$SPY on the day of rate hike

$SPY on the day of rate hike

CME FedWatch Tool

With the CME FedWatch tool currently projecting a probability of nearly 96% for a rate hike at the June 14 meeting , below a look at the $SPY behavior on the day when fed hikes rates , since Y2K

Date Close Prv Close Change Change %
15-Mar-17 237.91 235.87 2.04 0.86
14-Dec-16 223.58 225.44 -1.86 -0.83
16-Dec-15 201.57 198.67 2.90 1.46
29-Jun-06 101.89 99.87 2.02 2.02
10-May-06 105.65 105.71 -0.06 -0.06
28-Mar-06 103 103.64 -0.64 -0.62
31-Jan-06 101.22 101.97 -0.75 -0.74
13-Dec-05 100.54 99.86 0.68 0.68
1-Nov-05 95.15 94.87 0.28 0.30
20-Sep-05 96.39 97.21 -0.82 -0.84
9-Aug-05 97.03 96.45 0.58 0.60
30-Jun-05 93.72 94.23 -0.51 -0.54
3-May-05 91.32 91.17 0.15 0.16
22-Mar-05 91.56 92.5 -0.94 -1.02
2-Feb-05 93.05 92.77 0.28 0.30
14-Dec-04 93.79 93.47 0.32 0.34
10-Nov-04 90.56 90.49 0.07 0.08
21-Sep-04 87.45 87.07 0.38 0.44
10-Aug-04 83.56 82.5 1.06 1.28
30-Jun-04 88.3 87.83 0.47 0.54
16-May-00 106.54 105.52 1.02 0.97
21-Mar-00 108.36 106.18 2.18 2.05
2-Feb-00 102.2 102.11 0.09 0.09
# 23 23
%wins 69.57 69.57
avg 0.39 0.33
med 0.28 0.30
avg win 0.91 0.76
avg loss -0.80 -0.66
max loss -1.86 -1.02
stdevp 1.10 0.85
t-test 1.70 1.85

$SPY gained 16/23 times , on the day when fed hiked the rates , at an avg of 33 bps , a median of 30 bps , with avg gain at 76 bps , and avg loss at 66 bps . the worst one day loss on the day when fed hiked was 102 bps on 22 March 2005

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tickalert

$SPY ahead of #fedday during #midmonth

$SPY ahead of #fedday during #midmonth

$SPY into #fedday during mid month , since Y2K

as on 13th JUn 2017 , with $spy heading into #fedday , below trading strategy rules

  1. tomorrow / next trading day is #fedday
  2. current trading day is either 9/10/11 th trading day of the month

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 19 82.6 0.92 0.58 1.23 -0.58 2.11 -1.15 5.64 3.21
t+2% 23 14 60.9 0.45 0.67 1.53 -1.22 1.25 -2.98 1.39 1.27
t+3% 23 14 60.9 0.53 0.37 1.54 -1.04 1.49 -1.86 1.43 1.65
t+4% 23 14 60.9 0.67 0.38 1.96 -1.35 1.46 -3.19 1.36 1.46
t+5% 23 13 56.5 0.39 0.20 1.67 -1.27 1.32 -3.59 1.04 0.89
t+10% 23 12 52.2 0.17 1.04 2.31 -2.18 1.06 -6.72 0.77 0.28
t+20% 23 15 65.2 0.26 1.59 2.68 -4.27 0.63 -15.12 0.88 0.28
1st +’ve in 5 days% 23 21 91.3 0.91 0.58 1.13 -1.40 0.81 -2.78 4.17 2.99

21/23 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 91 bps

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

below the prior performance of $SPY ahead of fed day , when the prior day is either 9/10/11’th trading day of the month ,since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
13-Jun-17 244.53 ?? ?? ?? ?? ?? ?? ??
14-Mar-17 235.87 0.87 0.67 0.49 0.38 -0.91 0.87 1
13-Dec-16 225.44 -0.83 -0.42 -0.61 -0.40 -0.01 -0.01 5
14-Jun-16 203.83 -0.14 0.16 -0.21 0.43 0.71 0.16 2
15-Mar-16 197.06 0.58 1.22 1.61 1.76 1.70 0.58 1
15-Dec-15 198.67 1.46 -0.08 -1.86 -1.05 -0.16 1.46 1
16-Sep-15 192.97 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 5
16-Sep-14 189.53 0.13 0.67 0.58 -0.20 -0.77 0.13 1
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
14-Mar-11 114.42 -1.15 -2.98 -1.69 -1.33 0.20 0.20 5
13-Dec-10 109.02 0.09 -0.37 0.21 0.32 0.56 0.09 1
15-Mar-10 99.65 0.80 1.39 1.34 0.83 1.37 0.80 1
15-Dec-09 95.57 0.15 -1.05 -0.49 0.52 0.88 0.15 1
15-Dec-08 73.41 4.71 3.69 1.75 1.32 0.02 4.71 1
15-Sep-08 99.88 1.67 -2.90 -0.02 3.95 1.60 1.67 1
17-Mar-08 105.66 4.15 1.57 3.46 5.52 5.63 4.15 1
17-Sep-07 120.75 2.94 3.55 2.82 3.10 2.91 2.94 1
13-Dec-04 93.47 0.35 0.42 0.37 -0.30 -0.28 0.35 1
15-Mar-04 85.12 0.53 1.65 1.68 0.22 -1.05 0.53 1
15-Sep-03 77.49 1.46 1.26 2.46 1.94 0.84 1.46 1
17-Mar-03 65.36 0.59 1.36 1.58 3.75 0.30 0.59 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
14-Nov-00 101.54 0.31 -1.26 -1.79 -3.19 -2.70 0.31 1
15-May-00 105.52 0.97 -0.09 -1.31 -2.86 -3.59 0.97 1
  • highlighted in red were those 2 losses when $SPY failed to close higher in the next five days

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tickalert

when $SPY posts an inside day ahead of fed day

 when $SPY posts an inside day ahead of fed day

when $SPY posts an inside day ahead of fed day

 

with $SPY posting an inside day , at close  , as on 12th Jun 2017 , below trading strategy rules

 1)  $SPY posts an inside day ( lower high and higher low )

2) current trading day is either one or two trading days , before the fed day
below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 17 54.8 0.23 0.15 0.90 -0.58 1.56 -1.82 1.62 1.32
t+2 31 23 74.2 0.52 0.38 0.97 -0.77 1.26 -1.63 3.37 2.67
t+3 31 21 67.7 0.53 0.39 1.31 -1.10 1.19 -2.45 2.31 2.03
t+4 31 21 67.7 0.35 0.44 1.43 -1.93 0.75 -2.98 1.28 1.02
t+5 31 19 61.3 0.51 0.28 1.71 -1.38 1.24 -2.96 1.81 1.41
t+10 31 18 58.1 0.33 0.55 2.17 -2.22 0.98 -4.71 1.21 0.68
t+20 31 21 67.7 0.60 0.74 2.37 -3.13 0.76 -9.06 1.67 1.01
1st +’ve exit in 5 days 31 31 100.0 0.71 0.48 0.71 INF INF 0.05 NA 5.87

31/31 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 71 bps

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

below the prior instances of $SPY posting an inside day , either one or two trading days ahead of fed day since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
12-Jun-17 243.36 ?? ?? ?? ?? ?? ?? ??
2-May-17 238.77 -0.12 0.00 0.39 0.37 0.28 0.39 3
13-Mar-17 236.78 -0.38 0.48 0.28 0.11 0.00 0.48 2
31-Oct-16 210.39 -0.72 -1.32 -1.77 -1.88 0.28 0.28 5
20-Sep-16 211.25 1.12 1.76 1.20 0.38 1.01 1.12 1
26-Oct-15 200.58 -0.19 0.94 0.88 0.45 1.64 0.94 2
17-Mar-15 198.61 1.20 0.74 1.63 1.43 0.86 1.20 1
27-Oct-14 186.31 1.15 0.99 1.64 2.80 2.86 1.15 1
28-Jan-14 167.74 -0.96 0.09 -0.50 -2.74 -2.06 0.09 2
17-Sep-13 158.61 1.16 0.99 0.28 -0.18 -0.42 1.16 1
29-Jul-13 156.31 0.00 0.07 1.23 1.40 1.25 0.07 2
11-Sep-12 130.51 0.33 1.86 2.31 1.97 1.88 0.33 1
25-Jan-10 94.72 -0.42 0.05 -1.09 -2.17 -0.65 0.05 2
3-Nov-09 89.82 0.26 2.10 2.37 4.70 4.72 0.26 1
27-Jan-09 71.29 3.38 0.02 -2.01 -2.31 -0.93 3.38 1
23-Jun-08 109.33 -0.20 0.27 -2.45 -2.98 -2.64 0.27 2
8-May-06 105.50 0.20 0.14 -1.07 -2.36 -2.16 0.20 1
9-Dec-05 99.77 0.10 0.78 1.17 0.88 0.55 0.10 1
8-Nov-04 90.67 -0.20 -0.12 0.64 1.43 1.68 0.64 3
9-Aug-04 82.50 1.29 1.08 -0.02 0.18 1.21 1.29 1
29-Jun-04 87.83 0.54 -0.86 -0.91 -1.78 -1.49 0.54 1
3-May-04 86.15 -0.08 0.56 -0.30 -1.95 -2.96 0.56 2
12-Mar-04 86.18 -1.23 -0.70 0.41 0.44 -1.00 0.41 3
8-Dec-03 81.96 -0.77 -0.78 0.33 0.53 0.03 0.33 3
15-Sep-03 77.48 1.46 1.26 2.46 1.94 0.84 1.46 1
24-Jun-03 74.78 -1.00 0.28 -0.87 -0.90 0.01 0.28 2
28-Jan-03 64.65 0.76 -1.63 0.27 0.47 -0.52 0.76 1
12-Aug-02 67.62 -1.82 1.77 3.18 2.87 5.27 1.77 2
1-Oct-01 77.05 1.26 2.95 3.04 2.84 2.17 1.26 1
14-May-01 92.05 0.46 2.83 2.99 3.46 4.98 0.46 1
29-Sep-00 104.83 0.15 -0.78 0.04 0.39 -1.78 0.15 1
18-Aug-00 108.98 0.54 0.38 0.77 1.09 1.04 0.54 1
avg 0.23 0.52 0.53 0.35 0.51 0.71 1.68
med 0.15 0.38 0.39 0.44 0.28 0.48 1.63
stdevp 0.99 1.09 1.46 1.92 2.04 0.67
t-test 1.32 2.67 2.03 1.01 1.41 5.88

could it be a straight 32 winner ?

—–

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When $SPY down by more than 1% on a Fed Day

When $SPY down by more than 1% on a Fed Day

when $SPY lost  by more than 1% on a Fed day , since Y2K

with $SPY down by -1.09% on a fed day , below trading strategy rules

1) $SPY lost by more than 1%

2) and current trading day is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY lost by more than 1% on the Fed Day .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 9 56.3 -0.40 0.10 1.44 -2.77 0.52 -6.98 0.46 -0.62
t+2% 16 8 50.0 -0.48 -0.12 1.80 -2.76 0.65 -9.24 0.37 -0.60
t+3% 16 11 68.8 0.43 0.44 1.51 -1.96 0.77 -5.36 1.08 0.72
t+4% 16 11 68.8 0.79 1.20 2.22 -2.34 0.95 -6.38 1.58 1.11
t+5% 16 10 62.5 0.75 1.05 2.74 -2.57 1.07 -7.68 1.41 0.93
t+10% 16 10 62.5 0.50 1.55 2.52 -2.88 0.88 -7.05 1.33 0.64
t+20% 16 12 75.0 1.92 2.90 4.20 -4.95 0.85 -11.82 2.18 1.56
1st +’ve in 5 days 16 14 87.5 0.96 0.96 1.43 -2.30 0.62 -3.09 3.18 2.29
1st -‘ve in 5 days 16 12 75.0 0.54 -0.48 -1.80 3.26 0.55 6.09 1.51 0.74

14/16 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 96 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 instances of $SPY losing more than 1% , on the Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
27-Jan-16 188.13 ?? ?? ?? ?? ?? ?? ??
28-Jan-15 196.09 0.92 -0.34 0.89 2.35 1.96 0.92 -0.34
19-Jun-13 154.65 -2.48 -2.16 -3.40 -2.47 -1.51 -1.51 -2.48
21-Sep-11 106.80 -3.23 -2.65 -0.33 0.78 -1.28 0.78 -3.23
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
8-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94 -6.98
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40 3.97
11-Dec-07 124.30 0.99 0.78 -0.50 -1.92 -1.37 0.99 -0.50
22-Mar-05 93.93 0.09 0.21 0.35 -0.32 1.09 0.09 -0.32
28-Jan-04 89.03 0.10 0.10 0.53 0.36 -0.46 0.10 -0.46
25-Jun-03 75.94 1.30 0.13 0.10 1.03 2.30 1.30 2.30
24-Sep-02 63.29 2.48 4.16 0.53 -0.63 4.14 2.48 -0.63
13-Aug-02 68.11 3.65 5.09 4.78 7.23 6.09 3.65 6.09
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
21-Aug-01 87.47 1.04 0.67 2.76 2.15 0.66 1.04 0.66
20-Mar-01 86.00 -1.70 -2.70 0.25 1.52 3.60 0.25 -1.70
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71 -2.90

highlighted in the red were the loss making trades !!

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When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

with $SPY rising by 1.36% , as on 26 Jan 2016 , ahead of fed meeting , below

trading strategy rules

1) $SPY gains by more than 1%

2) and tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY rises by more than 1% ahead of Fed Meeting .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 18 10 55.6 0.54 0.45 1.62 -0.81 2.00 -2.68 2.03 1.42
t+2% 18 11 61.1 0.22 0.26 1.46 -1.75 0.84 -4.87 0.91 0.40
t+3% 18 7 38.9 -0.44 -0.87 2.01 -2.01 1.00 -5.31 0.46 -0.79
t+4% 18 9 50.0 0.22 -0.41 2.37 -1.93 1.23 -3.19 0.83 0.37
t+5% 18 10 55.6 0.26 0.04 1.71 -1.56 1.10 -3.59 0.79 0.45
t+10% 18 8 44.4 0.24 -0.36 3.17 -2.11 1.50 -4.26 1.15 0.34
t+20% 18 12 66.7 0.13 1.61 3.35 -6.30 0.53 -10.54 0.61 0.10
1st +’ve in 5 days 18 16 88.9 1.07 0.64 1.29 -0.74 1.74 -1.20 12.77 3.56
1st -‘ve in 5 days 18 14 77.8 0.45 -0.18 -0.83 0.87 0.96 1.95 2.79 1.77

16/18 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 107 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 instances of $SPY rising by more 1% , ahead of Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
28-Jul-15 207.02 0.69 0.71 0.56 0.22 0.02 0.69 0.02
28-Oct-14 193.33 -0.15 0.49 1.64 1.69 1.34 0.49 -0.15
21-Jun-11 117.93 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
20-Sep-10 102.55 -0.20 -0.69 -1.50 0.53 0.05 0.53 -0.20
17-Mar-09 67.64 2.24 0.97 -1.18 5.92 3.83 2.24 -1.18
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
28-Oct-08 80.47 -0.73 2.71 3.27 3.57 7.09 2.71 -0.73
6-Aug-07 122.30 1.07 2.48 -0.56 -1.03 -0.67 1.07 -0.56
27-Jun-07 125.80 -0.01 0.02 0.92 1.29 1.18 0.02 -0.01
3-May-04 88.38 -0.08 0.56 -0.30 -1.95 -2.96 0.56 -0.08
17-Mar-03 67.06 0.59 1.36 1.58 3.75 0.30 0.59 0.30
5-Nov-01 83.90 1.55 1.42 1.73 1.84 1.22 1.55 1.22
*10-Sep-01 83.11 -5.22 -5.45 -7.36 -10.30 -11.27 -11.27 -5.22
17-Apr-01 89.81 3.97 5.36 4.39 2.50 1.95 3.97 1.95
19-Mar-01 88.38 -2.68 -4.34 -5.31 -2.45 -1.20 -1.20 -2.68
18-Dec-00 99.68 -2.04 -4.87 -4.21 -1.34 -0.28 -0.28 -2.04
14-Nov-00 104.17 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

*10-Sep-01 : excluded from above calculations .

highlighted in the red were the loss making trades !! 

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$SPY on Jan Fed meetings

$SPY on Jan Fed meetings

Yellen_data_dependent_cartoon_11.18.2015_normal

below $SPY trading odds from the the prior day to January Fed meeting , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 8 50.0 0.37 0.00 1.60 -0.85 1.87 -1.28 0.76 0.91
t+2% 16 10 62.5 0.42 0.09 1.12 -0.74 1.52 -1.63 1.81 1.29
t+3% 16 8 50.0 -0.11 -0.12 1.21 -1.43 0.85 -2.18 0.56 -0.29
t+4% 16 5 31.3 -0.37 -0.39 1.03 -1.00 1.02 -2.74 0.29 -1.23
t+5% 16 7 43.8 -0.11 -0.32 1.17 -1.10 1.06 -2.06 0.66 -0.34
t+10% 16 10 62.5 0.45 0.82 1.99 -2.11 0.94 -4.02 1.74 0.78
t+20% 16 11 68.8 0.20 1.31 2.44 -4.72 0.52 -10.05 1.26 0.19
1st +’ve in 5 days% 16 14 87.5 0.91 0.72 1.20 -1.11 1.09 -1.43 5.66 2.57
1st -‘ve in 5 days% 16 14 87.5 0.65 -0.74 -0.91 1.14 0.80 1.47 0.05 3.15

14/16 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 91 basis points at the 1st positive close within in the next five trading days.

also tricky to note is

14/16 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 65 basis points at the 1st negative close within in the next five trading days.

whats your pick ?? :)

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 of $SPY from the day before Jan Fed meeting , and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
28-Jan-14 172.09 -0.96 0.09 -0.50 -2.74 -2.06 0.09 -0.96
29-Jan-13 141.92 -0.39 -0.64 0.38 -0.74 0.26 0.38 -0.39
24-Jan-12 121.15 0.84 0.32 0.27 -0.07 -0.11 0.84 -0.07
25-Jan-11 116.59 0.39 0.63 -1.12 -0.38 1.22 0.39 -1.12
26-Jan-10 96.76 0.48 -0.68 -1.76 -0.23 0.98 0.48 -0.68
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
29-Jan-08 114.83 -0.74 1.07 2.70 1.41 -1.31 1.07 -0.74
18-Jan-08 111.57 -1.01 1.36 2.22 0.74 2.41 1.36 -1.01
30-Jan-07 118.45 0.67 1.27 1.41 1.44 1.47 0.67 1.47
30-Jan-06 104.61 -0.73 -0.04 -1.20 -1.69 -1.43 -1.43 -0.73
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
28-Jan-03 66.32 0.76 -1.63 0.27 0.47 -0.52 0.76 -1.63
29-Jan-02 83.89 1.44 2.63 2.15 -0.39 -1.01 1.44 -0.39
30-Jan-01 103.50 -0.57 0.09 -2.18 -1.46 -1.75 0.09 -0.57
2-Jan-01 96.75 4.80 3.68 0.29 1.07 0.80 4.80 0.80

highlighted in the red were the loss making long trades

highlighted in the green were the loss making short trades !! 

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check out the new look of the paststat

a bullish Fed day $SPY pattern

a bullish Fed day $SPY pattern 

The Quantifiable Edges Guide To Fed Dayshere are the trading strategy rules for the ” bullish Fed day $SPY pattern “

1) the next trading trading day is a Fed day ( triggered on Tue’s close as on 16th Jun 2015)

2) the Friday of this week , there is an Opex

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for the bullish Fed day $SPY pattern

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 25 80.6 0.96 0.73 1.43 -0.98 1.46 -1.82 5.17 3.56
t+2 31 23 74.2 0.77 0.97 1.67 -1.81 0.92 -3.82 2.04 2.12
t+3 31 22 71.0 0.95 0.91 1.89 -1.33 1.42 -3.51 2.74 2.80
t+4 31 22 71.0 1.18 0.99 2.35 -1.67 1.40 -4.73 2.43 2.67
t+5 31 21 67.7 0.97 0.64 2.16 -1.55 1.40 -3.82 2.12 2.21
t+10 31 21 67.7 1.15 1.33 2.65 -2.00 1.32 -6.71 2.39 2.24
t+20 31 23 74.2 1.37 2.09 3.16 -3.77 0.84 -15.12 1.91 1.82
1st +’ve exit in 5 days 31 29 93.5 1.01 0.80 1.30 -3.18 0.41 -3.82 4.18 3.43

29/31 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 101 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 instances of the above “bullish Fed day $SPY pattern” , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
16-Jun-15 210.25 ?? ?? ?? ?? ?? ??
17-Mar-15 207.04 1.20 0.74 1.63 1.43 0.86 1.20
16-Dec-14 195.95 1.96 4.48 4.92 5.41 5.55 1.96
16-Sep-14 197.57 0.14 0.67 0.58 -0.20 -0.77 0.14
17-Jun-14 191.09 0.73 0.84 1.05 1.02 0.41 0.73
18-Mar-14 183.25 -0.53 0.04 -0.34 -0.75 -0.28 0.04
17-Dec-13 173.51 1.71 1.58 2.18 2.73 2.95 1.71
17-Sep-13 165.34 1.16 0.99 0.28 -0.18 -0.42 1.16
18-Jun-13 159.34 -1.38 -3.82 -3.51 -4.73 -3.82 -3.82
12-Mar-12 128.83 1.80 1.69 2.28 2.42 2.83 1.80
12-Dec-11 115.58 -0.93 -1.99 -1.64 -1.50 -2.54 -2.54
14-Mar-11 119.27 -1.14 -2.97 -1.69 -1.33 0.20 0.20
13-Dec-10 113.64 0.09 -0.37 0.21 0.32 0.56 0.09
15-Mar-10 103.88 0.80 1.40 1.35 0.83 1.37 0.80
15-Dec-09 99.62 0.15 -1.05 -0.49 0.52 0.88 0.15
17-Mar-09 68.73 2.24 0.97 -1.18 5.92 3.84 2.24
15-Dec-08 76.52 4.70 3.70 1.76 1.32 0.03 4.70
15-Sep-08 104.12 1.68 -2.90 -0.02 3.96 1.60 1.68
17-Mar-08 110.14 4.16 1.58 3.46 5.53 5.63 4.16
17-Sep-07 125.87 2.95 3.55 2.82 3.10 2.91 2.95
11-Dec-06 118.89 -0.08 0.03 0.91 0.92 0.64 0.03
12-Dec-05 104.10 0.68 1.08 0.78 0.46 -0.06 0.68
13-Dec-04 97.43 0.35 0.43 0.37 -0.30 -0.28 0.35
15-Mar-04 88.74 0.53 1.65 1.68 0.23 -1.05 0.53
15-Sep-03 80.77 1.46 1.26 2.46 1.94 0.84 1.46
11-Aug-03 78.05 0.91 0.40 0.67 0.99 1.86 0.91
17-Mar-03 68.14 0.59 1.35 1.57 3.74 0.29 0.59
12-Aug-02 70.49 -1.82 1.76 3.18 2.87 5.28 1.76
14-May-01 95.96 0.46 2.83 2.99 3.46 4.98 0.46
17-Apr-01 91.26 3.98 5.36 4.39 2.50 1.95 3.98
14-Nov-00 105.85 0.31 -1.26 -1.79 -3.19 -2.69 0.31
15-May-00 110.00 0.96 -0.09 -1.31 -2.86 -3.59 0.96

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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$SPY Gap up’s and down’s on a Fed Day

$SPY Gap up’s and down’s on a Fed Day

The Quantifiable Edges Guide To Fed Days

 

1) below the trading odds for the entry set at open and exit set to close on a Fed Day for $SPY.. since Y2K 

Winners : 70
Losers : 56
% Winners : 56%
Average Change % : 0.29
Median Change % : 0.13
Maximum Gain % : 5.21
Maximum Loss % : -3.14
Average Gain %if Winner : 1.11
Average Loss % if Loser : -0.75
Payoff Ratio 1.47
Average Absolute Change% : 0.60
Profit Factor : 1.78
Outlier Adjusted Profit Factor : 1.67

2) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap up opening.. since Y2K 

Winners : 40
Losers : 42
% Winners : 49%
Average Change % : 0.04
Median Change % : -0.01
Maximum Gain % : 2.99
Maximum Loss % : -3.14
Average Gain %if Winner : 0.86
Average Loss % if Loser : -0.76
Payoff Ratio 1.14
Average Absolute Change% : 0.53
Profit Factor : 1.04
Outlier Adjusted Profit Factor : 0.95

3) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap down opening.. since Y2K 

Winners : 30
Losers : 15
% Winners : 67%
Average Change % : 0.74
Median Change % : 0.46
Maximum Gain % : 5.21
Maximum Loss % : -1.85
Average Gain %if Winner : 1.43
Average Loss % if Loser : -0.70
Payoff Ratio 2.06
Average Absolute Change% : 0.75
Profit Factor : 4.20
Outlier Adjusted Profit Factor : 3.72

conclusion : it pays to fade the gap-down opening on a Fed-Day

 

when $SPY posts a 1% rise on pre #Fedday ?

when $SPY posts a 1% rise on pre #Fedday ?

Fed Day Carton

with $SPY gaining more the 1% , the day before #Fedday , below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days since 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 8 53.3 0.52 0.32 1.76 -0.91 1.94 -2.69 1.99 1.39
t+2 15 9 60.0 0.18 0.02 1.66 -2.02 0.82 -4.88 1.12 0.72
t+3 15 5 33.3 -0.55 -1.18 2.38 -2.02 1.18 -5.31 0.53 0.33
t+4 15 7 46.7 0.21 -1.03 2.77 -2.04 1.36 -3.19 0.96 0.71
t+5 15 8 53.3 0.23 0.06 1.97 -1.76 1.12 -3.59 1.07 0.60
t+10 15 6 40.0 0.04 -1.08 3.57 -2.31 1.55 -4.25 1.09 0.78
t+20 15 11 73.3 0.96 1.62 3.25 -5.36 0.61 -9.06 1.76 1.38
1st +’ve exit in 5 days 15 13 86.7 1.10 0.58 1.39 -0.74 1.87 -1.20 11.41 8.75

13/15 times $SPY closed higher than the entry at some point of time , over the next five trading days , after $SPY posts more than 1% rise , the day before #Fedday 

below the historical instances of $SPY gaining more than 1% , the day before #fedday , since Jan 2000

Date $SPY t% t+1% t+2% t+3% t+4% t+5%
28-Oct-14 198.41 1.15 ?? ?? ?? ?? ??
21-Jun-11 121.03 1.37 -0.6 -0.88 -2.04 -1.17 0.12
20-Sep-10 105.24 1.52 -0.2 -0.69 -1.49 0.53 0.06
17-Mar-09 69.42 3.06 2.23 0.97 -1.18 5.92 3.83
27-Jan-09 75.06 1.02 3.38 0.01 -2.01 -2.3 -0.93
28-Oct-08 82.58 11.69 -0.73 2.71 3.28 3.57 7.1
06-Aug-07 125.51 1.68 1.07 2.48 -0.57 -1.03 -0.67
27-Jun-07 129.11 1.43 -0.02 0.02 0.92 1.29 1.18
03-May-04 90.71 1.08 -0.09 0.56 -0.31 -1.95 -2.97
17-Mar-03 68.82 3.15 0.58 1.37 1.58 3.75 0.31
05-Nov-01 86.11 1.31 1.56 1.42 1.73 1.83 1.22
10-Sep-01 * 85.3 1.22 -5.23 -5.45 -7.36 -10.3 -11.28
17-Apr-01 92.17 1.41 3.98 5.36 4.39 2.51 1.95
19-Mar-01 90.7 2.04 -2.69 -4.34 -5.31 -2.45 -1.2
18-Dec-00 102.30 1.34 -2.03 -4.88 -4.21 -1.34 -0.28
14-Nov-00 106.91 2.63 0.32 -1.25 -1.79 -3.19 -2.69
15-May-00 111.10 1.73 0.97 -0.09 -1.31 -2.86 -3.59

ps: 10-Sep-2001 , is not considered in the above calculations , as you know !! what happened the next day

pps highlighted in the red were the only two instances where $SPY not able to close above the entry price , in the next five trading days ..

May we recommend @QuantEdges , The Quantifiable Edges Guide To Fed Days 

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