a bullish turnaround tuesday pattern on $SPY

a bullish turnaround tuesday pattern on $SPY

bullish turnaround Tuesday trading strategy , on  $SPY , since 2011

with losing -1.86% which is a 149.8% standard deviations ( measured on 50 trading days , including that of current trading day , as on 2nd Feb 2016 , the 50 days standard deviation moves stands at 1.2% ) down move , below trading strategy

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011 ( i.e last 5 years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 31 21 67.7 0.39 0.38 0.92 -0.70 1.30 -1.85 2.35 2.06
t+2% 31 21 67.7 0.85 0.48 1.72 -0.73 2.37 -4.17 3.82 2.54
t+3% 31 22 71.0 0.75 0.41 1.45 -0.97 1.49 -4.31 3.01 2.23
t+4% 31 24 77.4 0.72 0.82 1.54 -2.07 0.74 -10.54 2.53 1.58
t+5% 31 26 83.9 0.90 1.00 1.51 -2.26 0.67 -6.38 3.61 2.58
t+10% 31 22 71.0 0.92 1.24 2.52 -3.00 0.84 -10.25 1.77 1.58
t+20% 31 21 67.7 1.06 1.82 2.86 -2.73 1.05 -6.65 2.06 1.91
1st +’ve in 5 days 31 31 100.0 0.85 0.70 0.88 0.00 INF 0.00 NA 6.28
1st -‘ve in 5 days 31 16 51.6 -0.50 -0.10 -0.86 1.95 0.44 4.82 0.34 -1.55

31/31 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 85 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 $SPY losing more than 1x stdev(50) , on a tuesday , and next 1/2/3/4/5 trading day returns , since 2011 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
2-Feb-16 190.16 ?? ?? ?? ?? ?? ?? ??
1-Sep-15 189.65 1.90 1.97 0.43 2.95 1.57 1.90 1.57
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84 2.40
11-Aug-15 206.35 0.12 0.00 0.36 0.92 0.63 0.12 0.63
26-May-15 207.36 0.95 0.84 0.21 0.41 0.31 0.95 0.31
5-May-15 205.59 -0.41 -0.01 1.30 0.82 0.52 1.30 -0.41
31-Mar-15 203.16 -0.35 0.00 0.68 0.41 0.75 0.00 -0.35
10-Mar-15 200.84 -0.23 1.03 0.41 1.76 1.45 1.03 -0.23
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
6-Jan-15 195.78 1.25 3.04 2.22 1.42 1.13 1.25 1.13
7-Oct-14 188.31 1.75 -0.27 -1.41 -3.03 -2.88 1.75 -0.27
23-Sep-14 192.94 0.78 -0.84 -0.06 -0.24 -0.50 0.78 -0.84
9-Sep-14 193.31 0.38 0.49 -0.10 -0.17 0.58 0.38 -0.10
5-Aug-14 186.22 0.03 -0.51 0.64 0.93 0.79 0.03 -0.51
8-Jul-14 190.33 0.45 0.05 0.19 0.69 0.50 0.45 0.50
24-Jun-14 188.83 0.45 0.38 0.58 0.52 1.20 0.45 1.20
6-May-14 180.29 0.59 0.48 0.63 1.61 1.70 0.59 1.70
15-Oct-13 162.20 1.40 2.07 2.76 2.77 3.36 1.40 3.36
8-Oct-13 158.17 0.07 2.23 2.89 3.30 2.55 0.07 2.55
27-Aug-13 155.36 0.36 0.51 0.20 0.65 1.48 0.36 1.48
11-Jun-13 154.32 -0.83 0.68 0.05 0.82 1.62 0.68 -0.83
23-Oct-12 132.28 -0.28 0.01 -0.05 -0.05 1.00 0.01 -0.28
9-Oct-12 134.88 -0.64 -0.58 -0.91 -0.08 0.93 0.93 -0.64
25-Sep-12 134.78 -0.56 0.37 -0.09 0.17 0.28 0.37 -0.56
10-Apr-12 125.79 0.81 2.13 0.91 0.85 2.34 0.81 2.34
6-Mar-12 124.18 0.70 1.70 2.09 2.10 3.94 0.70 3.94
1-Nov-11 111.72 1.63 3.48 2.85 3.49 4.82 1.63 4.82
25-Oct-11 112.68 1.02 4.53 4.51 1.99 -0.85 1.02 -0.85
2-Aug-11 114.32 0.54 -4.17 -4.31 -10.54 -6.38 0.54 -4.17
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
1-Mar-11 118.18 0.21 1.94 1.18 0.38 1.26 0.21 1.26
22-Feb-11 118.99 -0.61 -0.68 0.38 1.00 -0.68 0.38 -0.61

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