when $SPY loses by more than 1stdevp(50) on last but one day of the month

when $SPY loses by more than 1stdevp(50) on last but one day of the month

$SPY turn of the month

 

with $SPY losing by more than -110.97% of the standard deviation’s calculated on the last 50 day percent changes , below trading strategy rules

  • current trading day is last but one trading day of the month
  • $SPY lost by more than 1 stdevp(50)

below the trading odds for longs , for $SPY , over 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 30 20 66.7 0.50 0.43 1.09 -0.68 1.59 -2.03 3.07
t+2 30 26 86.7 1.18 0.95 1.61 -1.63 0.99 -2.73 5.77
t+3 30 23 76.7 1.01 0.77 1.71 -1.30 1.31 -2.78 2.41
t+4 30 19 63.3 0.70 0.65 2.07 -1.67 1.24 -6.33 1.10
t+5 30 23 76.7 0.74 0.58 1.84 -2.86 0.64 -5.98 1.41
1st +’ve exit in 5 days % 30 30 100.0 1.07 0.75 1.07 INF INF NA NA

30/30 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 107 bps and a median gains of 75 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 losing by more than 1stdevp(50) % on last but one trading day of the month , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #dasy to 1st +’ve cls
27-Feb-18 274.43 ?? ?? ?? ?? ?? ?? ??
30-Jan-18 281.76 0.05 -0.06 -2.24 -6.33 -4.48 0.05 1
30-Oct-17 255.46 0.16 0.29 0.33 0.66 0.82 0.16 1
29-Jun-17 238.95 0.19 0.36 0.59 -0.33 0.31 0.19 1
30-Jan-17 223.22 -0.01 0.03 0.10 0.79 0.61 0.03 2
29-Sep-16 209.36 0.75 0.51 0.00 0.44 0.51 0.75 1
28-Apr-16 200.24 -0.54 0.25 -0.62 -1.18 -1.20 0.25 2
29-Jun-15 195.05 0.21 1.01 0.92 0.63 1.27 0.21 1
28-Dec-12 126.65 1.70 4.31 4.07 4.53 4.24 1.70 1
30-May-12 117.10 -0.22 -2.73 -2.78 -2.04 0.16 0.16 5
28-Jan-11 110.70 0.75 2.36 2.17 2.40 2.69 0.75 1
30-Aug-10 90.31 0.00 2.99 3.95 5.30 4.11 2.99 2
29-Jun-10 89.37 -0.95 -1.39 -1.93 -1.29 1.82 1.82 5
28-Jan-10 92.29 -1.09 0.45 1.67 1.16 -1.96 0.45 2
27-Nov-09 92.64 0.34 1.58 1.53 0.74 1.31 0.34 1
30-Mar-09 65.93 0.93 2.88 5.89 6.94 6.10 0.93 1
29-Jan-09 70.24 -2.03 -2.33 -0.96 -1.44 0.02 0.02 5
29-Sep-08 91.78 4.14 4.20 0.42 -0.93 -5.98 4.14 1
27-Feb-07 111.14 1.03 0.72 -0.59 -1.54 0.14 1.03 1
30-May-06 99.03 1.12 2.09 2.30 0.81 0.56 1.12 1
28-Apr-05 88.13 1.36 1.93 2.10 2.89 2.85 1.36 1
30-Aug-04 83.96 0.52 0.71 1.85 1.44 2.11 0.52 1
29-Apr-04 84.64 -0.78 0.29 0.21 0.85 -0.02 0.29 2
27-Jun-03 73.03 -0.03 0.89 2.16 1.11 3.11 0.89 2
30-Jan-03 62.66 1.93 2.13 1.13 0.50 0.02 1.93 1
27-Sep-02 61.12 -1.16 3.59 0.48 -0.53 -2.36 3.59 2
30-Aug-01 82.20 0.73 0.09 0.34 -2.25 -4.06 0.73 1
30-Aug-00 107.83 1.33 1.43 0.62 -0.52 0.33 1.33 1
28-Jul-00 101.91 0.64 1.25 1.76 2.46 3.01 0.64 1
30-Mar-00 106.39 1.13 1.72 0.97 0.34 1.21 1.13 1
28-Jan-00 96.98 2.71 3.73 3.82 5.38 4.94 2.71 1

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