page #234 from $SPY High Probability Trading Strategies
below trading strategy , ctrl+c & ctrl+v ‘ed from
$SPY High Probability Trading Strategies : PDF
Trading strategy rules
- Current trading day is 134th trading day of the year
- Go Short at close
below the trading odds for $SPY, for the next 1/2/3/4/5/10/20 trading days , since Y2K ->
trading odds from 134th trading day of the year for $SPY , since IPO | ||||||||||||||
Exit | # | Wins | %Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % | OAPF | Avg DD% | Max DD% | Avg Run Up% | T-Test |
t+1 | 25 | 9 | 36 | -0.19 | -0.08 | 0.51 | -0.58 | 0.87 | -2.75 | 0.44 | -0.67 | -2.94 | 0.43 | -1.14 |
t+2 | 25 | 13 | 52 | -0.13 | 0.04 | 0.64 | -0.96 | 0.66 | -2.88 | 0.73 | -1.02 | -3.15 | 0.68 | -0.61 |
t+3 | 25 | 16 | 64 | 0.04 | 0.24 | 0.89 | -1.47 | 0.61 | -4.92 | 1.55 | -1.36 | -6.42 | 0.97 | 0.13 |
t+4 | 25 | 12 | 48 | -0.46 | -0.14 | 0.99 | -1.79 | 0.55 | -8.26 | 0.67 | -1.77 | -8.71 | 1.09 | -1.10 |
t+5 | 25 | 12 | 48 | -0.40 | -0.12 | 0.97 | -1.66 | 0.58 | -10.98 | 0.66 | -2.15 | -11.79 | 1.29 | -0.79 |
1st -‘ve exit in 5 days % | 25 | 24 | 96 | 0.61 | -0.24 | 0.65 | -0.36 | 1.80 | -0.36 | 14.89 | -0.33 | -1.34 | 0.94 | 3.69 |
24/25 times , since IPO, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 61 bps and median of -24 bps
PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )
below the historical $SPY returns , over the next 1/2/3/4/5 trading days , from 134th trading day of the year when on last trading day , $SPY down for the month by more than 5% , 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 |
15-Jul-19 | 300.75 | ?? | ?? | ?? | ?? | ?? | ?? | ?? |
13-Jul-18 | 274.14 | -0.09 | 0.31 | 0.53 | 0.15 | 0.03 | -0.09 | 1 |
14-Jul-17 | 236.36 | -0.01 | 0.04 | 0.58 | 0.63 | 0.54 | -0.01 | 1 |
14-Jul-16 | 203.87 | -0.13 | 0.13 | 0.03 | 0.45 | 0.07 | -0.13 | 1 |
15-Jul-15 | 194.42 | 0.8 | 0.89 | 0.94 | 0.54 | 0.36 | 0.36 | 5 |
15-Jul-14 | 178.56 | 0.37 | -0.77 | 0.24 | 0.06 | 0.49 | -0.77 | 2 |
15-Jul-13 | 149.3 | -0.37 | -0.12 | 0.43 | 0.61 | 0.8 | -0.37 | 1 |
13-Jul-12 | 117.89 | -0.24 | 0.45 | 1.19 | 1.46 | 0.53 | -0.24 | 1 |
14-Jul-11 | 111.35 | 0.58 | -0.24 | 1.37 | 1.31 | 2.72 | -0.24 | 2 |
15-Jul-10 | 91.45 | -2.75 | -2.18 | -1.09 | -2.38 | -0.2 | -2.75 | 1 |
15-Jul-09 | 76.3 | -0.16 | 0.93 | 2.01 | 2.48 | 2.46 | -0.16 | 1 |
14-Jul-08 | 97.77 | -1.41 | 1.01 | 2.02 | 2.66 | 2.71 | -1.41 | 1 |
16-Jul-07 | 120.92 | -0.05 | -0.23 | 0.16 | -0.86 | -0.56 | -0.05 | 1 |
14-Jul-06 | 94.73 | -0.15 | 0.36 | 1.76 | 1.06 | 0.35 | -0.15 | 1 |
14-Jul-05 | 92.59 | -0.06 | -0.46 | 0.09 | 0.43 | -0.15 | -0.06 | 1 |
15-Jul-04 | 81.83 | -0.08 | -0.51 | 0.76 | -1.1 | -0.83 | -0.08 | 1 |
15-Jul-03 | 73.07 | -0.59 | -2 | -0.99 | -2.22 | -1.33 | -0.59 | 1 |
15-Jul-02 | 66.01 | -1.93 | -1.73 | -4.92 | -8.26 | -10.98 | -1.93 | 1 |
13-Jul-01 | 86.2 | -1.25 | -0.33 | -1.01 | -0.14 | -0.74 | -1.25 | 1 |
13-Jul-00 | 104.44 | 0.98 | 0.81 | -0.01 | -0.81 | 0.56 | -0.01 | 3 |
15-Jul-99 | 97.36 | 0.54 | -0.12 | -2.17 | -2.28 | -3.57 | -0.12 | 2 |
15-Jul-98 | 80.18 | 0.69 | 0.82 | 0.82 | -0.93 | -0.93 | -0.93 | 4 |
14-Jul-97 | 61.92 | 0.51 | 1.83 | 1.32 | -0.83 | -0.81 | -0.83 | 4 |
11-Jul-96 | 42.63 | 0.07 | -2.88 | -2.64 | -1.48 | -0.12 | -2.88 | 2 |
13-Jul-95 | 36.29 | -0.08 | 0.47 | -0.39 | -1.48 | -1.11 | -0.08 | 1 |
14-Jul-94 | 28.62 | 0.03 | 0.21 | 0 | -0.45 | -0.24 | -0.45 | 4 |
highlighted in red is the only time $SPY did not close lower than the entry over the next 5 trading days you might want to consider subscribing to our daily quant rants email !!
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