$SPY lost more than 1 % with 2x volume than previous day

$SPY lost more than 1 % with 2x volume than previous day

$SPY 20 Day High and 10 Day Low Chartbelow the trading strategy rules we employed , for the $SPY lost more than 1 % with 2x volume than previous day

  • $SPY lost more 1% during the current session
  • current $SPY volume is more than twice to that of previous trading day

below the trading odds for the longs for the next 1/2/3/4/5/10/20 trading odds , since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 30 22 73.3 0.47 0.58 1.07 -1.21 0.89 -2.96
t+2 30 19 63.3 0.74 0.70 2.04 -1.50 1.36 -5.63
t+3 30 17 56.7 0.60 0.58 2.03 -1.26 1.61 -4.09
t+4 30 17 56.7 0.63 0.93 2.60 -1.95 1.34 -5.63
t+5 30 19 63.3 1.11 1.57 2.81 -1.83 1.54 -4.90
t+10 30 21 70.0 1.76 1.47 3.25 -1.72 1.89 -7.51
t+20 30 19 63.3 1.29 1.81 4.42 -4.12 1.07 -12.60
Swing High 30 28 93.3 0.81 0.73 1.05 -2.60 0.40 -2.71

t+1 , is the trading odds for the next one trading day , and so on so forth ,

Swing High : the assumption is one exits at the first profitable close with in the next five trading days at the close , or else take the loss at the fifth trading day’s close .

below the historical instances of , $SPY lost more than 1 % with 2x volume than previous day, since 2000.

Date Close Adj Vol ( mil) Loss Current Vol/Prev Vol t+1 t+2 t+3 t+4 t+5
07-Nov-13 174.93 156.2 -1.26 2.01 ?? ?? ?? ?? ??
25-Feb-13 146.84 249.4 -1.90 2.31 0.69 1.95 1.76 2.09 2.64
07-Nov-12 136.73 270.1 -2.27 2.47 -1.21 -1.12 -1.04 -1.38 -2.71
18-Aug-11 109.14 538.2 -4.31 2.15 -1.63 -1.55 1.69 3.12 1.55
28-Jan-11 120.61 313.1 -1.74 2.40 0.75 2.36 2.17 2.4 2.69
29-Jun-10 97.37 399.9 -3.10 2.21 -0.94 -1.39 -1.92 -1.28 1.83
27-Apr-10 110.18 382.7 -2.37 2.48 0.76 2.01 0.28 1.58 -0.81
16-Apr-10 111 394.4 -1.60 2.54 0.38 1.27 1.09 1.39 2.05
04-Feb-10 98.58 385.2 -3.09 2.07 0.2 -0.52 0.73 0.54 1.59
10-Feb-09 75.23 592.4 -4.58 2.23 0.58 0.66 -0.43 -4.68 -4.9
01-Dec-08 73.73 412.0 -8.85 3.13 3.84 6.35 3.88 7.08 10.82
05-Feb-08 118.56 324.6 -2.68 2.30 -0.8 -0.15 -0.79 -0.29 0.64
11-Dec-07 130.05 284.7 -2.74 2.02 0.98 0.78 -0.5 -1.92 -1.37
26-Nov-07 123.93 243.7 -2.21 2.76 1.15 4.39 4.42 5.47 4.78
19-Oct-07 131.6 338.0 -2.61 2.00 0.58 1.4 1.21 1.45 2.64
24-Jul-07 132.4 293.4 -1.74 2.12 0.2 -2.17 -4.09 -2.59 -3.69
10-Jul-07 132.07 206.1 -1.43 2.49 0.71 2.3 2.6 2.59 2.54
12-Jun-07 130.4 268.4 -1.09 2.29 1.5 2.14 2.72 2.61 2.86
13-Mar-07 119.99 219.6 -1.94 2.37 0.74 0.88 0.6 1.81 2.37
27-Feb-07 121.07 316.2 -3.91 3.97 1.02 0.73 -0.59 -1.54 0.15
27-Nov-06 119.47 98.0 -1.38 2.73 0.44 1.48 1.52 1.3 2.08
17-May-06 108.53 169.2 -1.90 2.33 -0.51 0.19 -0.57 -1.33 -0.54
13-Apr-04 93.34 68.2 -1.40 2.43 0.16 -0.21 0.56 0.56 -1.14
03-Sep-02 70.71 95.6 -3.81 2.52 1.41 0.57 1.94 2.69 3.86
19-Jul-02 67.85 96.8 -3.51 2.38 -2.96 -5.63 0 -0.84 1.05
29-Jan-02 87.77 34.8 -3.15 2.62 1.44 2.62 2.14 -0.4 -1.01
06-Jul-01 94.07 14.8 -2.15 2.11 0.54 -0.67 -0.56 1.8 2.68
16-Mar-01 90.62 74.3 -2.00 5.63 2.03 -0.71 -2.39 -3.39 -0.46
06-Oct-00 110.55 12.8 -2.17 2.19 -0.75 -2.39 -3.21 -5.63 -2.49
22-Jun-00 113.84 9.6 -1.52 2.40 -0.86 0.41 -0.33 -0.04 -0.98
14-Apr-00 106.06 38.0 -5.72 2.42 3.5 6.23 5.24 5.75 4.6

highlighted in the red are the only two instances , where $SPY was not able to close above the current close , over the next five trading days .

conclusion : bullish implications for the next 1 or two days ..

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