when $SPY posts a surprise gap up open

when $SPY posts a surprise gap up open

$SPY surprise Gap up Opening

 

Defining surprise gap up open as

 

1) $SPY lost more than o.5% as on previous trading day

2) $SPY gap opens above the day before close , thus recovering the entire loss of previous trading day

below the trading odds for $SPY longs , with entry at open and exit set to close

Total # Trades 57
# Win Trades 37
# Loss Trades 20
Percent Profitable Trades 65%
Avg Win Trade % 1.66
Avg Loss Trade % -1.18
Payoff Ratio 1.4
Avg Profit Trade % 0.66
Median Trade % 0.54
Profit Factor 2.52
T-Test 2.38

Below the historical instances of $SPY surprise gap up openings , since Y2K

Date Open High Low Close t-1 % Gap % Close – Open Close – Open %
23-Oct-14 194.62 ?? ?? ?? -0.71 1.00 ?? ??
04-Mar-14 184.22 185.39 184.18 185 -0.70 0.98 0.78 0.42
17-Jun-13 159.53 160.44 158.5 159.68 -0.63 0.68 0.15 0.09
11-Oct-12 138.49 138.69 137.58 137.61 -0.64 0.69 -0.88 -0.64
03-Aug-12 132.3 133.33 130.5 133.05 -0.69 1.40 0.75 0.57
01-Aug-12 132.43 132.46 131.19 131.37 -0.69 0.71 -1.06 -0.80
10-May-12 129.84 130 128.92 129.21 -0.59 0.70 -0.63 -0.48
17-Jan-12 123.02 123.25 121.9 122.32 -0.51 0.96 -0.70 -0.57
20-Dec-11 115.55 117.41 113.84 117.21 -1.07 1.58 1.66 1.43
10-Oct-11 110.59 112.43 110.59 112.38 -0.68 1.71 1.79 1.61
07-Sep-11 111.04 112.52 110.67 112.47 -0.73 1.52 1.43 1.29
22-Aug-11 107.68 107.74 105.1 105.4 -1.63 2.25 -2.28 -2.12
01-Aug-11 122.33 122.44 119.23 120.4 -0.68 1.16 -1.93 -1.57
06-May-11 125.54 126.18 124.37 124.85 -0.91 1.00 -0.69 -0.55
01-Dec-10 110.76 111.72 110.75 111.51 -0.56 1.44 0.75 0.67
05-Oct-10 105.79 107.19 105.67 106.93 -0.75 0.92 1.14 1.08
24-Sep-10 104.81 105.87 104.72 105.8 -0.80 1.10 0.99 0.94
06-Jul-10 95 95.66 93.38 94.29 -0.55 1.42 -0.71 -0.74
10-Jun-10 98.39 99.69 96.73 99.57 -0.53 1.71 1.18 1.20
27-May-10 99.61 101.08 99.23 101.04 -0.61 1.89 1.43 1.44
10-May-10 105.64 106.41 104.82 105.96 -1.49 4.09 0.32 0.30
09-Feb-10 97.33 98.25 96.55 97.41 -0.72 1.17 0.08 0.08
04-Dec-09 101.06 101.55 99.43 100.31 -0.79 1.32 -0.75 -0.74
07-Aug-09 90.78 91.76 90.28 91.01 -0.52 1.05 0.23 0.26
18-May-09 80.09 81.69 79.21 81.59 -0.81 0.95 1.50 1.88
23-Mar-09 70.42 73.59 70.03 73.53 -2.13 2.65 3.11 4.42
10-Mar-09 61.72 64.26 61.59 64.08 -1.18 2.05 2.36 3.83
04-Mar-09 63.25 64.7 62.22 63.69 -0.75 1.65 0.44 0.70
26-Feb-09 69.1 70.75 67.07 67.15 -0.78 1.24 -1.95 -2.83
23-Feb-09 69.49 69.49 66.23 66.28 -0.98 1.10 -3.21 -4.63
16-Dec-08 80.93 81.05 77.67 80.93 -1.39 4.71 0.00 0.00
30-Oct-08 84.36 85.03 81.83 84.82 -0.73 2.91 0.46 0.54
28-Oct-08 76.93 83 74.45 82.58 -3.55 4.04 5.65 7.35
20-Oct-08 83.98 87.29 82.87 87.03 -0.59 2.29 3.05 3.63
13-Oct-08 82.68 89.27 79.23 89.27 -2.43 6.07 6.59 7.97
18-Mar-08 113.26 115.92 112.71 115.87 -1.01 1.82 2.61 2.30
11-Mar-08 113.34 115.07 111.81 114.97 -1.32 2.13 1.63 1.44
05-Dec-07 127.59 128.69 127.5 128.35 -0.90 1.08 0.76 0.59
13-Nov-07 125.38 127.92 125.25 127.72 -0.99 1.16 2.34 1.86
21-Sep-07 131.71 132.06 130.87 131.07 -0.71 0.76 -0.64 -0.48
06-Mar-07 118.15 119.29 117.24 118.93 -0.96 1.04 0.78 0.66
23-May-06 106.73 107.1 105.04 105.04 -0.76 0.83 -1.69 -1.58
16-Jul-04 90.57 90.65 89.65 89.87 -0.65 0.70 -0.70 -0.77
17-Oct-02 70.13 70.47 69.33 69.66 -2.43 2.68 -0.47 -0.68
06-Sep-02 70.51 71.16 70.19 70.71 -0.85 1.09 0.20 0.28
17-Jul-02 72.64 73.3 70.51 71.29 -1.93 2.10 -1.35 -1.86
16-Apr-02 87.45 88.71 87.42 88.62 -0.76 1.01 1.17 1.34
13-Nov-01 88.26 89.12 88.05 89.12 -0.60 1.26 0.86 0.98
24-Sep-01 77.58 78.7 77.06 78.34 -1.08 2.51 0.76 0.98
19-Jul-01 94.7 95.32 93.59 94.61 -0.69 0.97 -0.09 -0.09
23-Mar-01 87.53 88.62 86.18 88.48 -1.01 1.92 0.95 1.09
08-Dec-00 105.32 107.18 102.88 102.95 -1.37 2.55 -2.37 -2.25
14-Nov-00 105.64 107.29 105.28 106.91 -0.78 1.41 1.27 1.20
25-Jul-00 113.26 113.33 112.51 112.92 -0.57 0.62 -0.34 -0.30
01-May-00 112.08 113.55 111.53 112.46 -0.62 1.01 0.38 0.34
25-Apr-00 110.59 113.3 110.46 113.3 -1.09 1.67 2.71 2.45
06-Apr-00 114.9 116.01 113.95 115.08 -0.62 0.71 0.18 0.15
07-Jan-00 107.03 111.18 106.84 111.18 -1.61 1.87 4.15 3.88

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suppose if $SPY opens with a gap up after

suppose if $SPY opens with a gap up after

with $SPY about to open with a gap up opening

1) post facto trading strategy 

  • $SPY posts two gap down openings  of more than 1% in row
  • go long at close
  • exit at next open

Below the trading strategy results , for , such overnight gap trading , since Y2K

Winners : 20
Losers : 6
% Winners : 77%
Average Change % : 0.89
Median Change % : 0.92
Maximum Gain % : 4.04
Maximum Loss % : -2.01
Average Gain %if Winner : 1.43
Average Loss % if Loser : -0.90
Payoff Ratio 1.59
Average Absolute Change% : 0.93
Profit Factor : 4.99
Outlier Adjusted Profit Factor : 4.40
Standard Deviation ( on %’ages) 1.35
T-Test 3.38

what to do now,

2) $SPY opens with a gap up , after two big gap down openings , trading strategy rules ,

  • $SPY posted two or more gap down openings of more than 1% ( gap is calculate as (open-prev close )*100/prev close ) as of previous trading day
  • $SPY opens with a gap up opening
  • go long at open
  • exit at close

Below the trading strategy results , for ,  $SPY opens with a gap up , after two big gap down openings , since Y2K

Winners : 16
Losers : 3
% Winners : 84%
Average Change % : 1.28
Median Change % : 0.76
Maximum Gain % : 7.35
Maximum Loss % : -2.15
Average Gain %if Winner : 1.79
Average Loss % if Loser : -1.44
Payoff Ratio 1.25
Average Absolute Change% : 1.11
Profit Factor : 6.40
Outlier Adjusted Profit Factor : 4.87
Standard Deviation ( on %’ages) 2.20
T-Test 2.54

Having seen such a 84% winner strategy , don’t immediately go and put buy on market on open order , wait for the dip , in all those 19 previous instances , one would have got a small dip from open , the reader may want to do the average/median dip size from open , as a homework , and post the answer in the comments section !!

below the historical instances $SPY gap up openings , after 2 or 1% gap down openings , since Y2K

Date Open High Low Close Gap % CFO CFO % t%
17-Oct-14 ~ 188.15 ?? ?? ?? 1.01 ?? ?? ??
02-Nov-11 116.38 116.92 115.4 116.53 1.51 0.15 0.13 1.64
13-Sep-11 109.43 110.49 108.66 110.08 0.33 0.65 0.59 0.92
07-Sep-11 111.04 112.52 110.67 112.47 1.52 1.43 1.29 2.83
22-Aug-11 107.68 107.74 105.1 105.4 2.25 -2.28 -2.12 0.09
29-Apr-09 77.37 79.02 77.18 78.15 1.11 0.78 1.01 2.13
08-Apr-09 73.39 74.18 72.92 73.81 0.51 0.42 0.57 1.08
31-Mar-09 71.15 72.51 70.69 71.11 0.97 -0.04 -0.05 0.92
03-Mar-09 63.59 63.67 61.84 62.22 1.43 -1.37 -2.15 -0.75
26-Jan-09 74.22 75.79 73.53 74.3 0.57 0.08 0.11 0.68
08-Dec-08 79.57 81.37 77.58 80.15 2.74 0.58 0.73 3.49
21-Nov-08 68.23 71.26 65.48 70.04 2.67 1.81 2.66 5.4
13-Nov-08 75.86 80.79 72.3 80.3 0.36 4.44 5.85 6.23
07-Nov-08 80.72 82.79 79.71 82.67 0.87 1.95 2.41 3.3
28-Oct-08 76.93 83 74.45 82.58 4.04 5.65 7.35 11.69
30-Sep-08 99.98 102.87 97.35 102.16 1.91 2.18 2.18 4.14
18-Sep-08 103.38 106.66 99.66 105.15 1.23 1.77 1.71 2.97
24-Jan-08 116.6 117.45 115.58 117.04 0.46 0.44 0.38 0.84
10-Dec-02 71.04 71.9 70.84 71.58 0.59 0.54 0.76 1.35
24-Sep-01 77.58 78.7 77.06 78.34 2.51 0.76 0.98 3.51

CFO : Change from Open

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$GLD big gap downs on Monday

$GLD big gap downs on Monday

$GLD gap down openings

with gold futures trading down by about -1.3% ( at the time of writing ) and assuming that $GLD ETF might open down by more than 1% ,

below the trading strategy rules

  • $GLD opens with a gap down of more than -1% ( current open minus previous close) &&
  • current tradings day is Monday

below the trading odds for $GLD longs with entry at open and exit set to close , data since Jan 2009

  • Winners : 8
  • Losers : 12
  • % Winners : 40%
  • Average Change % : -0.28
  • Median Change % : -0.11
  • Maximum Gain % : 1.43
  • Maximum Loss % : -3.45
  • Average Gain %if Winner : 0.66
  • Average Loss % if Loser : -0.91
  • Payoff Ratio 0.73

not a big trading edge to short $GLD , but points to bit further bearishness !!

a quick look at the $GDX performed from open to close on the Monday’s when $GLD gaps down by more than 1% , since Jan 2009

  • Winners : 2
  • Losers : 18
  • % Winners : 10%
  • Average Change % : -1.45
  • Median Change % : -1.22
  • Maximum Gain % : 2.83
  • Maximum Loss % : -4.44
  • Average Gain %if Winner : 1.79
  • Average Loss % if Loser : -1.81
  • Payoff Ratio 0.99

in other words $GDX closed down from the open , 90% times , with an average loss from open to close of -1.45 %

Below the prior instances of $GLD 1% gap down openings and the intraday movements from open to close , for $GLD and $GDX

Date $GLD Open $GLD Close Gap % % Change from Open to Close $GDX Open $GDX Close Gap % % Change from Open to Close
24-Mar-14 126.87 126.18 -1.25 -0.54 25.11 24.33 -1.61 -3.11
02-Dec-13 119.2 117.58 -1.24 -1.36 21.59 20.71 -2.17 -4.08
15-Apr-13 136 131.31 -5.52 -3.45 29.96 28.75 -6.14 -4.03
11-Feb-13 159.78 159.7 -1.11 -0.05 41.55 41.08 -0.92 -1.12
14-May-12 151.58 151.33 -1.29 -0.16 40.76 40.17 -2.02 -1.44
12-Dec-11 162.35 161.99 -2.43 -0.22 55.06 54.56 -2.62 -0.91
31-Oct-11 167.76 167.34 -1.10 -0.25 58.42 57.52 -1.20 -1.54
26-Sep-11 157.12 157.58 -1.68 0.29 54.52 56.06 -1.17 2.83
12-Sep-11 178.73 176.67 -1.09 -1.15 63.31 62.48 -1.60 -1.31
28-Mar-11 137.82 138.54 -1.03 0.52 57.58 57.18 -1.06 -0.70
07-Dec-09 111.51 113.11 -1.97 1.43 47.85 48.21 -2.56 0.75
17-Aug-09 91.49 91.61 -1.62 0.13 36.39 36.14 -4.21 -0.69
22-Jun-09 90.41 90.54 -1.62 0.14 36.24 34.63 -2.56 -4.44
06-Apr-09 86.4 85.27 -1.36 -1.31 32.36 32.17 -4.19 -0.60
16-Mar-09 90.29 90.8 -1.11 0.56 31.65 31.55 -1.26 -0.31
23-Feb-09 96.59 97.73 -1.24 1.18 35.60 35.33 -0.78 -0.76
09-Feb-09 88.35 88.32 -1.38 -0.03 33.79 33.3 -1.53 -1.46
02-Feb-09 89.88 88.84 -1.57 -1.16 32.31 31.87 -2.58 -1.35
12-Jan-09 81.72 80.76 -2.62 -1.17 29.25 28.05 -3.56 -4.11
05-Jan-09 83.62 84.48 -3.03 1.03 30.96 30.75 -4.08 -0.69

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$INTC 5% ++ gap up openings since 2000

$INTC 5% ++ gap up openings since 2000

with $INTC set to open with a gap up opening of 7.3% at ~ 29.99 ( at the time of writing ) , below the trading odds for the longs taken at open with exit set to close , when ever $INTC opens with 5% or more gap up opening , since 2000.

  • Winners : 12
  • Losers : 15
  • % Winners : 44%
  • Average Change % : 0.15
  • Median Change % : -0.26
  • Maximum Gain % : 7.05
  • Maximum Loss % : -7.58
  • Average Gain %if Winner : 3.13
  • Average Loss % if Loser : -2.24
  • Payoff Ratio 1.40
  • Average Absolute Change% : 2.09

few statistics that might help the scalpers 

  • 100% of the times moved higher than open , when $INTC opened with more than 5% of gap up , with an average change from the open to the high of the day standing at 2.3% , while the median change % from open to high stands at 0.91% .
  • 100% of the times moved lower than open , when $INTC opened with more than 5% of gap up, with an average change % from open to the low of the day standing at -2.9% , while the median change% from open to low stands at -2.3%

Below the table with details of $INTC 5% or more gap up openings since 2000.

$INTC 5% ++ gap up openings since Jan 2000

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2 unfilled gap down closings on $SPY during bull markets – what next ?

2 unfilled gap down closings on $SPY during bull markets

two unfilled gap down closings in row stock chart

 

with $SPY posting 2 unfilled gap down closings ( that is current low is less than the previous close ) , below trading strategy rules

  • $SPY posts two or more unfilled gap down closings
  • $SPY close is above the 200-DMA

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , when “$SPY posts 2 unfilled gap down closings during bull markets “, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 23 13 56.5 0.09 0.25 0.65 -0.63 1.03 -1.85 1.40 1.13
t+2 23 11 47.8 0.12 -0.01 0.72 -0.42 1.71 -1.70 1.67 1.31
t+3 23 13 56.5 -0.02 0.13 0.76 -1.04 0.73 -2.75 0.87 0.68
t+4 23 16 69.6 0.33 0.52 1.01 -1.23 0.82 -3.35 1.82 1.51
t+5 23 17 73.9 0.83 1.01 1.54 -1.17 1.32 -3.63 3.83 3.24
t+10 23 16 69.6 1.50 2.00 2.71 -1.27 2.14 -4.33 5.75 5.15
t+20 22 18 81.8 2.23 3.50 3.96 -5.57 0.71 -14.94 3.23 2.95
1st +’ve exit in 5 days 23 22 95.7 0.50 0.44 0.58 -1.04 0.55 -1.04 12.66 10.91

22 /23 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.50 % .

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

below the table with historical instances of “$SPY posts 2 unfilled gap down closings during bull markets ” , since Jan 2000, along with next 1/2/3/4/5 day returns

Date $SPY t+1% t+2% t+3% t+4% t+5%
12-Jun-14 193.54 ?? ?? ?? ?? ??
15-May-14 187.4 0.35 0.72 0.08 0.92 1.17
24-Jan-14 178.1 -0.49 0.1 -0.86 0.19 -0.39
03-Oct-13 165.98 0.76 -0.11 -1.28 -1.2 0.93
30-Sep-13 166.37 0.79 0.7 -0.23 0.52 -0.35
24-May-13 162.04 0.6 -0.05 0.31 -1.12 -0.58
15-Apr-13 152.05 1.48 -0.01 -0.63 0.24 0.68
08-Jan-13 142.04 0.25 1.06 1.05 0.98 1.05
24-Dec-12 138.92 -0.42 -0.55 -1.63 0.04 2.61
23-Jul-12 130.21 -0.86 -0.84 0.8 2.66 2.66
06-Mar-12 128.65 0.7 1.7 2.09 2.1 3.94
11-Jul-11 124.56 -0.43 -0.1 -0.79 -0.22 -1.04
06-Jun-11 121.19 -0.06 -0.48 0.28 -1.11 -1.04
23-May-11 124.03 -0.09 0.25 0.71 1.1 2.14
15-Mar-11 120.22 -1.85 -0.56 -0.19 1.36 1.01
23-Nov-10 110.18 1.48 0.3 0.6 0.04 2.17
12-Nov-10 111.81 -0.14 -1.7 -1.65 -0.2 0.08
06-Aug-10 103.99 0.54 -0.01 -2.75 -3.35 -3.63
06-Jun-07 131.01 -1.8 -0.53 -0.35 -1.44 0.04
28-Mar-07 122.37 0.11 0.12 0.24 1.32 1.43
27-Nov-06 118.3 0.44 1.49 1.53 1.3 2.08
01-Aug-06 108.25 0.68 0.95 0.78 0.54 0.16
22-Mar-04 89.53 -0.18 -0.1 1.23 1.25 2.68
10-Sep-03 82.25 0.29 0.49 0.13 1.59 1.4

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$SPY first unfilled full gap down of the year – what next

$SPY first unfilled full gap down of the year

with $SPY posting an unfilled full gap down ( high[0]<low[1] , i.e current high less than prev low .. ) and being the first one for the year

below the trading odds for longs for the next 1/2/3/4/5/10/20 trading days , for buying the first unfilled full gap down of the year on $SPY

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 20 13 65.0 0.54 0.43 1.13 -0.54 2.10 -1.54
t+2 20 10 50.0 0.29 0.02 1.69 -1.12 1.52 -3.66
t+3 20 10 50.0 0.23 0.02 1.78 -1.33 1.34 -4.10
t+4 20 12 60.0 0.34 0.30 1.85 -1.92 0.96 -4.17
t+5 20 11 55.0 0.23 0.17 1.92 -1.85 1.04 -6.95
t+10 20 11 55.0 0.53 1.22 3.58 -3.21 1.12 -8.73
t+20 20 13 65.0 1.25 2.20 4.42 -4.64 0.95 -9.76
Swing High 20 16 80.0 0.60 0.73 1.08 -1.32 0.82 -2.27

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

16/18  ( 80% ) times $SPY closed higher over the next 5 trading day at some close , when $SPY made a unfilled full gap down for the first time in the year , since 1994

below the previous instances of $SPY unfilled full gap downs , for the first time of the year , since 1994 

Date t+1 t+2 t+3 t+4 t+5
23-Jan-14 ?? ?? ?? ?? ??
29-May-13 0.37 -1.07 -0.53 -1 -2.39
10-Feb-12 0.75 0.62 0.16 1.26 1.53
10-Mar-11 0.7 0.09 -1.06 -2.89 -1.61
12-Jan-10 0.84 1.12 -0.02 1.23 0.2
07-Jan-09 0.4 -1.74 -4.1 -3.92 -6.95
04-Jan-08 -0.08 -1.7 -0.66 -0.01 -0.82
27-Feb-07 1.02 0.72 -0.6 -1.54 0.14
13-Jul-06 -0.39 -0.53 -0.03 1.36 0.67
20-Jan-05 -0.61 -0.81 -0.53 -0.22 -0.06
22-Mar-04 -0.17 -0.09 1.23 1.26 2.68
04-Feb-03 -0.61 -1.08 -2.29 -1.6 -2.27
19-Feb-02 1.68 -0.43 0.81 2.47 2.27
16-Feb-01 -1.54 -3.66 -3.51 -4.17 -2.13
14-Apr-00 3.5 6.23 5.24 5.74 4.6
14-May-99 0.31 0.13 0.85 0.23 -0.32
05-Mar-98 2.03 1.66 2.62 3.11 3.53
11-Apr-97 1.35 3.06 4.27 3.85 4.34
20-Feb-96 1.23 2.84 2.54 1.08 0.78
19-Jan-95 -0.36 -0.06 0.06 0.36 0.42
24-Feb-94 0.46 0.46 0.06 0.22 -0.06
avg 0.54 0.29 0.23 0.34 0.23
med 0.43 0.02 0.02 0.30 0.17
%up 65 50 50 60 55
max 3.5 6.23 5.24 5.74 4.6
min -1.54 -3.66 -4.1 -4.17 -6.95

highlighted in the red or the instances where $SPY failed to close higher in the next five trading days

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2 Unfilled Full Gap Ups for $SPY – case for slight pullback ?

2 Unfilled Full Gap Ups for $SPY

2 Unfilled Up Gaps for $SPY stock chart

unfilled full gap up is defined as , current low is greater than prev high , that is , low[0]>high[1]

with $SPY posting 2 unfilled full gap ups as 9 Dec 2013 close , below study , with $SPY returns from next 1/2/3/4/5/10/20 trading days , whenever $SPY posts 2 unfilled full gap ups in row since $SPY IPO ( i.e Feb 1993)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 11 5 45.5 -0.17 -0.07 0.18 -0.47 0.39 -1.05
t+2 11 5 45.5 -0.33 -0.09 0.40 -0.94 0.42 -1.76
t+3 11 5 45.5 -0.28 -0.12 0.55 -0.96 0.57 -2.05
t+4 11 5 45.5 -0.19 -0.34 0.98 -1.16 0.84 -2.02
t+5 11 6 54.5 -0.31 0.12 0.85 -1.70 0.50 -2.88
t+10 11 3 27.3 -0.96 -0.74 1.27 -1.79 0.71 -5.94
t+20 11 7 63.6 -0.06 1.16 2.05 -3.75 0.55 -9.54
Swing High 11 9 81.8 -0.18 0.16 0.25 -2.11 0.12 -2.78
Swing Low 11 1 9.1 -0.36 -0.35 0.45 -0.44 1.02 -1.05

that Swing Low , column , is made with the assumption that , one goes short at close and exits at first lower close than current close , or exit at the end of the fifth trading day with loss

10/11  ( 91% ) times $SPY closed lower 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 11 Oct 1994 , when it gained 0.45% at the end of fifth trading day . 

beware that sample size is low ,

below the historical instances of 2 Unfilled Full Gap Ups for $SPY, since Feb 1993.

Date Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
09-Dec-13 181.4 ?? ?? ?? ?? ?? ?? ??
07-Sep-12 140.49 -0.57 -0.29 0.04 1.57 2.01 1.61 1.79
24-Dec-07 131.91 0.21 -1.05 -1.3 -2.02 -2.88 -5.94 -9.54
04-Oct-04 94.6 0.05 0.74 -0.35 -1.17 -0.76 -1.9 -0.3
29-Oct-99 106.31 -1.05 -1.76 -1.09 -0.34 0.65 2.01 2.88
30-Dec-97 73.82 -0.07 0.45 0.68 -0.92 -0.66 -1.41 1.16
19-Dec-96 55.93 0.16 -0.09 0.63 1.41 1.54 -0.38 3.93
13-Sep-96 51.09 0.37 0.16 -0.12 0.27 0.12 0.2 2.56
13-Oct-95 43.04 -0.49 0.19 0.49 0.95 0.35 -0.74 1.53
28-Oct-94 34.17 -0.38 -1.49 -2.05 -1.52 -2.78 -2.63 -4.18
11-Oct-94 33.43 0.12 0.45 0.9 0.69 0.45 -0.87 0.45
15-Oct-93 32.71 -0.24 -0.98 -0.86 -0.98 -1.44 -0.46 -0.98

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$SPY 8 or more gap ups in row

$SPY 8 or more gap ups in row

$SPY * or more gap ups in row stock chart

 

few overnight gap studies that triggered today ,

1) $SPY gaps up for 8 or more days in row , since 1995 , 

the trading odds for a gap up ( or for the longs , i’e go long at close and exit at next open )

  • Winners : 27
  • Losers : 16
  • % Winners : 63%
  • Average Change % : 0.16
  • Median Change % : 0.12
  • Maximum Gain % : 2.50
  • Maximum Loss % : -0.71
  • Average Gain %if Winner : 0.35
  • Average Loss % if Loser : -0.17
  • Average Gain % / Average Loss % : 2.08
  • Profit Factor : 3.38

2) retesting Rob’s @OvernightEdges ( like #FF we can call him #ONF that is overnight follow:))  Monday Nights In December , since 2000

go Long at close on $SPY , if the current is month is December and current day is Monday

  • Winners : 33
  • Losers : 21
  • % Winners : 61%
  • Average Change % : 0.27
  • Median Change % : 0.16
  • Maximum Gain % : 4.71
  • Maximum Loss % : -0.94
  • Average Gain %if Winner : 0.62
  • Average Loss % if Loser : -0.30
  • Average Gain % / Average Loss % : 2.09
  • Profit Factor : 3.37

3) Down Monday Nights in December , since 2000 

go Long at close on $SPY , if the current is month is December and current day is Monday , and if $SPY closed in red today .

  • Winners : 19
  • Losers : 5
  • % Winners : 79%
  • Average Change % : 0.55
  • Median Change % : 0.41
  • Maximum Gain % : 4.71
  • Maximum Loss % : -0.73
  • Average Gain %if Winner : 0.78
  • Average Loss % if Loser : -0.36
  • Average Gain % / Average Loss % : 2.21
  • Profit Factor : 6.68

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$HPQ 5% ++ gap up openings since 2000

$HPQ 5% ++ gap up openings since 2000

with $HPQ ( my former employer ) set to open with a gap up opening of 6.22 % at 26.65 ( at the time of writing ) , below the trading odds for the longs taken at open with exit set to close , when ever $HPQ opens with 5% or more gap up opening , since 2000.

  • Winners : 8
  • Losers : 9
  • % Winners : 47%
  • Average Change % : 0.39
  • Median Change % : -0.84
  • Maximum Gain % : 7.11
  • Maximum Loss % : -4.99
  • Average Gain %if Winner : 4.11
  • Average Loss % if Loser : -2.92
  • Average Gain % / Average Loss % : 1.41
  • Average Absolute Change% : 2.96
  • Median change from open to the high of the day : 2.09%
  • Median change from open to the low of the day : -2.93%

few statistics that might help the scalpers 

  • 94% of the times moved higher than open , when $HPQ opened with more than 5% of gap up
  • 82% of the times moved lower than open , when $HPQ opened with more than 5% of gap up

Below the table with details of $HPQ 5% or more gap up openings since 2000.

$HPQ 5% ++ gap up openings since 2000

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Slightly bearish setup for the day on $SPY

Slightly bearish setup for the day on $SPY

below the trading strategy rules that we employed

  • $SPY closed down for 2 or more weeks in row
  • $SPY opens with a gap down open of more than 0.5% on the first trading day of the week
  • Go short at open
  • Buy to cover at current close

Below the backtest performance summary of “$SPY opens with more than 0.5% gap down on the first trading day of the week , after closing down for 2 or more weeks in row “ trading strategy , since 2000.

$SPY opens with more than 0.5% gap down on the first trading day of the week - bearish setup

Below the historical trades , along with the change , change % from open to close , generated by the  $SPY opens with more than 0.5% gap down on the first trading day of the week , after closing down for 2 or more weeks in row “ trading strategy , since 2000

Date Consec down weekly closes as on previous week close Gap Open Close Change From Open Change From Open %
24-Jun-13 2 -1.04 156.65 156.30 -0.35 -0.22
14-May-12 2 -0.96 130.06 129.87 -0.19 -0.15
03-Oct-11 2 -0.59 107.77 105.32 -2.45 -2.28
12-Sep-11 2 -1.26 109.10 111.20 2.10 1.92
08-Aug-11 2 -2.64 111.43 107.00 -4.43 -3.98
23-May-11 3 -1.22 125.17 125.25 0.08 0.06
18-Apr-11 2 -1.10 123.86 123.83 -0.03 -0.02
06-Jul-09 3 -0.97 81.54 82.33 0.79 0.97
09-Mar-09 4 -1.42 61.51 61.65 0.14 0.24
02-Mar-09 3 -1.90 65.65 63.91 -1.74 -2.65
02-Feb-09 4 -1.53 73.84 74.75 0.91 1.24
20-Jan-09 2 -0.98 76.24 72.93 -3.31 -4.35
06-Oct-08 3 -2.89 96.21 94.03 -2.18 -2.27
29-Sep-08 2 -1.41 106.98 100.01 -6.97 -6.51
17-Mar-08 3 -2.35 111.88 113.41 1.53 1.37
22-Jan-08 4 -3.67 112.45 115.55 3.10 2.76
05-Mar-07 2 -0.53 119.71 119.21 -0.50 -0.42
22-May-06 2 -0.65 108.04 107.91 -0.13 -0.12
10-Mar-03 2 -0.87 66.77 65.74 -1.03 -1.55
27-Jan-03 2 -0.76 69.31 68.88 -0.43 -0.62
07-Oct-02 6 -0.91 64.41 63.66 -0.75 -1.16
30-Sep-02 5 -0.90 65.97 65.80 -0.17 -0.26
23-Sep-02 4 -0.82 67.30 67.31 0.01 0.01
09-Sep-02 2 -1.00 71.36 72.61 1.25 1.75
22-Jul-02 2 -0.72 67.36 65.84 -1.52 -2.26
24-Jun-02 5 -0.68 78.98 79.93 0.95 1.21
08-Apr-02 4 -1.22 88.85 90.13 1.28 1.45
10-Sep-01 2 -0.93 85.10 86.96 1.86 2.18
12-Mar-01 6 -0.82 96.14 92.79 -3.35 -3.48

while it is not great short setup , it does suggest , fading that big gap down ( i.e going long at open after a gap down) doesn’t have a big historical trading edge .

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