when $SPY closes at the bottom 1/3rd of the day’s range for 4 days in row

$SPY closes at the bottom1/3rd of the range for 4 days in row

$SPY bottom range closewith $SPY closing at bottom 22% of day’s range as on 22nd Feb 2018 , ( i.e range of 273.05-269.64 , and close being 270.40 , gives us a value of (270-04-269.64)/(273.05-269.64) = 0.22 or 22%

below the trading strategy rules ,

1) $SPY closes at the bottom 1/3rd of the day’s range for 4 or more days in row

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 33 21 63.6 0.47 0.49 1.41 -1.18 1.20 -2.96 1.78
t+2 33 21 63.6 0.52 0.58 1.65 -1.45 1.14 -5.62 1.88
t+3 33 24 72.7 1.21 0.77 1.95 -0.75 2.60 -2.70 6.39
t+4 33 26 78.8 1.61 1.08 2.30 -0.97 2.37 -2.80 9.69
t+5 33 24 72.7 2.02 1.38 3.11 -0.87 3.59 -1.90 9.24
1st +’ve exit in 5 days % 33 31 93.9 1.20 0.85 1.32 -0.64 2.07 -0.85 23.06

31/33 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 120 bps and a median gains of 85 bps

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

below prior instances of $SPY closing at the bottom 1/3rd range for 4 or more days in row , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #days to 1st +’ve cls
22-Feb-18 270.40 ?? ?? ?? ?? ?? ?? ??
16-Dec-14 185.16 1.96 4.48 4.92 5.41 5.55 1.96 1
15-Dec-14 186.66 -0.80 1.14 3.64 4.08 4.56 1.14 2
14-Oct-14 175.61 -0.68 -0.76 0.41 1.39 3.39 0.41 3
19-Aug-13 150.48 0.49 -0.13 0.78 1.12 0.75 0.49 1
12-Oct-12 128.32 0.83 1.85 2.32 2.05 0.35 0.83 1
18-May-12 115.30 1.72 1.90 1.95 2.15 1.82 1.72 1
17-May-12 116.30 -0.86 0.85 1.02 1.08 1.28 0.85 2
16-May-12 118.05 -1.48 -2.33 -0.65 -0.47 -0.42 -0.42 5
15-May-12 118.50 -0.38 -1.86 -2.70 -1.03 -0.85 -0.85 5
19-Dec-11 106.44 3.03 3.23 4.14 5.07 5.15 3.03 1
16-Dec-11 107.59 -1.07 1.92 2.12 3.03 3.95 1.92 2
14-Jul-11 114.53 0.58 -0.24 1.37 1.31 2.72 0.58 1
08-Jun-11 111.78 0.76 -0.64 -0.56 0.70 -1.09 0.76 1
28-Oct-09 88.28 2.15 -0.81 -0.09 0.23 0.49 2.15 1
03-Mar-09 58.21 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
18-Jan-08 107.14 -1.01 1.36 2.22 0.74 2.41 1.36 2
24-May-07 120.83 0.42 0.78 1.60 1.50 2.00 0.42 1
21-Dec-05 98.58 0.52 0.58 -0.44 -0.22 -0.67 0.52 1
20-Dec-05 98.43 0.16 0.68 0.74 -0.29 -0.06 0.16 1
29-Mar-05 89.93 1.42 1.23 0.77 0.94 1.42 1.42 1
28-Mar-05 90.53 -0.66 0.74 0.55 0.10 0.27 0.74 2
25-Jan-05 89.84 0.30 0.47 0.47 1.10 1.74 0.30 1
24-Jan-05 89.59 0.28 0.58 0.76 0.76 1.38 0.28 1
05-Jan-05 90.71 0.51 0.36 0.84 0.14 0.47 0.51 1
04-Jan-05 91.34 -0.69 -0.19 -0.33 0.14 -0.55 0.14 4
19-Jul-04 83.74 1.27 -0.60 -0.33 -1.16 -1.35 1.27 1
30-Apr-04 83.98 1.07 0.99 1.64 0.77 -0.90 1.07 1
11-Mar-04 83.81 1.31 0.07 0.60 1.73 1.75 1.31 1
20-Sep-02 62.30 -0.82 -2.42 0.00 1.64 -1.90 1.64 4
23-Jul-02 58.78 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.74 3.07 2.19 4.14 9.21 3.07 2
19-Jul-02 62.28 -2.96 -5.62 0.01 -0.84 1.05 0.01 3
31-Oct-01 77.03 2.56 3.26 4.61 6.24 6.10 2.56 1

highlighted in red are 2 losing trading trades when $SPY failed to close higher than the entry over the next 5 trading days 

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