when $SPY lost by more than 1% for 3 or more days

when $SPY lost by more than 1% for 3 or more days

3 , 1% down days in row

with $SPY losing more than 1% for 3 or more consecutive days , below the $SPY trading odds 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 22 71.0 1.06 0.52 2.58 -2.65 0.97 -6.98 1.88
t+2 31 18 58.1 1.21 0.91 4.08 -2.78 1.47 -9.33 1.84
t+3 31 18 58.1 0.89 1.59 4.04 -3.48 1.16 -13.39 1.45
t+4 31 22 71.0 1.62 1.32 3.61 -3.22 1.12 -15.49 2.47
t+5 31 18 58.1 1.74 1.54 4.71 -2.37 1.99 -7.68 2.27
1st +’ve exit in 5 days % 31 29 93.5 2.58 1.60 2.94 -2.72 1.08 -3.22 11.93

29/31 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 258 bps and a median gains of 160 bps

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

as there was once during a sequence of 7 , 1% down moves during 6-10 oct 2008 , and few other times when it went to 4 consecutive 1% down days , here the trading odds for $SPY , when $SPY falls by more than 1% for exactly 3 days ( that is the first occurrence of 3 consecutive , 1% down  days)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 24 18 75.0 0.79 0.52 1.72 -1.99 0.86 -4.48 2.10
t+2 24 14 58.3 0.88 0.90 2.67 -1.62 1.65 -6.89 1.99
t+3 24 12 50.0 0.33 -0.03 3.47 -2.81 1.23 -13.39 1.01
t+4 24 16 66.7 0.72 0.61 2.84 -3.53 0.80 -15.49 1.35
t+5 24 13 54.2 1.25 0.74 4.07 -2.08 1.96 -5.03 1.86
1st +’ve exit in 5 days % 24 22 91.7 1.54 1.08 1.93 -2.72 0.71 -3.22 6.15

below the prior instances of $SPY falling by more than 1% for 3 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
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
08-Jan-16 184.30 0.10 0.91 -1.61 0.01 -2.14 0.10 1
25-Aug-15 177.82 3.84 6.41 6.41 5.55 2.40 3.84 1
24-Aug-15 179.93 -1.18 2.62 5.16 5.16 4.31 2.62 2
13-Oct-14 175.34 0.15 -0.52 -0.61 0.57 1.54 0.15 1
22-Jan-10 92.83 0.51 0.09 0.57 -0.59 -1.67 0.51 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
12-Nov-08 70.71 6.23 0.93 -0.41 1.47 -5.03 6.23 1
10-Oct-08 72.92 14.52 12.82 1.72 5.95 5.32 14.52 1
09-Oct-08 74.74 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 80.35 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 82.42 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
06-Oct-08 86.29 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 5
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
22-Jan-08 106.06 2.40 3.27 1.77 3.46 3.97 2.40 1
15-Apr-05 88.09 0.31 1.10 -0.31 1.63 1.24 0.31 1
22-Jan-03 65.43 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
11-Nov-02 65.19 0.79 0.90 2.80 3.56 2.52 0.79 1
07-Oct-02 58.44 1.57 -1.30 1.90 6.36 6.95 1.57 1
04-Oct-02 59.68 -2.07 -0.53 -3.34 -0.21 4.16 4.16 5
19-Sep-02 62.28 0.03 -0.79 -2.39 0.03 1.67 0.03 1
05-Aug-02 61.59 3.37 5.17 8.57 8.98 8.18 3.37 1
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
10-Jul-02 67.73 0.81 -0.29 0.24 -1.69 -1.50 0.81 1
21-Jun-02 73.00 0.52 -1.73 -1.57 0.15 -0.32 0.52 1
21-Sep-01 70.83 3.52 4.59 4.22 5.13 7.36 3.52 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
21-Feb-01 90.61 0.15 -0.53 1.59 0.65 -1.33 0.15 1
15-Dec-00 94.47 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
19-May-00 100.98 -0.75 -2.21 -0.62 -2.33 -2.21 -2.21 5
14-Apr-00 97.31 3.49 6.23 5.24 5.74 4.60 3.49 1

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

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