13 Dec 2018 : $IWM trade idea with 24/24 wins

13 Dec 2018 : $IWM trade idea with $IWM trading at 143.5 levels and well below the open levels , front running the close at current levels or below , below trading strategy $IWM posts 5 consecutive red candles in row ( that is close is below open ) and current quarter is 4th quarter […]

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12 Dec 2018 : ETF trade-ideas -> $XOP , $EEM

12 Dec 2018 , ETF trade-ideas below the ETF trade ideas that had above 90% win rate with a profit factor of more than 5 , based on the historical data since Y2K ( or since IPO ) for 12th Dec 2018 $XOP: SPDR S&P Oil & Gas Explore & Prod. trading strategy rules currently posts […]

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11 Dec 2018 , ETF trade-ideas -> $EWJ , $XLF

11 Dec 2018 , ETF trade-ideas below the ETF trade ideas that had above 90% win rate with a profit factor of more than 5 , based on the historical data since Y2K ( or since IPO ) for 11th Dec 2018 $EWJ : iShares MSCI Japan ETF trading strategy rules is currently down for 4 […]

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143 unique reasons to go long – 10 Oct 2018

143 unique reasons to go long

10oct2018

the tick-alert file , which is basically a backtest data mine on all the signals triggered for the day , along with backtest performed over last 5 years , and over since 1990 , along with 2 and 3 permutations , is the source for trading ideas presented here , on most of the days

instead of piking one or two strategies that we like , which is what we do , attached here is the file , which calculated around 160K backtests on ES mini futures , and here are the 143 unique strategies that had a prior sample size of more than 20 , along with 100% win rate , since 1997 or when e-mini started trading

Trading Signal # Wins % Wins Avg Median
RSI (2) below 10 & 4th Quarter & Above SMA 200 49 49 100 0.9 0.78
RSI (14) below 30 & 3 Consecutive Red Candles 46 46 100 2.32 1.27
Close in the Bottom Range & RSI (14) below 30 & 2 Consecutive Down Days 46 46 100 1.86 1.15
RSI (14) below 30 & Ten Day Low Close & 3 Consecutive Red Candles 45 45 100 2.34 1.26
RSI (14) below 30 & Month Low & 3 Consecutive Red Candles 44 44 100 2.38 1.42
RSI (14) below 30 & Quarter Closing Low & 3 Consecutive Red Candles 44 44 100 2.32 1.23
RSI (14) below 30 & 3 Consecutive Red Candles & Intraday Low below LBB 44 44 100 2.31 1.27
RSI (14) below 30 & Quarter Low & 3 Consecutive Red Candles 43 43 100 2.36 1.27
RSI (14) below 30 & 2 Consecutive Down Days & 3 Consecutive Red Candles 43 43 100 2.39 1.26
RSI (14) below 30 & 3 Consecutive Red Candles & Close 2Xstd below 50 DMA 43 43 100 2.35 1.27
RSI (14) below 30 & 3 Consecutive Red Candles & Close below LBB 41 41 100 2.35 1.27
Losers with 1Xstd(50) down move & 4 Consecutive Red Candles & Intraday Low below LBB 41 41 100 1.72 0.9
RSI (14) below 30 & 3 Consecutive Down Days & 3 Consecutive Red Candles 40 40 100 2.45 1.42
RSI (14) below 30 & RSI (2) below 5 & 3 Consecutive Red Candles 39 39 100 2.37 1.21
Losers with 1Xstd(50) down move & Month Closing Low & 4 Consecutive Red Candles 39 39 100 1.79 0.99
4 Consecutive Red Candles & Volume Losers 150% 38 38 100 1.7 0.62
4 Consecutive Down Days & Volume Losers 150% 37 37 100 1.75 0.9
Losers with 1Xstd(20) down move & Month Low & 4 Consecutive Red Candles 37 37 100 1.9 0.99
4 Consecutive Red Candles & Below SMA 20 & Volume Losers 150% 37 37 100 1.73 0.68
Losers with 1Xstd(50) down move & Month Low & 4 Consecutive Red Candles 36 36 100 1.8 1.04
Losers with 1Xstd(50) down move & 4 Consecutive Red Candles & Close below LBB 36 36 100 1.85 0.95
2 Consecutive Down Days & 4 Consecutive Red Candles & Volume Losers 150% 36 36 100 1.78 0.79
Close in the Bottom Range & 5 Consecutive Red Candles 35 35 100 1.6 0.99
RSI (2) below 10 & 4 Consecutive Down Days & Volume Losers 150% 35 35 100 1.82 0.99
RSI (2) below 10 & 4 Consecutive Red Candles & Volume Losers 150% 35 35 100 1.81 0.9
Ten Day Low Close & 4 Consecutive Down Days & Volume Losers 150% 35 35 100 1.83 0.99
Close in the Bottom Range & RSI (14) below 30 & 3 Consecutive Red Candles 34 34 100 2.21 1.39
Close in the Bottom Range & Ten Day Low Close & 5 Consecutive Red Candles 34 34 100 1.64 1
RSI (14) below 30 & 3 Consecutive Red Candles & Close below S1 34 34 100 2.16 1.38
Quarter Low & 4 Consecutive Red Candles & Close below LBB 34 34 100 2.43 1.24
4 Consecutive Red Candles & Close below S2 33 33 100 1.56 0.75
Close in the Bottom Range & RSI (2) below 5 & 5 Consecutive Red Candles 33 33 100 1.66 1.02
Close in the Bottom Range & 2 Consecutive Down Days & 5 Consecutive Red Candles 33 33 100 1.65 0.99
RSI (14) below 30 & 3 Consecutive Red Candles & Open -1% 33 33 100 2.61 1.57
RSI (2) below 2 & 3 Consecutive Red Candles & Close below S2 33 33 100 1.86 0.99
Long Red Candle & 4 Consecutive Red Candles & Close below S2 32 32 100 1.58 0.74
Close in the Bottom Range & RSI (14) below 30 & 3 Consecutive Down Days 32 32 100 2.21 1.39
Close in the Bottom Range & 5 Consecutive Red Candles & Below SMA 50 32 32 100 1.67 0.99
RSI (14) below 30 & Losers with 1Xstd(50) down move & 3 Consecutive Red Candles 32 32 100 2.13 1.14
RSI (14) crossed below 30 & 2 Consecutive Down Days 31 31 100 1.22 1.04
Close in the Bottom Range & 3 Consecutive Down Days & 5 Consecutive Red Candles 31 31 100 1.61 0.99
RSI (14) below 30 & Losers with 1Xstd(20) down move & 3 Consecutive Red Candles 31 31 100 2.2 1.18
RSI (14) below 30 & 3 Consecutive Red Candles & Today -1% 31 31 100 2.71 1.57
RSI (2) below 2 & 3 Consecutive Down Days & Volume Losers 150% 31 31 100 2.13 0.96
RSI (2) below 2 & 3 Consecutive Red Candles & Volume Losers 150% 31 31 100 2.15 0.96
RSI (2) below 5 & 4 Consecutive Red Candles & Volume Losers 150% 31 31 100 1.87 0.56
4 Consecutive Down Days & Below SMA 50 & Volume Losers 150% 31 31 100 1.73 0.68
4 Consecutive Red Candles & Today -1% & Close below S2 31 31 100 1.63 0.8
4 Consecutive Red Candles & Below SMA 50 & Volume Losers 150% 31 31 100 1.72 0.56
Close in the Bottom Range & 4 Consecutive Down Days & 5 Consecutive Red Candles 30 30 100 1.66 0.99
Close in the Bottom Range & 5 Consecutive Down Days & 4 Consecutive Red Candles 30 30 100 1.82 1.06
RSI (14) below 30 & RSI (2) below 2 & 3 Consecutive Red Candles 30 30 100 2.81 2.07
RSI (2) below 2 & 3 Consecutive Red Candles & Today -2% 30 30 100 2.95 2.62
RSI (2) below 5 & 4 Consecutive Down Days & Volume Losers 150% 30 30 100 1.91 0.56
4 Consecutive Down Days & 3 Consecutive Red Candles & Close below S2 30 30 100 1.69 0.87
RSI (14) below 30 & 4 Consecutive Red Candles 29 29 100 2.68 1.26
Close in the Bottom Range & RSI (14) crossed below 30 & 2 Consecutive Down Days 29 29 100 1.26 1.04
Close in the Bottom Range & RSI (14) below 30 & RSI (2) below 2 29 29 100 2.38 1.56
RSI (14) crossed below 30 & Quarter Closing Low & 2 Consecutive Down Days 29 29 100 1.18 1.04
4 Consecutive Down Days & 4 Consecutive Red Candles & Close below S2 29 29 100 1.7 0.84
Close in the Bottom Range & RSI (2) below 2 & 5 Consecutive Down Days 28 28 100 1.83 1.04
Close in the Bottom Range & Month Closing Low & 5 Consecutive Red Candles 28 28 100 1.84 1.13
Close in the Bottom Range & 5 Consecutive Down Days & 5 Consecutive Red Candles 28 28 100 1.74 1
RSI (14) crossed below 30 & 2 Consecutive Down Days & Close 2Xstd below 50 DMA 28 28 100 1.15 0.95
RSI (14) below 30 & RSI (2) below 5 & 4 Consecutive Red Candles 28 28 100 2.64 1.23
RSI (14) below 30 & Month Low & 4 Consecutive Red Candles 28 28 100 2.73 1.61
RSI (2) below 10 & Crossed below SMA 50 & Volume Losers 150% 28 28 100 0.55 0.35
Losers with 1Xstd(50) down move & 4 Consecutive Red Candles & Close below S2 28 28 100 1.59 0.82
Month Closing Low & 4 Consecutive Down Days & Volume Losers 150% 28 28 100 2.05 0.95
Month Closing Low & 4 Consecutive Red Candles & Volume Losers 150% 28 28 100 2.04 0.79
4 Consecutive Red Candles & Intraday Low below LBB & Volume Losers 150% 28 28 100 2.02 0.73
Close in the Bottom Range & 5 Consecutive Down Days & Intraday Low below LBB 27 27 100 1.92 1.36
RSI (14) crossed below 30 & RSI (2) below 10 & 2 Consecutive Down Days 27 27 100 1.24 1.04
RSI (14) crossed below 30 & 2 Consecutive Down Days & Intraday Low below LBB 27 27 100 1.13 0.9
RSI (14) below 30 & 2 Consecutive Down Days & 4 Consecutive Red Candles 27 27 100 2.78 1.26
RSI (14) below 30 & 4 Consecutive Red Candles & Intraday Low below LBB 27 27 100 2.69 1.26
Losers with 1Xstd(50) down move & 4 Consecutive Red Candles & Close 2Xstd below 50 DMA 27 27 100 2.01 1.1
4 Consecutive Down Days & Intraday Low below LBB & Volume Losers 150% 27 27 100 2.07 0.9
4 Consecutive Red Candles & Below SMA 50 & Close below S2 27 27 100 1.59 0.74
RSI (14) crossed below 30 & Month Low & 2 Consecutive Down Days 26 26 100 1.3 1.04
RSI (14) below 30 & 4 Consecutive Down Days & 3 Consecutive Red Candles 26 26 100 2.8 1.61
RSI (14) below 30 & 4 Consecutive Red Candles & Close below LBB 26 26 100 2.76 1.61
RSI (2) below 2 & 4th Quarter & Below SMA 50 26 26 100 2.28 1.41
5 Consecutive Down Days & 3 Consecutive Red Candles & Today -1% 26 26 100 2.4 1.18
Long Red Candle & RSI (14) below 30 & 3 Consecutive Red Candles 25 25 100 2.07 1.04
Close in the Bottom Range & 5 Consecutive Down Days & Today -1% 25 25 100 1.76 0.99
Close in the Bottom Range & 5 Consecutive Down Days & Close below LBB 25 25 100 1.98 1.36
Close in the Bottom Range & 5 Consecutive Down Days & Close below S1 25 25 100 1.77 0.99
Close in the Bottom Range & 4 Consecutive Red Candles & Close below S2 25 25 100 1.94 0.9
Close in the Bottom Range & 5 Consecutive Red Candles & Intraday Low below LBB 25 25 100 1.95 1.15
RSI (14) crossed below 30 & Losers with 1Xstd(20) down move & 2 Consecutive Down Days 25 25 100 1.17 0.9
RSI (14) crossed below 30 & Losers with 1Xstd(50) down move & 2 Consecutive Down Days 25 25 100 1.13 0.9
RSI (14) crossed below 30 & Quarter Low & 2 Consecutive Down Days 25 25 100 1.22 1.04
RSI (14) crossed below 30 & 2 Consecutive Down Days & Close below LBB 25 25 100 1.11 0.72
RSI (14) below 30 & 3 Consecutive Red Candles & One Week -5% 25 25 100 3.15 2.76
RSI (2) below 2 & Worst One Day % Loss in a Month & 3 Consecutive Down Days 25 25 100 1.73 0.9
RSI (2) below 2 & Worst One Day % Loss in a Month & 3 Consecutive Red Candles 25 25 100 1.72 0.9
Losers with 1Xstd(20) down move & Quarter Closing Low & 4 Consecutive Red Candles 25 25 100 2.09 1.09
Losers with 1Xstd(20) down move & 4 Consecutive Red Candles & Close 2Xstd below 50 DMA 25 25 100 2.12 1.1
Month Low & 4 Consecutive Red Candles & Volume Losers 150% 25 25 100 2.06 0.9
Worst One Day % Loss in a Month & Close below LBB & Crossed below SMA 50 25 25 100 0.93 0.55
2 Consecutive Down Days & Crossed below SMA 50 & Volume Losers 150% 25 25 100 0.68 0.42
4 Consecutive Red Candles & Today -2% 24 24 100 3.14 2.48
Long Red Candle & 3 Consecutive Red Candles & Today -3% 24 24 100 2.63 2.02
Close in the Bottom Range & RSI (2) below 2 & 5 Consecutive Red Candles 24 24 100 1.96 1.13
RSI (14) below 30 & 3 Consecutive Down Days & 4 Consecutive Red Candles 24 24 100 2.93 1.61
RSI (2) below 2 & Losers with 2Xstd(20) down move & 3 Consecutive Down Days 24 24 100 1.82 1.04
RSI (2) below 2 & Losers with 2Xstd(50) down move & 3 Consecutive Down Days 24 24 100 2.14 1.25
RSI (2) below 2 & Losers with 2Xstd(50) down move & 3 Consecutive Red Candles 24 24 100 2.13 1.25
RSI (2) below 5 & 4th Quarter & 4 Consecutive Down Days 24 24 100 2.58 1.64
4th Quarter & 4 Consecutive Down Days & Intraday Low below LBB 24 24 100 2.62 1.35
Worst One Day % Loss in a Month & Close crossed below LBB & Crossed below SMA 50 24 24 100 0.82 0.53
2 Consecutive Down Days & 5 Consecutive Red Candles & Today -1% 24 24 100 2.5 1.18
4 Consecutive Down Days & 3 Consecutive Red Candles & Today -2% 24 24 100 3.06 1.9
4 Consecutive Down Days & Open -1% & Volume Losers 150% 24 24 100 2.41 1.1
4 Consecutive Red Candles & Open -1% & Volume Losers 150% 24 24 100 2.42 1.1
Losers with 1Xstd(20) down move & 5 Consecutive Red Candles 23 23 100 1.9 1.1
Losers with 1Xstd(50) down move & 5 Consecutive Red Candles 23 23 100 1.89 1.1
Long Red Candle & Close in the Bottom Range & 5 Consecutive Down Days 23 23 100 1.76 0.99
Long Red Candle & 3 Consecutive Down Days & Today -3% 23 23 100 2.6 1.57
Close in the Bottom Range & Losers with 1Xstd(20) down move & 5 Consecutive Down Days 23 23 100 1.93 1.1
Close in the Bottom Range & 5 Consecutive Red Candles & Close below LBB 23 23 100 2.03 1.15
RSI (14) crossed below 30 & 2 Consecutive Down Days & Today -1% 23 23 100 1.15 0.9
RSI (14) below 30 & RSI (2) below 2 & 4 Consecutive Red Candles 23 23 100 2.98 1.96
RSI (14) below 30 & RSI (2) below 5 & Volume Losers 150% 23 23 100 2.41 1.04
RSI (14) below 30 & 3 Consecutive Red Candles & Today -2% 23 23 100 3.23 2.96
RSI (14) below 30 & 3 Consecutive Red Candles & Volume Losers 150% 23 23 100 2.66 1.1
RSI (2) below 2 & Williams %R moved below -90 & 3 Consecutive Down Days 23 23 100 1.6 0.99
RSI (2) below 2 & Losers with 2Xstd(20) down move & 3 Consecutive Red Candles 23 23 100 1.87 1.1
RSI (2) below 5 & 4th Quarter & Above SMA 200 23 23 100 1.16 0.91
RSI (2) below 5 & 4 Consecutive Red Candles & Today -2% 23 23 100 3.2 2.76
Williams %R moved below -90 & 4 Consecutive Down Days & Intraday Low below LBB 23 23 100 1.3 0.84
Losers with 1Xstd(20) down move & Quarter Low & 4 Consecutive Red Candles 23 23 100 2.3 1.1
Losers with 1Xstd(20) down move & 5 Consecutive Down Days & 3 Consecutive Red Candles 23 23 100 1.95 1.25
Losers with 2Xstd(50) down move & Close below LBB & Crossed below SMA 50 23 23 100 0.87 0.44
Month Low & 4 Consecutive Down Days & Volume Losers 150% 23 23 100 2.2 0.99
Month Low & 4 Consecutive Red Candles & Today -2% 23 23 100 3.18 2.76
2 Consecutive Down Days & 4 Consecutive Red Candles & Today -2% 23 23 100 3.26 2.76
2 Consecutive Down Days & 5 Consecutive Red Candles & Close below S1 23 23 100 1.88 1.02
3 Consecutive Down Days & 5 Consecutive Red Candles & Today -1% 23 23 100 2.47 1.1
5 Consecutive Down Days & 4 Consecutive Red Candles & Today -1% 23 23 100 2.61 1.25
4 Consecutive Red Candles & Today -2% & Below SMA 50 23 23 100 3.02 2.21
4 Consecutive Red Candles & Intraday Low below LBB & Close below S2 23 23 100 1.96 0.84

and the whole file here

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$XRT trade idea with 43/43 wins, since Y2K – 2nd Oct 2018

$XRT trade idea with 43/43 wins

$XRT trade idea

this trading strategy is picked up by the daily $XRT tick alert file , and here are the rules

  1. $XRT , RSI (2) value crossed below 10 today after being above 10 for the previous day, The RSI period used is 2
  2. $XRT closed at 20 day’s low
  3. $XRT volume is 1.5 times than the average 20 day’s volume

below the trading odds for $XRT longs , for next 1/2/3/4/5 trading days, since $XRT IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Max Loss % OAPF
t+1 43 27 63.0 0.69 0.57 1.50 -0.67 -2.84 2.96
t+2 43 33 77.0 0.92 0.83 1.55 -1.16 -2.94 3.31
t+3 43 30 70.0 0.85 0.66 1.73 -1.18 -4.68 2.95
t+4 43 27 63.0 1.08 0.93 2.40 -1.15 -4.23 2.77
t+5 43 26 60.0 0.92 0.98 2.74 -1.88 -12.10 2.04
1st +’ve exit in 5 days % 43 43 100.0 1.43 1.00 1.43 NA NA NA

43/43 times , since Y2K,  $XRT closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 143 bps , and a median gain of 100 bps

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$IWM bullish pattern with 31/31 wins , since Y2K

$IWM bullish pattern with 31/31 wins

$IWM  close crosses below lower bollinger band

this trading strategy is picked up by the daily $IWM tick alert file , and here are the rules

1) $IWM close crossed below lower bollinger bands ( i’e that is as of previous trading day the close is above lower bollinger band , while as on current trading day it closed  below the lower bollinger band )

2) $IWM posted , 4 lower lows in row

below the $IWM trading odds for the longs , since Y2K , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Max Loss % OAPF
t+1 31 22 71.0 0.84 0.44 1.53 -0.86 -1.89 3.94
t+2 31 23 74.2 1.17 0.91 2.01 -1.24 -2.87 3.87
t+3 31 21 67.7 1.08 0.42 2.53 -1.98 -5.20 1.89
t+4 31 20 64.5 1.32 1.11 2.93 -1.61 -4.71 2.60
t+5 31 20 64.5 1.40 0.88 3.25 -1.97 -6.90 2.61
1st +’ve exit in 5 days % 31 31 100.0 1.42 1.01 1.42 INF NA NA

31/31 times , since Sep Y2K,  $IWM closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 142 bps , and a median gain of 101 bps

below the historical instances of $IWM close crossing below lower bollinger band , along with 4 lower lows , since Y2K

Date $IWM t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # dasy to 1st +’ve cls
01-Oct-18 166.33 ?? ?? ?? ?? ?? ?? ??
05-Feb-18 146.65 1.20 1.30 -1.68 -0.78 0.16 1.20 1
09-Mar-17 132.41 0.44 0.68 0.20 1.75 1.88 0.44 1
13-Jan-16 96.69 1.38 -0.26 -1.60 -1.20 -1.42 1.38 1
24-Jul-15 116.26 -0.83 0.02 0.30 0.58 1.14 0.02 2
08-Jul-15 116.66 0.36 1.75 2.90 3.48 2.93 0.36 1
15-Jan-15 109.00 1.63 1.20 0.88 2.93 2.87 1.63 1
25-Sep-14 104.15 0.90 0.82 -0.71 -2.12 -1.18 0.90 1
24-Jun-13 87.80 0.96 1.44 3.01 2.42 4.09 0.96 1
17-May-12 68.50 -0.94 1.39 0.78 1.43 1.64 1.39 2
03-Oct-11 54.97 6.23 7.69 10.08 7.39 12.10 6.23 1
22-Sep-11 58.12 1.02 2.93 5.14 1.11 2.86 1.02 1
06-Jun-11 71.21 0.24 -0.88 -0.35 -1.95 -2.23 0.24 1
02-Mar-09 32.15 -1.89 0.14 -5.20 -4.71 -6.90 0.14 2
14-Jan-09 39.37 1.61 2.74 -4.22 0.55 -2.37 1.61 1
02-Jul-08 57.66 -0.88 -1.82 1.73 -0.99 -0.01 1.73 3
11-Jun-08 61.69 0.21 2.02 2.66 2.57 1.75 0.21 1
08-Jan-08 60.01 1.01 2.36 0.29 1.11 -0.69 1.01 1
04-Jan-08 61.79 0.22 -2.87 -1.89 -0.58 -2.59 0.22 1
07-Nov-07 66.18 0.30 -0.81 -1.77 1.27 0.88 0.30 1
23-Mar-05 50.59 0.37 0.41 -1.03 0.42 0.41 0.37 1
05-Jan-05 50.75 0.53 -0.59 0.42 -0.80 -0.39 0.53 1
06-Aug-04 42.71 -0.32 1.24 1.11 -0.35 -0.37 1.24 2
10-Mar-03 28.17 -0.71 -0.49 2.20 2.33 4.69 2.20 3
09-Oct-02 26.30 2.92 5.53 6.24 10.52 7.76 2.92 1
23-Jul-02 28.89 5.92 5.09 6.76 10.87 11.21 5.92 1
07-Feb-02 36.42 2.64 3.09 3.31 4.30 2.97 2.64 1
08-Aug-01 37.36 1.01 0.91 1.76 2.08 1.95 1.01 1
10-Jul-01 37.85 0.00 2.45 2.95 1.21 3.21 2.45 2
16-Mar-01 34.97 2.61 0.23 -1.31 -2.27 0.28 2.61 1
14-Mar-01 35.76 -0.39 -2.22 0.33 -2.00 -3.50 0.33 3
27-Jul-00 39.20 -1.75 0.75 0.09 0.25 0.19 0.75 2

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$IWM bullish pattern with 33/35 wins – 19 Sep 2018

$IWM bullish pattern with 33/35 wins

$iwm bullish trading strategy

trading strategy rules

1) $IWM posts 20 day intra-day low 

2) $IWM intraday low crosses below lower bollinger band ( calculated over 20 days moving average and 2 standard deviations)   

below the trading odds for $IWM longs over last 5 years ( i.esince 19 sep 2013) , for the next 1/2/3/4/5 trading days

odds for $IWM longs , over last 5 years , when posts a intraday month low and intraday low crosses below lower bollinger band 
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Max Loss % OAPF
T+1 35 15 43.0 -0.05 -0.13 0.76 -0.89 -2.41 0.82
T+2 35 19 54.0 0.35 0.38 1.35 -0.84 -1.94 1.69
T+3 35 22 63.0 0.68 0.29 1.66 -0.97 -3.95 2.72
T+4 35 26 74.0 0.91 0.86 1.63 -1.17 -5.60 3.63
T+5 35 22 63.0 0.81 0.53 2.06 -1.31 -6.01 2.37
1st +ve Cls in 5 Days 35 33 94.0 0.77 0.60 0.89 -1.06 -1.14 11.86

33/35 times , since Sep 2013 ,  $IWM closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 77 bps , and a max loss of 114 bps ( for the trade taken on 24th Jan 2014) 

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

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when $IWM posts an outside day when above upper bollinger band

an $IWM pattern with 42/43 wins

$iwm posts an outside when above upper bollinger band

below the trading strategy rule

1) $IWM intraday high is above upper bollinger band ( drawn using 20 day averages and on 2 standard deviations )

2) $IWM posts an outside side ( higher high and lower low )

below the trading odds for longs , for the next 1/2/3/4/5 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 43 32 74.4 0.49 0.35 0.89 -0.68 1.31 -2.36 3.11
t+2 43 27 62.8 0.47 0.26 1.16 -0.70 1.65 -1.71 2.48
t+3 43 26 60.5 0.26 0.53 1.50 -1.63 0.92 -3.04 1.13
t+4 43 23 53.5 0.15 0.42 1.92 -1.87 1.02 -4.48 1.08
t+5 43 23 53.5 0.02 0.41 1.94 -2.20 0.88 -6.35 1.00
1st +’ve exit in 5 days % 43 42 97.7 0.76 0.63 0.82 -2.10 0.39 -2.10 7.30

42/43 times , since Y2K ,  $IWM closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 76 bps , and a median of 63 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 $IWM  posting an outside day , when high is above upper Bollinger band , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve close  in 5 days % # days to 1st +’ve cls
24-Jan-18 158.97 ?? ?? ?? ?? ?? ?? ??
16-Jan-18 156.14 0.95 0.26 1.58 2.12 2.45 0.95 1
19-Dec-17 152.50 0.20 0.63 0.45 0.51 0.41 0.20 1
27-Nov-17 149.92 1.57 1.91 2.10 1.68 1.30 1.57 1
01-Nov-17 147.71 0.30 0.23 0.34 -0.86 -0.72 0.30 1
05-Sep-17 138.31 0.21 -0.04 0.04 1.09 1.70 0.21 1
01-Jun-16 112.83 0.77 0.16 1.24 1.54 2.29 0.77 1
24-Jun-15 122.86 -0.05 -0.33 -2.85 -2.39 -2.10 -2.10 5
27-Apr-15 119.55 0.55 -0.54 -2.64 -2.01 -1.66 0.55 1
28-Nov-14 111.31 -1.56 -0.38 0.58 0.10 0.86 0.58 3
20-Feb-13 84.69 -0.97 0.22 -1.99 -1.61 -0.57 0.22 2
23-Jan-12 71.39 0.58 1.43 1.32 2.01 1.22 0.58 1
19-Jan-11 70.76 -1.04 -1.71 -0.98 -0.83 0.75 0.75 5
09-Nov-10 65.24 1.11 0.71 -0.96 -0.95 -2.87 1.11 1
30-Sep-10 60.55 0.53 -0.83 1.99 1.64 1.35 0.53 1
09-Sep-10 56.83 0.31 2.76 2.31 2.89 2.24 0.31 1
28-Dec-09 56.27 -0.05 -0.11 -1.30 1.14 0.79 1.14 4
21-Jul-09 46.36 0.78 3.97 4.50 5.03 5.09 0.78 1
07-May-09 42.68 3.47 1.96 0.53 -4.09 -2.75 3.47 1
06-May-09 43.71 -2.36 1.03 -0.45 -1.85 -6.35 1.03 2
13-Aug-08 63.74 0.96 0.69 -0.60 -2.25 -2.12 0.96 1
16-May-08 62.97 0.03 -0.33 -1.76 -1.06 -2.35 0.03 1
14-May-08 62.50 0.21 0.75 0.78 0.42 -1.02 0.21 1
11-Dec-07 64.67 0.75 0.20 -1.74 -3.25 -1.53 0.75 1
23-Aug-07 66.44 1.28 -0.01 -2.63 -0.07 -0.75 1.28 1
30-May-07 70.70 0.54 1.06 1.17 0.76 -0.36 0.54 1
14-Jul-05 54.53 0.09 -0.50 0.89 2.13 0.53 0.09 1
09-Feb-05 51.06 0.17 1.80 1.71 1.80 2.11 0.17 1
27-Dec-04 52.71 1.32 1.32 0.96 0.89 -0.41 1.32 1
01-Jul-04 47.30 0.32 -1.49 -1.61 -3.39 -2.76 0.32 1
25-Jun-04 47.61 -0.20 0.63 1.20 -0.65 -0.33 0.63 2
09-Jan-04 46.47 1.86 1.43 1.96 2.22 2.79 1.86 1
31-Dec-03 45.04 1.08 2.25 2.12 3.21 4.00 1.08 1
22-Aug-03 39.09 -0.10 0.29 1.27 1.94 2.35 0.29 2
29-May-03 34.82 1.78 2.32 2.64 4.04 5.74 1.78 1
20-Mar-03 29.69 1.39 -0.79 0.28 -0.95 -0.27 1.39 1
26-Jun-02 35.85 1.91 0.76 -1.31 -4.26 -5.41 1.91 1
11-Apr-02 39.86 2.21 1.50 3.99 3.08 2.70 2.21 1
11-Mar-02 39.50 -0.17 -1.00 -0.55 -0.14 0.43 0.43 5
06-Mar-02 39.06 0.10 1.10 1.13 0.96 0.12 0.10 1
08-Nov-01 34.71 -0.32 0.05 1.89 2.89 2.51 0.05 2
06-Nov-01 35.03 -0.67 -0.91 -1.23 -0.86 0.96 0.96 5
06-Nov-00 39.26 0.89 -0.93 -2.00 -4.48 -5.44 0.89 1
14-Jul-00 42.29 0.35 -1.40 -3.04 -1.49 -4.16 0.35 1

highlighted in red  as on 24th Jun 2015 is the only instance when $IWM failed to close higher over the next five trading days

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when $TLT posts 5 or more red candles while below 200 DMA

when $TLT posts 5 or more red candles

odds for $TLT longs since 2003, after $TLT posts 5 or more red candles , & close is below 200 DMA

below the trading strategy rules

1) $TLT posts 5 or more red candles ( that is close is below open) in row

2) close is below 200DMA

$TLT trading odds for longs since 2003 ( or since it’s IPO) for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 27 23 85.2 0.53 0.49 0.70 -0.44 1.58 -0.70 6.75
t+2 26 17 65.4 0.63 0.47 1.09 -0.25 4.32 -0.65 7.52
t+3 26 20 76.9 0.63 0.45 0.98 -0.53 1.86 -1.53 5.49
t+4 26 18 69.2 0.51 0.43 1.17 -0.98 1.19 -2.01 1.94
t+5 26 17 65.4 0.41 0.48 1.25 -1.18 1.06 -2.09 1.57
1st +’ve exit in 5 days % 27 27 100.0 0.68 0.52 0.68 INF INF 0.05 NA

27/27 times , since 2003,  $TLT closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 68 bps , and a median of 52 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 $TLT posting 5 or more red candles , when close is below 200 DMA , since 2003

Date t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
23-Jan-18 ?? ?? ?? ?? ?? ?? ??
22-Jan-18 0.43 ?? ?? ?? ?? 0.43 1
19-Jan-17 -0.20 0.80 0.11 -1.15 -0.82 0.80 2
11-Nov-16 -0.60 -0.11 0.79 -0.69 -0.98 0.79 3
16-Sep-15 1.22 2.78 1.10 2.51 2.50 1.22 1
03-Jun-15 1.30 0.07 -0.04 -0.83 -1.70 1.30 1
05-Nov-13 0.05 0.90 -1.53 -1.90 -1.45 0.05 1
10-Sep-13 0.89 0.75 1.14 0.47 1.30 0.89 1
09-Sep-13 -0.70 0.18 0.05 0.44 -0.23 0.18 2
06-Sep-13 0.05 -0.65 0.23 0.10 0.49 0.05 1
15-May-13 1.04 -0.24 -0.36 0.43 -1.07 1.04 1
11-Apr-13 1.49 2.37 1.53 2.21 2.46 1.49 1
11-Mar-13 0.72 0.62 0.31 0.78 1.55 0.72 1
08-Mar-13 0.10 0.82 0.71 0.41 0.88 0.10 1
18-Oct-12 1.36 0.71 2.15 1.14 0.62 1.36 1
04-Feb-11 0.52 -0.41 0.46 -0.70 0.73 0.52 1
24-Dec-09 -0.27 0.38 1.03 0.56 0.47 0.38 2
17-Jul-09 0.52 2.52 1.61 -0.26 0.22 0.52 1
10-Jun-09 1.11 2.02 2.94 4.74 4.14 1.11 1
29-May-08 0.65 1.04 1.77 0.86 0.25 0.65 1
10-Aug-07 0.29 0.56 0.20 1.23 0.78 0.29 1
01-Jun-07 0.46 -0.17 -0.21 -2.01 -2.09 0.46 1
26-Jun-06 0.49 -0.05 0.30 1.26 1.16 0.49 1
31-May-06 0.46 1.75 1.62 2.10 2.11 0.46 1
31-Mar-06 0.41 0.32 0.45 -0.32 -1.29 0.41 1
07-Nov-05 0.97 -0.08 1.14 1.21 0.44 0.97 1
10-May-04 0.44 -0.22 -0.59 0.22 1.11 0.44 1
29-Jul-03 1.13 -0.36 -0.43 0.41 -1.02 1.13 1

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$GLD , $TLT , $VNQ trade ideas – 9 Jan 2018

$GLD , $TLT , $VNQ trade ideas

few trading ideas as on 9th Jan 2018

1) $GLD – trading strategy rules

close is above and is down for three days in row , backtest period since last 4 years

$gld

 

34 out 34 times closed lower atleast once over next 5 trading days, when $GLD is above 200 DMA and posted 3 down closes in last 4 years at an average of 66 bps

2) $TLT – trading strategy rules

RSI(2) is below 2 , and posts 4 consecutive lower lows , backtest period is since its IPO ( 2002)

$tlt

 

39 out 39 times closed higher atleast once over next 5 trading days, when $TLT posts 4 lower lows along with an RSI(2) close below 2 , since 2002 , at an average of 64 bps

3) $VNQ – trading strategy rules

close is blow 200 DMA , and closes at quarterly low , backtest period is last 4 years

VNQ

33 out 33 times closed higher atleast once over next 5 trading days, when $VNQ closes at quarterly low , and when close is below is 200 DMA , at an average of 76 bps

ps: clicking on the images will take you to a detailed backtest report , which included historical trade details , along with drawdown and run details , among many other backtest report statistics.

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