$QQQ trade-idea with 45/46 wins since Y2K

$QQQ trade-idea with 45/46 wins

$QQQ trade idea

with $QQQ , posting a 1 standard deviation ( 20) down move on monday , as on 3rd July 2017 , after posting one such move on last thursday , as on 29th Jun 2017,

below the trading strategy rules

  1. current trading day is monday
  2. $QQQ posted more than 1 standard deviation ( 20) down move , calculated on daily percent changes , over the last 20 trading days , including current trading day
  3. $QQQ posted atleast one more 1 std(20) down move over the last two trading day’s as well

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 46 27 58.7 0.70 0.30 1.92 -1.03 1.86 -6.34 1.83 2.14
t+2 46 32 69.6 1.16 1.12 2.40 -1.66 1.45 -7.10 2.51 2.79
t+3 46 37 80.4 1.85 1.18 2.74 -1.80 1.53 -9.58 5.96 3.74
t+4 46 36 78.3 1.81 1.12 2.88 -2.06 1.40 -10.18 4.71 3.48
t+5 46 35 76.1 2.04 1.60 3.28 -1.87 1.75 -6.31 3.97 4.02
t+10 46 35 76.1 3.73 2.80 5.71 -2.58 2.22 -5.12 4.84 4.56
t+20 46 32 69.6 2.45 3.39 5.97 -5.62 1.06 -15.36 2.04 2.33
1st +’ve exit in 5 days % 46 45 97.8 1.71 0.86 1.81 -2.63 0.69 -2.63 20.41 5.53

 

45/46 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 171 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 , down by 1 stdev(20) and posts atleast one more 1 stdev(20) over the last 2 trading days , , since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
3-Jul-17 136.19 ?? ?? ?? ?? ?? ?? ??
14-Nov-16 113.74 1.39 2.00 2.73 2.35 3.41 1.39 1
27-Jun-16 101.18 2.18 4.00 5.20 5.73 5.08 2.18 1
13-Jun-16 106.64 0.00 -0.28 0.01 -1.16 -0.53 0.01 3
24-Aug-15 96.38 -0.37 4.64 7.29 7.27 5.95 4.64 2
29-Jun-15 104.44 0.35 1.15 1.18 0.94 1.20 0.35 1
8-Jun-15 105.66 -0.16 1.20 1.35 0.52 0.02 1.20 2
5-Jan-15 98.83 -1.34 -0.07 1.84 1.17 0.12 1.84 3
15-Dec-14 98.64 -1.60 0.18 2.60 3.05 3.30 0.18 2
13-Oct-14 90.24 0.01 -0.63 -1.25 0.04 1.54 0.01 1
15-Sep-14 95.41 0.88 1.03 1.79 1.73 0.78 0.88 1
24-Mar-14 85.21 0.33 -0.96 -1.53 -1.33 -0.62 0.33 1
27-Jan-14 82.44 -0.06 -1.13 0.69 0.42 -1.88 0.69 3
7-Oct-13 75.33 -1.94 -2.24 -0.17 0.61 1.33 0.61 4
24-Jun-13 66.51 0.72 1.62 2.06 2.21 2.84 0.72 1
25-Feb-13 62.90 0.38 1.40 1.19 1.61 2.07 0.38 1
23-Jul-12 59.69 -0.79 -1.44 -0.13 2.23 2.14 2.23 4
25-Jun-12 58.44 0.63 1.25 0.12 3.27 3.58 0.63 1
16-Apr-12 61.42 2.04 1.77 0.63 0.36 -0.55 2.04 1
9-Apr-12 63.08 -1.62 -1.14 0.00 -1.52 -2.63 -2.63 5
21-Nov-11 50.72 0.32 -1.93 -2.70 0.69 0.06 0.32 1
3-Oct-11 47.73 2.05 4.67 6.43 5.72 9.39 2.05 1
8-Aug-11 47.13 4.82 0.53 4.96 5.90 7.45 4.82 1
23-May-11 52.91 -0.62 -0.23 0.38 0.89 2.53 0.38 3
16-May-11 53.35 0.28 1.12 1.42 0.66 -0.82 0.28 1
17-Aug-09 35.30 1.42 2.12 3.31 4.70 4.59 1.42 1
9-Mar-09 23.54 6.20 7.82 11.38 11.68 9.81 6.20 1
2-Mar-09 24.36 -0.04 2.63 -0.45 -1.27 -3.37 2.63 2
6-Oct-08 31.84 -6.34 -7.10 -9.58 -10.18 0.75 0.75 5
17-Mar-08 37.80 4.47 1.88 3.97 7.57 8.17 4.47 1
10-Mar-08 37.60 3.80 3.51 4.31 2.39 0.53 3.80 1
12-Nov-07 44.36 4.13 2.80 2.23 3.18 1.98 4.13 1
22-Jan-07 39.70 -0.25 1.39 0.08 -0.28 -0.20 1.39 2
1-May-06 37.56 0.27 0.13 0.93 1.73 1.84 0.27 1
19-Dec-05 37.06 0.08 0.51 1.19 1.19 0.30 0.08 1
8-Aug-05 35.41 0.68 -0.20 0.62 0.06 0.68 0.68 1
24-Jan-05 32.98 0.49 1.70 1.55 1.06 2.37 0.49 1
14-Jun-04 32.48 1.29 1.11 0.18 0.31 -0.49 1.29 1
22-Mar-04 30.68 -0.81 0.33 3.00 2.64 4.30 0.33 2
23-Feb-04 32.59 -0.25 0.37 0.61 0.34 1.66 0.37 2
23-Jun-03 26.73 -0.75 -1.27 1.05 -0.26 0.15 1.05 3
11-Nov-02 21.73 2.53 3.77 7.36 8.74 7.13 2.53 1
5-Aug-02 19.16 4.96 6.37 9.97 8.82 9.13 4.96 1
6-May-02 25.89 -0.93 9.69 6.84 2.05 6.18 9.69 2
12-Mar-01 37.81 5.08 3.41 -0.37 -2.62 2.27 5.08 1
20-Nov-00 62.44 -0.16 -4.63 0.83 -0.42 -6.31 0.83 3
11-Sep-00 82.96 -1.55 0.74 0.19 -1.62 -3.17 0.74 2

highlighted in red is the only one time when $QQQ was not able to close higher over the next 5 trading days , from 9th Apr 2012 

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