$SPY from the day before of Ides of March

$SPY from the day before of Ides of March

 $SPY from the trading day before Ides of March , since 1993

h/t @ Barbara Kollmeyer , who prompted this Ides of March ,

below the trading odds for $SPY longs from the close of 14th Mar ( if market is open , other wise , the prior trading day, or simply from the 10th trading of March , or Ides of March ) , for the next 1/2/3/4/5/10/20 trading days , data since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 14 60.9 0.36 0.14 0.94 -0.55 1.70 -1.23 2.23 1.65
t+2 23 16 69.6 0.85 0.73 1.78 -1.28 1.39 -2.98 2.12 1.99
t+3 23 18 78.3 1.20 0.74 1.83 -1.07 1.71 -1.69 4.24 2.72
t+4 23 17 73.9 1.13 0.82 2.00 -1.32 1.52 -2.67 3.50 2.54
t+5 23 16 69.6 1.18 0.48 2.32 -1.43 1.63 -4.32 2.95 1.98
t+10 23 15 65.2 1.03 0.84 2.55 -1.81 1.41 -5.05 2.13 1.52
t+20 23 14 60.9 1.78 2.04 4.29 -2.12 2.02 -6.33 3.23 1.99
1st +’ve in 5 days 23 21 91.3 0.84 0.58 1.08 -1.60 0.67 -2.13 4.68 3.34
1st -‘ve in 5 days 23 15 65.2 -0.74 -0.13 -0.56 3.17 0.18 9.47 0.22 -1.36

21/23 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 58 basis points at the 1st positive close within in the next five trading days.

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

below the historical returns from the 10th trading day of the March ( prior trading day to Ides of March ) to the next 1/2/3/4/5 trading days , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
14-Mar-16 202.50 ?? ?? ?? ?? ?? ?? ??
13-Mar-15 201.67 1.34 1.03 2.25 1.78 2.68 1.34 2.68
14-Mar-14 177.46 0.90 1.62 1.08 1.67 1.28 0.90 1.28
14-Mar-13 147.64 -0.13 -0.68 -0.91 -0.22 -1.07 -1.07 -0.13
14-Mar-12 128.93 0.58 0.72 1.11 0.82 0.65 0.58 0.65
14-Mar-11 117.38 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15
12-Mar-10 102.21 0.03 0.82 1.42 1.37 0.86 0.03 0.86
13-Mar-09 65.83 -0.30 2.75 5.05 3.75 1.54 2.75 -0.30
14-Mar-08 109.50 -1.01 3.10 0.55 2.41 4.46 3.10 -1.01
14-Mar-07 115.54 0.14 -0.14 1.06 1.61 3.29 0.14 -0.14
14-Mar-06 106.03 0.45 0.65 0.74 0.58 -0.06 0.45 -0.06
14-Mar-05 96.96 -0.83 -1.67 -1.47 -1.76 -2.13 -2.13 -0.83
12-Mar-04 88.41 -1.23 -0.70 0.41 0.44 -1.00 0.41 -1.23
14-Mar-03 65.01 3.15 3.76 4.55 4.78 7.01 3.15 7.01
14-Mar-02 88.15 0.95 0.97 1.65 -0.27 -0.22 0.95 -0.27
14-Mar-01 88.36 0.03 -1.98 0.01 -2.67 -4.32 0.03 -1.98
14-Mar-00 101.55 2.33 7.11 7.82 7.27 9.47 2.33 9.47
12-Mar-99 95.14 1.43 1.04 0.60 2.22 0.48 1.43 0.48
13-Mar-98 77.74 1.08 1.37 1.75 2.01 2.89 1.08 2.89
14-Mar-97 56.97 0.27 -0.80 -1.14 -1.65 -1.19 0.27 -0.80
14-Mar-96 45.18 -0.07 1.86 1.64 1.52 1.27 1.86 -0.07
14-Mar-95 33.97 -0.19 0.41 0.51 0.51 0.26 0.41 -0.19
14-Mar-94 31.30 -0.07 0.73 0.73 0.71 0.44 0.73 -0.07
12-Mar-93 29.35 0.49 0.49 -0.14 0.49 0.33 0.49 -0.14

highlighted in red were those 2  instances , when bears , did “Et tu, Brute?”  to bulls :) !!

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