$SPY from the last trading day of April
below the trading odds for $SPY longs from the last trading day of April , to the next 1/2/3/4/5/10/20 trading days , since 1993 ( IPO)
| Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % | OAPF | T-Test |
| t+1% | 23 | 17 | 73.9 | 0.55 | 0.56 | 0.87 | -0.37 | 2.34 | -0.88 | 4.88 | 3.51 |
| t+2% | 23 | 16 | 69.6 | 0.58 | 0.52 | 1.09 | -0.58 | 1.89 | -1.51 | 3.67 | 2.46 |
| t+3% | 23 | 15 | 65.2 | 0.49 | 0.35 | 1.40 | -1.22 | 1.14 | -2.99 | 1.50 | 1.45 |
| t+4% | 23 | 13 | 56.5 | 0.25 | 0.54 | 1.78 | -1.74 | 1.03 | -4.94 | 0.83 | 0.54 |
| t+5% | 23 | 12 | 52.2 | -0.11 | 0.20 | 1.43 | -1.80 | 0.80 | -6.35 | 0.66 | -0.26 |
| t+10% | 23 | 13 | 56.5 | 0.41 | 0.40 | 2.00 | -1.65 | 1.21 | -4.14 | 1.09 | 0.90 |
| t+20% | 23 | 15 | 65.2 | 0.62 | 1.71 | 2.73 | -3.33 | 0.82 | -7.95 | 1.05 | 0.88 |
| 1st +’ve in 5 days | 23 | 22 | 95.7 | 0.80 | 0.80 | 0.91 | -1.63 | 0.56 | -1.63 | 7.88 | 5.06 |
22/23 times $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 80 bps
PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )
below the prior historical returns of $SPY returns from the last trading day of April since 1993
| Date | $SPY | t+1% | t+2% | t+3% | t+4% | t+5% | 1st +’ve in 5 days% | 1st -‘ve in 5 days% |
| 29-Apr-16 | ~205.6 | ?? | ?? | ?? | ?? | ?? | ?? | ?? |
| 30-Apr-15 | 204.10 | 1.08 | 1.37 | 0.21 | -0.20 | 0.20 | 1.08 | -0.20 |
| 30-Apr-14 | 180.83 | 0.01 | -0.13 | 0.06 | -0.81 | -0.23 | 0.01 | -0.13 |
| 30-Apr-13 | 150.31 | -0.88 | 0.04 | 1.06 | 1.32 | 1.83 | 0.04 | -0.88 |
| 30-Apr-12 | 128.80 | 0.62 | 0.32 | -0.44 | -2.05 | -1.98 | 0.62 | -0.44 |
| 29-Apr-11 | 123.04 | -0.15 | -0.51 | -1.17 | -2.07 | -1.63 | -1.63 | -0.15 |
| 30-Apr-10 | 105.07 | 1.30 | -1.09 | -1.67 | -4.94 | -6.35 | 1.30 | -1.09 |
| 30-Apr-09 | 75.79 | 0.54 | 3.96 | 3.60 | 5.40 | 3.94 | 0.54 | 3.94 |
| 30-Apr-08 | 116.79 | 2.07 | 2.35 | 1.86 | 2.74 | 0.91 | 2.07 | 0.91 |
| 30-Apr-07 | 122.87 | 0.26 | 0.84 | 1.39 | 1.77 | 1.79 | 0.26 | 1.79 |
| 28-Apr-06 | 106.96 | -0.81 | -0.07 | -0.44 | -0.08 | 0.80 | 0.80 | -0.81 |
| 29-Apr-05 | 92.53 | 0.56 | 0.73 | 1.51 | 1.48 | 1.16 | 0.56 | 1.16 |
| 30-Apr-04 | 87.00 | 1.07 | 0.99 | 1.64 | 0.77 | -0.90 | 1.07 | -0.90 |
| 30-Apr-03 | 70.94 | -0.01 | 1.41 | 1.22 | 2.18 | 1.61 | 1.41 | -0.01 |
| 30-Apr-02 | 81.86 | 1.22 | 0.83 | -0.26 | -2.22 | -2.56 | 1.22 | -0.26 |
| 30-Apr-01 | 94.90 | 0.31 | 0.13 | -1.14 | 0.54 | -0.33 | 0.31 | -1.14 |
| 28-Apr-00 | 107.56 | 1.36 | -0.67 | -2.99 | -2.26 | -1.08 | 1.36 | -0.67 |
| 30-Apr-99 | 97.72 | 1.83 | 0.38 | 1.17 | 0.55 | 1.31 | 1.83 | 1.31 |
| 30-Apr-98 | 80.64 | 1.12 | 0.87 | 0.17 | -1.01 | -1.80 | 1.12 | -1.01 |
| 30-Apr-97 | 57.18 | -0.12 | 1.68 | 4.10 | 4.02 | 1.76 | 1.68 | -0.12 |
| 30-Apr-96 | 45.80 | 0.22 | -1.51 | -1.65 | -1.74 | -2.15 | 0.22 | -1.51 |
| 28-Apr-95 | 35.36 | -0.27 | -0.06 | 1.33 | 1.27 | 1.15 | 1.33 | -0.27 |
| 29-Apr-94 | 30.11 | 0.62 | 0.52 | 0.35 | 0.21 | -0.76 | 0.62 | -0.76 |
| 30-Apr-93 | 28.65 | 0.64 | 0.99 | 1.28 | 0.92 | 0.71 | 0.64 | 0.71 |
highlighted in the red was the one huge loss making trade !!
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