when $SPY trades at new highs and multi new lows on the same day

$SPY trades at new highs and multi new lows on the same day

$SPY 20 Day High and 10 Day Low Chart

with $SPY hitting an all time high and then trading at 10 day low , quite a few below never seen intra-day action triggered

1) $SPY hits 20-Day high and 10-Day low on the same day , since Mar 1993 

below the trading odds for the next 1/2/3/4/5/10/20 trading days holding period

happened only once and way back in 19 May 1993 ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 1 1 100.0 0.29 0.29 0.29 0.29
t+2 1 0 0.0 -0.65 -0.65 -0.65 -0.65
t+3 1 0 0.0 -0.23 -0.23 -0.23 -0.23
t+4 1 0 0.0 0.00 0.00 0.00 0.00
t+5 1 1 100.0 1.23 1.23 1.23 1.23
t+10 1 1 100.0 0.91 0.91 0.91 0.91
t+20 1 1 100.0 0.36 0.36 0.36 0.36

2) $SPY hits 10-Day high and 10-Day low on the same day , since Mar 1993

happened only twice , 12 May 99, and on 19 May 1993 .

below the trading odds for the next 1/2/3/4/5 holding period.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 2 2 100.0 0.36 0.36 0.36 0.29
t+2 2 0 0.0 -1.41 -1.41 -1.41 -2.17
t+3 2 0 0.0 -1.05 -1.05 -1.05 -1.87
t+4 2 0 0.0 -1.03 -1.03 -1.03 -2.06
t+5 2 1 50.0 -0.06 -0.06 1.23 -1.35 0.91 -1.35
t+10 2 1 50.0 -1.85 -1.85 0.91 -4.61 0.20 -4.61
t+20 2 1 50.0 -1.95 -1.95 0.36 -4.26 0.08 -4.26

3) $SPY hits 5-Day high and 10-Day low on the same day , since Mar 1993

very few instances , below the trading odds for the next 1/2/3/4/5 holding period.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 8 7 87.5 0.26 0.28 0.38 -0.62 0.62 -0.62
t+2 8 3 37.5 -0.06 -0.39 1.24 -0.84 1.48 -2.17
t+3 8 3 37.5 0.06 -0.18 1.42 -0.75 1.90 -1.87
t+4 8 5 62.5 0.36 0.33 1.03 -0.76 1.36 -2.06
t+5 8 7 87.5 0.86 0.85 1.17 -1.35 0.87 -1.35
t+10 8 6 75.0 -0.24 0.69 1.08 -4.19 0.26 -4.61
t+20 8 4 50.0 -1.32 -0.84 1.14 -3.78 0.30 -6.24
Swing High 8 8 100.0 0.37 0.28 0.37 0.21

Swing High column , is calculated with the assumption , that one exits the longs at the first profitable close over the next five tradings days , otherwise with a loss at the end of the fifth trading day for a loss.

below the prior instances of $SPY hitting 5-day high and 10-day low , since Mar 1993

Date Open High Low Close t+1 t+2 t+3 t+4 t+5
07-Nov-13 177.50 177.64 174.76 174.93
19-Oct-07 134.61 137.59 131.59 131.60 0.58 1.4 1.21 1.45 2.64
03-Jan-07 123.46 123.99 122.01 122.70 0.21 -0.59 -0.13 -0.21 0.11
27-Dec-05 108.19 108.27 106.84 106.92 0.22 -0.22 -0.77 0.98 1.46
21-Jul-04 92.53 92.73 90.57 90.68 0.28 -0.56 -0.76 0.18 0.47
20-Apr-04 94.06 94.26 92.16 92.28 0.67 2.08 2.18 2.04 2.12
04-Apr-00 118.34 119.32 110.26 117.08 -0.62 0.24 0.88 0.48 0.19
12-May-99 104.78 105.91 101.50 105.55 0.44 -2.17 -1.87 -2.06 -1.35
19-May-93 30.30 30.92 30.10 30.92 0.29 -0.65 -0.23 0 1.23

as you can see highlighted in bold in the above $SPY closed above , with in the next two days , from the close of the day when it traded 5-day high and 10-day low ,

4) $SPY hits 5-Day high and 5-Day low on the same day , since Mar 1993

below the prior instances of $SPY hitting 5-day high and 5-day low , since Mar 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 26 18 69.2 0.03 0.26 0.48 -0.99 0.49 -3.92
t+2 26 12 46.2 -0.01 -0.18 1.23 -1.06 1.16 -3.74
t+3 26 11 42.3 -0.14 -0.18 1.29 -1.19 1.09 -5.29
t+4 26 14 53.8 0.27 0.11 1.35 -1.00 1.36 -2.83
t+5 26 19 73.1 0.63 0.66 1.42 -1.50 0.94 -3.53
t+10 26 17 65.4 0.63 0.55 1.90 -1.77 1.07 -4.61
t+20 26 17 65.4 0.53 1.14 2.63 -3.44 0.76 -6.24
Swing High 26 25 96.2 0.43 0.38 0.49 -1.08 0.46 -1.08

except but on one occasion ( 3rd Jan 2005) $SPY manged to close higher , with in the next five days , from the close of the day when it traded 5-day high and 5-day low . The loss for exiting at the fifth trading close on 3rd Jan 2005 , was -1.08%

below the prior instances of $SPY hitting 5-day high and 5-day low , since Mar 1993

Date Open High Low Close t+1 t+2 t+3 t+4 t+5
07-Nov-13 177.50 177.64 174.76 174.93 ?? ?? ?? ?? ??
24-Jul-13 168.96 169.03 167.36 167.70 0.24 0.35 0.04 0.04 0.11
28-Nov-12 136.77 138.51 136.02 138.43 0.47 0.49 -0.01 -0.14 0.03
28-Jan-11 122.90 123.09 120.41 120.61 0.75 2.36 2.17 2.4 2.69
21-Oct-09 100.45 101.62 99.63 99.70 1.01 -0.14 -1.21 -1.68 -3.53
19-Oct-07 134.61 137.59 131.59 131.60 0.58 1.4 1.21 1.45 2.64
11-Oct-07 137.98 138.50 135.88 136.70 0.55 -0.3 -1.09 -0.78 -1.15
12-Apr-07 125.25 126.28 124.90 126.05 0.45 1.41 1.68 1.8 1.78
03-Jan-07 123.46 123.99 122.01 122.70 0.21 -0.59 -0.13 -0.21 0.11
07-Apr-06 112.13 112.42 110.67 110.83 0.15 -0.69 -0.51 -0.64 -0.69
27-Dec-05 108.19 108.27 106.84 106.92 0.22 -0.22 -0.77 0.98 1.46
03-Jan-05 101.80 101.96 100.41 100.74 -1.22 -1.91 -1.41 -1.55 -1.08
21-Jul-04 92.53 92.73 90.57 90.68 0.28 -0.56 -0.76 0.18 0.47
20-Apr-04 94.06 94.26 92.16 92.28 0.67 2.08 2.18 2.04 2.12
08-Apr-04 95.16 95.16 93.78 94.30 0.39 -1.02 -0.86 -1.23 -0.47
22-Aug-03 82.89 82.95 81.25 81.28 0.16 0.34 0.37 0.98 1.67
04-Apr-00 118.34 119.32 110.26 117.08 -0.62 0.24 0.88 0.48 0.19
03-Jan-00 115.33 115.33 111.93 113.14 -3.92 -3.74 -5.29 0.21 0.56
12-May-99 104.78 105.91 101.50 105.55 0.44 -2.17 -1.87 -2.06 -1.35
04-Jan-99 94.97 96.40 93.70 94.71 1.14 3.58 3.07 3.83 2.84
30-May-97 62.56 64.32 62.49 64.02 -0.45 -0.78 -0.89 -0.52 1.42
20-May-97 62.61 63.67 62.21 63.50 -0.22 -0.55 0.36 0.77 0.76
05-Feb-97 59.30 59.48 57.72 58.11 0.67 2.03 1.07 2.24 3.68
23-Jan-97 59.17 59.64 57.56 58.19 -1.27 -1.56 -1.27 -0.31 0.96
04-Jan-96 46.03 46.21 45.17 45.54 -0.2 0.18 -1.54 -2.83 -2.24
24-Jan-94 33.10 33.26 33.00 33.00 0 0.27 1.18 1.48 2.18
19-May-93 30.30 30.92 30.10 30.92 0.29 -0.65 -0.23 0 1.23

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