Coca-Cola Earnings Day Historical Stock Performance

Coca-Cola Earnings Day Historical Stock Performance

With Coca-Cola ( KO) set to report Q1 earnings Before Market Open, we looked at how the $KO stock reacts to post earnings announcement since Jan 2000.

Over Night Gap Movement for Coca-Cola before earnings are reported since Jan 2000

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

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

  • Winners : 32
  • Losers : 21
  • % Winners : 60%
  • Average Change % : 0.48
  • Median Change % : 0.42
  • Maximum Gain % : 7.08
  • Maximum Loss % : -4.75
  • Average Gain %if Winner : 1.59
  • Average Loss % if Loser : -1.34
  • Average Gain % / Average Loss % : 1.18

Coca-Cola Stock Price Intra-day Movement post earnings since Jan 2000

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

  • Winners : 25
  • Losers : 28
  • % Winners : 47%
  • Average Change % : -0.33
  • Median Change % : -0.47
  • Maximum Gain % : 4.11
  • Maximum Loss % : -5.59
  • Average Gain %if Winner : 1.31
  • Average Loss % if Loser : -1.80
  • Average Gain % / Average Loss % : 0.73

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

if Coca-Cola stock price gaps up after earnings reporting, ( that is earnings reporting day open is price greater than the previous trading day’s closing price) , below the backtest performance summary for the longs

  • Winners : 16
  • Losers : 16
  • % Winners : 50%
  • Average Change % : -0.03
  • Median Change % : -0.01
  • Maximum Gain % : 4.11
  • Maximum Loss % : -5.59
  • Average Gain %if Winner : 1.56
  • Average Loss % if Loser : -1.61
  • Average Gain % / Average Loss % : 0.97


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

here is how the Coca-Cola 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 : 7
  • Losers : 12
  • % Winners : 37%
  • Average Change % : -0.91
  • Median Change % : -1.34
  • Maximum Gain % : 2.86
  • Maximum Loss % : -5.58
  • Average Gain %if Winner : 1.06
  • Average Loss % if Loser : -2.06
  • Average Gain % / Average Loss % : 0.51

Historical Coca-Cola Stock Price Movements on Earnings day since Jan 2000

Below the table with historical stock price movements on Coca-Cola earnings reporting day since Jan 2000.

Coca-Cola Earnings Day Stock Price Movements since Jan 2000

  • 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 price data is adjusted for splits and dividends.

pps: for AMC earnings on , 21-Oct-04 and 22-Jul-04 the next day open is considered

Conclusion : no major trading edges on Coca-Cola earnings reporting day , apart from , if the stock price gaps down the shorts had come in to the money historically , 63% of the times , with an average gains of 0.91%

20 largest VIX spikes and next day VIX and S&P 500 Index returns

20 largest VIX spikes

with Volatility S&P 500 index ( VIX ) spiking by 43.2% at close as on 15 Apr 2013 , which is the fifth largest one day jump, we looked how VIX  index and the S&P 500 index fares the next day during the previous 20 largest one day jumps.

Below the table with 20 previous largest one day VIX spikes and the next day returns. As can be seen in the table below, VIX has fallen 75% (15/20) of the times next day , with the average fall standing at -6.06% , while the median fall stands at -8.86%. Also worth noting in those 20 largest falls , twice the volatility index followed with another 20% spike on 6th May 2010, and on 3rd Aug 1990.

20 Largest VIX spikes and subsequent VIX returns

20 Largest VIX Jumps since 1990

20 Largest VIX spikes and subsequent S&P 500 Index returns

Below the table with the next day S&P 500 Index returns. As can be seen in the table below, S&P 500 Index has risen 70% ( 14/20) of the times the next day, with the average gain standing at 9.2 points or 0.8%. The median next day change is 5.31 points or 0.63%. Do note that in those 20 largest VIX falls , twice S&P 500 index followed with another 1.5% ++ losses as on 6th May 2010, and on 3rd Aug 1990.

20 Largest VIX Jumps since 1990 and S&P 500 returns next day

h/t @ Ryan Detric and from the post here at stock twits : Today was the largest $VIX move ever (+43%) on an $SPY drop b/t -2.5% and -2.0%. Whoa; http://stks.co/jRYe

tickalert

SPY the day after Tax Day

SPY historical performance the day after Tax Day

Tax Day Cartoon

 

SPY historical performance the next day after Tax Day, trading strategy rules

  • today is Tax Day
  • Go long on SPY at close
  • Exit the next trading day

Below the backtest performance summary of  “buying SPY on the Tax Day and exiting next trading day “  trading strategy since SPDR S&P 500 (SPY) started trading

Long $SPY on Tax Day and exit the next trading day since 1993, backtest report

Below the previous instances of SPY , next day change , change% after Tax day , since 1993 ( when SPY started trading)

SPY returns the day after Tax Day
Date Next Day Change Change%
15-Apr-13 ?? ??
17-Apr-12 -0.46 -0.34
18-Apr-11 0.72 0.58
15-Apr-10 -1.82 -1.6
15-Apr-09 1.15 1.46
15-Apr-08 3.24 2.71
17-Apr-07 0.16 0.12
17-Apr-06 1.76 1.58
15-Apr-05 0.3 0.31
15-Apr-04 0.72 0.77
15-Apr-03 -1.26 -1.71
15-Apr-02 2.12 2.38
16-Apr-01 1.32 1.41
17-Apr-00 2.93 2.64
15-Apr-99 -0.88 -0.85
15-Apr-98 -1.01 -1.17
15-Apr-97 0.66 1.15
15-Apr-96 0.15 0.31
17-Apr-95 -0.13 -0.35
15-Apr-94 -0.2 -0.63
15-Apr-93 0 0

GLD posts two unfilled gap downs in row,what next ?

When GLD posts two unfilled gap downs in row

 

GLD two unfilled gap downs in row

GLD posts two unfilled gap downs in row trading strategy rules 

  • GLD current intra-day high is less than previous trading day’s intra-day low for two days in row
  • Historical trading bias : Short (  historical trading bias is arrived at looking at the outlier adjusted profit factor by flipping which ever was profitable in the historical look back period)
  • Buy to cover during next day’s trading session close

Below the backtest performance summary of  “GLD posts two unfilled gap downs”  trading strategy since SPDR Gold Shares (GLD) stared trading

Short when GLD posts two unfullied gap downs since 2005, backtest report

Below the previous instances of GLD posting two unfilled full gap downs in row , and the next day change , change % details

GLD back to back unfilled full gap downs since 2005
Date Next Day Change Change%
15-Apr-13 ?? ??
25-Jan-13 -0.22 -0.36
4-Jan-13 -0.63 -1.01
14-May-12 -1.05 -1.59
3-May-12 0.31 0.5
28-Dec-11 -0.46 -0.69
23-Sep-11 -1.39 -2.22
19-Jul-10 0.79 0.92
6-Jul-09 -0.06 -0.05
15-Jun-09 0.91 0.83
22-Oct-08 -1.48 -1.06
20-Mar-08 0.21 0.19
11-Sep-06 -0.31 -0.18
8-Sep-06 -3.53 -2.14
19-Oct-05 -0.78 -0.36
3-May-05 0.33 0.14
4-Apr-05 0.12 0.05

10 largest GLD gap down openings

10 largest GLD gap down openings

Ten Largest Gold Gap Down Openings

with SPDR Gold Shares ($GLD) trading down at 136.27 and down by 5.34% ( at the time of writing)  , assuming if GLD opens there , that would be the largest GLD gap down opening since GLD started trading.

Below the 10 largest gap down openings on $GLD , and how GLD fared from open to close. as can be  seen in the table below , 7/10 times it closed above from where it opened, but nothing to cheer about , as the other 3 times when it lost , it lost big . The average change % from open to close stands at -0.11%

SPDR Gold Shares (GLD) 10 largest gap down openings

 

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

go here to find short term trade ideas where in user can filter as per winning percentage , profit factor etc.

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 .