$QQQ monday momentum pattern on 19th jun 2017

$QQQ monday momentum pattern

$QQQ monday momentum trading pattern

with $QQQ , at the time of writing , trading at 140.45 , and posting best one day percentage gain in a month ,

below trading strategy rules ,

1) $QQQ posts best one day percentage gain in a month ( i.e 20 trading days) as on current trading at close

2) current trading day is monday

3) $QQQ close is above 200 DMA

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 21 15 71.4 0.53 0.32 0.85 -0.28 3.07 -0.89 3.74 2.63
t+2% 21 16 76.2 0.44 0.48 0.80 -0.73 1.10 -1.27 2.56 2.24
t+3% 21 12 57.1 0.18 0.23 1.18 -1.14 1.03 -2.65 1.38 0.63
t+4% 21 12 57.1 0.16 0.82 1.55 -1.69 0.92 -5.44 1.19 0.36
t+5% 21 17 81.0 0.89 0.95 1.43 -1.45 0.99 -2.16 3.12 2.81
t+10% 21 16 76.2 1.11 1.51 2.43 -3.12 0.78 -6.51 2.56 1.71
t+20% 21 17 81.0 1.76 2.29 2.90 -3.07 0.94 -7.49 5.44 2.60
1st +’ve in 5 days 21 20 95.2 0.68 0.49 0.82 -2.16 0.38 -2.16 3.55 3.02

20/21 times , since Y2K, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 68 bps 

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

below the historical $QQQ returns , over the next 1/2/3/4/5 trading days , when on monday posts , biggest one day percentage gainer in a month , during close > 200 dma , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
19-Jun-17 ~140.45 ?? ?? ?? ?? ?? ?? ??
24-Apr-17 133.80 0.72 0.58 1.19 1.36 2.27 0.72 1
17-Apr-17 131.12 -0.15 0.01 0.84 0.82 2.04 0.01 2
7-Nov-16 115.45 0.65 1.12 -0.52 -0.47 -1.48 0.65 1
24-Oct-16 118.65 -0.32 -1.00 -1.45 -2.07 -2.16 -2.16 5
12-Sep-16 115.14 -0.89 -0.42 1.13 1.08 0.64 1.13 3
13-Jul-15 107.23 0.66 0.77 2.19 3.70 4.05 0.66 1
20-Apr-15 105.08 0.43 0.98 1.36 2.73 2.47 0.43 1
16-Mar-15 103.97 0.16 1.14 1.29 1.95 1.75 0.16 1
12-May-14 85.22 0.07 -0.45 -1.24 -0.59 0.10 0.07 1
9-Sep-13 74.23 0.49 0.30 0.23 0.30 0.03 0.49 1
31-Dec-12 61.78 3.18 2.64 2.30 2.33 2.13 3.18 1
21-May-12 58.66 -0.11 0.08 -0.58 -0.70 0.56 0.08 2
3-Jan-11 51.34 -0.07 0.78 1.10 1.01 1.39 0.78 2
10-May-10 43.98 -0.10 1.78 0.17 -1.76 -1.44 1.78 2
5-Apr-10 44.75 0.29 0.04 0.27 0.86 0.95 0.29 1
18-May-09 31.37 0.47 0.12 -1.72 -2.04 1.61 0.47 1
31-Jan-05 33.76 0.32 0.48 -0.67 0.94 0.72 0.32 1
7-Jun-04 33.13 0.13 -1.27 -0.57 -1.97 -0.70 0.13 1
18-Aug-03 28.57 1.25 1.00 2.10 1.47 1.69 1.25 1
7-Jul-03 28.50 1.22 0.97 -0.91 -0.16 1.03 1.22 1
17-Apr-00 80.11 2.65 -0.49 -2.65 -5.44 0.94 2.65 1
  • highlighted in red were those instances when $QQQ failed to close higher in the next five days

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