very bullish $SPY quarter end window dressing as on 25-Jun-2015

very bullish $SPY quarter end window dressing as on 25-Jun-2015

window dressing

 

below the trading rules for the bullish quarter end window dressing for $SPY

1) current day is the 4th day from the last trading day of the quarter end ( months of Mar, Jun, Sep,Dec )

2) and as on current day $SPY closed down

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since $SPY IPO, for the bullish quarter end window dressing $SPY pattern

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 47 34 72.3 0.39 0.42 0.69 -0.37 1.84 -0.73 4.20 4.25
t+2 47 35 74.5 0.46 0.61 0.90 -0.80 1.13 -2.22 2.99 3.27
t+3 47 32 68.1 0.27 0.47 0.85 -0.97 0.87 -4.29 2.03 1.47
t+4 47 36 76.6 0.65 0.66 1.27 -1.36 0.93 -5.22 3.40 2.76
t+5 47 33 70.2 0.64 1.04 1.66 -1.78 0.93 -5.40 2.50 2.14
t+10 47 29 61.7 0.71 1.13 2.42 -2.06 1.18 -5.58 1.79 1.83
t+20 47 32 68.1 0.71 0.98 2.54 -3.19 0.80 -13.16 1.89 1.41
1st +’ve exit in 5 days 47 47 100.0 0.66 0.53 0.66 NA NA NA NA 8.75

47/47 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 66 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 quarter end window dressing $SPY pattern” , since $SPY IPO

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%)exit in 5 days
25-Jun-15 209.83 ?? ?? ?? ?? ?? ??
26-Mar-15 204.28 0.23 1.45 0.57 0.21 0.57 0.23
25-Sep-14 193.45 0.79 0.61 0.35 -1.01 -1.00 0.79
26-Mar-14 180.54 -0.21 0.28 1.10 1.77 2.11 0.28
25-Sep-13 163.38 0.38 -0.08 -0.61 0.18 0.08 0.38
25-Mar-13 148.25 0.80 0.80 1.11 0.71 1.21 0.80
26-Dec-12 135.02 -0.13 -1.21 0.47 3.04 2.81 0.47
25-Sep-12 136.29 -0.56 0.37 -0.09 0.17 0.28 0.37
27-Mar-12 132.13 -0.50 -0.67 -0.26 0.47 0.06 0.47
28-Mar-11 120.06 0.67 1.37 1.23 1.66 1.74 0.67
27-Sep-10 103.75 0.35 0.18 -0.12 0.30 -0.46 0.35
26-Mar-10 104.78 0.63 0.70 0.36 1.05 1.87 0.63
25-Sep-09 93.00 1.79 1.48 1.09 -1.42 -1.88 1.79
26-Mar-08 114.36 -0.32 -1.27 -0.92 2.56 2.63 2.56
25-Sep-07 128.65 0.53 1.12 0.79 1.92 1.78 0.53
26-Jun-07 125.42 1.42 1.41 1.44 2.36 2.73 1.42
27-Mar-07 120.31 -0.73 -0.62 -0.60 -0.49 0.58 0.58
27-Jun-06 102.91 0.68 2.71 2.72 3.14 2.55 0.68
28-Mar-06 106.85 0.63 0.45 0.47 0.39 1.04 0.63
27-Dec-05 103.34 0.22 -0.22 -0.77 0.98 1.46 0.22
27-Sep-05 99.58 0.10 0.91 1.23 0.86 -0.27 0.10
27-Sep-04 88.95 0.48 0.98 0.91 2.62 2.79 0.48
25-Jun-04 91.05 -0.34 0.07 0.61 -0.79 -0.84 0.07
25-Sep-03 79.26 -0.33 0.65 -0.33 1.79 2.16 0.65
25-Jun-03 76.79 1.30 0.13 0.10 1.03 2.30 1.30
26-Mar-03 68.32 0.08 -0.42 -2.69 -1.19 1.19 0.08
25-Jun-02 75.52 0.16 1.92 1.44 -0.54 -2.65 0.16
25-Mar-02 87.64 0.58 0.84 0.80 0.84 0.29 0.58
26-Jun-01 92.83 -0.06 0.49 0.86 2.12 2.10 0.49
26-Sep-00 107.82 0.53 1.82 0.86 1.01 0.07 0.53
27-Jun-00 109.63 0.28 -0.67 0.09 1.46 -0.37 0.28
28-Mar-00 113.82 0.10 -1.57 -0.46 0.12 -0.62 0.10
28-Dec-99 109.87 0.43 0.31 0.47 -0.51 -4.40 0.43
25-Jun-99 98.46 1.22 2.17 4.02 4.80 5.85 1.22
26-Mar-99 95.83 2.02 1.48 -0.15 0.61 2.99 2.02
28-Dec-98 90.99 1.58 0.77 0.77 0.54 1.69 1.58
25-Sep-98 77.26 0.90 0.66 -2.40 -5.22 -3.39 0.90
25-Jun-98 83.61 0.41 0.77 0.08 1.24 1.44 0.41
26-Mar-98 81.05 -0.43 -0.48 -0.14 0.67 1.76 0.67
25-Sep-97 68.50 0.83 1.80 0.73 2.07 2.64 0.83
25-Jun-97 64.83 -0.49 -0.11 -0.77 0.39 2.04 0.39
25-Mar-97 57.14 0.44 -2.22 -4.29 -3.67 -5.40 0.44
25-Jun-96 47.85 -0.68 0.02 0.37 1.24 0.86 0.02
26-Sep-95 41.00 -0.08 0.67 0.48 -0.03 0.08 0.67
27-Jun-95 38.01 0.52 0.35 0.29 0.66 1.04 0.52
27-Sep-94 31.69 0.78 0.27 0.14 -0.10 -1.59 0.78
25-Jun-93 29.83 1.12 0.63 0.63 0.35 -0.21 1.12
26-Mar-93 29.70 0.42 0.70 0.63 0.28 -1.81 0.42

conclusion : what happens in Shanghai stays in Shanghai ??

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