a bullish Fed day $SPY pattern

a bullish Fed day $SPY pattern 

The Quantifiable Edges Guide To Fed Dayshere are the trading strategy rules for the ” bullish Fed day $SPY pattern “

1) the next trading trading day is a Fed day ( triggered on Tue’s close as on 16th Jun 2015)

2) the Friday of this week , there is an Opex

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for the bullish Fed day $SPY pattern

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 25 80.6 0.96 0.73 1.43 -0.98 1.46 -1.82 5.17 3.56
t+2 31 23 74.2 0.77 0.97 1.67 -1.81 0.92 -3.82 2.04 2.12
t+3 31 22 71.0 0.95 0.91 1.89 -1.33 1.42 -3.51 2.74 2.80
t+4 31 22 71.0 1.18 0.99 2.35 -1.67 1.40 -4.73 2.43 2.67
t+5 31 21 67.7 0.97 0.64 2.16 -1.55 1.40 -3.82 2.12 2.21
t+10 31 21 67.7 1.15 1.33 2.65 -2.00 1.32 -6.71 2.39 2.24
t+20 31 23 74.2 1.37 2.09 3.16 -3.77 0.84 -15.12 1.91 1.82
1st +’ve exit in 5 days 31 29 93.5 1.01 0.80 1.30 -3.18 0.41 -3.82 4.18 3.43

29/31 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 101 basis points at the 1st positive 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 historical instances of the above “bullish Fed day $SPY pattern” , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
16-Jun-15 210.25 ?? ?? ?? ?? ?? ??
17-Mar-15 207.04 1.20 0.74 1.63 1.43 0.86 1.20
16-Dec-14 195.95 1.96 4.48 4.92 5.41 5.55 1.96
16-Sep-14 197.57 0.14 0.67 0.58 -0.20 -0.77 0.14
17-Jun-14 191.09 0.73 0.84 1.05 1.02 0.41 0.73
18-Mar-14 183.25 -0.53 0.04 -0.34 -0.75 -0.28 0.04
17-Dec-13 173.51 1.71 1.58 2.18 2.73 2.95 1.71
17-Sep-13 165.34 1.16 0.99 0.28 -0.18 -0.42 1.16
18-Jun-13 159.34 -1.38 -3.82 -3.51 -4.73 -3.82 -3.82
12-Mar-12 128.83 1.80 1.69 2.28 2.42 2.83 1.80
12-Dec-11 115.58 -0.93 -1.99 -1.64 -1.50 -2.54 -2.54
14-Mar-11 119.27 -1.14 -2.97 -1.69 -1.33 0.20 0.20
13-Dec-10 113.64 0.09 -0.37 0.21 0.32 0.56 0.09
15-Mar-10 103.88 0.80 1.40 1.35 0.83 1.37 0.80
15-Dec-09 99.62 0.15 -1.05 -0.49 0.52 0.88 0.15
17-Mar-09 68.73 2.24 0.97 -1.18 5.92 3.84 2.24
15-Dec-08 76.52 4.70 3.70 1.76 1.32 0.03 4.70
15-Sep-08 104.12 1.68 -2.90 -0.02 3.96 1.60 1.68
17-Mar-08 110.14 4.16 1.58 3.46 5.53 5.63 4.16
17-Sep-07 125.87 2.95 3.55 2.82 3.10 2.91 2.95
11-Dec-06 118.89 -0.08 0.03 0.91 0.92 0.64 0.03
12-Dec-05 104.10 0.68 1.08 0.78 0.46 -0.06 0.68
13-Dec-04 97.43 0.35 0.43 0.37 -0.30 -0.28 0.35
15-Mar-04 88.74 0.53 1.65 1.68 0.23 -1.05 0.53
15-Sep-03 80.77 1.46 1.26 2.46 1.94 0.84 1.46
11-Aug-03 78.05 0.91 0.40 0.67 0.99 1.86 0.91
17-Mar-03 68.14 0.59 1.35 1.57 3.74 0.29 0.59
12-Aug-02 70.49 -1.82 1.76 3.18 2.87 5.28 1.76
14-May-01 95.96 0.46 2.83 2.99 3.46 4.98 0.46
17-Apr-01 91.26 3.98 5.36 4.39 2.50 1.95 3.98
14-Nov-00 105.85 0.31 -1.26 -1.79 -3.19 -2.69 0.31
15-May-00 110.00 0.96 -0.09 -1.31 -2.86 -3.59 0.96

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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