Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish Seasonal Pattern

Below the trading odds for $IWM for going long on the 4th trading of April , ( i.e 7th Apr 2015 close) and exiting after 1/2/3/4/5/10/20 trading days , since 2001( since $IWM IPO )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 4 28.6 -0.78 -0.18 0.34 -1.23 0.28 -3.55 0.10 0.04 1.21 -2.41
t+2 14 5 35.7 -0.66 -0.47 0.57 -1.34 0.42 -3.96 0.21 0.14 1.28 -1.93
t+3 14 7 50.0 -0.30 -0.03 1.20 -1.81 0.67 -3.44 0.49 0.30 1.90 -0.59
t+4 14 6 42.9 -0.16 -0.55 1.92 -1.73 1.11 -3.80 0.60 0.41 2.13 -0.29
t+5 14 6 42.9 -0.73 -1.56 1.84 -2.65 0.69 -3.66 0.43 0.29 2.38 -1.15
t+10 14 8 57.1 0.67 0.66 2.98 -2.41 1.24 -5.09 1.12 0.88 3.03 0.83
t+20 14 9 64.3 1.92 1.59 4.83 -3.32 1.46 -4.68 1.64 1.21 5.23 1.37
1st +’ve exit in 5 days 14 10 71.4 -0.13 0.44 0.99 -2.94 0.34 -3.66 0.59 0.40 2.03 -0.25
1st -‘ve exit in 5 days 14 14 100.0 1.01 -0.51 -1.01 NA NA NA NA INF 1.05 3.58

1st -‘ve exit in 5 days assumes , one goes short at current close and exits at lower close than the entry in the next 5 trading days , otherwise buy to cover with a loss at the end of the 5th trading day ..

14/14 times $IWM closed lower than the entry at some point of time in the next 5 trading days , with an average loss of 101 bps at the 1st -‘ve close ..

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical returns of $IWM from the close of  4th trading day of April 

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve cls % 1st -‘ve cls%
07-Apr-15 * 125.35 ?? ?? ?? ?? ?? ?? ?? ?? ??
04-Apr-14 112.97 -1.46 -0.77 0.66 -2.20 -3.56 -0.90 -2.27 0.66 -1.46
04-Apr-13 89.48 -0.20 0.63 0.34 2.16 2.29 -2.54 1.49 0.63 -0.20
05-Apr-12 77.83 -1.64 -3.96 -2.60 -1.21 -2.51 -1.68 -3.06 -2.51 -1.64
06-Apr-11 80.26 -0.60 -1.64 -2.52 -3.80 -3.66 -1.82 -2.99 -3.66 -0.60
07-Apr-10 64.90 -0.11 0.49 0.91 1.14 3.30 3.82 0.03 0.49 -0.11
06-Apr-09 41.13 -3.55 -1.77 3.99 4.04 1.02 4.50 12.25 3.99 -3.55
04-Apr-08 64.17 -0.16 -0.26 -1.89 -0.86 -3.40 0.72 1.96 -3.40 -0.16
05-Apr-07 71.87 0.14 0.45 -0.18 0.50 1.14 2.32 2.96 0.14 -0.18
06-Apr-06 67.37 -1.60 -1.71 -3.44 -2.43 -2.20 0.59 1.69 -2.20 -1.60
06-Apr-05 53.60 0.39 -1.14 -1.62 -0.71 -2.48 -5.09 -3.58 0.39 -1.14
06-Apr-04 51.45 0.76 -0.14 0.12 -2.22 -2.51 -2.41 -4.68 0.76 -0.14
04-Apr-03 31.78 0.06 0.16 -0.41 -0.38 -0.91 3.15 9.60 0.06 -0.41
04-Apr-02 41.77 -0.14 1.10 0.74 2.68 1.03 3.76 3.14 1.10 -0.14
05-Apr-01 37.03 -2.81 -0.68 1.67 1.00 2.24 4.94 10.34 1.67 -2.81

* 125.35 – at the time of writing 

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