a bearish NFP trading setup on $SPY

a bearish NFP trading setup on $SPY

Non Farm Payroll Report

a $SPY bearish trading setup into NFP on 5th June 2015

below the trading strategy rules

  • $SPY closes at 10 day low
  • tomorrow is NFP ( Non Farm Payrolls release day)

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for going long on prior day of NFP release day , when $SPY closes at 10 day low 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 25 12 48.0 -0.19 -0.06 0.53 -0.85 0.63 -2.45 0.66 0.47
t+2 25 12 48.0 -0.41 -0.50 1.08 -1.78 0.60 -6.65 0.67 0.55
t+3 25 12 48.0 0.04 -0.01 1.95 -1.71 1.13 -5.84 1.06 0.93
t+4 25 11 44.0 -0.08 -0.22 2.26 -1.92 1.18 -6.62 0.88 0.73
t+5 25 12 48.0 0.32 -0.45 2.76 -1.93 1.43 -7.95 1.20 0.97
t+10 25 13 52.0 0.37 0.80 3.86 -3.42 1.13 -8.12 1.10 0.88
t+20 25 17 68.0 1.83 2.46 4.55 -3.95 1.15 -9.30 2.26 1.85
1st +’ve in 5 days 25 19 76.0 -0.15 0.32 0.69 -2.83 0.24 -7.95 0.90 0.73
1st -‘ve in 5 days 25 22 88.0 0.50 -0.51 -0.87 2.15 0.40 2.86 2.13 1.78

22/25 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 50 basis points ( and median loss of 51 bps) at the 1st negative close within in the next five trading days 

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 posting a 10 day low prior to NFP release day , since Y2K , and the next 1/2/3/4/5/10/20 trading days ,

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days 1st -‘ve exit in 5 days
04-Jun-15 210.13 ?? ?? ?? ?? ?? ?? ??
31-Jul-14 190.29 -0.30 0.42 -0.56 -0.53 -1.07 0.42 -0.30
05-Dec-13 173.79 1.12 1.38 1.01 -0.13 -0.45 1.12 -0.13
07-Nov-13 169.89 1.35 1.37 1.16 1.97 2.48 1.35 2.48
04-Aug-11 111.32 -0.14 -6.65 -2.31 -6.62 -2.43 -2.43 -0.14
02-Jun-11 121.34 -1.00 -2.04 -2.10 -2.51 -1.77 -1.77 -1.00
05-May-11 123.07 0.45 0.83 1.69 0.63 1.11 0.45 1.11
01-Jul-10 93.25 -0.54 0.11 3.26 4.29 5.06 0.11 -0.54
06-May-10 102.01 -1.49 2.84 2.56 3.99 2.70 2.84 -1.49
04-Feb-10 95.74 0.21 -0.51 0.73 0.53 1.59 0.21 -0.51
01-Oct-09 92.12 -0.47 1.02 2.48 2.76 3.54 1.02 -0.47
05-Mar-09 60.48 0.18 -0.99 4.91 5.59 9.74 0.18 -0.99
04-Sep-08 107.54 0.32 2.38 -0.65 -0.25 1.19 0.32 -0.65
02-Jul-08 109.40 0.11 -0.91 0.84 -1.10 -0.69 0.11 -0.91
06-Mar-08 112.51 -1.03 -2.34 1.17 0.23 0.45 1.17 -1.03
03-Jan-08 124.36 -2.45 -2.53 -4.11 -3.10 -2.47 -2.47 -2.45
02-Nov-06 114.66 -0.18 0.94 1.33 1.55 1.02 0.94 -0.18
09-Mar-06 105.42 0.95 1.14 2.20 2.66 2.86 0.95 2.86
06-Oct-05 98.13 0.35 -0.50 -0.64 -1.43 -1.49 0.35 -0.50
05-Aug-04 87.12 -1.42 -1.29 -0.01 -0.22 -1.31 -1.31 -1.42
01-Jul-04 90.77 -0.06 -0.93 -0.64 -1.32 -1.07 -1.07 -0.06
06-Mar-03 64.97 0.69 -1.72 -2.69 -2.03 1.35 0.69 -1.72
05-Dec-02 71.44 0.66 -2.11 -0.80 -0.71 -0.73 0.66 -2.11
06-Jun-02 80.20 -0.12 0.26 -1.46 -0.86 -1.85 0.26 -0.12
04-Apr-02 87.34 0.01 0.23 -0.48 0.65 -1.85 0.01 -0.48
06-Sep-01 85.00 -1.85 -0.65 -5.84 -6.06 -7.95 -7.95 -1.85

highlighted in green were the only three instances when $SPY didn’t post a lower in next five trading days , 

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out new the look paststat – single click backtesting site 

One thought on “a bearish NFP trading setup on $SPY

  1. Pingback: Quantocracy's Daily Wrap for 06/05/2015 | Quantocracy

Leave a Reply