a bullish turn-around tuesday $SPY pattern

a bullish turn-around tuesday $SPY pattern 

turnaroundtuesday

 

below a turn-around-tuesday bullish $SPY pattern on $SPY at 4-Aug-2015 close , trading strategy rules

1) $SPY closed down for exactly three days in row  &

2) current trading day is tuesday

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days since , Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 42 27 64.3 0.46 0.32 1.01 -0.52 1.93 -1.89 3.07 2.98
t+2 42 26 61.9 0.77 0.47 1.88 -1.03 1.82 -3.31 2.19 2.47
t+3 42 27 64.3 0.89 0.65 2.02 -1.15 1.76 -2.93 2.64 2.67
t+4 42 27 64.3 1.27 1.31 2.54 -1.03 2.46 -3.40 3.71 3.67
t+5 42 29 69.0 1.52 1.06 2.83 -1.41 2.00 -3.01 4.06 3.72
t+10 42 29 69.0 1.89 1.80 3.73 -2.20 1.69 -4.89 2.91 3.42
t+20 42 26 61.9 1.79 2.10 4.92 -3.30 1.49 -10.60 1.93 2.30
1st +’ve exit in 5 days 42 39 92.9 0.70 0.58 0.89 -1.74 0.51 -2.97 6.38 4.47

39/42 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 70 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 )

vs

when $SPY closed down for exactly three days in row , but current trading days is NOT tuesday , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 164 96 58.5 0.15 0.22 1.00 -1.04 0.96 -4.50 1.28 1.36
t+2 164 91 55.5 0.12 0.11 1.31 -1.35 0.96 -7.03 1.14 0.86
t+3 164 86 52.4 0.20 0.18 1.66 -1.42 1.17 -13.39 1.27 1.13
t+4 164 95 57.9 0.29 0.28 1.78 -1.76 1.01 -15.49 1.36 1.47
t+5 164 87 53.0 0.36 0.15 2.23 -1.75 1.27 -6.77 1.37 1.79
t+10 163 97 59.5 0.61 1.00 2.84 -2.68 1.06 -14.02 1.43 2.11
t+20 163 101 62.0 0.76 1.42 3.77 -4.15 0.91 -17.20 1.39 1.97
1st +’ve exit in 5 days 164 134 81.7 0.32 0.51 1.00 -2.70 0.37 -6.77 1.62 2.22

that’s 38 bps of put-performance of going long long on tuesday , when $SPY closed down for exactly three days in row , vs when on other four week days .

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