when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April, since IPO

below the trading strategy rules

1) as on current trading day $SPY MTD ( month to date) returns turns positive ( i.e while on previous trading day the MTD returns were negative )

2) current Month is April and not the first trading day of the month

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since 1993 ( or since IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 16 69.6 0.16 0.31 0.60 -0.84 0.72 -2.10 0.86 0.89
t+2 23 16 69.6 0.07 0.33 0.62 -1.20 0.52 -2.98 0.58 0.32
t+3 23 14 60.9 0.08 0.17 0.69 -0.88 0.78 -2.22 0.70 0.37
t+4 23 11 47.8 0.10 -0.08 1.15 -0.85 1.35 -2.79 0.61 0.31
t+5 22 11 50.0 0.18 0.12 1.66 -1.29 1.28 -4.14 0.86 0.38
t+10 22 15 68.2 0.38 0.39 1.49 -2.00 0.75 -4.43 1.53 0.78
t+20 22 16 72.7 1.78 1.33 3.47 -2.75 1.26 -4.62 2.93 2.17
1st +’ve in 5 days 22 20 90.9 0.51 0.38 0.58 -0.28 2.12 -0.51 9.80 4.82
1st -‘ve in 5 days 22 17 77.3 -0.21 -0.21 -0.65 3.13 0.21 7.64 0.66 -0.49

20/22 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 51 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 historical returns of $SPY MTD returns turning positive in April, since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
12-Apr-16 205.92 ?? ?? ?? ?? ?? ?? ??
06-Apr-16 206.42 -1.20 -0.93 -1.16 -0.24 ?? ?? ??
02-Apr-15 202.13 0.67 0.41 0.75 1.19 1.74 0.67 1.74
29-Apr-14 180.29 0.30 0.31 0.17 0.36 -0.52 0.30 -0.52
21-Apr-14 179.61 0.45 0.22 0.42 -0.40 -0.09 0.45 -0.40
09-Apr-14 179.66 -2.10 -2.98 -2.22 -1.54 -0.51 -0.51 -2.10
23-Apr-13 148.52 0.06 0.47 0.29 0.96 1.20 0.06 1.20
16-Apr-13 148.17 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
09-Apr-13 147.55 1.22 1.56 1.31 -1.04 0.42 1.22 -1.04
02-Apr-13 147.62 -1.01 -0.61 -1.06 -0.39 -0.04 -0.04 -1.01
20-Apr-11 120.04 0.51 0.41 1.27 1.93 2.26 0.51 2.26
18-Apr-06 106.33 0.19 0.33 0.34 0.16 -0.25 0.19 -0.25
04-Apr-06 106.22 0.34 0.24 -0.78 -0.63 -1.47 0.34 -0.78
05-Apr-05 94.48 0.35 0.89 -0.16 -0.08 0.43 0.35 -0.16
22-Apr-04 89.58 0.10 -0.04 0.04 -1.25 -2.12 0.10 -0.04
16-Apr-04 89.25 0.00 -1.68 -1.02 0.37 0.47 0.37 -1.68
11-Apr-01 87.46 1.82 0.75 2.17 6.23 7.64 1.82 7.64
06-Apr-00 111.56 0.63 0.24 -0.05 -2.79 -4.14 0.63 -0.05
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 1.16 2.79
04-Apr-97 54.15 0.39 1.11 0.29 -0.08 -3.25 0.39 -0.08
22-Apr-96 45.55 0.31 -0.05 0.41 0.62 0.62 0.31 -0.05
21-Apr-94 29.99 -0.10 0.94 0.84 0.10 0.42 0.94 -0.10
05-Apr-94 29.92 0.00 0.49 -0.28 0.14 0.00 0.49 -0.28

highlighted in the red were the loss making trades !!

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