$SPY and rule #34

$SPY and rule #34

rule #34

 

ps: DO NOT search for images or anything on internet with “rule 34″ , it is NSFW !

below the trading strategy rules ,

  • current trading day is 34th for the year

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 24 3 12.5 -0.72 -0.46 0.67 -0.91 0.73 -3.58 0.05
t+2 24 10 41.7 -0.35 -0.26 0.40 -0.89 0.45 -2.61 0.23
t+3 24 13 54.2 -0.20 0.12 0.60 -1.14 0.52 -2.74 0.44
t+4 24 14 58.3 -0.32 0.07 0.69 -1.73 0.40 -4.44 0.40
t+5 24 13 54.2 -0.33 0.05 0.63 -1.47 0.43 -4.51 0.44
1st +’ve exit in 5 days % 24 20 83.3 0.03 0.38 0.48 -2.22 0.21 -3.46 0.86
1st -‘ve exit in 5 days % 24 24 100.0 0.85 -0.60 -0.85 INF INF INF

24/24 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 85 bps and a median of 60 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 20th Feb 2018 close ) , or at the end of the 5th trading day at close

below the historical returns of $SPY from 34th trading day of the year , sine 1994

Date Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % #days to 1st -‘ve cls
20-Feb-18 271.40 ?? ?? ?? ?? ?? ?? ??
21-Feb-17 231.99 -0.09 -0.02 0.11 0.26 -0.01 -0.09 1
22-Feb-16 187.05 -1.26 -0.81 0.39 0.16 -0.63 -1.26 1
20-Feb-15 198.72 -0.01 0.27 0.18 0.07 -0.27 -0.01 1
20-Feb-14 169.87 -0.11 0.44 0.40 0.41 0.93 -0.11 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 -0.61 1
21-Feb-12 120.75 -0.32 0.12 0.34 0.51 0.80 -0.32 1
18-Feb-11 116.60 -2.01 -2.61 -2.68 -1.64 -1.03 -2.01 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 -1.21 1
20-Feb-09 64.31 -3.58 0.08 -0.71 -2.32 -4.51 -3.58 1
20-Feb-08 110.28 -0.83 -0.22 1.04 1.80 1.69 -0.83 1
21-Feb-07 116.30 -0.08 -0.47 -0.55 -4.44 -3.46 -0.08 1
21-Feb-06 100.51 0.61 0.46 0.72 0.75 -0.20 -0.20 5
18-Feb-05 92.54 -1.49 -0.78 -0.12 0.86 0.20 -1.49 1
20-Feb-04 86.64 -0.25 -0.43 -0.01 0.05 0.12 -0.25 1
20-Feb-03 62.58 1.01 -0.63 0.17 -1.29 0.01 -0.63 2
20-Feb-02 80.80 -2.07 -0.86 0.78 0.57 0.96 -2.07 1
20-Feb-01 92.61 -2.16 -2.01 -2.67 -0.60 -1.52 -2.16 1
18-Feb-00 96.57 -0.25 0.92 -1.11 -1.47 0.60 -0.25 1
22-Feb-99 90.07 -0.05 -1.81 -2.74 -3.14 -2.87 -0.05 1
20-Feb-98 72.26 0.39 -0.39 0.84 1.42 1.42 -0.39 2
19-Feb-97 55.83 -1.21 -1.17 0.00 0.08 -0.90 -1.21 1
16-Feb-96 43.71 -0.99 0.24 1.83 1.54 0.10 -0.99 1
17-Feb-95 31.88 -0.03 0.71 0.87 1.13 0.32 -0.03 1
17-Feb-94 30.22 -0.60 0.40 0.13 -1.19 -0.73 -0.60 1

 

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