what next for $SPY when $VXX daily low crosses below lower bollinger band

what next for $SPY when $VXX daily low crosses below LBB

here are the trading strategy rules

  • $VXX daily low is below lower bollinger band , 
  • $VXX daily low is above lower bollinger band during the previous trading day
  • go long on $SPY at close
  • exit at next trading day at close

below the backtest performance summary of  “go long on $SPY when $VXX daily low crosses below lower bollinger band trading strategy  since Jul 2009 ( i.e during last 4 years)

go long on $SPY when $VXX daily low crosses below lower bollinger band trading strategy , backtest  summary , since July 2009

that avg win/avg loss ratio ( pay off ratio ) of 2.25 is bit impressive for the bulls !

below the next day change , change% details for $SPY , when ever $VXX daily low crosses below lower bollinger band , since July 2009.

Date Next Day Change Next Day Change % Date Next Day Change Next Day Change %
08-Jul-13 ?? ?? 19-Apr-11 1.70 1.36
09-Apr-13 1.91 1.22 12-Jan-11 -0.19 -0.16
19-Feb-13 -1.89 -1.25 05-Jan-11 -0.23 -0.19
18-Dec-12 -1.06 -0.74 03-Jan-11 -0.06 -0.05
19-Nov-12 0.06 0.04 03-Dec-10 -0.13 -0.11
17-Oct-12 -0.38 -0.26 04-Nov-10 0.43 0.37
13-Sep-12 0.64 0.45 08-Oct-10 0.10 0.09
05-Sep-12 2.80 2.03 13-Sep-10 -0.07 -0.07
06-Aug-12 0.68 0.50 01-Sep-10 0.95 0.93
18-Jun-12 1.27 0.97 18-Jun-10 -0.30 -0.29
11-Jun-12 1.47 1.15 21-Apr-10 0.33 0.29
23-Mar-12 1.91 1.41 06-Apr-10 -0.63 -0.57
19-Mar-12 -0.40 -0.29 01-Apr-10 0.90 0.82
12-Mar-12 2.41 1.81 18-Feb-10 0.21 0.20
23-Jan-12 -0.15 -0.12 18-Dec-09 1.04 1.01
21-Dec-11 1.07 0.89 16-Dec-09 -1.24 -1.20
02-Dec-11 1.31 1.09 08-Oct-09 0.60 0.61
27-Oct-11 -0.03 -0.02 06-Oct-09 0.27 0.28
30-Jun-11 1.87 1.48 16-Sep-09 -0.14 -0.14
27-May-11 1.33 1.05 09-Sep-09 0.97 1.01
20-May-11 -1.48 -1.16 22-Jul-09 1.94 2.20

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