back to back outside days on $SPY – what next ?

back to back outside days on $SPY 

$SPY back to back outside days stock chart

with $SPY forming outside days for two days in row , outside day defined as in higher high and lower low 

below study , with $SPY returns from next 1/2/3/4/5/10/20 trading days , whenever $SPY posts 2 “outside days ” in row since $SPY IPO ( i.e Feb 1993)

$SPY posts 2 outside days in row since Feb 1993
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 18 9 50.0 0.23 0.06 0.87 -0.41 2.14 -1.22
t+2 18 10 55.6 0.26 0.15 1.03 -0.70 1.47 -1.90
t+3 18 13 72.2 0.84 0.95 1.45 -0.72 2.00 -1.40
t+4 18 14 77.8 0.88 1.11 1.33 -0.67 1.99 -1.55
t+5 18 14 77.8 1.10 1.28 1.60 -0.64 2.50 -1.08
t+10 18 10 55.6 0.65 0.66 1.81 -0.80 2.26 -2.23
t+20 18 12 66.7 0.91 1.53 2.46 -2.19 1.13 -4.26
Swing High 18 17 94.4 0.58 0.60 0.68 -1.08 0.63 -1.08

that Swing High, column , is made with the assumption that , one goes long at close and exits at first higher close than current close in the next five trading days , or exit at the end of the fifth trading day with loss

17/18  ( 95% ) times $SPY closed higher over the next 5 trading day at some close . ( the only time it didn’t close higher over the next five trading days was on 3rd Jan 2005  , when it lost -1.08% at the end of fifth trading day , highlighted below in red bold) 

below the historical instances of 2 outside days in row on $SPY, since Feb 1993.

Date Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
09-Jan-14 183.64 ?? ?? ?? ?? ?? ?? ??
22-May-13 163.37 -0.29 -0.37 0.22 -0.43 -0.06 -1.93 -3.94
25-Oct-12 137.65 -0.05 -0.05 1 0.09 0.3 -2.23 -0.78
04-Dec-09 101.71 -0.16 -1.26 -0.89 -0.33 0.09 -0.19 2.91
06-Aug-09 91.09 1.31 1.1 -0.16 0.91 1.68 1.1 0.76
30-Mar-07 123.06 0.11 1.19 1.31 1.58 1.72 3.32 4.43
01-Nov-06 117.49 -0.06 -0.24 0.89 1.28 1.5 2.31 2.68
09-Aug-06 108.53 0.3 0.02 0.1 1.3 2.14 2.18 2.3
17-Apr-06 109.48 1.59 1.78 1.92 1.94 1.74 1.35 0.65
03-Jan-05 100.19 -1.22 -1.9 -1.4 -1.55 -1.08 -0.69 -1.15
11-Feb-04 94.85 -0.36 -0.8 0.09 -0.35 -0.72 -0.97 -4.26
02-Jan-04 90.9 1.09 1.19 1.53 1.94 1.05 2.7 2.46
01-Nov-02 72.23 0.96 1.76 3.07 0.54 -0.69 1.26 4.28
14-Aug-02 73.46 1.39 1.09 3.46 2.36 3.83 -0.12 -2.99
12-Aug-96 49.44 -0.79 -0.44 -0.63 0.2 0.24 -0.26 -0.02
05-Feb-96 47.09 0.93 1.53 2.61 2.59 3.38 0.21 2.65
06-Mar-95 35.03 -0.74 -0.51 -0.54 0.94 0.86 2.17 3.54
11-Jul-94 31.51 0.16 0.32 1.43 1.43 1.62 1.49 2.57
24-Jan-94 32.82 0 0.27 1.19 1.46 2.19 0 0.34

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3 thoughts on “back to back outside days on $SPY – what next ?

    • admin Post authorReply

      Yes Henrey , $SPY made a lower low .. hence am calling an outside day ( which is a higher high + lower low combo)

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive updating the back-to-back outside days study on $SPY

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