Breakaway Gap Analysis on QQQ

Breakaway Gap Analysis on QQQ

Breakaway gap on QQQ stock chart

extending previous post Breakaway Gap on COMPQ , here the study of Breakaway Gaps on PowerShares $QQQ

Case 1) $QQQ leaves an unfilled full gap of 0.5%

unfilled full gap 0.5% is defined as current day’s low is greater than 0.5% of previous trading session’s high.

below the table with the details of how $QQQ  fared over the next few trading sessions Mar 2000 . ( we are leaving the data from Mar 1999 till Mar 2000 , as we require a minimum sample of 250 to calculate whether the closing is at an yearly high or not , for the next scenarios that we are gong to study)

$QQQ after leaving an un filled full gap of 0.5% since Mar 2000
Trading Odds 1 Day Later 5 Days Later 10 Day Later 20 Days Later 62 Days Later
Winners : 31 30 30 38 34
Losers : 28 29 29 21 24
% Winners : 53% 51% 51% 64% 59%
Average Change % : 0 -0.14 -0.26 -0.1 0.98
Median Change % : 0.04 0.06 0.24 1.87 1.35
Maximum Gain % : 6.04 14.46 13.31 16.97 21.93
Maximum Loss % : -5.6 -12.36 -20.04 -29.84 -29.18
Average Gain %if Winner : 1.06 2.88 4.26 5.07 9.19
Average Loss % if Loser : -1.27 -3.27 -4.93 -9.45 -10.66
Average Gain % / Average Loss % : 0.84 0.88 0.86 0.54 0.86

Case 2) $QQQ leaves an unfilled full gap of 0.5% and closes at 250 day high

$QQQ after leaving an un filled full gap of 0.5% and closes at 52 week High since Mar 2000
Trading Odds 1 Day Later 5 Days Later 10 Day Later 20 Days Later 62 Days Later
Winners : 1 2 2 3 2
Losers : 2 1 1 0 1
% Winners : 33% 67% 67% 100% 67%
Average Change % : 0.06 1.01 0.82 1.28 3.27
Median Change % : 0 1.39 1.45 0.38 4.02
Maximum Gain % : 0.26 2.19 3.33 3.15 6.54
Maximum Loss % : -0.07 -0.54 -2.31 0.31 -0.74
Average Gain %if Winner : 0.26 1.79 2.39 1.28 5.28
Average Loss % if Loser : -0.07 -0.54 -2.31 -0.74
Average Gain % / Average Loss % : 3.53 3.34 1.03 7.17

as the sample size is too small , we will consider

Case 3) $QQQ leaves an unfilled full gap of 0.5% and closes at 20 day high

$QQQ after leaving an un filled full gap of 0.5% and closes at 20 day High since Mar 1999
Trading Odds 1 Day Later 5 Days Later 10 Day Later 20 Days Later 62 Days Later
Winners : 17 17 22 23 20
Losers : 12 12 7 6 8
% Winners : 59% 59% 76% 79% 71%
Average Change % : 0.28 0.85 2.78 4.91 9.55
Median Change % : 0.37 0.94 2.26 4.41 4.84
Maximum Gain % : 6.04 8.62 11.13 19.74 42.48
Maximum Loss % : -3.54 -6.15 -5.45 -5.38 -14.38
Average Gain %if Winner : 1.12 2.79 4.35 6.68 15.75
Average Loss % if Loser : -1 -1.91 -2.13 -1.85 -5.98
Average Gain % / Average Loss % : 1.12 1.46 2.05 3.61 2.64

that’s 80% of the times $QQQ closing higher after 20 trading days with an average change ( including the losses ) of 4.91% .. its 1999 all over again !!

ps: we considered interleaving trades

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