$SPY posts a red candle and a down day for 4 or more days in row

$SPY posts a red candle and a down day for 4 or more days in row

 

as on 18 dec 2018 , with $SPY close at 255.08 , below the trading strategy rules

  • $SPY closes below the open and previous day’s close for 4 or more days in row

below the trading odds for $SPY , for the next 1/2/3/4/5 trading days , since 1993

 

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 102 68 67 0.33 0.41 1.10 -1.20 0.91 -6.98 1.59 -0.78 -7.85 1.22
t+2 102 70 69 0.53 0.43 1.56 -1.73 0.90 -9.33 1.73 -1.19 -14.29 1.84
t+3 102 70 69 0.83 0.81 1.96 -1.64 1.19 -11.53 2.40 -1.53 -16.45 2.21
t+4 102 71 70 1.03 0.75 2.18 -1.61 1.35 -4.54 2.58 -1.70 -16.45 2.62
t+5 102 75 74 1.28 1.12 2.48 -2.07 1.20 -7.68 2.72 -1.96 -16.45 3.18
1st +’ve exit in 5 days % 102 96 94 0.91 0.67 1.11 -2.34 0.48 -3.83 7.14 -1.17 -16.45 1.52

 

96/102 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 91 basis points and a median gain of 67 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 instances of $SPY posting a down day along with a red candle for 4 or more days , since 1993 ,

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
18-Dec-18 255.08 ?? ?? ?? ?? ?? ?? ??
14-Nov-18 270.20 1.04 1.31 -0.41 -2.25 -1.92 1.04 1
26-Sep-18 289.88 0.28 0.29 0.64 0.58 0.63 0.28 1
24-Apr-18 260.63 0.25 1.27 1.36 0.58 0.76 0.25 1
15-Mar-18 271.45 0.11 -1.25 -1.08 -1.27 -3.74 0.11 1
21-Mar-17 227.31 0.24 0.13 0.06 -0.05 0.68 0.24 1
04-Nov-16 200.76 2.21 2.67 3.75 4.01 3.77 2.21 1
21-Aug-15 185.42 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
29-Jun-15 192.53 0.21 1.01 0.92 0.63 1.27 0.21 1
06-Jan-15 185.55 1.25 3.04 2.22 1.42 1.13 1.25 1
05-Jan-15 187.32 -0.94 0.29 2.07 1.25 0.46 0.29 2
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
25-Sep-13 153.14 0.38 -0.08 -0.61 0.18 0.08 0.38 1
24-Sep-13 153.58 -0.29 0.09 -0.37 -0.90 -0.11 0.09 2
19-Aug-13 148.54 0.49 -0.13 0.78 1.12 0.75 0.49 1
28-Dec-12 125.02 1.70 4.31 4.07 4.53 4.24 1.70 1
04-Jun-12 112.37 0.76 3.02 3.08 3.90 2.58 0.76 1
18-May-12 113.81 1.72 1.90 1.95 2.15 1.82 1.72 1
17-May-12 114.80 -0.86 0.85 1.02 1.08 1.28 0.85 2
25-Nov-11 100.97 2.90 3.19 7.44 7.42 7.32 2.90 1
23-Nov-11 101.17 -0.19 2.70 2.99 7.23 7.22 2.70 2
22-Nov-11 103.45 -2.21 -2.39 0.44 0.72 4.87 0.44 3
21-Nov-11 103.86 -0.39 -2.59 -2.77 0.04 0.33 0.04 4
05-May-11 114.80 0.44 0.83 1.69 0.62 1.10 0.44 1
13-Apr-11 112.95 0.08 0.44 -0.68 -0.11 1.25 0.08 1
12-Apr-11 112.96 -0.01 0.07 0.43 -0.69 -0.12 0.07 2
24-Aug-10 89.33 0.39 -0.28 1.26 -0.21 -0.21 0.39 1
02-Jul-10 86.52 0.66 3.83 4.85 5.64 5.70 0.66 1
01-Jul-10 86.99 -0.54 0.11 3.26 4.28 5.06 0.11 2
24-Jun-10 90.93 0.42 0.10 -2.99 -3.91 -4.34 0.42 1
28-Oct-09 87.14 2.15 -0.81 -0.09 0.23 0.49 2.15 1
22-May-09 73.53 2.56 0.73 2.13 3.94 6.46 2.56 1
03-Mar-09 57.46 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 57.89 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
19-Feb-09 64.11 -0.97 -4.52 -0.90 -1.68 -3.27 -3.27 5
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
09-Oct-08 73.77 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 79.31 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 81.36 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
18-Jan-08 105.76 -1.01 1.36 2.22 0.74 2.41 1.36 2
08-Jan-08 111.25 1.05 1.71 0.89 1.71 -0.53 1.05 1
07-Jan-08 113.07 -1.61 -0.58 0.07 -0.74 0.06 0.07 3
04-Jan-08 113.17 -0.08 -1.70 -0.67 -0.01 -0.82 -0.82 5
03-Jan-08 116.01 -2.45 -2.53 -4.11 -3.10 -2.46 -2.46 5
02-Jan-08 116.07 -0.05 -2.50 -2.58 -4.15 -3.15 -3.15 5
12-Nov-07 114.49 3.05 2.76 1.28 1.45 0.04 3.05 1
27-Feb-07 109.71 1.03 0.72 -0.59 -1.54 0.14 1.03 1
17-Jul-06 96.04 0.51 1.91 1.21 0.49 2.33 0.51 1
13-Oct-05 90.19 1.06 1.43 0.33 2.00 0.20 1.06 1
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
15-Sep-05 94.19 0.71 0.37 -0.47 -1.40 -1.05 0.71 1
24-Jan-05 88.43 0.28 0.58 0.76 0.76 1.38 0.28 1
05-Jan-05 89.54 0.51 0.36 0.84 0.14 0.47 0.51 1
04-Jan-05 90.16 -0.69 -0.19 -0.33 0.14 -0.55 0.14 4
11-Mar-04 82.73 1.31 0.07 0.60 1.73 1.75 1.31 1
23-Feb-04 85.31 -0.17 0.24 0.31 0.38 1.37 0.24 2
22-Jan-03 64.59 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83 5
07-Oct-02 57.69 1.57 -1.30 1.90 6.36 6.95 1.57 1
23-Jul-02 58.03 5.97 5.07 7.07 12.28 13.75 5.97 1
07-May-02 76.01 3.72 2.52 0.59 2.64 4.87 3.72 1
07-Feb-02 77.90 1.92 3.17 2.84 3.93 3.74 1.92 1
06-Feb-02 78.39 -0.63 1.28 2.52 2.20 3.28 1.28 2
30-Aug-01 81.14 0.73 0.09 0.34 -2.25 -4.06 0.73 1
15-Dec-00 93.25 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
01-Dec-00 93.85 0.85 4.16 2.49 1.09 1.32 0.85 1
12-Oct-00 94.49 3.33 3.80 1.22 0.85 4.65 3.33 1
11-Oct-00 96.91 -2.49 0.76 1.21 -1.30 -1.67 0.76 2
23-May-00 97.47 1.63 -0.11 0.00 3.26 3.49 1.63 1
22-May-00 98.92 -1.47 0.13 -1.58 -1.47 1.74 0.13 2
22-Feb-00 95.09 1.18 -0.86 -1.22 0.86 1.83 1.18 1
15-Oct-99 87.76 0.73 1.70 2.70 3.30 4.18 0.73 1
23-Sep-99 89.87 -0.10 0.56 0.37 -0.83 0.68 0.56 2
31-Aug-99 92.55 1.23 0.04 2.96 2.58 2.08 1.23 1
26-Jul-99 94.44 0.83 1.16 -0.26 -1.48 -1.25 0.83 1
23-Jul-99 95.14 -0.74 0.09 0.41 -0.99 -2.21 0.09 2
22-Jul-99 95.33 -0.20 -0.93 -0.10 0.22 -1.18 0.22 4
11-Jun-99 90.70 0.10 0.77 2.70 3.66 3.78 0.10 1
25-May-99 90.14 1.11 -0.34 0.93 0.58 0.68 1.11 1
19-Apr-99 90.49 1.25 4.15 5.14 4.87 5.48 1.25 1
16-Apr-99 91.91 -1.54 -0.31 2.54 3.52 3.25 2.54 3
26-Feb-99 86.12 0.28 -0.61 -0.08 1.19 3.22 0.28 1
07-May-98 75.46 1.63 1.29 2.37 2.63 2.11 1.63 1
28-Apr-98 74.92 0.69 2.56 3.71 3.45 2.73 0.69 1
26-Jan-98 65.97 1.01 1.92 2.48 2.54 4.24 1.01 1
11-Dec-97 65.50 0.20 1.21 1.83 1.31 0.33 0.20 1
08-Jul-96 43.82 0.41 0.81 -1.22 -1.15 -4.07 0.41 1
07-May-96 42.70 1.25 1.17 2.17 3.71 4.35 1.25 1
29-Feb-96 42.44 1.59 2.18 3.13 2.23 2.74 1.59 1
28-Feb-96 42.86 -0.97 0.61 1.19 2.13 1.24 0.61 2
20-Feb-96 42.72 1.24 2.84 2.55 1.09 0.78 1.24 1
02-Aug-95 36.74 -0.03 0.08 0.31 0.31 0.28 0.08 2
09-Jun-95 34.65 0.56 1.65 1.56 2.00 2.30 0.56 1
22-Nov-94 29.00 0.56 1.04 1.49 1.46 1.32 0.56 1
04-Oct-94 29.24 0.03 -0.28 0.17 1.24 2.75 0.03 1
09-May-94 28.22 0.78 -0.14 0.35 0.35 0.39 0.78 1
06-May-94 28.47 -0.87 -0.10 -1.01 -0.52 -0.52 -0.52 5
03-Jan-94 29.40 0.40 0.61 0.61 1.21 2.42 0.40 1
21-Sep-93 28.45 0.83 1.38 1.10 2.21 2.00 0.83 1
08-Jun-93 27.72 0.35 0.42 0.84 0.70 0.49 0.35 1
26-Apr-93 26.91 1.08 0.86 1.30 1.44 2.09 1.08 1
23-Apr-93 27.12 -0.79 0.29 0.07 0.50 0.64 0.29 2
22-Apr-93 27.24 -0.43 -1.21 -0.14 -0.36 0.07 0.07 5

highlighted in red are the prior 6 instances where $SPY failed to close above the entry price over the next 5 trading days

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Anatomy of Russell 2000 Index Bear Markets

Anatomy of Russell 2000 Index Bear Markets

ps: if some one can educate me the difference between the Russell 2000 data from finance.yahoo.com and to that of  Russell 2000® Price Index (RU2000PR) from Fred , would be grateful

As FRED Russell data provides a a bit longer term dating back to 1978 , while yahoo data only goes back to 1987, this $STUDY is done on RU2000PR data from FRED

above table for your editing purposes

 

Bull Start RU2000 Bull End RU2000 Gains % Bear End RU2000 % Bull End % Bull Start 1st All Time High RU2000 Gains %
14-Nov-16 3227.34 31-Aug-18 4326.21 34.05 17-Dec-18 3425.03 -20.83 ongoing
02-Jan-13 2170.66 23-Jun-15 3220.39 48.36 11-Feb-16 2370.22 -26.40 9.19 14-Nov-16 3227.34 36.16
27-Apr-11 2133.11 29-Apr-11 2150.47 0.81 03-Oct-11 1514.74 -29.56 -28.99 02-Jan-13 2170.66 43.30
10-Nov-04 1515.07 13-Jul-07 2126.86 40.38 09-Mar-09 853.09 -59.89 -43.69 27-Apr-11 2133.11 150.05
29-Dec-99 1237.32 09-Mar-00 1508.16 21.89 09-Oct-02 812.90 -46.10 -34.30 10-Nov-04 1515.07 86.38
30-Sep-91 448.16 21-Apr-98 1224.96 173.33 08-Oct-98 773.32 -36.87 72.55 29-Dec-99 1237.32 60.00
03-Aug-89 433.70 09-Oct-89 448.07 3.31 31-Oct-90 295.86 -33.97 -31.78 30-Sep-91 448.16 51.48
12-Dec-85 314.47 21-Aug-87 432.14 37.42 28-Oct-87 263.28 -39.08 -16.28 03-Aug-89 433.70 64.73
04-Nov-82 210.55 24-Jun-83 313.38 48.84 25-Jul-84 231.85 -26.02 10.12 12-Dec-85 314.47 35.64
17-Jul-80 153.46 15-Jun-81 210.17 36.95 12-Aug-82 148.89 -29.16 -2.98 04-Nov-82 210.55 41.41
29-Dec-78 100.00 08-Feb-80 152.81 52.81 27-Mar-80 111.94 -26.75 11.94 17-Jul-80 153.46 37.09
avg 605 45.29 343 -34.06 -5.42 440 60.62
med 406 37.42 310 -29.56 -9.63 452 47.39
min 2 0.81 944 -59.89 -43.69 779 35.64
max 2395 173.33 48 -26.02 72.55 84 150.05

Definitions:

Bull Start -> this is the first all time high closing of index , after going through the bear market

Bull End -> this is the final all time high closing of index

Bear End -> this is the lowest closing value of index , from the all time high closing value , that is at-least 20% lesser value

1st All Time High ->  Bull Start

% Bull End -> this is the percentage loss , from the final all time high to lowest bear market close

% Bull Start -> this is the percentage loss , from the 1st all time high ( i’e from the break out point ) to lowest bear market close , some times this can be positive value , like during the last bear market in Jun 2015 to Feb 2016

Gains % -> percentage gains from the lowest close during the bear market to the next , 1st all time high close

note that all the analysis is done on close values and not on intra-day high or intra-day low values

Average loss & Duration in days during bear market

Bull End RU2000 Bear End RU2000 % Loss Duration Corresponding Values
31-Aug-18 4326.21 17-Dec-18 3425.03 -20.83 108++
23-Jun-15 3220.39 11-Feb-16 2370.22 -26.4 233
29-Apr-11 2150.47 03-Oct-11 1514.74 -29.56 157
13-Jul-07 2126.86 09-Mar-09 853.09 -59.89 605
09-Mar-00 1508.16 09-Oct-02 812.9 -46.1 944
21-Apr-98 1224.96 08-Oct-98 773.32 -36.87 170
09-Oct-89 448.07 31-Oct-90 295.86 -33.97 387
21-Aug-87 432.14 28-Oct-87 263.28 -39.08 68
24-Jun-83 313.38 25-Jul-84 231.85 -26.02 397
15-Jun-81 210.17 12-Aug-82 148.89 -29.16 423
08-Feb-80 152.81 27-Mar-80 111.94 -26.75 48
avg -35.4 343 2795.6 09-Aug-19
med -31.8 310 2952.0 07-Jul-19
min -26.0 48 3200.5 18-Oct-18
max -59.9 944 1735.2 01-Apr-21

 

the average and or median values are just an indication , and to gauge how far the current bear market can do based on previous 10 bear markets since 1980 till date , and not a PREDICTION.

if the median value is used as an approximation , we are looking at RUT price to go down to 2950 ( or the RUT value from yahoo finance to about 1180 , from the current levels of 1380) and the bear market to last till Jul 2019 or there about’s

 

Average Recovery in days from bear market

 

Bull End RU2000 Bull Start RU2000 Duration Corresponding Value
31-Aug-18 4326.21
23-Jun-15 3220.39 14-Nov-16 3227.34 510
29-Apr-11 2150.47 02-Jan-13 2170.66 614
13-Jul-07 2126.86 27-Apr-11 2133.11 1384
09-Mar-00 1508.16 10-Nov-04 1515.07 1707
21-Apr-98 1224.96 29-Dec-99 1237.32 617
09-Oct-89 448.07 30-Sep-91 448.16 721
21-Aug-87 432.14 03-Aug-89 433.7 713
24-Jun-83 313.38 12-Dec-85 314.47 902
15-Jun-81 210.17 04-Nov-82 210.55 507
08-Feb-80 152.81 17-Jul-80 153.46 160
avg 784 22-Oct-20
med 665 26-Jun-20
min 160 07-Feb-19
max 1707 04-May-23

this is just again an indication based on the past bear markets , guessing when the next all time high value will be recaptured , based on the worst bear market , it can take till May- 2023 ( roughly 4 years and 5 months from now on ), and optimistically if we use a median value , we are looking at Jun-2020

finally as  John Bogle says “Stay The Course” , and don’t do silly things of timing the markets , like getting out now, and thinking will reenter at a lower value than the current RUT close , as no one except liars know when and where the exact bear market bottom is , remember the quote by Bernard Baruch

Don’t try to buy at the bottom and sell at the top. It can’t be done except by liars. 

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16 Dec 2018 : when $SPY posts 4 red candles in row in 4th quarter

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14 Dec : $SPY trade ideas

14 Dec : $SPY trade ideas

 

1- $SPY posts a 20 day low close in dec

trading strategy rules

  • $SPY closes at 20 day lowest close as on current trading day ( a close below 263.25 triggers this setup )
  • current trading month is Dec

below the forward odds for $SPY longs , for the next 1/2/3/4/5 trading days , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 24 18 75 0.62 0.66 1.12 -0.87 1.28 -2.90 2.76 -0.31 -3.02 1.20
t+2 24 19 79 1.18 1.33 1.84 -1.32 1.40 -2.22 3.80 -0.50 -3.45 2.06
t+3 24 21 88 2.03 2.19 2.58 -1.88 1.38 -3.60 7.54 -0.72 -3.72 3.00
t+4 24 21 88 2.45 2.88 3.08 -1.91 1.61 -2.93 8.01 -0.81 -4.15 3.65
t+5 24 20 83 2.88 2.61 3.58 -0.64 5.64 -1.52 22.78 -0.93 -4.15 4.11
1st +’ve exit in 5 days % 24 24 100 1.01 0.81 1.01 0.10 -0.35 -3.45 1.36

24/24 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 101 basis points and a median gain of 81 bps

21/24 times $SPY closed at a higher close than the current close after three trading days ( t+3) , for an average gain of 203 bps , and a median gain of 219 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 instances of $SPY closing at 20 day low in dec , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Dec-18 260.47 ?? ?? ?? ?? ?? ?? ??
18-Dec-15 189.60 0.82 1.74 3.00 2.83 2.59 0.82 1
11-Dec-15 190.22 0.51 1.56 3.05 1.48 -0.32 0.51 1
16-Dec-14 182.77 1.96 4.48 4.92 5.41 5.55 1.96 1
15-Dec-14 184.25 -0.80 1.14 3.64 4.08 4.56 1.14 2
12-Dec-14 185.53 -0.69 -1.48 0.45 2.93 3.37 0.45 3
10-Dec-14 187.62 0.51 -1.12 -1.80 -2.58 -0.67 0.51 1
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
12-Dec-13 161.37 -0.01 0.61 0.29 2.00 1.89 0.61 2
28-Dec-12 125.02 1.70 4.31 4.07 4.53 4.24 1.70 1
30-Dec-05 96.14 1.76 2.24 2.31 3.16 3.42 1.76 1
29-Dec-05 96.66 -0.54 1.21 1.69 1.75 2.60 1.21 2
27-Dec-02 64.01 0.84 0.97 4.22 4.54 6.39 0.84 1
19-Dec-02 65.00 1.42 1.45 0.70 0.74 -1.52 1.42 1
13-Dec-02 65.13 2.59 1.69 0.51 -0.20 1.22 2.59 1
13-Dec-01 80.54 0.95 2.00 2.61 3.33 2.31 0.95 1
20-Dec-00 89.89 0.69 3.71 4.83 5.59 5.92 0.69 1
19-Dec-00 92.57 -2.90 -2.22 0.71 1.79 2.54 0.71 3
15-Dec-00 93.25 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
14-Dec-98 79.02 2.58 2.45 4.08 4.52 5.98 2.58 1
24-Dec-97 64.27 0.40 2.38 3.98 3.91 4.45 0.40 1
23-Dec-97 64.47 -0.30 0.10 2.07 3.67 3.60 0.10 2
16-Dec-96 48.80 0.80 1.60 3.69 3.92 3.66 0.80 1
12-Dec-96 49.31 0.26 -1.03 -0.24 0.56 2.63 0.26 1
08-Dec-94 28.92 0.38 1.04 1.43 1.95 2.26 0.38 1

 

2- $SPY from 2nd Friday of December , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 25 17 68 0.19 0.30 0.86 -1.22 0.70 -2.88 1.09 -0.50 -3.03 0.77
t+2 25 18 72 0.55 0.30 1.12 -0.93 1.20 -2.38 2.24 -0.63 -3.03 1.20
t+3 25 18 72 0.62 0.47 1.19 -0.85 1.41 -3.42 2.72 -0.76 -3.63 1.43
t+4 25 21 84 0.68 0.34 1.02 -1.09 0.93 -3.07 4.01 -0.93 -3.63 1.83
t+5 25 18 72 0.72 0.82 1.34 -0.89 1.51 -2.93 3.00 -1.32 -4.26 2.10
1st +’ve exit in 5 days % 25 24 96 0.74 0.60 0.89 -2.93 0.30 -2.93 5.26 -0.61 -3.63 1.11

 

24/25 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of  74 basis points and a median gain of 60 bps

below the $SPY returns from 2nd friday of december , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
14-Dec-18 260.47 ?? ?? ?? ?? ?? ?? ??
08-Dec-17 260.76 0.30 0.48 0.47 0.06 0.89 0.30 1
09-Dec-16 218.05 -0.11 0.55 -0.28 0.13 -0.06 0.55 2
11-Dec-15 190.22 0.51 1.56 3.05 1.48 -0.32 0.51 1
12-Dec-14 185.53 -0.69 -1.48 0.45 2.93 3.37 0.45 3
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
14-Dec-12 125.96 1.18 2.30 1.54 2.13 1.20 1.18 1
09-Dec-11 109.40 -1.46 -2.38 -3.42 -3.07 -2.93 -2.93 5
10-Dec-10 105.94 0.06 0.15 -0.31 0.27 0.38 0.06 1
11-Dec-09 92.73 0.68 0.22 0.37 -0.84 -0.28 0.68 1
12-Dec-08 72.38 -1.39 3.25 2.25 0.34 -0.09 3.25 2
14-Dec-07 117.25 -1.43 -0.88 -0.88 -0.25 1.18 1.18 5
08-Dec-06 110.60 0.29 0.21 0.32 1.20 1.21 0.29 1
09-Dec-05 97.03 0.09 0.78 1.17 0.88 0.56 0.09 1
10-Dec-04 90.12 0.87 1.22 1.30 1.24 0.57 0.87 1
12-Dec-03 80.13 -0.50 0.02 0.33 1.46 1.18 0.02 2
13-Dec-02 65.13 2.59 1.69 0.51 -0.20 1.22 2.59 1
14-Dec-01 81.31 1.03 1.64 2.35 1.34 1.96 1.03 1
08-Dec-00 95.09 3.48 3.03 1.62 0.33 -1.93 3.48 1
10-Dec-99 99.71 0.18 -0.79 -0.26 0.18 0.82 0.18 1
11-Dec-98 81.37 -2.88 -0.37 -0.51 1.08 1.51 1.08 4
12-Dec-97 65.62 1.01 1.63 1.11 0.13 -0.61 1.01 1
13-Dec-96 49.44 -1.28 -0.49 0.30 2.37 2.59 0.30 3
08-Dec-95 41.04 0.43 0.13 0.75 0.03 0.06 0.43 1
09-Dec-94 29.03 0.66 1.04 1.56 1.87 2.37 0.66 1
10-Dec-93 29.27 0.60 -0.13 -0.27 0.07 0.61 0.60 1

 

highlighted in the red , is the only instance ( 9 Dec 2011) of $SPY not able to close above the entry price over the next 5 trading days

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13 Dec 2018 : $QQQ bearish trade idea with $QQQ closing at 165.1 and posting 4 up days in row ,  and with the help of QQQ tick-alert file below $QQQ bearish trading strategy as on close of 13th Dec 2018 $QQQ posts 4 or more consecutive up days in row and $SPY close is […]

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$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

this $study is a tweak from the study posted by Rob of Quantifiable Edges

on twitter 

“SPY gaps up and closes below the open 3 days in a row. Close < 200ma. (Results above the 200ma were less consistent, fyi.) Could happen today. Hat-tip for the idea.”

below the trading strategy rules

  1. $SPY gaps up ( that is current day’s open is above previous day’s close ) and posts a red candle ( that is current day’s close is below current day’s open) , for 3 or more days in row
  2. current quarter is 4th quarter of the year

below the trading odds for $SPY , for the next 1/2/3/4/5 trading days , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 33 26 79 0.51 0.49 0.83 -0.69 1.20 -1.89 3.74 -0.17 -1.95 0.90
t+2 33 25 76 0.80 0.68 1.25 -0.60 2.08 -0.99 5.43 -0.24 -1.95 1.23
t+3 33 25 76 0.70 0.48 1.24 -0.97 1.28 -2.69 3.41 -0.39 -2.80 1.39
t+4 33 25 76 0.93 0.87 1.54 -0.99 1.56 -1.97 3.68 -0.47 -3.14 1.65
t+5 33 24 73 1.14 1.01 1.95 -1.00 1.94 -3.38 3.61 -0.79 -3.38 2.01
1st +’ve exit in 5 days % 33 32 97 0.65 0.49 0.70 -0.79 0.88 -0.79 24.63 -0.26 -2.28 0.93

 

32/33 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 65 basis points and a median gain of 49 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 instances of $SPY posting a gap up and a red candle for 3 days in row , in the 4th quarter , since 1993

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
13-Dec-18 265.37 ?? ?? ?? ?? ?? ?? ??
29-Dec-17 263.42 0.72 1.35 1.78 2.46 2.65 0.72 1
22-Dec-17 264.06 -0.12 -0.07 0.13 -0.24 0.47 0.13 3
21-Dec-17 264.13 -0.03 -0.15 -0.10 0.11 -0.27 0.11 4
30-Dec-16 216.45 0.77 1.36 1.28 1.65 1.31 0.77 1
19-Dec-11 105.06 3.03 3.23 4.14 5.07 5.15 3.03 1
27-Oct-09 88.82 -1.89 0.22 -2.69 -1.97 -1.66 0.22 2
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
22-Dec-08 71.39 -1.03 -0.46 0.11 -0.17 2.19 0.11 3
20-Dec-07 116.96 1.43 2.19 2.41 1.12 0.87 1.43 1
22-Dec-06 110.69 0.59 1.25 1.04 0.62 0.44 0.59 1
21-Dec-05 97.31 0.52 0.58 -0.44 -0.22 -0.67 0.52 1
20-Dec-05 97.16 0.16 0.68 0.74 -0.29 -0.06 0.16 1
19-Dec-05 97.07 0.10 0.25 0.78 0.84 -0.19 0.10 1
30-Nov-05 96.32 1.02 1.15 0.93 1.12 0.53 1.02 1
11-Oct-05 90.96 -0.79 -0.84 0.20 0.57 -0.52 0.20 3
10-Oct-05 91.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 4
07-Oct-05 91.87 -0.84 -0.99 -1.76 -1.82 -0.79 -0.79 5
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
30-Nov-04 89.03 1.14 1.22 1.15 1.12 0.18 1.14 1
03-Nov-04 86.57 1.37 2.00 1.85 1.65 1.73 1.37 1
03-Oct-00 101.14 0.83 1.18 -1.01 -1.75 -3.38 0.83 1
05-Nov-99 96.90 0.09 -0.85 -0.11 0.45 1.36 0.09 1
04-Nov-99 95.95 0.98 1.08 0.13 0.87 1.44 0.98 1
26-Dec-97 64.53 1.97 3.57 3.50 4.03 4.27 1.97 1
24-Dec-97 64.27 0.40 2.38 3.98 3.91 4.45 0.40 1
28-Nov-97 65.54 2.58 1.96 2.25 2.16 3.46 2.58 1
22-Dec-95 40.66 0.49 0.43 0.33 0.46 1.53 0.49 1
26-Oct-95 38.13 0.76 1.41 0.97 1.79 2.43 0.76 1
30-Dec-94 29.59 0.48 0.96 0.96 1.06 1.17 0.48 1
16-Dec-93 29.29 0.55 0.68 0.34 1.02 0.95 0.55 1
22-Oct-93 29.14 0.27 0.20 0.27 1.01 1.01 0.27 1
08-Oct-93 28.94 0.20 0.34 0.34 1.63 2.17 0.20 1
07-Oct-93 28.90 0.14 0.34 0.48 0.48 1.77 0.14 1

high lighted in the red is the only one instance when $SPY failed to close higher than entry price over the next 5 trading days

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