$SPY from Tax Day , since IPO

$SPY from Tax Day , since IPO

 $SPY trading odds from Tax -Day , since IPO

below the trading odds from the Tax Day , for the longs for the next 1/2/3/4/5/10/20 trading days since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 14 60.9 0.49 0.31 1.28 -0.74 1.72 -1.70 2.79 1.90
t+2% 23 14 60.9 0.64 0.14 1.58 -0.82 1.92 -2.38 2.15 1.88
t+3% 23 11 47.8 0.64 -0.14 2.11 -0.71 2.97 -2.13 2.44 1.59
t+4% 23 17 73.9 1.03 0.66 1.63 -0.67 2.45 -1.65 5.40 3.09
t+5% 23 19 82.6 1.36 1.22 1.89 -1.14 1.66 -2.23 9.10 3.82
t+10% 23 18 78.3 1.55 1.40 2.50 -1.88 1.33 -3.36 5.20 3.03
t+20% 23 16 69.6 2.00 2.37 3.87 -2.27 1.70 -4.37 3.06 2.66
1st +’ve in 5 days 23 20 87.0 0.82 0.77 1.13 -1.24 0.91 -2.23 7.42 3.43
1st -‘ve in 5 days 23 13 56.5 -0.61 -0.03 -0.81 2.46 0.33 5.26 0.26 -1.51

19/23 times  $SPY closed  higher than the current close at the end of the 5th trading day at close , since $SPY IPO with an average gain of 136 basis points at the end of the 5th trading day close , from the current close ]

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

below the prior historical instances of “$SPY returns from the tax day’s close ” since IPO

Date $SPY t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve in 5 days% 1st -‘ve in 5 days%
18-Apr-16 209.24 ?? ?? ?? ?? ?? ?? ?? ?? ??
15-Apr-15 206.03 -0.03 -1.18 -0.28 -0.39 0.10 0.07 -0.19 0.10 -0.03
15-Apr-14 176.89 1.05 1.19 1.54 2.00 1.76 2.23 2.64 1.05 1.76
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 2.69 5.43 1.48 -0.01
17-Apr-12 128.07 -0.34 -0.98 -0.81 -1.65 -1.27 1.19 -4.13 -1.27 -0.34
18-Apr-11 117.75 0.57 1.95 2.47 2.36 3.24 3.96 2.00 0.57 3.24
15-Apr-10 107.26 -1.59 -1.22 -0.34 -0.52 -0.22 -0.35 -4.37 -0.22 -1.59
15-Apr-09 73.91 1.47 2.15 -2.13 -0.22 -0.83 2.51 4.02 1.47 -2.13
15-Apr-08 112.55 2.71 2.86 3.93 3.99 3.53 4.38 5.43 2.71 3.53
17-Apr-07 121.88 0.12 0.10 1.04 0.66 0.70 1.07 2.37 0.12 0.70
17-Apr-06 104.67 1.59 1.78 1.92 1.94 1.75 1.35 0.65 1.59 1.75
15-Apr-05 91.25 0.31 1.10 -0.31 1.63 1.24 1.40 1.38 0.31 -0.31
15-Apr-04 88.57 0.77 0.77 -0.92 -0.26 1.14 -1.00 -2.63 0.77 -0.92
15-Apr-03 69.30 -1.70 -0.25 -0.14 1.74 2.67 2.37 5.27 1.74 -1.70
15-Apr-02 83.92 2.38 2.16 1.72 2.09 0.39 -3.36 -2.44 2.38 0.39
16-Apr-01 88.11 1.41 5.44 6.85 5.87 3.95 7.70 6.63 1.41 3.95
17-Apr-00 104.34 2.64 1.69 2.18 1.07 5.26 2.40 4.22 2.64 5.26
15-Apr-99 97.28 -0.85 -2.38 -1.15 1.67 2.64 1.27 3.53 1.67 -0.85
15-Apr-98 81.21 -1.17 0.14 0.11 0.59 0.86 -2.51 0.08 0.14 -1.17
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 5.41 10.62 1.16 2.79
15-Apr-96 45.00 0.29 0.05 0.19 0.44 1.22 1.85 3.28 0.29 1.22
17-Apr-95 34.80 -0.34 -0.43 -0.28 0.22 1.38 1.32 4.37 0.22 -0.34
15-Apr-94 29.78 -0.67 -0.53 -0.63 0.70 0.60 1.75 -0.14 0.70 -0.67
15-Apr-93 29.24 0.00 -0.42 -0.90 -0.97 -2.23 -2.16 -2.02 -2.23 -0.42

highlighted in the red are the loss making trades for a 5 trading day holding from the close of tax day , since IPO

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