2 unfilled gap down closings on $SPY during bull markets – what next ?

2 unfilled gap down closings on $SPY during bull markets

two unfilled gap down closings in row stock chart

 

with $SPY posting 2 unfilled gap down closings ( that is current low is less than the previous close ) , below trading strategy rules

  • $SPY posts two or more unfilled gap down closings
  • $SPY close is above the 200-DMA

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , when “$SPY posts 2 unfilled gap down closings during bull markets “, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 23 13 56.5 0.09 0.25 0.65 -0.63 1.03 -1.85 1.40 1.13
t+2 23 11 47.8 0.12 -0.01 0.72 -0.42 1.71 -1.70 1.67 1.31
t+3 23 13 56.5 -0.02 0.13 0.76 -1.04 0.73 -2.75 0.87 0.68
t+4 23 16 69.6 0.33 0.52 1.01 -1.23 0.82 -3.35 1.82 1.51
t+5 23 17 73.9 0.83 1.01 1.54 -1.17 1.32 -3.63 3.83 3.24
t+10 23 16 69.6 1.50 2.00 2.71 -1.27 2.14 -4.33 5.75 5.15
t+20 22 18 81.8 2.23 3.50 3.96 -5.57 0.71 -14.94 3.23 2.95
1st +’ve exit in 5 days 23 22 95.7 0.50 0.44 0.58 -1.04 0.55 -1.04 12.66 10.91

22 /23 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.50 % .

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

below the table with historical instances of “$SPY posts 2 unfilled gap down closings during bull markets ” , since Jan 2000, along with next 1/2/3/4/5 day returns

Date $SPY t+1% t+2% t+3% t+4% t+5%
12-Jun-14 193.54 ?? ?? ?? ?? ??
15-May-14 187.4 0.35 0.72 0.08 0.92 1.17
24-Jan-14 178.1 -0.49 0.1 -0.86 0.19 -0.39
03-Oct-13 165.98 0.76 -0.11 -1.28 -1.2 0.93
30-Sep-13 166.37 0.79 0.7 -0.23 0.52 -0.35
24-May-13 162.04 0.6 -0.05 0.31 -1.12 -0.58
15-Apr-13 152.05 1.48 -0.01 -0.63 0.24 0.68
08-Jan-13 142.04 0.25 1.06 1.05 0.98 1.05
24-Dec-12 138.92 -0.42 -0.55 -1.63 0.04 2.61
23-Jul-12 130.21 -0.86 -0.84 0.8 2.66 2.66
06-Mar-12 128.65 0.7 1.7 2.09 2.1 3.94
11-Jul-11 124.56 -0.43 -0.1 -0.79 -0.22 -1.04
06-Jun-11 121.19 -0.06 -0.48 0.28 -1.11 -1.04
23-May-11 124.03 -0.09 0.25 0.71 1.1 2.14
15-Mar-11 120.22 -1.85 -0.56 -0.19 1.36 1.01
23-Nov-10 110.18 1.48 0.3 0.6 0.04 2.17
12-Nov-10 111.81 -0.14 -1.7 -1.65 -0.2 0.08
06-Aug-10 103.99 0.54 -0.01 -2.75 -3.35 -3.63
06-Jun-07 131.01 -1.8 -0.53 -0.35 -1.44 0.04
28-Mar-07 122.37 0.11 0.12 0.24 1.32 1.43
27-Nov-06 118.3 0.44 1.49 1.53 1.3 2.08
01-Aug-06 108.25 0.68 0.95 0.78 0.54 0.16
22-Mar-04 89.53 -0.18 -0.1 1.23 1.25 2.68
10-Sep-03 82.25 0.29 0.49 0.13 1.59 1.4

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