when $SPY down for 3 or more days in row in march

when $SPY down for 3 or more days in row in march

$SPY down for more than 3 days in row in marchwith $SPY down for 3 days in row , below trading strategy rules

1) $SPY down for 3 or more days in row

2) current trading month is march

below the trading odds for $SPY , 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 31 25 80.6 0.68 0.35 1.01 -0.68 1.47 -1.30 3.97
t+2 31 24 77.4 1.05 0.82 1.56 -0.71 2.21 -1.81 5.93
t+3 31 24 77.4 1.02 0.64 1.79 -1.64 1.09 -2.55 3.55
t+4 31 20 64.5 0.67 0.33 1.78 -1.34 1.33 -3.75 2.15
t+5 31 24 77.4 1.34 1.02 2.14 -1.41 1.52 -4.12 4.40
1st +’ve exit in 5 days % 31 30 96.8 0.88 0.63 0.96 -1.33 0.72 -1.33 8.41

30/31 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 88 bps and a median gains of 63 bps

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

below the prior instances of $SPY down for 3 or more days in row , in march , 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
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
27-Mar-17 230.17 0.73 0.82 1.14 0.91 0.73 0.73 1
21-Mar-17 230.28 0.24 0.13 0.06 -0.05 0.68 0.24 1
20-Mar-17 233.28 -1.28 -1.05 -1.16 -1.23 -1.33 -1.33 5
08-Mar-17 232.06 0.13 0.48 0.53 0.14 1.01 0.13 1
24-Mar-16 196.06 0.06 0.98 1.43 1.18 1.87 0.06 1
26-Mar-15 193.96 0.23 1.45 0.57 0.21 0.57 0.23 1
25-Mar-15 194.42 -0.24 -0.01 1.21 0.33 -0.03 1.21 3
19-Mar-13 140.46 0.70 -0.16 0.64 0.22 1.02 0.70 1
29-Mar-12 124.62 0.41 1.15 0.73 -0.26 -0.31 0.41 1
22-Mar-12 123.71 0.32 1.73 1.42 0.91 0.74 0.32 1
06-Mar-12 119.23 0.70 1.70 2.09 2.10 3.94 0.70 1
16-Mar-11 109.36 1.32 1.69 3.27 2.91 3.20 1.32 1
26-Mar-10 99.51 0.63 0.70 0.36 1.05 1.87 0.63 1
03-Mar-09 58.21 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
28-Mar-08 107.22 0.35 3.88 3.95 4.21 4.09 0.35 1
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
04-Mar-08 107.90 0.63 -1.45 -2.47 -3.75 -0.29 0.63 1
03-Mar-08 108.31 -0.38 0.25 -1.83 -2.84 -4.12 0.25 2
28-Mar-07 113.44 0.11 0.13 0.24 1.32 1.43 0.11 1
05-Mar-07 109.43 1.71 1.61 2.47 2.50 2.65 1.71 1
07-Mar-06 100.10 0.21 -0.46 0.48 0.67 1.73 0.21 1
06-Mar-06 100.26 -0.16 0.05 -0.62 0.33 0.51 0.05 2
22-Mar-05 90.21 0.09 0.21 0.35 -0.32 1.09 0.09 1
23-Mar-04 82.85 0.08 1.41 1.43 2.86 3.21 0.08 1
11-Mar-04 83.81 1.31 0.07 0.60 1.73 1.75 1.31 1
10-Mar-04 84.91 -1.30 0.00 -1.23 -0.70 0.41 0.41 5
14-Mar-02 84.66 0.95 0.97 1.64 -0.27 -0.23 0.95 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
14-Mar-00 97.51 2.33 7.11 7.82 7.27 9.47 2.33 1
08-Mar-00 97.69 2.92 2.37 1.26 -0.18 2.15 2.92 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days ,

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