what next after $SPY down by more than 1% in 4 out of 5 days

what next after $SPY down by more than 1% in 4 out of 5 days ? 

$SPY stock chart 8 Jan 2016with $SPY down by more than 1% , for 4 out of 5 last trading days , a below bullish trading strategy that triggered on Friday 8th Jan 2016 close

trading strategy rules

1) $SPY lost more than 1% as of today  &

2) $SPY posted 1% loss days in at-least 4 out of 5 last trading days , including today .

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days since , Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 33 21 63.6 1.00 0.69 3.46 -3.29 1.05 -9.84 1.45 1.25
t+2 32 20 62.5 1.78 1.22 4.85 -3.32 1.46 -9.33 2.05 1.84
t+3 32 20 62.5 1.69 1.58 5.10 -4.01 1.27 -11.72 1.88 1.58
t+4 32 21 65.6 2.50 2.08 5.69 -3.60 1.58 -12.90 2.85 2.25
t+5 32 20 62.5 2.52 2.29 6.19 -3.59 1.72 -8.20 2.45 2.22
t+10 32 20 62.5 2.64 2.67 6.65 -4.04 1.65 -7.05 2.47 2.32
t+20 32 25 78.1 4.83 3.95 7.54 -4.82 1.56 -13.16 5.08 3.59
1st +’ve in 5 days  32 30 93.8 2.93 1.76 3.33 -3.02 1.10 -4.00 14.40 4.36
1st -‘ve in 5 days 33 21 63.6 -1.26 -0.59 -2.38 7.62 0.31 19.40 0.47 -1.16

30/32 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 293 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $SPY posting 4/5 1% or more loss days , since Y2K.

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve %
08-Jan-16 191.92 ?? ?? ?? ?? ?? ??
07-Jan-16 194.05 -1.10 ?? ?? ?? ?? ??
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15
22-Jan-10 96.68 0.51 0.09 0.57 -0.59 -1.67 0.51
20-Nov-08 64.75 5.39 12.70 13.53 17.92 19.40 5.39
17-Nov-08 73.35 1.88 -4.64 -11.72 -6.96 -0.51 1.88
14-Nov-08 74.34 -1.33 0.53 -5.91 -12.90 -8.20 0.53
12-Nov-08 73.65 6.23 0.93 -0.41 1.47 -5.03 6.23
11-Nov-08 77.04 -4.40 1.56 -3.51 -4.79 -3.00 1.56
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69
15-Oct-08 77.26 4.17 3.54 9.76 6.49 0.69 4.17
14-Oct-08 85.69 -9.84 -6.09 -6.65 -1.04 -4.00 -4.00
10-Oct-08 75.95 14.52 12.82 1.72 5.95 5.32 14.52
09-Oct-08 77.84 -2.43 11.74 10.09 -0.75 3.38 11.74
08-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94
07-Oct-08 85.85 -2.52 -9.33 -11.53 1.32 -0.18 1.32
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74
24-Jan-03 66.75 -1.37 -0.64 0.12 -2.26 -0.37 0.12
09-Oct-02 60.06 3.24 7.76 8.36 13.57 10.82 3.24
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57
04-Oct-02 62.13 -2.07 -0.53 -3.34 -0.21 4.16 4.16
03-Oct-02 63.29 -1.83 -3.86 -2.36 -5.11 -2.04 -2.04
23-Jul-02 61.20 5.97 5.07 7.07 12.28 13.75 5.97
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07
12-Jul-02 70.31 0.53 -1.40 -1.21 -4.41 -7.77 0.53
25-Jun-02 74.69 0.16 1.92 1.44 -0.54 -2.65 0.16
21-Sep-01 73.75 3.52 4.59 4.22 5.13 7.36 3.52
22-Mar-01 83.68 3.02 4.34 6.47 3.53 3.92 3.02
05-Jan-01 97.03 0.77 0.51 2.27 2.37 2.18 0.77
20-Dec-00 94.82 0.69 3.71 4.83 5.59 5.92 0.69
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71
23-May-00 102.83 1.63 -0.11 0.00 3.26 3.49 1.63

highlighted in the red were the only two loss making trades !! 

2) indeed $SPY posted 5 /6 1% loss making days , below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts 5/6 1% loss making days , since , Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 14 9 64.3 1.16 1.16 4.33 -4.56 0.95 -9.84 0.90 0.76
t+2 14 8 57.1 1.01 1.22 5.88 -5.50 1.07 -11.18 0.91 0.54
t+3 14 8 57.1 1.23 1.81 5.96 -5.08 1.17 -11.72 1.14 0.71
t+4 14 9 64.3 2.72 1.94 6.12 -3.40 1.80 -8.03 2.19 1.70
t+5 14 9 64.3 2.32 2.30 5.80 -3.95 1.47 -7.68 1.67 1.48
t+10 14 8 57.1 1.74 1.71 7.24 -5.60 1.29 -17.17 0.99 0.78
t+20 14 9 64.3 4.40 4.27 9.68 -5.12 1.89 -10.10 2.15 1.83
1st +’ve in 5 days  14 12 85.7 3.74 3.59 4.90 -3.26 1.51 -4.00 5.70 2.94
1st -‘ve in 5 days 14 9 64.3 -0.46 -1.10 -3.34 7.30 0.46 13.75 0.61 -0.28

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when $SPY posts , down friday and down monday for twice in row

when $SPY posts , down friday and down monday for twice in row 

down friday and down monday

 

This pattern triggered on $SPY on Monday ( 3rd Aug 2014 ) at close , below the trading strategy rules

  • current day is Monday and $SPY closed down
  • Previous trading day was Friday and $SPY closed down
  • five trading days ago it was Monday and $SPY closed down
  • six trading days ago , it was Friday and $SPY closed down too !!

in-short lets call it as a down fri/mon for twice in row , below the trading odds for $SPY for the next 1/2/3/4/5/10/20 trading days , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 28 18 64.3 0.81 0.58 1.59 -0.59 2.68 -1.49 4.25 2.81
t+2 27 18 66.7 0.66 0.55 1.40 -0.83 1.69 -1.89 2.95 2.37
t+3 27 17 63.0 0.65 0.78 1.85 -1.40 1.32 -2.56 1.98 1.82
t+4 27 20 74.1 1.30 1.00 2.12 -1.05 2.03 -2.38 5.75 3.16
t+5 27 19 70.4 1.57 0.97 2.65 -0.97 2.72 -3.53 5.96 3.28
t+10 27 19 70.4 2.27 2.25 3.72 -1.16 3.20 -2.35 4.82 3.36
t+20 27 22 81.5 2.91 2.39 4.23 -2.88 1.47 -4.47 4.40 3.44
1st +’ve exit in 5 days 27 24 88.9 1.21 0.70 1.45 -0.69 2.11 -1.70 14.02 4.38

24/27 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 121 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $SPY posting down fri/mon for twice in row , and the next 1/2/3/4/5 trading day returns , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
03-Aug-15 209.73 -0.20 ?? ?? ?? ?? ??
15-Jun-15 208.09 0.55 0.71 1.73 1.31 1.83 0.55
12-Jan-15 200.77 -0.28 -0.88 -1.79 -0.50 -0.29 -0.29
22-Sep-14 196.22 -0.57 0.21 -1.41 -0.63 -0.81 0.21
03-Feb-14 169.25 0.70 0.57 1.90 3.16 3.35 0.70
30-Sep-13 162.38 0.79 0.70 -0.23 0.52 -0.34 0.79
19-Aug-13 158.48 0.49 -0.13 0.78 1.12 0.74 0.49
08-Aug-11 103.42 4.64 0.02 4.52 5.21 7.45 4.64
23-May-11 121.05 -0.08 0.26 0.72 1.10 2.16 0.26
23-Aug-10 96.74 -1.49 -1.11 -1.77 -0.25 -1.70 -1.70
02-Mar-09 61.77 -0.76 1.59 -2.56 -2.38 -3.53 1.59
04-Aug-08 107.85 2.69 3.15 1.61 3.50 4.57 2.69
17-Mar-08 109.61 4.15 1.57 3.46 5.52 5.62 4.15
10-Mar-08 109.35 3.59 2.62 2.85 1.26 0.24 3.59
17-Sep-07 125.26 2.95 3.55 2.83 3.10 2.91 2.95
05-Mar-07 115.21 1.72 1.61 2.47 2.50 2.66 1.72
19-Jun-06 102.71 0.34 1.08 0.64 0.62 1.07 0.34
08-Aug-05 100.06 0.60 0.55 0.95 0.33 0.95 0.60
06-Dec-04 96.03 -0.94 -0.35 0.00 0.09 0.97 0.09
26-Jul-04 86.98 0.94 1.24 1.68 1.92 2.14 0.94
17-Nov-03 82.94 -1.05 -0.20 -1.10 -0.69 0.63 0.63
30-Jun-03 76.87 0.92 2.20 1.13 3.15 3.60 0.92
07-Oct-02 61.53 1.56 -1.30 1.89 6.35 6.94 1.56
06-May-02 81.36 -0.36 3.36 2.16 0.23 2.27 3.36
10-Dec-01 87.68 -0.21 -0.09 -2.03 -1.09 -0.07 -0.07
15-Oct-01 83.78 0.63 -1.50 -1.72 -1.78 0.16 0.63
20-Nov-00 101.98 0.51 -1.89 0.12 1.00 -0.75 0.51
18-Sep-00 109.53 0.90 0.16 -1.36 0.43 -0.28 0.90

highlighted in red were those 3 instances , where $SPY failed to close higher over the next five trading days ..

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Front Running All Time High Closings on $SPY

 Front Running All Time High Closings on $SPY

All Time High

Mind you other than Chuck Norris , no one knows in advance in advance , whether $SPY is going to close at All Time High , on closing basis or not , but thought will let you know not get too excited about it ..

below the $SPY returns when $SPY closes at All Time High , since Y2K

  • Total Instances  : 201
  • Average Change % : 0.48
  • Median Change % : 0.40
  • Maximum Gain % : 2.56

vs

$SPY returns when $SPY closes up , but not at all time high , since Y2K

  • Total Instances : 1887
  • Average Change % : 0.85
  • Median Change % : 0.58
  • Maximum Gain % : 14.51

point is $SPY returns are much higher , on other non-all-time-high closing up days than All-Time-High closing days .

what about the odds for an 1% ++ up day on $SPY ??

$SPY closed with 1% ++ gains , 19 / 201 ( 9.5%) times , when it closed at ATH

vs

$SPY closed with 1% ++ gains , 557/1887 ( 29.5%) times , when it closed higher but not at ATH .

conclusion –  don’t get too excited, about the humongous returns  , if your bet is $SPY is going to close at ATH either today or on any other other day ..

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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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so you want to buy the breakout on $SPY

so you want to buy the breakout on $SPY

6apr2015

 

with $SPY closing above previous day’s high ( our criteria for breakout ) , the below study

1) Below the trading odds for $SPY for going long on any day since Y2K , and exiting after 1/2/3/4/5/10/20 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 3836 2076 54.1 0.02 0.07 0.82 -0.91 0.90 -9.84 1.06 1.05 1.28 1.21
t+2 3835 2081 54.3 0.05 0.12 1.17 -1.28 0.91 -13.35 1.08 1.08 1.75 1.75
t+3 3834 2146 56.0 0.07 0.21 1.38 -1.58 0.87 -13.38 1.11 1.10 2.06 2.19
t+4 3833 2108 55.0 0.10 0.25 1.60 -1.74 0.92 -17.79 1.13 1.12 2.34 2.57
t+5 3832 2131 55.6 0.12 0.28 1.76 -1.94 0.91 -19.79 1.14 1.14 2.58 2.87
t+10 3827 2220 58.0 0.23 0.56 2.34 -2.68 0.87 -26.77 1.22 1.21 3.44 4.13
t+20 3817 2338 61.3 0.46 1.09 3.29 -4.01 0.82 -29.40 1.32 1.32 4.76 5.95
1st +’ve exit in 5 days 3836 3095 80.7 0.13 0.38 0.78 -2.58 0.30 -19.79 1.26 1.26 1.87 4.44

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

2) Below the trading odds for $SPY for going long at close , when $SPY closes above previous day’s high 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 1148 614 53.5 -0.05 0.04 0.57 -0.77 0.74 -8.86 0.87 0.86 0.99 -1.77
t+2 1147 620 54.1 -0.07 0.08 0.87 -1.18 0.73 -11.18 0.89 0.88 1.50 -1.67
t+3 1147 642 56.0 -0.03 0.16 1.09 -1.46 0.75 -7.52 0.96 0.95 1.75 -0.60
t+4 1147 628 54.8 -0.01 0.19 1.29 -1.60 0.81 -11.92 0.98 0.98 1.99 -0.24
t+5 1146 623 54.4 -0.03 0.20 1.43 -1.77 0.81 -17.24 0.96 0.95 2.23 -0.43
t+10 1146 673 58.7 0.07 0.55 1.95 -2.61 0.75 -24.91 1.09 1.08 3.09 0.72
t+20 1142 688 60.2 0.33 0.94 2.99 -3.71 0.81 -29.40 1.26 1.25 4.48 2.47
1st +’ve exit in 5 days 1148 927 80.7 -0.01 0.29 0.58 -2.48 0.23 -17.24 0.98 0.97 1.63 -0.24

3) Below the trading odds for $SPY for going long at close , when $SPY closes below previous day’s low ( breakdown)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 915 517 56.5 0.12 0.20 1.01 -1.02 0.98 -7.42 1.26 1.24 1.53 2.45
t+2 915 484 52.9 0.17 0.09 1.51 -1.34 1.13 -9.34 1.25 1.24 2.05 2.47
t+3 914 520 56.9 0.23 0.30 1.66 -1.66 1.00 -13.38 1.33 1.31 2.35 2.99
t+4 913 515 56.4 0.28 0.33 1.95 -1.89 1.03 -17.79 1.34 1.33 2.71 3.09
t+5 913 528 57.8 0.38 0.44 2.15 -2.05 1.05 -19.79 1.46 1.45 2.95 3.87
t+10 910 547 60.1 0.56 0.88 2.84 -2.88 0.99 -16.95 1.51 1.50 3.85 4.37
t+20 908 568 62.6 0.81 1.26 3.84 -4.24 0.90 -24.63 1.52 1.50 5.22 4.68
1st +’ve exit in 5 days 914 757 82.8 0.33 0.50 0.97 -2.80 0.35 -19.79 1.69 1.66 2.12 4.65

conclusion : buying $SPY breakout was never profitable , while buying a breakdown was profitable , and indeed buying breakdown’s would have matched the returns of buy and hold returns , just by being in the market for 915/3836 ( 23.8%) days .. 

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When $SPY posts a Close = Low ( a.k.a Shaved Bottom)

When $SPY posts a Close = Low ( a.k.a Shaved Bottom)

$SPY Close = Low Stock Chart

 

Mind you there would be a great execution difficulty for these kind of patterns , as the market on close ( even approximate at 3.40 EST) will come no where close at the actual 4.00 p.m EST close !! but

here are the trading strategy rules ,

1) $SPY current day close is exactly equal to that of current day’s low ( in Japanese Candlestick terminology it is called Shaved Bottom – simply a candlestick with no lower shadow )

2)  below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 53 29 54.7 0.14 0.09 1.03 -0.94 1.09 -2.89 1.42 1.14 1.40 0.71
t+2 53 30 56.6 0.44 0.21 1.72 -1.24 1.39 -4.17 1.82 1.59 1.93 1.64
t+3 53 36 67.9 0.60 0.62 1.69 -1.70 1.00 -5.84 2.16 1.98 2.10 2.10
t+4 53 37 69.8 0.57 1.02 1.89 -2.46 0.77 -10.54 1.73 1.54 2.74 1.52
t+5 53 38 71.7 0.71 0.90 2.11 -2.84 0.74 -7.95 1.85 1.67 2.88 1.79
t+10 53 35 66.0 0.69 1.38 2.72 -3.26 0.84 -10.74 1.65 1.53 3.61 1.39
t+20 53 36 67.9 1.60 2.43 3.78 -3.02 1.25 -9.09 2.57 2.40 3.91 2.98
1st +’ve exit in 5 days 53 46 86.8 0.53 0.55 1.07 -3.03 0.35 -7.95 2.37 2.08 1.93 1.98

46/53 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 53 basis points at the 1st positive close within in the next five trading days.

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

with the drop on 23rd Mar 2015 , being just -0.19% , on such a day when $SPY prints Close = Low ( usually the average loss , on such days , stands at -1.43 % , which indeed includes two days where $SPY posted minor gains !!)

below a tweaked pattern of the above

When $SPY posts a Close = Low , BUT $SPY didn’t loose more than -1% 

that is

1) $SPY current day close is exactly equal to that of current day’s low

2) But $SPY’s loss is marginal , and had not lost more than -1%

3)  below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 15 11 73.3 0.77 0.46 1.22 -0.46 2.69 -0.67 7.84 5.83 1.10 2.72
t+2 15 11 73.3 1.02 1.14 1.59 -0.54 2.94 -0.78 7.52 6.15 1.23 3.20
t+3 15 13 86.7 1.22 1.19 1.51 -0.67 2.27 -1.06 14.07 11.48 1.33 3.56
t+4 15 13 86.7 1.18 0.80 1.58 -1.44 1.10 -2.35 6.65 5.05 1.82 2.51
t+5 15 13 86.7 1.05 0.74 1.51 -1.97 0.77 -2.16 4.59 3.45 1.88 2.16
t+10 15 11 73.3 1.04 0.97 2.34 -2.54 0.92 -4.71 2.27 1.67 2.99 1.34
t+20 15 11 73.3 1.25 1.16 2.74 -2.84 0.97 -4.19 2.50 1.95 3.30 1.47
1st +’ve exit in 5 days 15 15 100.0 1.07 0.80 1.07 NA NA 0.16 NA NA 0.87 4.80

in all 15/15 instances , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 107 basis points at the 1st positive close within in the next five trading days.

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$SPY on the 1st Day of November

$SPY on the 1st Day of November

Anatomy of $SPY on First Trading Day of the Month

Below the trading odds for $SPY longs from the last trading day of the October , to the next 1/2/3/4/5 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 14 66.7 0.21 0.28 0.93 -1.24 0.75 -2.79 1.16 0.93
t+2 21 15 71.4 0.57 0.44 1.31 -1.29 1.01 -2.23 2.06 1.65
t+3 21 14 66.7 0.71 0.60 1.64 -1.14 1.44 -2.97 2.48 1.97
t+4 21 15 71.4 1.09 1.14 2.37 -2.12 1.12 -6.17 3.26 2.71
t+5 21 15 71.4 0.93 0.63 2.15 -2.14 1.01 -4.36 2.29 1.87
1st +’ve exit in 5 days 21 19 90.5 0.42 0.58 0.81 -3.24 0.25 -4.36 2.01 1.69

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

1st +’ve exit in 5 day’s , assumes the trader is long at the current close and exits at the first higher close than the current close ( i.e 31st Oct 2014 close ) , other wise exit with a loss at the end of the fifth trading day ( i.e . 7th Nov 2014)

Below the historical instances of SPY , returns from the last trading day of October to next 1/2/3/4/5 trading days

Date $SPY t+1% t+2% t+3% t+4% t+5%
31-Oct-14 201.66 ?? ?? ?? ?? ??
31-Oct-13 172.44 0.24 0.59 0.27 0.78 -0.49
31-Oct-12 135.68 1.05 0.15 0.35 1.14 -1.15
31-Oct-11 117.94 -2.79 -1.2 0.6 -0.01 0.61
29-Oct-10 109.19 0.03 0.82 1.23 3.18 3.56
30-Oct-09 93.58 0.74 1.05 1.31 3.17 3.45
31-Oct-08 85.29 0.28 3.69 -0.67 -6.17 -3.07
31-Oct-07 133.38 -2.34 -2.23 -2.97 -1.66 -4.36
31-Oct-06 116.66 -0.68 -0.74 -0.91 0.21 0.59
31-Oct-05 99.89 0.3 1.34 1.78 1.64 1.74
29-Oct-04 92.27 0.28 0.31 1.57 2.96 3.61
31-Oct-03 84.47 0.65 0.44 0.51 1.04 0.3
31-Oct-02 69.86 1.98 2.95 3.75 5.1 2.52
31-Oct-01 82.31 2.56 3.27 4.62 6.24 6.1
31-Oct-00 109.85 -0.34 -0.17 -0.12 0.58 0.56
29-Oct-99 104.25 -1.06 -1.76 -1.1 -0.35 0.63
30-Oct-98 82.74 1.7 0.97 2.04 3.43 3.75
31-Oct-97 68.31 2.11 2.11 2.44 2.06 0.95
31-Oct-96 51.72 -0.35 0.31 0.89 2.82 3.07
31-Oct-95 41.69 0.79 1.44 1.58 1.22 0.84
31-Oct-94 33.12 -1.12 -1.66 -1.15 -2.42 -2.11
29-Oct-93 31.86 0.28 0.22 -1.07 -2.13 -1.66

Highlighted in the red were the only two instances , where $SPY was not able to close higher than the entry price , over the next 5 trading days .

Pattern 2 ) $SPY  posts an unfilled full gap up ( current low > previous day’s high ) , on the last trading day of the month 

Below the trading odds for $SPY longs from the last trading day of the month , when $SPY posts an unfilled full gap , over the next 1/2/3/4/5 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 9 7 77.8 0.44 0.47 0.74 -0.61 1.21 -1.06 3.24 2.09
t+2 9 8 88.9 0.67 0.96 0.98 -1.76 0.55 -1.76 3.48 2.75
t+3 9 8 88.9 0.98 0.67 1.24 -1.10 1.13 -1.10 6.77 4.79
t+4 9 6 66.7 0.99 0.95 1.79 -0.60 2.96 -1.01 4.96 3.36
t+5 9 6 66.7 0.94 0.71 1.85 -0.88 2.11 -1.79 4.07 2.74
1st +’ve exit in 5 days 9 9 100.0 0.77 0.63 0.77 NA NA 0.30 NA NA

instances are small , but good to know that $SPY posted a higher close over the next five trading days , at some point of time

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a bearish $GLD outside day pattern as on 15th Jul 2014

a bearish $GLD outside day pattern

$GLD Outside Day Patternsorry @zerohedge !

below the trading strategy rules ,

  • $GLD ( SPDR Gold ETF ) closed at 10 day lowest closing as of today
  • $GLD formed an outside day ( a lower low and higher high )

below the trading odds for the @zerohedge fan club ! , a.k.a $GLD bulls , for the next 1/2/3/4/5/10/20 trading days , data since jan 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 18 8 44.4 -0.94 -0.13 0.64 -2.20 0.29 -5.35 0.17 0.12
t+2 18 8 44.4 -0.86 -0.76 0.93 -2.28 0.41 -4.24 0.26 0.17
t+3 18 4 22.2 -1.64 -1.68 1.15 -2.44 0.47 -5.10 0.12 0.07
t+4 18 5 27.8 -1.72 -1.40 1.54 -2.98 0.52 -10.21 0.20 0.13
t+5 18 4 22.2 -2.52 -1.33 1.31 -3.62 0.36 -10.69 0.10 0.05
t+10 18 7 38.9 -0.81 -0.86 2.80 -3.11 0.90 -7.54 0.42 0.24
t+20 18 11 61.1 1.41 1.21 4.00 -2.66 1.51 -5.04 1.84 1.43
1st +’ve exit in 5 days 18 11 61.1 -1.32 0.33 0.71 -4.50 0.16 -10.69 0.22 0.17
1st -‘ve exit in 5 days 18 16 88.9 1.54 -1.67 -1.92 1.44 1.33 2.57 14.23 11.24

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

the 1st -‘ve exit in 5 days column is calculated with the assumption that , if shorting has an edge , and the positive returns favour bears ..

16/18 times $GLD closed lower than the entry price , at some point of time in the next 5 trading days , with an average loss of 1.54%

below the historical instances of $GLD forming an outside day and a 10 day lower closing , since Jan 2005

 

Date $GLD t+1% t+2% t+3% t+4% t+5%
15-Jul-14 124.53 ?? ?? ?? ?? ??
18-Dec-13 117.61 -2.37 -1.42 -1.73 -1.28 -0.74
27-Nov-13 119.46 1.04 -1.57 -1.26 0.42 -0.97
19-Jun-13 130.59 -5.35 -4.24 -5.1 -5.45 -9.43
14-May-13 137.81 -2.31 -2.7 -4.89 -1.95 -3.58
14-Feb-13 158.35 -1.64 -1.91 -4.36 -3.62 -3.4
13-Dec-11 158.45 -3.51 -3.86 -2.03 -2.26 -0.93
24-Jan-11 130.36 -0.2 0.61 -1.86 -0.06 -0.38
12-Mar-10 107.95 0.38 2.27 1.52 2.21 0.31
27-Jan-10 106.53 -0.05 -0.54 1.71 2.44 2.04
03-Apr-09 87.59 -2.65 -0.97 -1.12 -1.46 0.33
30-Mar-09 89.98 0.33 1.17 -1.31 -2.66 -5.23
04-Sep-08 78.39 0.75 0.6 -2.42 -5.32 -6.77
24-Apr-08 87.22 0.06 0.54 -1.62 -0.65 -3.7
17-Dec-07 78.13 1.43 1.42 0.69 2.52 2.57
08-Dec-06 62.05 0.84 0.76 0.69 0.11 -1.69
07-Jun-06 62.28 -2.2 -2.94 -3.61 -10.21 -10.69
24-Aug-05 43.59 0.32 0.05 -0.05 -1.33 -0.44
30-Jun-05 43.44 -1.7 -2.67 -2.74 -2.49 -2.72

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counter attack candle pattern on $SPY

counter attack candle pattern on $SPY

counter attack

h/t @gtlackey

@paststat: $SPY bear hook pattern formation on Wednesday’s are bit bullish http://stks.co/s05p7$STUDY” <also counterattack candle patten

— G. Thomas Lackey Jr. (@gtlackey) Mar. 13 at 04:33 PM

Firstly once he made that statement , I have no ideas how and what counterattack candle pattern and was searching mindlessly till this post by Rob @QuantEdges , What The Gap & Reverse Pattern Of The Last Two Days Is Suggesting  gave a further inspiration .

here is the definition of counter attack candle pattern am using

1) Current Open > Prev High  && Current Close <Prev Close ( as on 11 Mar 2014 close) , followed by

2) Current Open < Prev Low && Current Close > Prev Close ( as on 12 Mar 2014 close)

below the trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , since Feb 2013.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 17 13 76.5 0.35 0.37 0.70 -0.76 0.91 -1.55
t+2 17 10 58.8 0.14 0.21 0.96 -1.03 0.94 -2.54
t+3 17 13 76.5 0.60 0.42 1.03 -0.79 1.30 -2.69
t+4 17 11 64.7 0.74 1.04 1.62 -0.87 1.86 -2.60
t+5 17 12 70.6 0.90 0.96 1.69 -1.01 1.67 -2.52
t+10 17 12 70.6 0.96 1.47 2.12 -1.84 1.15 -3.84
t+20 17 14 82.4 2.05 2.68 2.78 -1.32 2.10 -2.59
1st +’ve exit in 5 days 17 16 94.1 0.64 0.42 0.69 -0.22 3.17 -0.22

16/17 times ( or 95% ) $SPY closed at higher close than the current close at some point of time than the current close over the next five trading days with an average gains of 0.64% .

below the historical instances of counter attack candle pattern on $SPY , since Feb 1993

Date Close t+1 t+2 t+3 t+4 t+5
12-Mar-14 187.28 ?? ?? ?? ?? ??
05-Nov-12 138.06 0.78 -1.5 -2.69 -2.6 -2.52
22-Aug-12 137.3 -0.82 -0.22 -0.2 -0.3 -0.22
26-Aug-11 111.83 2.88 3.15 3.6 2.52 -0.1
14-Apr-11 124.1 0.37 -0.76 -0.19 1.18 1.69
02-Mar-11 123.24 1.72 0.96 0.16 1.04 0.9
22-Mar-10 107.84 0.7 0.21 0.06 -0.01 0.62
14-Sep-09 96 0.42 1.94 1.79 1.85 1.59
13-Mar-08 115.74 -1.55 -2.54 1.5 -1.01 0.82
14-Apr-04 92.99 -0.38 0.39 0.39 -1.3 -0.63
25-Aug-03 80.97 0.17 0.21 0.83 1.51 2.87
10-Jan-01 103.27 0.09 -0.11 0.53 1 2
10-Nov-99 106.29 0.57 1.48 1.72 2.57 2.84
01-Jun-98 83.07 0.08 -1.52 0.31 2.25 2.13
27-May-98 83.14 0.46 -0.54 -0.08 0 -1.6
01-Nov-95 42.92 0.65 0.77 0.42 0.05 0.96
05-Oct-94 32.37 -0.31 0.12 1.2 2.72 2.84
30-Nov-93 32.04 0.16 0.41 0.81 1.15 1.06

highlighted in red was the only instance $SPY unable to close higher in the next five days .

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Few statistics around $SPY bear hook pattern formation

Few statistics around $SPY bear hook pattern formation

$SPY Bear Hook Price Pattern chart

Definition of ‘Bear Hook’
A Bear Hook occurs when you have an narrower range than that of previous day’s range ( range defined as high – low) && with the current open less than the previous bar’s low && the current close greater than the previous bar’s close.

This pattern is from Toby Crabel’s cult classic Day Trading With Short Term Price Patterns and Opening Range Breakout 

with $SPY forming a Bear Hook as on 12 Mar 2014 close , below trading odds with various Bear Hook Combinations , since 1994 on $SPY

1) $SPY forms a Bear Hook pattern 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 54 29 53.7 0.07 0.09 0.98 -0.99 0.99 -4.50
t+2 54 23 42.6 -0.21 -0.21 1.15 -1.21 0.94 -4.49
t+3 54 28 51.9 -0.08 0.07 1.23 -1.50 0.82 -4.31
t+4 54 28 51.9 -0.11 0.12 1.69 -2.05 0.82 -7.32
t+5 54 29 53.7 -0.27 0.46 1.64 -2.49 0.66 -7.28

don’t worry all the negativity stems from the $SPY being below 200-DMA

2) $SPY forms a Bear Hook pattern , and $SPY close is above 200-DMA 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 35 21 60.0 0.13 0.09 0.70 -0.72 0.97 -2.87
t+2 35 19 54.3 -0.05 0.20 0.89 -1.16 0.77 -3.61
t+3 35 21 60.0 0.13 0.31 1.06 -1.26 0.85 -3.71
t+4 35 20 57.1 0.43 0.47 1.65 -1.20 1.37 -3.00
t+5 35 23 65.7 0.50 0.67 1.64 -1.69 0.97 -3.25
1st +’ve exit in 5 days 35 30 85.7 0.35 0.51 0.67 -1.58 0.42 -2.64

3) $SPY forms a Bear Hook pattern , and current trading day is hump day ( i,e Wednesday) 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 18 13 72.2 0.74 0.54 1.28 -0.67 1.92 -1.01
t+2 18 12 66.7 0.60 0.32 1.23 -0.66 1.85 -1.69
t+3 18 11 61.1 0.29 0.18 1.16 -1.08 1.07 -2.59
t+4 18 8 44.4 -0.12 -0.15 2.00 -1.82 1.10 -3.55
t+5 18 7 38.9 -0.22 -0.43 2.08 -1.68 1.24 -3.25
1st +’ve exit in 5 days 18 16 88.9 0.87 0.82 1.17 -1.54 0.76 -2.86

16/18 times ( or 89% ) $SPY closed at higher close than the current close at some point of time than the current close over the next five trading days with an average gains of 0.87% .

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