Citigroup Earnings Day Historical Stock Performance

Citigroup Earnings Day Historical Stock Performance

Citigroup

With Citigroup set to report Q1 earnings Before Market Open, we looked at how the $C stock reacts to post earnings announcement since Jan 2000.

Over Night Gap Movement for Citigroup before earnings are reported since Jan 2000

here is how the Citigroup Inc stock price gap’ed before earnings are reported

below the backtest perfromance summary,assuming one is holding on to longs.

  • Winners : 30
  • Losers : 23
  • % Winners : 57%
  • Average Change % : 0.84
  • Median Change % : 0.69
  • Maximum Gain % : 10.20
  • Maximum Loss % : -5.05
  • Average Gain %if Winner : 2.81
  • Average Loss % if Loser : -1.89
  • Average Gain % / Average Loss % : 1.48
  • Average Absolute Change% : 2.43

Citigroup Overnight Gap Movements prior to Earnings Reporting since Jan 2000

Period Earnings Date Overnight Gap Gap %
Q1 2013 15-Apr-13 ?? ??
Q4 2012 17-Jan-13 -0.95 -2.24
Q3 2012 15-Oct-12 0.65 1.87
Q2 2012 16-Jul-12 0.8 3
Q1 2012 16-Apr-12 0.76 2.28
Q4 2011 17-Jan-12 -1.55 -5.05
Q3 2011 17-Oct-11 0.42 1.48
Q2 2011 15-Jul-11 1.12 2.88
Q1 2011 18-Apr-11 0 0
Q4 2010 18-Jan-11 -1.99 -3.89
Q3 2010 18-Oct-10 0.49 1.24
Q2 2010 16-Jul-10 -1.09 -2.63
Q1 2010 19-Apr-10 0.91 2
Q4 2009 19-Jan-10 -0.8 -2.34
Q3 2009 15-Oct-09 -1.99 -3.99
Q2 2009 17-Jul-09 1.5 4.96
Q1 2009 17-Apr-09 1.39 3.47
Q4 2008 16-Jan-09 3.89 10.2
Q3 2008 16-Oct-08 -2.16 -1.35
Q2 2008 18-Jul-08 17.69 10.19
Q1 2008 18-Apr-08 16.22 7.08
Q4 2007 15-Jan-08 -7.54 -2.75
Q3 2007 15-Oct-07 -7.45 -1.67
Q2 2007 20-Jul-07 2.85 0.61
Q1 2007 16-Apr-07 6.02 1.28
Q4 2006 19-Jan-07 -3.52 -0.72
Q3 2006 19-Oct-06 -3.93 -0.88
Q2 2006 17-Jul-06 -5.92 -1.41
Q1 2006 17-Apr-06 3.15 0.75
Q4 2005 20-Jan-06 -6.33 -1.52
Q3 2005 17-Oct-05 2.65 0.69
Q2 2005 18-Jul-05 -6.11 -1.55
Q1 2005 15-Apr-05 5.46 1.43
Q4 2004 20-Jan-05 -4.5 -1.12
Q3 2004 14-Oct-04 1.07 0.29
Q2 2004 15-Jul-04 0.01 0
Q1 2004 15-Apr-04 -5.27 -1.27
Q4 2003 20-Jan-04 4.03 1.01
Q3 2003 20-Oct-03 -7.84 -2.03
Q2 2003 14-Jul-03 6.74 1.84
Q1 2003 14-Apr-03 3.86 1.31
Q4 2002 21-Jan-03 4.24 1.47
Q3 2002 15-Oct-02 21.01 8.88
Q2 2002 17-Jul-02 10.14 3.87
Q1 2002 15-Apr-02 -1.08 -0.32
Q4 2001 17-Jan-02 8.91 2.54
Q3 2001 17-Oct-01 6.16 1.87
Q2 2001 16-Jul-01 8.14 2.33
Q1 2001 16-Apr-01 4.27 1.27
Q4 2000 16-Jan-01 -4.05 -1.07
Q3 2000 17-Oct-00 7.08 1.97
Q2 2000 19-Jul-00 -2.32 -0.66
Q1 2000 17-Apr-00 -3.96 -1.29
Q4 1999 18-Jan-00 0.32 0.1

Citigroup Stock Price Intra-day Movement post earnings since Jan 2000

here is how the Citigroup Inc Stock Price moved from Open to Close on earnings reporting day ( assuming one is holding on to longs)

  • Winners : 16
  • Losers : 37
  • % Winners : 30%
  • Average Change % : -1.12
  • Median Change % : -1.09
  • Maximum Gain % : 6.00
  • Maximum Loss % : -17.07
  • Average Gain %if Winner : 2.47
  • Average Loss % if Loser : -2.75
  • Average Gain % / Average Loss % : 0.90
  • Average Absolute Change% : 2.66

Citigroup stock price change during intra-day ( from Open to Close) on earnings reporting day since Jan 2000

Date Change from Open to Close Change%
17-Jan-13 -0.29 -0.70
15-Oct-12 1.26 3.56
16-Jul-12 -0.64 -2.33
16-Apr-12 -0.17 -0.50
17-Jan-12 -0.96 -3.29
17-Oct-11 -0.89 -3.09
15-Jul-11 -1.76 -4.39
18-Apr-11 0.00 0.00
18-Jan-11 -1.30 -2.64
18-Oct-10 1.70 4.26
16-Jul-10 -1.50 -3.71
19-Apr-10 2.29 4.94
19-Jan-10 2.00 6.00
15-Oct-09 -0.50 -1.04
17-Jul-09 -1.60 -5.04
17-Apr-09 -4.99 -12.05
16-Jan-09 -7.17 -17.07
16-Oct-08 -1.08 -0.69
18-Jul-08 -4.35 -2.27
18-Apr-08 -5.91 -2.41
15-Jan-08 -12.45 -4.67
15-Oct-07 -7.73 -1.76
20-Jul-07 -6.53 -1.38
16-Apr-07 6.10 1.28
19-Jan-07 4.51 0.93
19-Oct-06 1.07 0.24
17-Jul-06 -4.51 -1.09
17-Apr-06 -0.53 -0.13
20-Jan-06 -13.16 -3.22
17-Oct-05 -4.63 -1.19
18-Jul-05 -5.94 -1.53
15-Apr-05 -2.52 -0.65
20-Jan-05 2.25 0.57
14-Oct-04 -4.46 -1.22
15-Jul-04 -7.29 -1.97
15-Apr-04 -3.09 -0.76
20-Jan-04 -5.72 -1.42
20-Oct-03 5.92 1.56
14-Jul-03 0.95 0.25
14-Apr-03 4.66 1.56
21-Jan-03 -9.42 -3.22
15-Oct-02 8.90 3.45
17-Jul-02 -4.85 -1.78
15-Apr-02 -7.43 -2.19
17-Jan-02 -1.44 -0.40
17-Oct-01 -2.79 -0.83
16-Jul-01 -6.07 -1.70
16-Apr-01 -6.76 -1.98
16-Jan-01 15.13 4.05
17-Oct-00 -17.21 -4.69
19-Jul-00 9.27 2.64
17-Apr-00 10.57 3.49
18-Jan-00 2.32 0.76

Intra-day Citigroup price movement since Jan 2000 post earnings if stock price gaps up

here is how the Citigroup Inc stock price moved from open to close on earnings day ( assuming one is holding on to longs) , if the share price gaps up ( that is earnings reporting day open is price greater than the previous trading day’s closing price)

  • Winners : 8
  • Losers : 23
  • % Winners : 26%
  • Average Change % : -1.67
  • Median Change % : -1.38
  • Maximum Gain % : 4.94
  • Maximum Loss % : -17.07
  • Average Gain %if Winner : 2.51
  • Average Loss % if Loser : -3.12
  • Average Gain % / Average Loss % : 0.80
  • Average Absolute Change% : 2.96

Citigroup stock price change during Intra-day ( from Open till Close) on earnings reporting day since Jan 2000 , if the Stock Gaps up

Date Gap % Close – Open Change%
15-Oct-12 1.87 1.26 3.56
16-Jul-12 3 -0.64 -2.33
16-Apr-12 2.28 -0.17 -0.5
17-Oct-11 1.48 -0.89 -3.09
15-Jul-11 2.88 -1.76 -4.39
18-Oct-10 1.24 1.7 4.26
19-Apr-10 2 2.29 4.94
17-Jul-09 4.96 -1.6 -5.04
17-Apr-09 3.47 -4.99 -12.05
16-Jan-09 10.2 -7.17 -17.07
18-Jul-08 10.19 -4.35 -2.27
18-Apr-08 7.08 -5.91 -2.41
20-Jul-07 0.61 -6.53 -1.38
16-Apr-07 1.28 6.1 1.28
17-Apr-06 0.75 -0.53 -0.13
17-Oct-05 0.69 -4.63 -1.19
15-Apr-05 1.43 -2.52 -0.65
14-Oct-04 0.29 -4.46 -1.22
15-Jul-04 0 -7.29 -1.97
20-Jan-04 1.01 -5.72 -1.42
14-Jul-03 1.84 0.95 0.25
14-Apr-03 1.31 4.66 1.56
21-Jan-03 1.47 -9.42 -3.22
15-Oct-02 8.88 8.9 3.45
17-Jul-02 3.87 -4.85 -1.78
17-Jan-02 2.54 -1.44 -0.4
17-Oct-01 1.87 -2.79 -0.83
16-Jul-01 2.33 -6.07 -1.7
16-Apr-01 1.27 -6.76 -1.98
17-Oct-00 1.97 -17.21 -4.69
18-Jan-00 0.1 2.32 0.76

Intraday Citigroup movement ( change from open to close) since Jan 2000 on earnings reporting day , if stock price gaps down

here is how the Citigroup Inc stock price moved from Open to Close on earnings reporting day (assuming one is holding on to longs) , if the stock price gaps down

  • Winners : 8
  • Losers : 13
  • % Winners : 38%
  • Average Change % : -0.37
  • Median Change % : -0.76
  • Maximum Gain % : 6.00
  • Maximum Loss % : -4.67
  • Average Gain %if Winner : 2.44
  • Average Loss % if Loser : -2.10
  • Average Gain % / Average Loss % : 1.16
  • Average Absolute Change% : 2.23

Citigroup stock price change during Intraday ( from Open till Close) on earnings reporting day since Jan 2000 , if the Stock price Gaps down

Date Gap % Close – Open Change %
17-Jan-13 -2.24 -0.29 -0.7
17-Jan-12 -5.05 -0.96 -3.29
18-Jan-11 -3.89 -1.3 -2.64
16-Jul-10 -2.63 -1.5 -3.71
19-Jan-10 -2.34 2 6
15-Oct-09 -3.99 -0.5 -1.04
16-Oct-08 -1.35 -1.08 -0.69
15-Jan-08 -2.75 -12.45 -4.67
15-Oct-07 -1.67 -7.73 -1.76
19-Jan-07 -0.72 4.51 0.93
19-Oct-06 -0.88 1.07 0.24
17-Jul-06 -1.41 -4.51 -1.09
20-Jan-06 -1.52 -13.16 -3.22
18-Jul-05 -1.55 -5.94 -1.53
20-Jan-05 -1.12 2.25 0.57
15-Apr-04 -1.27 -3.09 -0.76
20-Oct-03 -2.03 5.92 1.56
15-Apr-02 -0.32 -7.43 -2.19
16-Jan-01 -1.07 15.13 4.05
19-Jul-00 -0.66 9.27 2.64
17-Apr-00 -1.29 10.57 3.49

ps: The Price data is adjusted for splits and dividends.

Conclusion : should Citi opens with positive gap , traders can short , which had a historical win rate of 74%, for an average trade percent of -1.67 % and a median trade percent of -1.38%

When Citi MACD Histogram turns positive

When Citi MACD Histogram turns positive

Citi MACD Histogram turns positive

Citigroup Stock’s MACD histogram turns positive trading strategy rules

  • Citi Stock price is trading above  200-day moving average, which implies an uptrend overall.
  •  MACD-Histogram moves from negative territory to positive territory.
  • Go Long at close
  • Exit at close next trading day
  • MACD Histogram is calculated as mentioned at stockcharts , in addition paststat.com goes back exactly  250-periods for its calculations so the effects of the simple moving average , which is used to calculate EMA in the first calculation have fully dissipated.

below the backtest perfromance summary for the last four years.

Backtest Performance Summary
Total number of trades 17 Percent profitable 82%
Number of winning trades 14 Number of losing trades 3
Average profit per trade % 1.29 Median trade 1.08
Average winning trade % 1.90% Average losing trade % -1.57%
Largest winning trade % 4.59% Largest losing trade % 3.41%
Max consecutive winners 10 Max consecutive losers 1
Ratio avg win/avg loss % 1.21 T-Test 2.88
Profit factor 6.23 Outlier Adjusted Profit factor 5.21

Below the details of next day change , change % , when Citigroup stock MACD histogram turns positive since last 4 years

Date Next Day Change Change %
13-Apr-12  ?? ??
6-Mar-13 0.42 0.94
12-Feb-13 -0.35 -0.79
6-Dec-12 0.62 1.68
10-Oct-12 0.38 1.08
8-Oct-12 -0.18 -0.52
6-Sep-12 0.95 3.05
13-Mar-12 -1.24 -3.41
28-Mar-11 0.2 0.45
16-Feb-11 0.39 0.8
4-Jan-11 0.69 1.41
2-Dec-10 0.3 0.68
4-Nov-10 1.59 3.68
30-Sep-10 1.79 4.59
2-Sep-10 0.3 0.77
7-Apr-10 1.1 2.53
16-Nov-09 0.6 1.44
13-Oct-09 1.69 3.51

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When BBRY Close Crosses below Lower Bollinger Band

When BBRY Close Crosses Lower Bollinger Band

BBRY Close Crosses Below Lower Bollinger Band

 

Blackberry Stock closing price crosses below bollinger band trading strategy rules

  • Blackberry Stock ( Symbol; BBRY) price closed below the lower line of the  20-day Bollinger Band during current trading session
  • During the previous trading day , the close was above the lower Bollinger band
  • Go Short at close
  • buy to cover at next trading session’s close

 

Backtest Performance Summary
Total number of trades 31 Percent profitable 71%
Number of winning trades 22 Number of losing trades 9
Average profit per trade % 0.94 Median trade -1.13
Average winning trade % 2.31% Average losing trade % 2.43%
Largest winning trade % 6.70% Largest losing trade % 5.72%
Max consecutive winners 6 Max consecutive losers 2
Ratio avg win/avg loss % 0.95 T-Test -1.85
Profit factor 3.69 Outlier Adjusted Profit factor 2.92

Below the details of next day change , change % , when BBRY Stock closing price closed below lower bollinger band since last 4 years

Date BBRY Next Day Change Change %
11-Apr-13  ??  ??
29-Jun-12 0.1 1.35
25-Jun-12 -0.14 -1.54
04-Jun-12 0.33 3.42
03-May-12 -0.03 -0.25
13-Feb-12 -0.33 -2.21
16-Dec-11 -0.55 -4.09
23-Nov-11 -0.2 -1.23
31-Oct-11 -0.9 -4.46
16-Sep-11 -0.21 -0.88
08-Aug-11 1.25 5.72
04-Aug-11 -0.2 -0.85
02-Aug-11 1.18 4.89
27-Jul-11 -0.25 -0.97
17-Jun-11 -1.86 -6.7
01-Jun-11 0.13 0.32
29-Apr-11 -0.55 -1.13
25-Mar-11 -0.9 -1.58
15-Mar-11 -1.25 -2.05
10-Mar-11 0.78 1.25
31-Aug-10 1.29 3.01
20-Aug-10 -0.97 -1.99
16-Aug-10 -0.58 -1.14
25-Jun-10 0.74 1.42
24-May-10 -0.44 -0.74
20-May-10 0.29 0.47
05-May-10 -1.76 -2.56
01-Apr-10 -0.96 -1.4
22-Jan-10 -0.27 -0.44
27-Oct-09 -2.97 -4.66
25-Sep-09 -2.47 -3.58
19-Jun-09 -4.67 -6.42

When Ford Motors gives Bullish MACD Crossover Signal

When Ford Motors gives Bullish MACD Crossover Signal

Ford MACD Bullish Cross Over

Ford Motors Stock price gives Bullish MACD Crossover Signal trading strategy rules

  • Ford Motors ( Symbol: F)  Stock price MACD line crosses above the signal line after being below the signal during previous trading session
  • Go Long  at close
  • Exit tomorrow at close
  • The MACD parameters used are 26 and 12 and the signal line is a 9-day EMA of the MACD line. paststat.com goes back exactly  250-periods for its calculations so the effects of the simple moving average , which is used to calculate EMA in the first calculation have fully dissipated.

Below the back test performance summary since last 4 years .

Backtest Performance Summary
Total number of trades 52 Percent profitable 71%
Number of winning trades 37 Number of losing trades 15
Average profit per trade % 1.38 Median trade 0.9
Average winning trade % 2.48% Average losing trade % -1.34%
Largest winning trade % 11.19% Largest losing trade % 3.68%
Max consecutive winners 8 Max consecutive losers 4
Ratio avg win/avg loss % 1.85 T-Test 3.61
Profit factor 4.17 Outlier Adjusted Profit factor 3.77

Below the details of next day change , change % , when Ford Stock Price gave Bullish MACD CrossOver Signal  since last 4 years

Date Next Day Change Change %
11-Apr-13  ??  ??
05-Mar-13 0.02 0.16
20-Dec-12 0.09 0.77
19-Dec-12 0.04 0.34
07-Dec-12 -0.01 -0.09
29-Nov-12 -0.08 -0.7
28-Nov-12 0.28 2.51
31-Oct-12 0.09 0.81
26-Oct-12 0.85 8.31
17-Oct-12 0.02 0.19
16-Oct-12 0.1 0.98
06-Sep-12 0.22 2.24
05-Sep-12 0.35 3.7
30-Jul-12 0.14 1.57
19-Jul-12 -0.14 -1.52
23-May-12 0.18 1.76
03-Apr-12 -0.13 -1.05
14-Mar-12 0.02 0.16
22-Dec-11 0.01 0.09
02-Dec-11 0.21 1.98
01-Dec-11 0.3 2.91
05-Oct-11 0.42 4.08
04-Oct-11 0.47 4.79
26-Sep-11 0.04 0.41
25-Aug-11 0.11 1.1
24-Aug-11 -0.16 -1.57
16-Aug-11 -0.1 -0.91
22-Jul-11 -0.14 -1.08
23-Jun-11 -0.23 -1.75
21-Apr-11 0.1 0.66
15-Mar-11 -0.48 -3.36
14-Mar-11 0.36 2.58
05-Jan-11 0.33 1.89
03-Nov-10 0.67 4.53
02-Nov-10 0.73 5.19
04-Oct-10 0.17 1.36
07-Sep-10 0 0
09-Jul-10 0.25 2.37
08-Jul-10 0.22 2.13
28-May-10 -0.31 -2.71
19-Apr-10 0.31 2.34
16-Apr-10 0.17 1.3
24-Feb-10 0.05 0.44
16-Dec-09 -0.1 -1.08
09-Nov-09 0.06 0.75
06-Nov-09 0.42 5.56
12-Oct-09 0 0
09-Oct-09 0.49 7.06
28-Sep-09 -0.04 -0.55
15-Jul-09 0.07 1.19
02-Jun-09 -0.23 -3.68
24-Apr-09 0.11 2.26
23-Apr-09 0.49 11.1

When SPY closes above previous days high for four days in row

When SPY closes above previous days high for four days in row

SPY closes above previous day’s high for four days in row trading strategy rules 

  • SPY close is above previous days high for four trading days in row
  • SPY close is above 200 Day moving average
  • Go Short  at close
  • Buy to cover during next day’s trading session close

Below the back test performance summary since Jan 2000.

Total # of trades 30 Percent profitable 66.67%
Number of winning trades 20 Number of losing trades 10
Average profit per trade 0.23 Average profit per trade % 0.18%
Median trade -0.2 Median trade % -0.14
Average winning trade 0.53 Average losing trade -0.36
Average winning trade % 0.45% Average losing trade % -0.36%
Ratio avg win/avg loss 1.47 Ratio avg win/avg loss % 1.26
Largest winning trade 1.62 Largest losing trade -0.98
Largest winning trade % 1.31% Largest losing trade % -1.02%
Max consecutive winners 5 Max consecutive losers 3
Profit factor 2.93 Outlier adjusted profit factor 2.48
T-Test 1.83

Below the previous instances of SPY closing above previous day’s high for four days in row , while above 200 day above moving average , and the next day change , change % details

Date Next Day Change Change %
11-Apr-13  ??  ??
23-Nov-12 -0.29 -0.21
19-Jun-12 -0.22 -0.16
27-Apr-12 -0.51 -0.37
20-Jan-12 -0.34 -0.26
27-Dec-11 -1.62 -1.31
23-Dec-11 0.10 0.08
01-Jul-11 -0.11 -0.09
29-Apr-11 -0.20 -0.15
22-Dec-10 -0.17 -0.14
11-Jan-10 -1.00 -0.93
08-Jan-10 0.15 0.14
07-Jan-10 0.35 0.33
09-Nov-09 0.02 0.02
10-Sep-09 -0.01 -0.01
09-Sep-09 0.98 1.02
21-Aug-09 -0.01 -0.01
26-Oct-06 -0.76 -0.63
18-Aug-06 -0.49 -0.43
23-Nov-05 0.08 0.07
22-Nov-05 0.63 0.58
19-May-05 -0.15 -0.15
04-May-05 -0.04 -0.04
05-Apr-04 -0.31 -0.32
02-Apr-04 0.52 0.54
01-Apr-04 0.72 0.76
08-Jan-04 -0.82 -0.87
03-Sep-03 0.04 0.05
08-Aug-00 -0.99 -0.84
16-May-00 -1.21 -1.05
24-Mar-00 -1.28 -1.06

looks like we are set for a small correction tomorrow , if the above trading strategy repeats itself .

When HMA intraday low crosses below lower bollinger band

When HMA intraday low crosses below lower bollinger band

lower bollinger band

HMA intraday low crosses below lower bollinger band trading strategy rules

  • HMA Stock price intraday low is above lower bollinger band during the previous trading session
  • HAM stock price intraday low is below lower bollinger band during today’s trading session ( i.e intraday low crossed below lower bollinger band)
  • Go short at close
  • Buy to cover tomorrow at close

Below the back test performance summary since last 4 years .

Backtest Performance Summary
Total number of trades 35 Percent profitable 77%
Number of winning trades 27 Number of losing trades 8
Average profit per trade % 1.97 Median trade -1.65
Average winning trade % 2.95% Average losing trade % 1.36%
Largest winning trade % 13.07% Largest losing trade % 3.62%
Max consecutive winners 8 Max consecutive losers 2
Ratio avg win/avg loss % 2.17 T-Test -3.74
Profit factor 7.25 Outlier Adjusted Profit factor 6.11

Below the details of next day change , change % , when HMA stock  intraday low crossed lower bollinger band since last 4 years

Date HMA Stock closing price Next day change Change %
10-Apr-13 10.53  ??  ??
03-Dec-12 7.5 -0.13 -1.73
22-Oct-12 7.49 -0.3 -4.01
09-Oct-12 7.77 -0.11 -1.42
04-Oct-12 8.16 -0.07 -0.86
24-Jul-12 6.7 -0.08 -1.19
01-Jun-12 6.1 -0.11 -1.8
11-May-12 6.51 -0.15 -2.3
03-May-12 6.95 -0.15 -2.16
29-Mar-12 6.7 0.02 0.3
06-Mar-12 6.8 -0.06 -0.88
09-Jan-12 6.96 -0.91 -13.07
17-Nov-11 8.48 -0.14 -1.65
03-Oct-11 6.32 0.08 1.27
21-Sep-11 6.76 -0.15 -2.22
25-Jul-11 9.77 -0.07 -0.72
03-Jun-11 10.88 -0.34 -3.13
18-Jan-11 9.55 -0.45 -4.71
10-Jan-11 9.58 0.12 1.25
14-Oct-10 7.28 0.15 2.06
25-Aug-10 6.66 -0.4 -6.01
20-Aug-10 6.7 -0.14 -2.09
12-Aug-10 6.76 -0.11 -1.63
21-Jul-10 6.67 -0.02 -0.3
01-Jul-10 7.57 -0.25 -3.3
29-Jun-10 7.85 -0.08 -1.02
21-Jun-10 8.16 -0.16 -1.96
08-Jun-10 8.37 0.05 0.6
25-May-10 8.58 0.12 1.4
21-May-10 9.08 -0.27 -2.97
16-Apr-10 8.26 0.03 0.36
21-Jan-10 6.93 -0.16 -2.31
27-Oct-09 6.82 -0.67 -9.82
03-Sep-09 6.35 0.23 3.62
22-Jun-09 4.38 -0.03 -0.68
15-Jun-09 5.07 -0.29 -5.72

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When SPY Aroon Oscillator crosses above 70

When SPY Aroon Oscillator crosses above 70

Trading Strategy Rules

  • SPY  today’s Aroon Oscillator value is greater then 70 , while yesterday’s reading is below 70.
  • Aroon Oscillator is arrived at subtracting Aroon down from Aroon up . The period used is 14.
  • Go long at close
  • Exit the long tomorrow at close

Below the back test performance summary since last 4 years .

Total number of trades 43 Percent profitable 67%
Number of winning trades 29 Number of losing trades 14
Average profit per trade % 0.2 Median trade 0.09
Profit factor 2.03 Outlier Adjusted Profit factor 1.77
Average winning trade % 0.55% Average losing trade % -0.55%
Largest winning trade % 2.27% Largest losing trade % 1.39%
Max consecutive winners 7 Max consecutive losers 2
Ratio avg win/avg loss % 1 T-Test 1.62

Below the previous instances of SPY giving Aroon Oscillator crosses above 70 trading signal and the next day change , change % details

Date Next day Change Change%
09-Apr-13 ?? ??
25-Mar-13 1.24 0.8
12-Mar-13 0.22 0.14
19-Feb-13 -1.9 -1.25
15-Jan-13 -0.02 -0.01
11-Dec-12 0.07 0.05
03-Dec-12 -0.2 -0.14
07-Aug-12 0.17 0.12
27-Jul-12 0 0
19-Jul-12 -1.24 -0.92
29-Jun-12 0.4 0.3
18-Jun-12 1.28 0.97
26-Apr-12 0.23 0.17
26-Mar-12 -0.43 -0.31
15-Feb-12 1.45 1.11
03-Feb-12 -0.09 -0.07
10-Jan-12 0.07 0.06
18-Oct-11 -1.41 -1.19
29-Aug-11 0.31 0.27
30-Jun-11 1.88 1.48
30-Mar-11 -0.17 -0.13
11-Feb-11 0.31 0.24
03-Feb-11 0.35 0.28
26-Jan-11 0.31 0.25
13-Dec-10 0.11 0.09
02-Dec-10 0.31 0.27
03-Nov-10 2.19 1.92
09-Sep-10 0.53 0.51
04-Aug-10 -0.11 -0.1
23-Jul-10 1.08 1.04
14-Jun-10 2.34 2.27
23-Apr-10 -0.43 -0.38
11-Mar-10 0.01 0.01
22-Feb-10 -1.26 -1.21
05-Jan-10 0.08 0.08
23-Dec-09 0.5 0.48
16-Nov-09 0.12 0.12
19-Oct-09 -0.54 -0.53
17-Sep-09 0.06 0.06
22-Jul-09 1.95 2.2
01-Jun-09 0.07 0.08
06-May-09 -1.18 -1.39
29-Apr-09 0.03 0.04
16-Apr-09 0.54 0.68

looks slightly bullish for tomorrow, with an outlier adjusted profit factor of 1.77 and with 67% trades profitable.

When NVIDIA Corporation price crosses above 50 Day Moving Average

When NVIDIA price crosses above 50 Day Moving Average

Nvidia corporation

Trading Strategy Rules

  • NVDA previous day stock close price is below previous days 50 day moving average
  • NVDA today’s stock close price is above 50 day moving average
  • Go long at close
  • Exit the long tomorrow at close

Below the back test performance summary since last 4 years .

Backtest Performance Summary
Total number of trades 36 Percent profitable 72.00%
Number of winning trades 26 Number of losing trades 10
Average profit per trade % 1.13 Median trade 1.16
Average winning trade % 2.01% Average losing trade % -1.16%
Largest winning trade % 5.32% Largest losing trade % 2.78%
Max consecutive winners 11 Max consecutive losers 2
Ratio avg win/avg loss % 1.73 T-Test 3.69
Profit factor 4.74 Outlier Adjusted Profit factor 4.29

Below the details of next day change , change % , when NVDA stock price crosses above 50 day moving average

Date NVDA Close Next Day Change Change %
09-Apr-13 12.63  ??  ??
26-Feb-13 12.37 0.23 1.86
22-Feb-13 12.44 -0.21 -1.69
08-Feb-13 12.29 0.14 1.14
05-Feb-13 12.36 -0.1 -0.81
24-Jan-13 12.12 0.21 1.73
17-Jan-13 12.18 -0.08 -0.66
10-Jan-13 12.16 -0.02 -0.16
31-Dec-12 12.19 0.45 3.69
10-Dec-12 12.28 0.29 2.36
14-Sep-12 13.67 -0.38 -2.78
06-Sep-12 13.56 -0.33 -2.43
18-Jul-12 12.9 0.13 1.01
26-Jun-12 12.57 0.41 3.26
19-Jun-12 13.07 0.21 1.61
28-Mar-12 14.97 0.07 0.47
23-Jan-12 14.43 0.32 2.22
05-Jan-12 14.53 -0.17 -1.17
28-Nov-11 14.65 0.07 0.48
21-Nov-11 14.45 0.44 3.04
03-Nov-11 14.47 0.17 1.17
06-Oct-11 13.72 0.25 1.82
23-Sep-11 13.62 0.03 0.22
07-Sep-11 14.07 -0.07 -0.5
26-May-11 18.59 0.67 3.6
06-May-11 19.08 0.42 2.2
28-Apr-11 19.27 0.48 2.49
07-Sep-10 9.87 0.32 3.24
09-Apr-10 16.78 0.3 1.79
09-Mar-10 17.33 0.04 0.23
11-Feb-10 16.91 0.22 1.3
01-Feb-10 16.36 0.17 1.04
02-Dec-09 13.55 0.11 0.81
14-Jul-09 10.58 0.43 4.06
24-Jun-09 10.71 0.57 5.32
04-Jun-09 10.75 -0.06 -0.56
01-Jun-09 10.8 -0.09 -0.83

use trade-finder to find statistically significant short term trading strategies.

As Alcoa Goes, So Goes the Market ?

As Alcoa Goes, So Goes the Market ?

inspired by the tidbit from the http://blogs.wsj.com/marketbeat/2013/01/09/morning-marketbeat-as-alcoa-goes-so-goes-the-market/

Since 2005, when Alcoa shares have risen after the company releases earnings, the S&P 500 has averaged a 1.9% gain over the next month of trading, and a 3.2% gain over a three-month timeframe, according to Schaeffer’s Investment Research.

We just looked at how SPDR Dow Jones Industrial Average ( $DIA) fares , after Alcoa beats the earnings estimates

Here are the trading strategy rules we employed

Below the backtest performance summary for Buying $DIA after Alcoa beats EPS estimate and holding till next Alcoa earnings release , since Jan 2006

Total net profit 66 Total Net Profit % 57.16
Gross profit 97 Gross loss -30
Total # of trades 21 Percent profitable 76.19%
Number of winning trades 16 Number of losing trades 5
Largest winning trade 15.6 Largest losing trade -12.07
Largest winning trade % 17.37% Largest losing trade % -12.26%
Average winning trade 6.03 Average losing trade -6.01
Average winning trade % 5.41% Average losing trade % -5.87%
Ratio avg win/avg loss 1 Ratio avg win/avg loss % 0.92
Average profit per trade 3.17 Average profit per trade % 2.72%
Median trade 3.7 Median trade % 3.13
Max consecutive winners 8 Max consecutive losers 2
Gain during max winning streak 45.3 Gain during max winning streak % 47.66
Loss during max winning streak 24 Loss during max winning streak % 22.62
Profit factor 3.21 Outlier adjusted profit factor 2.69
Account size required 5,000 Return on account 57.20%
Max drawdown % 21.35
Luck factor 6.38 CAR 6.67%
Recovery factor 2.82 CAR/MDD 0.31
Pessimistic Rate of Return 0.60% number of years 7
Sharpe ratio 0.4 T-Test 1.95

Below the historical $DIA Change , Change % details since Jan 2006 , when Alcoa beats the EPS Estimate.

Date $DIA Open Next Quarter $ DIA Open Change Change % Alcoa EPS Estimate Alcoe EPS Actual
09-Jan-13 132.64 08-Apr-13 145.95* 13.31 9.12 0.08 0.11
10-Oct-12 132.7 09-Jan-13 132.64 -0.06 -0.05 0.06 0.06
10-Jul-12 125.54 10-Oct-12 132.7 7.16 5.4 0 0.03
11-Apr-12 124.95 10-Jul-12 125.54 0.59 0.47 0.05 0.06
10-Jan-12 121.04 11-Apr-12 124.95 3.91 3.13 -0.04 0.1
12-Oct-11 110.46 10-Jan-12 121.04 10.58 8.74 -0.03 -0.03
12-Apr-11 116.84 12-Jul-11 119.39 2.55 2.14 0.32 0.32
11-Jan-11 110.25 12-Apr-11 116.84 6.59 5.64 0.27 0.28
08-Oct-10 103 11-Jan-11 110.25 7.25 6.58 0.19 0.21
13-Jul-10 96.32 08-Oct-10 103 6.68 6.49 0.05 0.09
13-Apr-10 102 13-Jul-10 96.32 -5.68 -5.9 0.11 0.13
12-Jan-10 98.34 13-Apr-10 102 3.66 3.59 0.09 0.1
09-Jul-09 74.19 08-Oct-09 89.79 15.6 17.37 -0.09 0.04
08-Apr-09 72.33 09-Jul-09 74.19 1.86 2.51 -0.38 -0.26
07-Apr-08 110.49 08-Jul-08 98.42 -12.07 -12.26 0.64 0.66
09-Oct-07 122.45 10-Jan-08 110.96 -11.49 -10.36 0.33 0.36
11-Apr-07 108.48 09-Jul-07 116.25 7.77 6.68 0.81 0.81
09-Jan-07 106.67 11-Apr-07 108.48 1.81 1.67 0.76 0.79
10-Oct-06 101.25 09-Jan-07 106.67 5.42 5.08 0.65 0.74
10-Apr-06 93.34 10-Jul-06 92.61 -0.73 -0.79 0.86 0.9
10-Jan-06 91.56 10-Apr-06 93.34 1.78 1.91 0.51 0.7

ps: For the recent quarter instead of $DIA Open , the previous day close is considered.

pps: $DIA data is adjusted for dividends ( dividends are not reinvested and or not included)

 

Alcoa Earnings : Historical Gap and Intraday Movements on Earnings Reporting day

Alcoa Earnings : How to trade on Earnings Reporting day

With Alcoa earnings ( $AA) released after market close, we looked at how the $AA stock reacts to post earnings announcement since Jan 2000.

Alcoa_620x350

$AA Over Night Gap Movement post Alcoa earnings since Jan 2000

here is how the Alcoa Inc  ( $AA) Stock  Price gapped  post earnings day ( assuming one is holding on to longs)

  • Winners 29
  • Losers 23
  • % Winners 56%
  • Average Change % 0.45
  • Median Change % 0.66
  • Maximum Gain % 10.78
  • Maximum Loss % -9.33
  • Average Gain %if Winner 2.77
  • Average Loss % if Loser -2.83
  • Average Gain % / Average Loss % 0.98
  • Profit Factor 1.19

Alcoa Overnight Gap Movements since Jan 2000

Quarter Earnings Date Date Considered Gap Gap %
Q1 2013 8-Apr-13 AMC 09-Apr-13 ?? ??
Q4 2012 8-Jan-13 AMC 09-Jan-13 0.23 2.54
Q3 2012 9-Oct-12 AMC 10-Oct-12 -0.08 -0.88
Q2 2012 9-Jul-12 AMC 10-Jul-12 0.06 0.69
Q1 2012 10-Apr-12 AMC 11-Apr-12 0.62 6.75
Q4 2011 9-Jan-12 AMC 10-Jan-12 0.27 2.91
Q3 2011 11-Oct-11 AMC 12-Oct-11 -0.36 -3.56
Q2 2011 11-Jul-11 AMC 12-Jul-11 -0.12 -0.77
Q1 2011 11-Apr-11 AMC 12-Apr-11 -0.84 -4.84
Q4 2010 10-Jan-11 AMC 11-Jan-11 -0.21 -1.31
Q3 2010 7-Oct-10 AMC 08-Oct-10 0.39 3.29
Q2 2010 12-Jul-10 AMC 13-Jul-10 0.43 4.08
Q1 2010 12-Apr-10 AMC 13-Apr-10 -0.27 -1.91
Q4 2009 11-Jan-10 AMC 12-Jan-10 -1.29 -7.65
Q3 2009 7-Oct-09 AMC 08-Oct-09 0.79 5.77
Q2 2009 8-Jul-09 AMC 09-Jul-09 0.5 5.49
Q1 2009 7-Apr-09 AMC 08-Apr-09 0.27 3.61
Q4 2008 12-Jan-09 AMC 13-Jan-09 -0.29 -3.07
Q3 2008 07-Oct-08 07-Oct-08 0.32 1.91
Q2 2008 08-Jul-08 08-Jul-08 0.13 0.42
Q1 2008 07-Apr-08 07-Apr-08 0.37 1.04
Q4 2007 9-Jan-08 AMC 10-Jan-08 0.3 1.05
Q3 2007 09-Oct-07 09-Oct-07 0.51 1.47
Q2 2007 09-Jul-07 09-Jul-07 -0.11 -0.29
Q1 2007 10-Apr-07 AMC 11-Apr-07 0.67 2.14
Q4 2006 09-Jan-07 09-Jan-07 0.19 0.75
Q3 2006 10-Oct-06 10-Oct-06 0.27 1.09
Q2 2006 10-Jul-06 10-Jul-06 0.4 1.35
Q1 2006 10-Apr-06 10-Apr-06 0.1 0.35
Q4 2005 9-Jan-06 AMC 10-Jan-06 -1.8 -6.75
Q3 2005 10-Oct-05 AMC 11-Oct-05 0.65 3.31
Q2 2005 7-Jul-05 AMC 08-Jul-05 0.96 4.26
Q1 2005 6-Apr-05 AMC 07-Apr-05 0.88 3.42
Q4 2004 10-Jan-05 AMC 11-Jan-05 -0.73 -2.81
Q3 2004 7-Oct-04 AMC 08-Oct-04 -0.32 -1.1
Q2 2004 7-Jul-04 AMC 08-Jul-04 -0.57 -2.06
Q1 2004 6-Apr-04 AMC 07-Apr-04 -0.68 -2.21
Q4 2003 8-Jan-04 AMC 09-Jan-04 -1.22 -3.77
Q3 2003 07-Oct-03 07-Oct-03 -0.26 -1.1
Q2 2003 8-Jul-03 AMC 09-Jul-03 -0.08 -0.37
Q1 2003 4-Apr-03 AMC 07-Apr-03 1.78 10.78
Q4 2002 8-Jan-03 BMO 08-Jan-03 -1.86 -9.33
Q3 2002 4-Oct-02 BMO 04-Oct-02 -0.16 -0.98
Q2 2002 08-Jul-02 08-Jul-02 -0.51 -1.89
Q1 2002 05-Apr-02 05-Apr-02 0.34 1.15
Q4 2002 8-Jan-02 BMO 08-Jan-02 0.27 0.88
Q3 2001 4-Oct-01 BMO 04-Oct-01 0.65 2.54
Q2 2001 06-Jul-01 06-Jul-01 0 0
Q1 2001 5-Apr-01 BMO 05-Apr-01 0.5 1.78
Q4 2000 8-Jan-01 BMO 08-Jan-01 0 0
Q3 2000 5-Oct-00 BMO 05-Oct-00 0 0
Q2 2000 10-Jul-00 BMO 10-Jul-00 1.03 4.78
Q1 2000 06-Apr-00 06-Apr-00 0.17 0.63

$AA Intraday Movement  Alcoa post earnings since Jan 2000

here is how the Alcoa Inc  ( $AA) Stock  Price moved from Open to Close post earnings day ( assuming one is holding on to longs)

  • Winners 18
  • Losers 34
  • % Winners 35%
  • Average Change % -1.10
  • Median Change % -0.69
  • Maximum Gain % 3.86
  • Maximum Loss % -9.43
  • Average Gain %if Winner 1.66
  • Average Loss % if Loser -2.72
  • Average Gain % / Average Loss % 0.61
  • Profit Factor 0.46

Alcoa Stock Price Change during Intraday ( from Open till Close) post Earnings since Jan 2000

Quarter Earnings Date Date Considered Close-Open Change%
Q1 2013 8-Apr-13 AMC 09-Apr-13
Q4 2012 8-Jan-13 AMC 09-Jan-13 -0.25 -2.69
Q3 2012 9-Oct-12 AMC 10-Oct-12 -0.34 -3.78
Q2 2012 9-Jul-12 AMC 10-Jul-12 -0.42 -4.81
Q1 2012 10-Apr-12 AMC 11-Apr-12 -0.04 -0.41
Q4 2011 9-Jan-12 AMC 10-Jan-12 -0.26 -2.73
Q3 2011 11-Oct-11 AMC 12-Oct-11 0.12 1.23
Q2 2011 11-Jul-11 AMC 12-Jul-11 -0.08 -0.52
Q1 2011 11-Apr-11 AMC 12-Apr-11 -0.21 -1.27
Q4 2010 10-Jan-11 AMC 11-Jan-11 0.05 0.32
Q3 2010 7-Oct-10 AMC 08-Oct-10 0.28 2.28
Q2 2010 12-Jul-10 AMC 13-Jul-10 -0.31 -2.82
Q1 2010 12-Apr-10 AMC 13-Apr-10 0.04 0.29
Q4 2009 11-Jan-10 AMC 12-Jan-10 -0.58 -3.73
Q3 2009 7-Oct-09 AMC 08-Oct-09 -0.64 -4.42
Q2 2009 8-Jul-09 AMC 09-Jul-09 -0.73 -7.60
Q1 2009 7-Apr-09 AMC 08-Apr-09 -0.01 -0.13
Q4 2008 12-Jan-09 AMC 13-Jan-09 -0.19 -2.08
Q3 2008 07-Oct-08 07-Oct-08 -1.61 -9.43
Q2 2008 08-Jul-08 08-Jul-08 -1.11 -3.60
Q1 2008 07-Apr-08 07-Apr-08 -1.8 -4.99
Q4 2007 9-Jan-08 AMC 10-Jan-08 -0.13 -0.45
Q3 2007 09-Oct-07 09-Oct-07 0.78 2.21
Q2 2007 09-Jul-07 09-Jul-07 0.75 2.00
Q1 2007 10-Apr-07 AMC 11-Apr-07 -0.51 -1.59
Q4 2006 09-Jan-07 09-Jan-07 -0.16 -0.62
Q3 2006 10-Oct-06 10-Oct-06 0 0.00
Q2 2006 10-Jul-06 10-Jul-06 -0.52 -1.74
Q1 2006 10-Apr-06 10-Apr-06 0.19 0.66
Q4 2005 9-Jan-06 AMC 10-Jan-06 0.96 3.86
Q3 2005 10-Oct-05 AMC 11-Oct-05 -0.48 -2.36
Q2 2005 7-Jul-05 AMC 08-Jul-05 0 0.00
Q1 2005 6-Apr-05 AMC 07-Apr-05 0.4 1.50
Q4 2004 10-Jan-05 AMC 11-Jan-05 0.03 0.12
Q3 2004 7-Oct-04 AMC 08-Oct-04 -0.26 -0.91
Q2 2004 7-Jul-04 AMC 08-Jul-04 0.51 1.88
Q1 2004 6-Apr-04 AMC 07-Apr-04 -0.88 -2.93
Q4 2003 8-Jan-04 AMC 09-Jan-04 0.04 0.13
Q3 2003 07-Oct-03 07-Oct-03 0.2 0.86
Q2 2003 8-Jul-03 AMC 09-Jul-03 -0.2 -0.94
Q1 2003 4-Apr-03 AMC 07-Apr-03 -0.47 -2.57
Q4 2002 8-Jan-03 BMO 08-Jan-03 -0.2 -1.11
Q3 2002 4-Oct-02 BMO 04-Oct-02 -0.64 -3.96
Q2 2002 08-Jul-02 08-Jul-02 -0.2 -0.76
Q1 2002 05-Apr-02 05-Apr-02 0.56 1.87
Q4 2002 8-Jan-02 BMO 08-Jan-02 -0.93 -3.02
Q3 2001 4-Oct-01 BMO 04-Oct-01 -1.66 -6.33
Q2 2001 06-Jul-01 06-Jul-01 -0.78 -2.41
Q1 2001 5-Apr-01 BMO 05-Apr-01 1.04 3.63
Q4 2000 8-Jan-01 BMO 08-Jan-01 0.39 1.49
Q3 2000 5-Oct-00 BMO 05-Oct-00 -0.1 -0.47
Q2 2000 10-Jul-00 BMO 10-Jul-00 0.83 3.67
Q1 2000 06-Apr-00 06-Apr-00 0.51 1.88

Intraday Alcoa Movement since Jan 2000 post earnings if stock price gaps up

here is how the Alcoa Inc  ( $AA) Stock  Price moved from Open to Close post earnings day ( assuming one is holding on to longs) , if the share price gaps up

  • Winners 8
  • Losers 21
  • % Winners 28%
  • Average Change % -1.54
  • Median Change % -1.59
  • Maximum Gain % 3.67
  • Maximum Loss % -9.43
  • Average Gain %if Winner 2.21
  • Average Loss % if Loser -3.28
  • Average Gain % / Average Loss % 0.67
  • Profit Factor 0.38

Alcoa Stock Price Change during Intraday ( from Open till Close) post Earnings since Jan 2000 , if the Stock Gaps up

Date Gap % Close-Open % Change
09-Jan-13 2.54 -0.25 -2.69
10-Jul-12 0.69 -0.42 -4.81
11-Apr-12 6.75 -0.04 -0.41
10-Jan-12 2.91 -0.26 -2.73
08-Oct-10 3.29 0.28 2.28
13-Jul-10 4.08 -0.31 -2.82
08-Oct-09 5.77 -0.64 -4.42
09-Jul-09 5.49 -0.73 -7.60
08-Apr-09 3.61 -0.01 -0.13
07-Oct-08 1.91 -1.61 -9.43
08-Jul-08 0.42 -1.11 -3.60
07-Apr-08 1.04 -1.80 -4.99
10-Jan-08 1.05 -0.13 -0.45
09-Oct-07 1.47 0.78 2.21
11-Apr-07 2.14 -0.51 -1.59
09-Jan-07 0.75 -0.16 -0.62
10-Oct-06 1.09 0.00 0.00
10-Jul-06 1.35 -0.52 -1.74
10-Apr-06 0.35 0.19 0.66
11-Oct-05 3.31 -0.48 -2.36
08-Jul-05 4.26 0.00 0.00
07-Apr-05 3.42 0.40 1.50
07-Apr-03 10.78 -0.47 -2.57
05-Apr-02 1.15 0.56 1.87
08-Jan-02 0.88 -0.93 -3.02
04-Oct-01 2.54 -1.66 -6.33
05-Apr-01 1.78 1.04 3.63
10-Jul-00 4.78 0.83 3.67
06-Apr-00 0.63 0.51 1.88

Intraday Alcoa Movement since Jan 2000 post earnings if stock price gaps down

here is how the Alcoa Inc  ( $AA) Stock  Price moved from Open to Close post earnings day ( assuming one is holding on to longs) , if the stock price gaps down

  • Winners 9
  • Losers 11
  • % Winners 45%
  • Average Change % -0.57
  • Median Change % -0.64
  • Maximum Gain % 3.86
  • Maximum Loss % -3.96
  • Average Gain %if Winner 1.19
  • Average Loss % if Loser -2.00
  • Average Gain % / Average Loss % 0.59
  • Average Absolute Change% 1.63
  • Profit Factor 0.71

Alcoa Stock Price Change during Intraday ( from Open till Close) post Earnings since Jan 2000 , if the Stock Gaps down

Date Gap % Close – Open % Change
10-Oct-12 -0.88 -0.34 -3.78
12-Oct-11 -3.56 0.12 1.23
12-Jul-11 -0.77 -0.08 -0.52
12-Apr-11 -4.84 -0.21 -1.27
11-Jan-11 -1.31 0.05 0.32
13-Apr-10 -1.91 0.04 0.29
12-Jan-10 -7.65 -0.58 -3.73
13-Jan-09 -3.07 -0.19 -2.08
09-Jul-07 -0.29 0.75 2.00
10-Jan-06 -6.75 0.96 3.86
11-Jan-05 -2.81 0.03 0.12
08-Oct-04 -1.1 -0.26 -0.91
08-Jul-04 -2.06 0.51 1.88
07-Apr-04 -2.21 -0.88 -2.93
09-Jan-04 -3.77 0.04 0.13
07-Oct-03 -1.1 0.20 0.86
09-Jul-03 -0.37 -0.20 -0.94
08-Jan-03 -9.33 -0.20 -1.11
04-Oct-02 -0.98 -0.64 -3.96
08-Jul-02 -1.89 -0.20 -0.76

ps: The Price data is adjusted for splits and dividends .