how the MasterCard  stock price moved on the day after earnings are reported ( if earnings are reported AMC, the next trading day change is considered as the earnings day change, for the earnings announcements Before Market Open , change on the earnings day is considered , as the earnings day change

ps: assuming one is holding on to longs here is the backtest performance summary of holding on to MA longs on the earnings reporting day

  • Winners : 18
  • Losers : 9
  • % Winners : 67%
  • Average Change % : 3.93
  • Median Change % : 2.58
  • Maximum Gain % : 20.85
  • Maximum Loss % : -10.29
  • Average Gain %if Winner : 8.45
  • Average Loss % if Loser : -5.11
  • Average Gain % / Average Loss % : 1.66
  • Average Absolute Change% : 3.74

Historical MasterCard Stock Price Movements on Earnings day since Aug 2006

Below the table with historical stock price movements on MasterCard earnings reporting day since Aug 2006

Mastercard Inc Earnings Day Stock Price Movements since Aug 2006

that’s almost 4% gain for holding for a day , with a max pain at -10% ( 4 Feb 2010) and on few occassion where the stock slipped by more than 9% post earnings.

  • C20: Change from Current Close to Next days’s Open
  • C20 %: Change from Current Close to Next days’s Open in percentage
  • O2C : Change from Current Open to Current Close
  • O2C% : Change from Current Open to Current Close in percentage
  • C2C : Change on the Earnings Reporting day 
  • C2C% : Change on the Earnings Reporting day  in percentage

ps: The earnings data is from earnings.com

pps: Average Absolute Change% data might be useful to gauge the volatility on the earnings day , and or to calculate the straddle pay off factor for options traders