$SPY closes at 250 day high with less than half monthly volume – mildly bearish

$SPY closes at 250 day high with less than half monthly volume

not exactly the 2013 lows as that was on 12th Feb 2013, but anyway with those twitter conversations , below the mildly bearish trading study that triggered as on Monday close

here are the trading strategy rules

  • $SPY closes at 250 day high
  • today’s volume is less than half the average 20 day volume ( 20 average day volume is calculated , by including the current day’s volume as well)
  • go short at close ( mind you finding trading strategies that point to bearish edges are little difficult to find , and shorting is bit risky too !!)
  • buy to cover two trading days later

below the backtest performance summary of  “go short and exit two days later on $SPY, when $SPY closes at 250 day high with less than 0.5X avg monthly volume ” since 1994

when $SPY closes at 250 day high with less than 0.5X avg monthly volume , since 1994

below the historical trade details generated by the “go short and exit two days later on $SPY, when $SPY closes at 250 day high with less than 0.5X avg monthly volume ” , since 1994

Date Volume $SPY Close Vol/Avg monthly Volume Change after 2 days Change%
15-Jul-13 69401200 168.15 0.46
29-Dec-10 58033100 119.49 0.45 -0.16 -0.1339
28-Dec-10 55309100 119.41 0.41 -0.11 -0.09212
24-Dec-09 39677500 104.68 0.28 0.08 0.076423
09-May-06 29864000 114.01 0.46 -1.43 -1.25428
25-Nov-05 15270000 108.29 0.26 -0.89 -0.82187
28-Nov-03 10507500 87.48 0.32 0.72 0.823045
16-Jul-99 2281500 110.28 0.37 -2.97 -2.69314
09-Jul-99 2976800 109.27 0.41 -0.87 -0.79619
07-Jul-99 3230700 108.54 0.43 0.73 0.672563
18-Mar-99 3506300 102.3 0.49 -1.51 -1.47605
10-Mar-99 3950000 99.94 0.48 0.14 0.140084
20-Jul-98 2338400 91.13 0.44 -1.58 -1.73379
18-Mar-98 1944100 83.23 0.50 0.96 1.15343
07-Oct-97 1832800 74.73 0.48 -0.79 -1.05714
23-May-97 644400 64.04 0.32 0.25 0.390381
15-May-97 884100 63.73 0.38 -0.68 -1.067
18-Feb-97 833100 61.58 0.42 -1.15 -1.86749
04-Feb-97 654100 59.51 0.34 -0.72 -1.20988
27-Dec-96 410400 57.06 0.24 -1.52 -2.66386
14-Oct-96 201600 52.73 0.32 0.18 0.341362
07-Oct-96 235100 52.73 0.32 -0.62 -1.1758
11-Dec-95 186500 46.05 0.47 0.15 0.325733
21-Nov-95 119200 44.53 0.25 -0.02 -0.04491
12-Sep-95 139500 42.54 0.46 0.59 1.38693
08-Sep-95 107300 42.23 0.34 0.31 0.734075
19-Jun-95 134600 40.05 0.47 -0.12 -0.29963
13-Jun-95 120000 39.36 0.40 0.14 0.355691
23-May-95 136800 38.79 0.46 0 0
12-May-95 94600 38.49 0.34 0.2 0.519615
04-Apr-95 66900 36.89 0.38 0.14 0.379507
20-Mar-95 91700 36.16 0.39 -0.06 -0.16593
17-Mar-95 89900 36.16 0.39 -0.09 -0.24889
16-Mar-95 20400 36.1 0.09 0.06 0.166205
13-Feb-95 79700 35.08 0.41 0.23 0.655644
30-Aug-94 36000 34 0.11 -0.2 -0.58824

 you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  and filter the short trades of winning odds as per user inputs

Leave a Reply