$SPY falls more than 1% on the last trading day of the month during bull markets, bullish or bearish ?

$SPY falls more than 1% on last trading day of the month 

with $SPY (SPDR S&P 500 ETF) falling -1.44% on the last trading of the month as on 31st May 2013 , we looked at how the next trading day fares , and

here are the trading system rules we employed

  • $SPY falls more than 1% , and
  • today is the last trading day of the month and
  • $SPY close is above 200 day moving average ( bull markets criteria)
  • go long at close &
  • exit at the next trading session’s close.

below the backtest performance summary of  “$SPY falls more than 1% on last trading of the month, during bull markets Trading System” since 1994.

$SPY falls more than 1% on last trading of the month, during bull markets , Trading System, backtest since 1994

With 13/14 times $SPY closing positive during the next trading session, bulls might have an advantage in the coming trading session on Monday

with the sample size being very less at a mere 14 in more than 19 years , we relaxed the criteria to a 0.5% drop , and

here are the trading system rules we employed

  • $SPY falls more than 0.5% , and
  • today is the last trading day of the month and
  • $SPY closes above 200 day moving average ( bull markets criteria)
  • go long at close &
  • exit at the next trading session’s close.

below the backtest performance summary of  “$SPY falls more than 0.5% on last trading of the month, during bull markets Trading System” since 1994.

$SPY falls more than 0.5% on last trading of the month, during bull markets , Trading System, backtest since 1994

with 33/38 winning trades over the last 19 years , average profit of 0.76% for one day holding period , and an out-liar adjusted profit  factor of more than 8 , bulls have an advantage on the coming trading session , at-least the historical stats think so !!

below the historical trades generated by “$SPY falls more than 0.5% on last trading of the month, during bull markets Trading System”  since 1994 , for your reference

Date Adj Close Loss Close/ 200 DMA Next Day Gain Next Day Gain %
31-May-13 163.45 -1.44 1.10 ?? ??
31-Jul-12 135.41 -0.70 1.05 -0.12 -0.09
29-Jul-11 124.53 -0.68 1.01 -0.53 -0.43
30-Nov-10 112.44 -0.57 1.05 2.39 2.13
30-Apr-10 111.62 -1.69 1.10 1.44 1.29
29-Jan-10 100.47 -1.09 1.07 1.57 1.56
31-Dec-09 104.26 -0.96 1.14 1.77 1.70
30-Oct-09 96.37 -2.90 1.13 0.71 0.74
31-Aug-09 94.9 -0.89 1.17 -2.10 -2.21
30-Jun-09 85.16 -0.82 1.04 0.35 0.41
31-Jul-07 128.82 -1.13 1.01 0.63 0.49
30-Apr-07 130.53 -0.83 1.08 0.33 0.25
28-Feb-06 110.38 -0.95 1.05 0.99 0.90
31-Jan-06 109.76 -0.73 1.05 0.76 0.69
30-Dec-05 107.18 -0.55 1.04 1.89 1.76
30-Nov-05 107.39 -0.54 1.05 1.09 1.01
29-Jul-05 105.51 -0.67 1.05 -0.08 -0.08
30-Jun-05 101.62 -0.54 1.02 0.30 0.30
31-May-05 101.47 -0.64 1.03 0.86 0.85
28-Feb-05 102.04 -0.66 1.06 0.51 0.50
30-Apr-04 92.42 -0.78 1.04 0.99 1.07
30-Sep-03 82.57 -0.97 1.08 1.76 2.13
28-Apr-00 114.31 -0.62 1.05 1.55 1.36
30-Nov-99 109.18 -1.18 1.05 0.89 0.82
30-Jul-99 103.79 -1.23 1.05 0.24 0.23
30-Apr-99 103.9 -0.81 1.14 1.90 1.83
31-Mar-99 100.1 -1.60 1.12 0.75 0.75
30-Nov-98 90.04 -2.83 1.07 1.16 1.29
31-Jul-98 86.37 -2.14 1.07 -0.36 -0.42
30-Jun-98 87.56 -0.68 1.11 1.01 1.15
29-May-98 83.99 -0.98 1.09 0.38 0.45
30-Sep-97 72.2 -1.06 1.13 0.96 1.33
30-Jun-97 67.32 -0.66 1.15 0.78 1.16
31-Mar-97 57.24 -2.10 1.05 0.37 0.65
31-Dec-96 55.83 -1.83 1.09 0.14 0.25
30-Aug-96 49.18 -1.05 1.02 0.32 0.65
31-May-96 50.1 -0.73 1.09 0.14 0.28
29-Feb-96 47.62 -0.96 1.10 0.75 1.57
30-Dec-94 33.21 -1.19 1.01 0.16 0.48

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

pls do us a favor by tweeting to us http://clicktotweet.com/ w9251

Leave a Reply