$SPY ahead of #fedday during #midmonth

$SPY ahead of #fedday during #midmonth

$SPY into #fedday during mid month , since Y2K

as on 13th JUn 2017 , with $spy heading into #fedday , below trading strategy rules

  1. tomorrow / next trading day is #fedday
  2. current trading day is either 9/10/11 th trading day of the month

below the trading odds for $SPY 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% 23 19 82.6 0.92 0.58 1.23 -0.58 2.11 -1.15 5.64 3.21
t+2% 23 14 60.9 0.45 0.67 1.53 -1.22 1.25 -2.98 1.39 1.27
t+3% 23 14 60.9 0.53 0.37 1.54 -1.04 1.49 -1.86 1.43 1.65
t+4% 23 14 60.9 0.67 0.38 1.96 -1.35 1.46 -3.19 1.36 1.46
t+5% 23 13 56.5 0.39 0.20 1.67 -1.27 1.32 -3.59 1.04 0.89
t+10% 23 12 52.2 0.17 1.04 2.31 -2.18 1.06 -6.72 0.77 0.28
t+20% 23 15 65.2 0.26 1.59 2.68 -4.27 0.63 -15.12 0.88 0.28
1st +’ve in 5 days% 23 21 91.3 0.91 0.58 1.13 -1.40 0.81 -2.78 4.17 2.99

21/23 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 91 bps

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

below the prior performance of $SPY ahead of fed day , when the prior day is either 9/10/11’th trading day of the month ,since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
13-Jun-17 244.53 ?? ?? ?? ?? ?? ?? ??
14-Mar-17 235.87 0.87 0.67 0.49 0.38 -0.91 0.87 1
13-Dec-16 225.44 -0.83 -0.42 -0.61 -0.40 -0.01 -0.01 5
14-Jun-16 203.83 -0.14 0.16 -0.21 0.43 0.71 0.16 2
15-Mar-16 197.06 0.58 1.22 1.61 1.76 1.70 0.58 1
15-Dec-15 198.67 1.46 -0.08 -1.86 -1.05 -0.16 1.46 1
16-Sep-15 192.97 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 5
16-Sep-14 189.53 0.13 0.67 0.58 -0.20 -0.77 0.13 1
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
14-Mar-11 114.42 -1.15 -2.98 -1.69 -1.33 0.20 0.20 5
13-Dec-10 109.02 0.09 -0.37 0.21 0.32 0.56 0.09 1
15-Mar-10 99.65 0.80 1.39 1.34 0.83 1.37 0.80 1
15-Dec-09 95.57 0.15 -1.05 -0.49 0.52 0.88 0.15 1
15-Dec-08 73.41 4.71 3.69 1.75 1.32 0.02 4.71 1
15-Sep-08 99.88 1.67 -2.90 -0.02 3.95 1.60 1.67 1
17-Mar-08 105.66 4.15 1.57 3.46 5.52 5.63 4.15 1
17-Sep-07 120.75 2.94 3.55 2.82 3.10 2.91 2.94 1
13-Dec-04 93.47 0.35 0.42 0.37 -0.30 -0.28 0.35 1
15-Mar-04 85.12 0.53 1.65 1.68 0.22 -1.05 0.53 1
15-Sep-03 77.49 1.46 1.26 2.46 1.94 0.84 1.46 1
17-Mar-03 65.36 0.59 1.36 1.58 3.75 0.30 0.59 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
14-Nov-00 101.54 0.31 -1.26 -1.79 -3.19 -2.70 0.31 1
15-May-00 105.52 0.97 -0.09 -1.31 -2.86 -3.59 0.97 1
  • highlighted in red were those 2 losses when $SPY failed to close higher in the next five days

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