When $SPY does a Bearish 20/50-day MA Crossover

When $SPY does a Bearish 20/50-day MA Crossover

h/t @RickyRoma0

a Bearish 20/50-day MA Crossover occurs when

Today’s 20-SMA < Today’s 50-SMA while

Prev Day’s 20-SMA > Prev Day’s 50-SMA

Here are the trading odds for the Longs for the next trading day after $SPY does a Bearish 20/50-day MA Crossover , since 2000.

Total number of trades 39 Percent profitable 59
Number of winning trades 23 Number of losing trades 16
Average profit per trade 0.24 Average profit per trade % 0.22
Median trade 0.18 Median trade % 0.17
Average winning trade 1.27 Average losing trade -1.24
Average winning trade % 1.22 Average losing trade % -1.21
Largest winning trade 5.00 Largest losing trade -4.93
Largest winning trade % 4.65 Largest losing trade % -4.50
Ratio avg win/avg loss 1.03 Ratio avg win/avg loss % 1.01
Max consecutive winners 4 Max consecutive losers 3
Profit factor 1.47 Outlier adjusted profit factor 1.22

no major edge to place bets , but if you take the test period from 2009 till date ?

below the backtest performance summary of $SPY does a Bearish 20/50-day MA Crossover , since 2009.

$SPY bearish 20/50 SMA cross over, trading strategy , backtest performance summary since 2009

That’s almost 1% average profit per trade for a one day holding period on $SPY !!!

while 12 is a small sample size , the point is the constant need to backtest the trading strategies to find the ever changing cycles , and throw away the systems that are not working and pick up the systems that seems to be working.

Below the historical SPY Bearish 20/50-day MA Crossovers and the next day change , change % details , since 2000.

Date $SPY 20SMA 50SMA Prv Day 20 SMA Prv Day 50 SMA Next Day Change  Next Day Change %
04-Sep-13 165.75 166.34 166.36 166.54 166.18 ?? ??
28-Jun-13 160.42 161.55 161.61 161.66 161.47 0.94 0.59
05-Nov-12 139.49 140.95 141.01 141.16 140.99 1.09 0.78
03-May-12 135.50 134.83 134.87 134.86 134.80 -2.19 -1.62
14-Dec-11 117.20 118.07 118.32 118.28 118.14 0.43 0.37
08-Aug-11 107.52 123.61 124.15 124.56 124.54 5.00 4.65
06-Jun-11 122.98 126.95 126.99 127.20 127.02 -0.07 -0.06
23-Mar-11 123.57 123.98 123.98 124.02 123.92 1.19 0.96
02-Sep-10 102.79 101.70 101.73 101.86 101.73 1.33 1.29
18-May-10 105.04 109.66 109.82 110.06 109.84 -0.60 -0.57
08-Feb-10 98.55 103.05 103.37 103.46 103.45 1.24 1.26
10-Jul-09 81.04 83.57 83.77 83.86 83.75 1.97 2.43
02-Feb-09 75.12 78.27 78.63 78.75 78.70 1.05 1.40
16-Sep-08 109.54 113.31 113.49 113.59 113.55 -4.93 -4.50
16-Jun-08 121.60 123.42 123.58 123.71 123.59 -0.59 -0.49
04-Jan-08 125.52 130.64 130.68 130.94 130.85 -0.11 -0.09
12-Nov-07 126.97 133.45 133.72 133.95 133.78 3.87 3.05
03-Aug-07 126.45 132.73 132.99 133.14 133.13 2.12 1.68
09-Mar-07 122.78 124.51 124.52 124.70 124.52 0.18 0.15
23-May-06 107.61 111.65 111.76 111.88 111.81 0.86 0.80
05-Oct-05 101.90 104.16 104.20 104.32 104.25 -0.37 -0.36
08-Sep-05 104.75 103.87 103.88 103.86 103.82 0.93 0.89
04-Apr-05 99.37 100.36 100.53 100.55 100.52 0.47 0.47
26-Jan-05 98.64 99.79 99.91 99.95 99.92 0.17 0.17
23-Jul-04 90.61 92.96 93.09 93.19 93.09 -0.18 -0.20
07-May-04 91.11 93.55 93.62 93.73 93.70 -0.94 -1.03
18-Mar-04 93.36 94.26 94.29 94.35 94.28 -1.34 -1.44
08-Aug-03 80.45 81.01 81.10 81.09 81.05 0.31 0.39
23-Jan-03 72.07 73.74 73.78 73.80 73.79 -1.89 -2.62
30-Dec-02 71.58 73.26 73.32 73.48 73.32 0.10 0.14
24-Sep-02 66.54 71.64 71.94 72.14 72.09 1.65 2.48
19-Apr-02 90.53 90.69 90.71 90.79 90.63 -1.51 -1.67
29-Jan-02 88.19 91.57 91.62 91.80 91.68 1.28 1.45
22-Jun-01 97.54 99.25 99.39 99.50 99.29 -0.89 -0.91
26-Feb-01 100.77 104.58 104.61 104.90 104.77 -0.93 -0.92
27-Sep-00 112.74 116.10 116.21 116.42 116.31 1.45 1.29
11-Aug-00 115.80 115.36 115.37 115.51 115.33 1.46 1.26
08-May-00 111.64 113.15 113.40 113.50 113.25 -0.90 -0.81
08-Feb-00 112.81 111.58 111.58 111.65 111.53 -2.37 -2.10
01-Feb-00 110.17 111.42 111.49 111.60 111.51 0.10 0.09

 

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One thought on “When $SPY does a Bearish 20/50-day MA Crossover

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive $SPY on the third day trading day if second trading is up more than half a percent

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