When NUAN opens with 10% or more Gap Down

When NUAN opens with 10% or more Gap Down

with Nuance Communications, Inc. ($NUAN) set to open at 19.9 with a massive gap down opening of more than 14.5% , below we looked at where the NUAN stock closes from where it opened when ever it opens with a 10% or more gap down since Jan 2000

Below the 10% or more gap down openings on $NUAN , and how NUAN Stock fared from open to close.

As can be  seen in the table below

  • this is the 21st time when NUAN is opening with 10% or more gap down opening since Jan 2000
  • 14/21 (67%) times the NUAN Stock closed up from where it opened
  • the average change % from Open till Close is  6.6%
  • with out the outlier win of  62.67% ( on 4 Jan 2001) the average change % from open to close stands at 3.8%
  • the median change% from Open till Close is 1.96%
  • The average change% if the NUAN stock closes up from Open is  11.54 %
  • The average change% if the NUAN stock closes down from Open is -3.27 %

NUAN 10% or more gap down openings since Jan 2000

$NUAN 10% more Gap Down Openings since Jan 2000

odds favor to fade that gap down opening with a pay off ratio ( avg win % / avg  loss% ) at 3.53 !!

Major US Indices May Monthly Seasonality Since 1990.

Major US  Indices May Monthly Seasonality Since 1990.

Below the details of historical average returns of 26 Major US Indices during the month of May since 1990 , to get an idea about May Month Seasonality of various major indices.

We’ve also included the percentage of times that the Index had positive returns during the month of May , as a result, investors can get a good idea of which areas of the market May has been good.

As shown in the table below

  • CBOE Interest Rate 10-Year T-Note ( ^TNX) is the worst performing index by average % returns , with average May returns of -1.41% since 1990.
  •  PHLX Gold/Silver Sector (^XAU) is the best performing index with average returns of 3.57%. If you are looking to buy and invest in gold visit exoticland.net.

  •  PHLX Gold/Silver Sector (^XAU) has given positive returns 17/23 times in the month of May
  • INTERACTIVE WEEK INTERNET INDEX , ( ^IIX) ,  NASDAQ Computer ( ^IXK) ,  NASDAQ Telecommunications ( ^IXUT) ,  PHLX Semiconductor (^SOX) has given positive returns only for 47% of the times.

  • S&P 500 Index average returns in May month are 0.93% , with 15/23 ( 65%) times giving positive returns

Below the big table with May Month Seasonality of 26 Major Indices since 1990

26 Major Indices May Month Seasonality since 1990

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.

You might want to download ,Pay What You Want ,”S&P 500 Stocks and Major ETF May Month Seasonality” Excel Working 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.

Sell in May and Go Away- Data Torture

Sell in May and Go Away – Data Torture

With the annual “sell in May and go away” chatter is alive and kicking , we looked at various scenarios !!

Returns for any 6 month period 

below the table with the average returns and percent times positive for any 6 month period . as can be seen the period May-Oct scores worst in terms of average returns and percent times being positive. The average S&P 500 returns from May-Oct stands at 1.15% , against 4.2% for any 6 month period. S&P 500  had gained only 62% during the period from May-Oct as against 68% of the times for any 6 month period.

S&P 500 returns for 6 months holding period since 1950

Average S&P 500 Returns for any 6 month period since 1950

lets look at the data since 1990’s

Again the period from May-Oct fares worst with average returns of mere 0.94% as against the average of 3.97% for any 6 month period.

Average S&P 500 Returns for any 6 month period since 1990						the above calculations are done , for ex: for May-Oct period, the S&P 500 Index closing value at the end of the April till the end of the October are considered.

What if the S&P 500 returns are positive from the period Nov-Apr.

Again May-Oct scores 11 the worst with returns of 2.56% vs , 4.63% returns for any 6 month period , if the prior six months period , The data is from 1950 on S&P 500 Index .

Average S&P 500 Returns for any 6 month period since 1950 , if the prior 6 months returns are positve

What if the S&P 500 closes at 12 month high.

May-Oct , 6 month period is marginally better with average returns of 4% as against 4.32% returns for any 6 month holding period , if S&P 500 Index closes at 12 month high , at the end of previous month ( for May-Oct period , the April month closing value is considered , and the below sample contains only if the month end closing value is highest of 12 month period)

Average S&P 500 Returns for next 6 months since 1951 , if S&P closes at 12 month high

What if the S&P 500 closes above 10 month moving average .

May-Oct , 6 month period scores at the bottom of the table with average returns of 2.5%  against 4.72% returns for any 6 month holding period , if S&P 500 Index closes above 10 Month moving average. ( for May-Oct period , if the April closing value is above 10 month average value of monthly closes , then the above condition triggers)

Average S&P 500 Returns for next 6 months since 1951 , if S&P closes above 10 Month Moving Average

Few articles of interest around monthly seasonality from other Financial bloggers that we follow ( Mike from The Whole Street makes this job a lot easier )

You might want to download , Pay What You Want,S&P 500 Stocks and Major ETF May Month Seasonality” Excel Working 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.

When SINA opens with 10% or more Gap Up

When SINA opens with 10% or more Gap Up

with SINA Corp ($SINA) opening at 59.53 with a gap up opening of 18.35% , below we looked at where the SINA stock closes from  where it opened when ever it opens with a 10% or more gap up since the stock went to IPO

Below the 10% ore more gap up openings on $SINA , and how SINA  fared from open to close.

As can be  seen in the table below

  • this is the 18th instance where SINA is opening with 10% or more gap up opening.
  • 15/17 (83%) times the closed down from where it opened
  • the average change % from Open till Close is  -2.71%
  • the median change% from Open till Close is -3.65%
  • The average change% if the stock closes up from Open is  8.12 %
  • The average change% if the stock closes down from Open is -5.03 %

SINA 10% or more gap up openings since Apr 2000

SINA 10% or more Gap up Openings

 fade that 10% or more gap up opening of $SINA if you can tolerate a max loss of 10.54% like the one happened way back on 5th Jan 2001.

When Both SPY and VIX Falls on a Friday , What Next ?

When Both SPY and VIX Falls on a Friday , What Next ?

Normally it is un-usual for both Volatility S&P 500 Index (VIX) and S&P 500 Index to fall , as they tend to move in opposite directions. Heading into the weekend (on Firday’s) this becomes more unusual. We have tested the following trading pattern with below defined trading strategy  rules to check if there exists a tradable-edge when both “S&P 500 Index ( SPY) and  Volatility S&P 500 (VIX) index falls on on a Friday.

Here are the trading strategy rules we used

  • Today is Friday  &
  • S&P 500 Index ( SPY) falls &
  • Volatility S&P 500 Index (VIX) falls as well

below the trading odds  for a 1 Day holding period for S&P 500 Index , since Jan 1990.

Next day S&P 500 Index Trading Odds , when both SPY and VIX falls on  a Friday since Jan 1990.
Total Instances 175
Average Change -0.17
Average Change % -0.01
Median Change 0.75
Median Change % 0.11
% Times up 54.9
Average if Win 7.52
Average % if Win 0.76
Average if Loss -9.51
Average% if Loss -0.96
Average Win / Average Loss 0.79
Average Win % /Average Loss % 0.80

no major trading edge right ? lets look at how VIX fares the next day.

Next day Volatility S&P 500 Index Trading Odds , when both SPY and VIX falls on  a Friday since Jan 1990.
Total Instances 175
Average Change 0.64
Average Change % 3.58
Median Change 0.36
Median Change % 2.20
% Times up 70.9%
Average if Win 1.17
Average % if Win 6.25
Average if Loss -0.65
Average% if Loss -2.98
Average Win / Average Loss 1.80
Average Win % /Average Loss % 2.10

VIX on an average ( for all the instances) rises by 3.58% , and rises about 71% of times the next trading day , when ever“both SPY and VIX falls on a Friday”

below the last 25 instances table for the readers to replicate the above trading strategy.

Both SPY and VIX falls on a Friday , last 25 instances

Trade Idea : UVXY forms a Filled Full Gap Up

Trade Idea : UVXY forms a Filled Full Gap Up

UVXY forms a fulled full gap up chart

ProShares Ultra VIX Short-Term Fut ETF (UVXY)  Stock Fills the Full Gap Up opening trading strategy description.

  • UVXY Stock opens with a full gap up ( i.e current trading session open is greater than previous trading session high)
  • Stock price fills the Full Gap during the current trading session
  • Go Short at close
  • Buy to Cover at close next trading day

Full gap up has been “filled,” means todays open price > prev high & Today’s low < Prev High

Below the backtest performance summary for shorting the “UVXY  Stock Fills the Full Gap Up opening  ” trading strategy during the last four years.

Short UVXY  Stock when the Full Gap Up opening is filled Backtest Performance Summary
Total number of trades 35 Percent profitable 69%
Number of winning trades 24 Number of losing trades 11
Average profit per trade % 2.14 Median trade -2.88
Average winning trade % 6.93% Average losing trade % 8.32%
Largest winning trade % 23.11% Largest losing trade % 23.41%
Max consecutive winners 8 Max consecutive losers 4
Ratio avg win/avg loss % 0.83
Profit Factor 7.13 Outlier Adjusted Profit Factor 5.2

Below the details of next day change , change % of UVXY stock price , when UVXY  Stock Fills the Full Gap Up opening , during  last 4 years.

UVXY  Stock price next day change , change % , when UVXY Stock Fills the full gap up opening during last four years
Date Next Day Change Next Day Change %
26-Apr-13 ?? ??
12-Apr-13 1.47 23.41
05-Apr-13 -0.41 -5.42
27-Mar-13 -0.05 -0.65
18-Mar-13 0 0
01-Mar-13 -1.2 -10.66
31-Jan-13 -1.21 -10.21
29-Jan-13 1.34 12.82
31-Dec-12 -4.83 -23.11
04-Dec-12 -0.66 -3.13
28-Nov-12 -0.56 -2.88
09-Nov-12 -4.1 -12.93
08-Oct-12 2.36 8.29
20-Sep-12 -0.49 -1.65
17-Sep-12 -1.66 -5.16
28-Aug-12 0.5 0.92
22-Aug-12 2.3 4.28
02-Aug-12 -9.2 -13.26
31-Jul-12 -2.9 -3.84
06-Jul-12 -2 -2.33
28-Jun-12 -15.2 -13.38
01-Jun-12 -18.7 -7.97
31-May-12 34.5 17.23
15-May-12 12.3 6.76
11-May-12 17.3 11.67
07-May-12 2.7 1.92
10-Apr-12 -10.2 -4.76
04-Apr-12 6.6 4.2
27-Feb-12 -7.8 -2.23
16-Feb-12 -4.8 -1.2
11-Jan-12 -14.4 -2.6
04-Jan-12 -28.81 -4.59
08-Dec-11 -157.23 -13.86
25-Nov-11 -139.23 -9.53
21-Nov-11 -57.01 -4.18
17-Nov-11 -97.82 -6.85

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

Trade Idea : FCX Stock Chaikin Money Flow Indicator Turns Negative and RSI is Below 45

FCX Stock Chaikin Money Flow Indicator Turns Negative and RSI is Below 45

FCX Stock Chaikin Money Flow Indicator Turns Negative and RSI is Below 45 Chart

Freeport-McMoRan Copper & Gold Inc (FCX)  Stock Chaikin Money Flow Indicator Turns Negative and RSI is Below 45 trading strategy description.

  • FCX Stock price  Chaikin Money Flow Turns Negative
  • While the CMF indicator was positive positive during the previous trading day
  • RSI Indicator below 45
  • Go Short at close
  • Buy to Cover at close next trading day

The CMF period used is 21. The RSI period used is 14

Below the backtest performance summary for shorting the “FCX  Stock Chaikin Money Flow Indicator Turns Negative and RSI is Below 45 ” trading strategy during the last four years.

Short FCX  Stock , while Chaikin Money Flow Indicator Turns Negative and RSI is Below 45 Backtest Performance Summary
Total number of trades 18 Percent profitable 78%
Number of winning trades 14 Number of losing trades 4
Average profit per trade % 2.1 Median trade -1.31
Average winning trade % 2.93% Average losing trade % 0.78%
Largest winning trade % 9.70% Largest losing trade % 1.97%
Max consecutive winners 8 Max consecutive losers 1
Ratio avg win/avg loss % 3.76
Profit Factor 15.59 Outlier Adjusted Profit Factor 12.01

Below the details of next day change , change % of FCX stock price , when FCX  Chaikin Money Flow Indicator Turns Negative and RSI is Below 45  , during  last 4 years.

FCX  Stock price next day change , change % , when Chaikin Money Flow Indicator Turns Negative and RSI is Below 45 during last four years
Date Next Day Change Next day Change %
25-Apr-13 ?? ??
15-Apr-13 -0.02 -0.07
02-Apr-13 -0.37 -1.16
25-Mar-13 0.21 0.64
05-Dec-12 -1.34 -4.2
25-Jun-12 0.01 0.03
11-May-12 -0.43 -1.27
14-Feb-12 -0.54 -1.3
21-Sep-11 -3.29 -9.7
08-Sep-11 -2.18 -5.17
02-Aug-11 -0.75 -1.53
13-Apr-11 -0.36 -0.73
03-Mar-11 -0.64 -1.31
03-Jun-10 -1.53 -5.09
27-Apr-10 0.16 0.46
21-Jan-10 -0.93 -2.69
07-Dec-09 -1.09 -3.06
01-Sep-09 0.54 1.97
16-Jun-09 -0.87 -3.67

use Quant-Ideas tab to find trade-ideas for next trading day , by filtering %profitable trades , average win trade % , Profit Factor etc.

Trade Idea : XHB Chaikin Money Flow crossed above 0.2

Trade Idea : XHB Chaikin Money Flow crossed above 0.2

XHB Chaikin Money Flow Indicator crossed above 0.2 stock Chart

SPDR S&P Home builders (XHB)  Stock Price  Chaikin Money Flow Indicator Crossed above 0.2 trading strategy description.

  •  XHB Stock price  Chaikin Money Flow Indicator crossed above 0.2
  • While Chaikin Money Flow crossed is below during the previous trading session.
  • Go Long at close
  • Exit at close next trading day

The period used is 21 to calculate the Chaikin Money Flow Indicator

Below the backtest performance summary for the ” XHB Stock Price Chaikin Money Flow Indicator Crossed above 0.2″ trading strategy during the last four years.

XHB Stock Price Chaikin Money Flow Indicator Crossed above 0.2 Backtest Performance Summary
Total number of trades 24 Percent profitable 75%
Number of winning trades 18 Number of losing trades 6
Average profit per trade % 1.17 Median trade 0.93
Average winning trade % 1.68% Average losing trade % -0.35%
Largest winning trade % 4.16% Largest losing trade % 0.92%
Max consecutive winners 8 Max consecutive losers 1
Ratio avg win/avg loss % 4.8
Profit Factor 12.13 Outlier Adjusted Profit Factor 10.71

Below the details of next day change , change % of XHB stock price , when XHB Stock Price Chaikin Money Flow Indicator Crossed above 0.2, since last 4 years.

XHB Stock Price Chaikin Money Flow Indicator Crossed above 0.2 , Next Day Change , Change% details
Date Next Day Change Next Day Change %
24-Apr-13 ?? ??
26-Mar-13 0.17 0.57
11-Jan-13 -0.11 -0.4
20-Sep-12 0.25 0.98
13-Sep-12 0.57 2.26
30-Aug-12 0.29 1.25
19-Jul-12 -0.08 -0.37
03-Jul-12 0.24 1.12
19-Jun-12 -0.19 -0.92
02-Apr-12 0 0
26-Mar-12 0.18 0.85
01-Feb-12 0.2 1.05
17-Jan-12 0.64 3.51
26-Oct-11 0.59 3.66
21-Oct-11 0.45 2.85
27-Apr-11 0.05 0.27
19-Apr-11 0.2 1.1
14-Jan-11 -0.05 -0.28
09-Dec-10 0.13 0.79
02-Dec-10 0.14 0.87
20-Apr-10 0.42 2.41
23-Feb-10 -0.02 -0.13
06-Jan-10 0.62 4.16
24-Jul-09 0.3 2.31
04-May-09 0.02 0.15

Apple Earnings Day Historical Stock Performance

Apple Earnings Day Historical Stock Performance

With Apple ($AAPL) releasing  Q2 earnings After Markets Close Yesterday  we looked at how the $AAPL stock reacts to post earnings announcement since Jan 2000.

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

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

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

  • Winners : 31
  • Losers : 22
  • % Winners : 58%
  • Average Change % : 0.92
  • Median Change % : 1.50
  • Maximum Gain % : 12.68
  • Maximum Loss % : -13.26
  • Average Gain %if Winner : 5.26
  • Average Loss % if Loser : -5.19
  • Average Gain % / Average Loss % : 1.01
  • Average Absolute Change% : 5.23

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

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

  • Winners : 21
  • Losers : 32
  • % Winners : 40%
  • Average Change % : -0.20
  • Median Change % : -0.51
  • Maximum Gain % : 8.74
  • Maximum Loss % : -4.57
  • Average Gain %if Winner : 2.25
  • Average Loss % if Loser : -1.93
  • Average Gain % / Average Loss % : 1.17
  • Average Absolute Change% : 1.98

Intra-day Apple Stock Price Historical Movement since Jan 2000 post earnings if AAPL stock price gaps down

if  $AAPL  stock price gaps down after earnings reporting, that is earnings reporting day open is price less than the previous trading day’s closing price , below the backtest performance summary for the longs

  • Winners : 12
  • Losers : 19
  • % Winners : 39%
  • Average Change % : -0.28
  • Median Change % : -0.51
  • Maximum Gain % : 4.90
  • Maximum Loss % : -4.44
  • Average Gain %if Winner : 1.87
  • Average Loss % if Loser : -1.83
  • Average Gain % / Average Loss % : 1.02
  • Average Absolute Change% : 1.76

Intra-day Apple Stock Price Historical Movement since Jan 2000 post earnings if AAPL stock price gaps up

if  $AAPL  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 : 9
  • Losers : 13
  • % Winners : 41%
  • Average Change % : -0.09
  • Median Change % : -0.50
  • Maximum Gain % : 8.74
  • Maximum Loss % : -4.57
  • Average Gain %if Winner : 2.75
  • Average Loss % if Loser : -2.05
  • Average Gain % / Average Loss % : 1.34
  • Average Absolute Change% : 2.35

Full day $AAPL stock price movement ( change from previous close to earnings day’s close) since Jan 2000 on earnings reporting day 

here is how the Apple stock price moved on the day after earnings are reported ( if earnings are reported AMC) otherwise the change on the earnings reporting day’s are considered , for the earnings announcements Before Market Open , the same day as earnings reporting day is considered.

ps: assuming one is holding on to longs

  • Winners : 31
  • Losers : 22
  • % Winners : 58%
  • Average Change % : 0.70
  • Median Change % : 1.38
  • Maximum Gain % : 12.82
  • Maximum Loss % : -17.22
  • Average Gain %if Winner : 5.21
  • Average Loss % if Loser : -5.65
  • Average Gain % / Average Loss % : 0.92
  • Average Absolute Change% : 5.39

Historical Apple Stock Price Movements on Earnings day since Jan 2000

Below the table with historical stock price movements on Apple earnings reporting day since Jan 2000

Apple Inc 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 earnings data is from earnings.com

pps: Average e 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

Trade Idea : GOOG Aroon Oscillator Turned Positive

Trade Idea : GOOG Aroon Oscillator Turned Positive


Google Aroon Oscillator Turned PositiveGoogle Stock Price Aroon Oscillator Turns Positive trading strategy description.

  • GOOG Stock price  Aroon Oscillator turns positive during the current trading session
  • while yesterday’s Aroon Oscillator reading is less than zero
  • Go Long at close
  • Exit at close next trading day

The period used is 14 for Aroon Oscillator.  Aroon Oscillator is arrived at subtracting Aroon down from Aroon up.

Below the backtest performance summary for the “Google Stock Price Aroon Oscillator Turns positive ” trading strategy during the last four years.

Google Stock Price Aroon Oscillator Turns positive  Backtest Performance Summary
Total number of trades 30 Percent profitable 80%
Number of winning trades 24 Number of losing trades 6
Average profit per trade % 0.78 Median trade 0.81
Average winning trade % 1.09% Average losing trade % -0.46%
Largest winning trade % 2.74% Largest losing trade % 0.93%
Max consecutive winners 9 Max consecutive losers 2
Ratio avg win/avg loss % 2.37
Profit Factor 8.7 Outlier Adjusted Profit Factor 7.91

Below the details of next day change , change % , when Google Stock Price Aroon Oscillator Turns positive, since last 4 years.

Google Stock Price Aroon Oscillator Turns positive , Next day Chage , Change % details
23-Apr-13 ?? ??
23-Jan-13 12.71 1.71
28-Nov-12 8.22 1.2
02-Jul-12 7.36 1.27
16-May-12 -5.88 -0.93
07-May-12 5.24 0.86
16-Mar-12 8.94 1.43
09-Feb-12 -5.55 -0.91
27-Dec-11 -0.55 -0.09
02-Dec-11 5.29 0.85
12-Oct-11 10.49 1.91
16-Sep-11 -0.01 0
07-Sep-11 0.93 0.17
01-Jul-11 11.41 2.19
09-May-11 4.98 0.93
30-Mar-11 4.92 0.85
11-Feb-11 3.65 0.58
13-Dec-10 0.29 0.05
10-Sep-10 6.13 1.29
14-Jul-10 2.68 0.55
09-Jun-10 12.99 2.74
25-May-10 -1.6 -0.34
05-Apr-10 -2.79 -0.49
03-Mar-10 9.27 1.7
19-Feb-10 2.04 0.38
09-Nov-09 4.25 0.76
14-Sep-09 2.42 0.51
21-Aug-09 3.49 0.75
15-Jul-09 4.43 1.01
02-Jul-09 1.12 0.27
29-May-09 9.33 2.24

use Quant-Ideas to find the short term trading ideas as per % win trades , Avg Win % and Profit factor.