when $SPY posts consecutive unfilled gap downs in row , what next ?

$SPY posts 2 unfilled gap downs in row ?

when $SPY posts , 2 or more unfilled gap dowsn in row , & cls > 200-DMA , since Y2K

with $SPY posting 2 unfilled gap downs in row ,as on 4th May 2016 close , below trading strategy rules

1)  $SPY posting 2 unfilled gap downs in row , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 59 37 62.7 0.29 0.29 0.99 -0.89 1.12 -4.21 1.42 1.60
t+2% 59 29 49.2 0.13 -0.01 1.20 -0.91 1.32 -5.34 1.10 0.67
t+3% 59 30 50.8 -0.04 0.01 1.28 -1.40 0.91 -3.47 0.82 -0.16
t+4% 59 34 57.6 0.20 0.27 1.75 -1.89 0.92 -4.82 1.07 0.68
t+5% 59 39 66.1 0.52 0.67 1.74 -1.85 0.94 -5.86 1.59 1.74
t+10% 59 37 62.7 0.73 1.11 2.55 -2.34 1.09 -7.88 1.61 1.92
t+20% 59 44 74.6 1.83 2.43 3.39 -2.76 1.23 -5.95 2.89 4.12
1st +’ve in 5 days 59 54 91.5 0.63 0.55 0.89 -2.20 0.40 -5.86 3.08 3.35
1st -‘ve in 5 days 59 40 67.8 -0.10 -0.23 -0.80 2.01 0.40 6.10 0.67 -0.49

54/59 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 63 bps

the disastrous loss of 586 bps , occurred during the start of this year , from 31st Dec 2015

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

2)  $SPY posting 2 unfilled gap downs in row , during bull markets , since Y2K 

  • a) as of current trading day , $SPY posts unfilled gap downs ( i.e current high < previous close ) , for two or more days in row
  • b) $SPY close is above 200-DMA

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $SPY posts  2 or more unfilled gap downs in row , and $SPY close is above 200-DMA

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 29 21 72.4 0.24 0.35 0.60 -0.72 0.83 -1.85 2.42 1.66
t+2% 29 17 58.6 0.20 0.10 0.70 -0.50 1.38 -1.70 2.08 1.41
t+3% 29 19 65.5 0.08 0.24 0.72 -1.14 0.63 -2.75 1.11 0.38
t+4% 29 20 69.0 0.33 0.53 1.06 -1.30 0.82 -3.35 1.65 1.31
t+5% 29 22 75.9 0.84 1.00 1.43 -1.05 1.37 -3.63 4.23 3.08
t+10% 29 21 72.4 1.45 1.74 2.41 -1.04 2.30 -4.32 6.33 3.94
t+20% 29 25 86.2 2.59 2.71 3.33 -2.03 1.64 -4.49 8.52 5.60
1st +’ve in 5 days 29 29 100.0 0.57 0.51 0.57 INF INF 0.03 NA 7.02
1st -‘ve in 5 days 29 16 55.2 -0.44 -0.01 -0.50 1.59 0.31 3.94 0.28 -1.85

29/29 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 57 bps

below the prior instances of $SPY posting 2 or mroe unfilled gap downs in row , while close is above 200-DMA , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% 1st -‘ve cls in 5 days% days for 1st +’ve cls
04-May-16 205.01 ?? ?? ?? ?? ?? ?? ?? ??
24-Mar-16 203.12 0.06 0.98 1.43 1.18 1.87 0.06 1.87 1
27-Oct-15 204.32 1.14 1.08 0.64 1.83 2.13 1.14 2.13 1
15-Jun-15 204.73 0.55 0.71 1.76 1.31 1.83 0.55 1.83 1
29-May-15 206.73 0.20 0.10 0.37 -0.48 -0.65 0.20 -0.48 1
30-Apr-15 204.10 1.08 1.37 0.21 -0.20 0.20 1.08 -0.20 1
01-Apr-15 201.40 0.36 1.04 0.77 1.11 1.56 0.36 1.56 1
10-Dec-14 196.94 0.51 -1.12 -1.80 -2.58 -0.67 0.51 -1.12 1
08-Jul-14 189.35 0.45 0.05 0.19 0.69 0.50 0.45 0.50 1
12-Jun-14 185.85 0.30 0.39 0.67 1.41 1.52 0.30 1.52 1
15-May-14 179.96 0.35 0.72 0.08 0.92 1.17 0.35 1.17 1
24-Jan-14 171.03 -0.49 0.10 -0.86 0.19 -0.40 0.10 -0.49 2
03-Oct-13 159.39 0.76 -0.11 -1.28 -1.21 0.92 0.76 -0.11 1
30-Sep-13 159.76 0.79 0.70 -0.23 0.52 -0.35 0.79 -0.23 1
24-May-13 155.61 0.60 -0.05 0.31 -1.13 -0.58 0.60 -0.05 1
15-Apr-13 146.02 1.48 -0.01 -0.63 0.23 0.68 1.48 -0.01 1
08-Jan-13 136.40 0.25 1.05 1.04 0.98 1.04 0.25 1.04 1
24-Dec-12 133.40 -0.42 -0.55 -1.63 0.04 2.61 0.04 -0.42 4
23-Jul-12 125.04 -0.86 -0.84 0.80 2.66 2.66 0.80 -0.86 3
06-Mar-12 123.54 0.70 1.70 2.09 2.10 3.94 0.70 3.94 1
06-Jun-11 116.38 -0.06 -0.48 0.28 -1.12 -1.04 0.28 -0.06 3
15-Mar-11 115.44 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85 4
23-Nov-10 105.81 1.48 0.30 0.60 0.03 2.16 1.48 2.16 1
12-Nov-10 107.37 -0.14 -1.70 -1.65 -0.20 0.07 0.07 -0.14 5
06-Aug-10 99.86 0.53 -0.01 -2.75 -3.35 -3.63 0.53 -0.01 1
06-Jun-07 125.81 -1.80 -0.53 -0.36 -1.44 0.03 0.03 -1.80 5
28-Mar-07 117.51 0.11 0.13 0.24 1.32 1.43 0.11 1.43 1
01-Aug-06 103.96 0.68 0.94 0.77 0.53 0.15 0.68 0.15 1
22-Mar-04 85.97 -0.17 -0.09 1.23 1.26 2.68 1.23 -0.17 3
10-Sep-03 78.98 0.29 0.48 0.13 1.59 1.39 0.29 1.39 1

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2 unfilled gap down closings on $SPY during bull markets – what next ?

2 unfilled gap down closings on $SPY during bull markets

two unfilled gap down closings in row stock chart

 

with $SPY posting 2 unfilled gap down closings ( that is current low is less than the previous close ) , below trading strategy rules

  • $SPY posts two or more unfilled gap down closings
  • $SPY close is above the 200-DMA

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , when “$SPY posts 2 unfilled gap down closings during bull markets “, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 23 13 56.5 0.09 0.25 0.65 -0.63 1.03 -1.85 1.40 1.13
t+2 23 11 47.8 0.12 -0.01 0.72 -0.42 1.71 -1.70 1.67 1.31
t+3 23 13 56.5 -0.02 0.13 0.76 -1.04 0.73 -2.75 0.87 0.68
t+4 23 16 69.6 0.33 0.52 1.01 -1.23 0.82 -3.35 1.82 1.51
t+5 23 17 73.9 0.83 1.01 1.54 -1.17 1.32 -3.63 3.83 3.24
t+10 23 16 69.6 1.50 2.00 2.71 -1.27 2.14 -4.33 5.75 5.15
t+20 22 18 81.8 2.23 3.50 3.96 -5.57 0.71 -14.94 3.23 2.95
1st +’ve exit in 5 days 23 22 95.7 0.50 0.44 0.58 -1.04 0.55 -1.04 12.66 10.91

22 /23 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.50 % .

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

below the table with historical instances of “$SPY posts 2 unfilled gap down closings during bull markets ” , since Jan 2000, along with next 1/2/3/4/5 day returns

Date $SPY t+1% t+2% t+3% t+4% t+5%
12-Jun-14 193.54 ?? ?? ?? ?? ??
15-May-14 187.4 0.35 0.72 0.08 0.92 1.17
24-Jan-14 178.1 -0.49 0.1 -0.86 0.19 -0.39
03-Oct-13 165.98 0.76 -0.11 -1.28 -1.2 0.93
30-Sep-13 166.37 0.79 0.7 -0.23 0.52 -0.35
24-May-13 162.04 0.6 -0.05 0.31 -1.12 -0.58
15-Apr-13 152.05 1.48 -0.01 -0.63 0.24 0.68
08-Jan-13 142.04 0.25 1.06 1.05 0.98 1.05
24-Dec-12 138.92 -0.42 -0.55 -1.63 0.04 2.61
23-Jul-12 130.21 -0.86 -0.84 0.8 2.66 2.66
06-Mar-12 128.65 0.7 1.7 2.09 2.1 3.94
11-Jul-11 124.56 -0.43 -0.1 -0.79 -0.22 -1.04
06-Jun-11 121.19 -0.06 -0.48 0.28 -1.11 -1.04
23-May-11 124.03 -0.09 0.25 0.71 1.1 2.14
15-Mar-11 120.22 -1.85 -0.56 -0.19 1.36 1.01
23-Nov-10 110.18 1.48 0.3 0.6 0.04 2.17
12-Nov-10 111.81 -0.14 -1.7 -1.65 -0.2 0.08
06-Aug-10 103.99 0.54 -0.01 -2.75 -3.35 -3.63
06-Jun-07 131.01 -1.8 -0.53 -0.35 -1.44 0.04
28-Mar-07 122.37 0.11 0.12 0.24 1.32 1.43
27-Nov-06 118.3 0.44 1.49 1.53 1.3 2.08
01-Aug-06 108.25 0.68 0.95 0.78 0.54 0.16
22-Mar-04 89.53 -0.18 -0.1 1.23 1.25 2.68
10-Sep-03 82.25 0.29 0.49 0.13 1.59 1.4

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