14 Dec : $SPY trade ideas

14 Dec : $SPY trade ideas

 

1- $SPY posts a 20 day low close in dec

trading strategy rules

  • $SPY closes at 20 day lowest close as on current trading day ( a close below 263.25 triggers this setup )
  • current trading month is Dec

below the forward odds for $SPY longs , for the next 1/2/3/4/5 trading days , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 24 18 75 0.62 0.66 1.12 -0.87 1.28 -2.90 2.76 -0.31 -3.02 1.20
t+2 24 19 79 1.18 1.33 1.84 -1.32 1.40 -2.22 3.80 -0.50 -3.45 2.06
t+3 24 21 88 2.03 2.19 2.58 -1.88 1.38 -3.60 7.54 -0.72 -3.72 3.00
t+4 24 21 88 2.45 2.88 3.08 -1.91 1.61 -2.93 8.01 -0.81 -4.15 3.65
t+5 24 20 83 2.88 2.61 3.58 -0.64 5.64 -1.52 22.78 -0.93 -4.15 4.11
1st +’ve exit in 5 days % 24 24 100 1.01 0.81 1.01 0.10 -0.35 -3.45 1.36

24/24 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 101 basis points and a median gain of 81 bps

21/24 times $SPY closed at a higher close than the current close after three trading days ( t+3) , for an average gain of 203 bps , and a median gain of 219 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 closing at 20 day low in dec , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Dec-18 260.47 ?? ?? ?? ?? ?? ?? ??
18-Dec-15 189.60 0.82 1.74 3.00 2.83 2.59 0.82 1
11-Dec-15 190.22 0.51 1.56 3.05 1.48 -0.32 0.51 1
16-Dec-14 182.77 1.96 4.48 4.92 5.41 5.55 1.96 1
15-Dec-14 184.25 -0.80 1.14 3.64 4.08 4.56 1.14 2
12-Dec-14 185.53 -0.69 -1.48 0.45 2.93 3.37 0.45 3
10-Dec-14 187.62 0.51 -1.12 -1.80 -2.58 -0.67 0.51 1
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
12-Dec-13 161.37 -0.01 0.61 0.29 2.00 1.89 0.61 2
28-Dec-12 125.02 1.70 4.31 4.07 4.53 4.24 1.70 1
30-Dec-05 96.14 1.76 2.24 2.31 3.16 3.42 1.76 1
29-Dec-05 96.66 -0.54 1.21 1.69 1.75 2.60 1.21 2
27-Dec-02 64.01 0.84 0.97 4.22 4.54 6.39 0.84 1
19-Dec-02 65.00 1.42 1.45 0.70 0.74 -1.52 1.42 1
13-Dec-02 65.13 2.59 1.69 0.51 -0.20 1.22 2.59 1
13-Dec-01 80.54 0.95 2.00 2.61 3.33 2.31 0.95 1
20-Dec-00 89.89 0.69 3.71 4.83 5.59 5.92 0.69 1
19-Dec-00 92.57 -2.90 -2.22 0.71 1.79 2.54 0.71 3
15-Dec-00 93.25 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
14-Dec-98 79.02 2.58 2.45 4.08 4.52 5.98 2.58 1
24-Dec-97 64.27 0.40 2.38 3.98 3.91 4.45 0.40 1
23-Dec-97 64.47 -0.30 0.10 2.07 3.67 3.60 0.10 2
16-Dec-96 48.80 0.80 1.60 3.69 3.92 3.66 0.80 1
12-Dec-96 49.31 0.26 -1.03 -0.24 0.56 2.63 0.26 1
08-Dec-94 28.92 0.38 1.04 1.43 1.95 2.26 0.38 1

 

2- $SPY from 2nd Friday of December , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 25 17 68 0.19 0.30 0.86 -1.22 0.70 -2.88 1.09 -0.50 -3.03 0.77
t+2 25 18 72 0.55 0.30 1.12 -0.93 1.20 -2.38 2.24 -0.63 -3.03 1.20
t+3 25 18 72 0.62 0.47 1.19 -0.85 1.41 -3.42 2.72 -0.76 -3.63 1.43
t+4 25 21 84 0.68 0.34 1.02 -1.09 0.93 -3.07 4.01 -0.93 -3.63 1.83
t+5 25 18 72 0.72 0.82 1.34 -0.89 1.51 -2.93 3.00 -1.32 -4.26 2.10
1st +’ve exit in 5 days % 25 24 96 0.74 0.60 0.89 -2.93 0.30 -2.93 5.26 -0.61 -3.63 1.11

 

24/25 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of  74 basis points and a median gain of 60 bps

below the $SPY returns from 2nd friday of december , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Dec-18 260.47 ?? ?? ?? ?? ?? ?? ??
08-Dec-17 260.76 0.30 0.48 0.47 0.06 0.89 0.30 1
09-Dec-16 218.05 -0.11 0.55 -0.28 0.13 -0.06 0.55 2
11-Dec-15 190.22 0.51 1.56 3.05 1.48 -0.32 0.51 1
12-Dec-14 185.53 -0.69 -1.48 0.45 2.93 3.37 0.45 3
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
14-Dec-12 125.96 1.18 2.30 1.54 2.13 1.20 1.18 1
09-Dec-11 109.40 -1.46 -2.38 -3.42 -3.07 -2.93 -2.93 5
10-Dec-10 105.94 0.06 0.15 -0.31 0.27 0.38 0.06 1
11-Dec-09 92.73 0.68 0.22 0.37 -0.84 -0.28 0.68 1
12-Dec-08 72.38 -1.39 3.25 2.25 0.34 -0.09 3.25 2
14-Dec-07 117.25 -1.43 -0.88 -0.88 -0.25 1.18 1.18 5
08-Dec-06 110.60 0.29 0.21 0.32 1.20 1.21 0.29 1
09-Dec-05 97.03 0.09 0.78 1.17 0.88 0.56 0.09 1
10-Dec-04 90.12 0.87 1.22 1.30 1.24 0.57 0.87 1
12-Dec-03 80.13 -0.50 0.02 0.33 1.46 1.18 0.02 2
13-Dec-02 65.13 2.59 1.69 0.51 -0.20 1.22 2.59 1
14-Dec-01 81.31 1.03 1.64 2.35 1.34 1.96 1.03 1
08-Dec-00 95.09 3.48 3.03 1.62 0.33 -1.93 3.48 1
10-Dec-99 99.71 0.18 -0.79 -0.26 0.18 0.82 0.18 1
11-Dec-98 81.37 -2.88 -0.37 -0.51 1.08 1.51 1.08 4
12-Dec-97 65.62 1.01 1.63 1.11 0.13 -0.61 1.01 1
13-Dec-96 49.44 -1.28 -0.49 0.30 2.37 2.59 0.30 3
08-Dec-95 41.04 0.43 0.13 0.75 0.03 0.06 0.43 1
09-Dec-94 29.03 0.66 1.04 1.56 1.87 2.37 0.66 1
10-Dec-93 29.27 0.60 -0.13 -0.27 0.07 0.61 0.60 1

 

highlighted in the red , is the only instance ( 9 Dec 2011) of $SPY not able to close above the entry price over the next 5 trading days

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