after an outside month pattern on $SPY – its bullish

after an outside month pattern on $SPY – its bullish

$SPY outside month pattern stock chart

with $SPY posting an outside month pattern as on at Feb close , outside month defined as an higher high and lower low on monthly OHLC values ,

below the trading odds for $SPY going forward after an outside month  for the next 1/2/3/6/12 months, data since Mar 1993 ( i.s since $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 24 17 70.8 1.99 1.88 3.86 -2.55 1.52 -10.74
t+2 24 20 83.3 4.53 4.51 6.01 -2.89 2.08 -7.90
t+3 23 20 87.0 5.41 5.18 6.85 -4.19 1.63 -8.41
t+6 23 19 82.6 7.66 5.60 10.71 -6.80 1.58 -18.32
t+12 23 18 78.3 12.82 12.00 19.49 -11.19 1.74 -26.40
1st +’ve exit in 3 months 24 22 91.7 3.03 3.41 3.80 -5.46 0.70 -8.41

22/24 times $SPY posted a higher monthly close over the next 3 months , with an average gain of 3.03% !!

below the prior instances of outside months on $SPY , since Mar 1993

Month Close t+1 t+2 t+3 t+6 t+12
Feb-14 186.29  ??
Jan-14 178.18 4.55 3.82
Oct-11 119.59 -0.41 0.64 5.3 12.65 15.04
Jan-10 98.92 3.12 9.4 11.09 3.6 22.18
Jul-09 90.1 3.7 7.37 5.31 9.79 13.74
Jan-09 74.57 -10.74 -3.3 6.3 20.83 32.65
Jul-07 126.83 1.29 5.2 6.63 -4.78 -11.2
Feb-07 121.65 1.16 5.64 9.22 5.6 -3.29
May-06 108.5 0.26 0.71 2.91 11.19 22.46
Jul-05 103.88 -0.93 -0.14 -2.5 4.02 5.19
Mar-05 98.63 -1.88 1.29 1.44 5.17 12
Jan-05 98.41 2.09 0.22 -1.66 5.56 9.81
Oct-04 93.56 4.45 7.6 5.18 3.44 8.25
Mar-04 92.75 -1.89 -0.22 1.64 -0.41 6.34
Mar-03 68.41 8.46 14.41 15.64 18.84 35.58
Sep-00 111.95 -0.47 -7.9 -8.41 -18.32 -26.4
Jul-00 111.18 6.53 0.69 0.22 -3.68 -14.22
Jan-00 107.98 -1.52 8.03 4.22 2.96 -0.82
Oct-99 105.74 1.66 7.47 2.12 6.43 5.37
May-99 99.96 5.49 2.22 1.69 7.54 10.81
Oct-98 83.97 5.57 12.43 16.4 21.83 25.93
Jan-98 74.32 6.93 12.19 13.62 14.42 31.51
Oct-97 69.35 3.86 5.81 7.17 21.76 21.08
Mar-97 56.35 6.26 12.99 17.62 26.16 47.97
Jan-96 46.73 0.32 2.1 3.21 1.65 24.91

highlighted in bold red were the prior 2 instances , when an outside month on $SPY failed to produce a higher close , over the next 3 months ..

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no turnaround tuesday ?

no turnaround tuesday on $SPY

Anatomy of $SPY 5-Day Gaining Streaks : e-book

 

looking at the , chapter Seasonality – Day of the Week,  and page no 41 of the

Anatomy of $SPY 5 day gaining streaks : e-book

we posed the following question ?

$SPY gained for 5 or more days in row and the current day is Tuesday , what happens over the next 1/2/3/4/5 trading days ?? data since , Jan 2000.

below the odds for $SPY longs , when $SPY gains for 5 or more days and the current day is Tuesday 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 28 17 60.7 0.05 0.10 0.37 -0.44 0.85 -1.32
t+2 28 16 57.1 -0.04 0.02 0.43 -0.66 0.65 -1.55
t+3 28 16 57.1 -0.13 0.03 0.54 -1.02 0.53 -2.74
t+4 28 15 53.6 0.02 0.31 0.87 -0.96 0.91 -3.01
t+5 28 18 64.3 0.45 0.65 1.04 -0.61 1.69 -1.08
1st +’ve exit in 5 days 28 28 100.0 0.34 0.32 0.34 NA NA NA

28/28 times ( or 100% ) $SPY closed at higher close than the current close at some point of time than the current close over the next five trading days .

below the prior instances of $SPY gains for 5 or more days and the current day is Tuesday , since Jan 2000

Date $SPY # up sequence t+1 t+2 t+3 t+4 t+5
18-Feb-14 184.24 8 ?? ?? ?? ?? ??
22-Oct-13 174.46 5 -0.48 -0.15 0.31 0.47 1.00
10-Sep-13 167.14 6 0.32 0.05 0.28 0.86 1.30
11-Dec-12 139.61 5 0.05 -0.57 -0.93 0.23 1.35
13-Mar-12 134.31 5 -0.10 0.47 0.61 1.01 0.71
27-Dec-11 121.30 5 -1.32 -0.30 -0.78 0.80 0.96
14-Dec-10 116.48 6 -0.46 0.12 0.23 0.47 1.11
26-Oct-10 110.92 5 -0.28 -0.27 -0.19 -0.15 0.63
13-Jul-10 101.91 6 -0.01 0.02 -2.74 -2.16 -1.07
16-Mar-10 107.23 13 0.60 0.54 0.04 0.57 1.28
09-Mar-10 105.44 8 0.45 0.86 0.87 0.89 1.70
10-Nov-09 100.41 7 0.51 -0.51 0.03 1.47 1.59
22-Jul-08 113.19 5 0.55 -1.55 -1.56 -3.01 -0.94
10-Apr-07 125.33 8 -0.41 0.03 0.49 1.44 1.71
06-Feb-07 125.07 6 0.22 0.09 -0.66 -0.99 -0.16
21-Nov-06 120.73 8 0.20 -0.21 -1.57 -1.15 -0.12
24-Oct-06 118.36 5 0.35 0.65 0.03 -0.05 -0.07
10-Jan-06 109.25 6 0.32 -0.08 -0.17 -0.44 -0.84
22-Nov-05 106.48 5 0.58 0.66 -0.06 -0.17 -0.70
21-Jun-05 101.97 7 0.09 -1.32 -2.05 -1.90 -1.08
14-Dec-04 100.13 5 0.07 0.01 -0.65 -0.63 0.14
30-Mar-04 92.64 5 0.12 0.72 1.48 2.04 1.72
07-Oct-03 84.80 5 -0.25 0.02 0.29 0.61 0.97
02-Sep-03 83.29 6 0.55 0.60 0.04 0.86 0.20
12-Aug-03 80.66 5 -0.51 -0.24 0.07 0.93 1.31
18-Mar-03 70.19 5 0.77 0.98 3.13 -0.28 0.67
31-Jul-01 95.37 5 0.62 1.04 0.48 -0.87 -0.48
01-May-01 99.56 5 -0.18 -1.45 0.23 -0.63 -0.68
08-Aug-00 115.61 7 -0.85 -1.33 -0.86 0.40 0.31

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$SPY 5-bar rally pattern – what next ?

$SPY 5-bar rally pattern

$SPY 5-bar rally stock chartbit of conflicts , with few bearish patterns presented yesterday 1) $SPY up for 4 or more days 2) When $SPY closes above previous day’s high for 4 days in row in the play still ,

you might want to read 1) The Morality of Trading – Brett Steenbarger ( #BTW @steenbab is back to blogging after a looong hiatus , if you already don’t know ..)

and or 2) The Checklist Manifesto: How to Get Things Right

anyway here the trading strategy rules

1-bar-rally definition : current open > prev open && current high > prev high && current low > prev low && current close > prev close

with $SPY making 5 continuous 1-bar rallies , at close on 12-Feb-2014 , let us call this as 5-bar rally pattern

below the trading odds for the next 1/2/3/4/5 trading days since Feb 1993 , when $SPY makes a  5-bar rally pattern 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 21 13 61.9 0.14 0.07 0.50 -0.44 1.14 -1.32
t+2 21 12 57.1 0.31 0.23 0.78 -0.33 2.39 -0.63
t+3 21 14 66.7 0.40 0.31 0.89 -0.57 1.57 -1.14
t+4 21 16 76.2 0.69 0.61 1.08 -0.55 1.97 -1.28
t+5 21 18 85.7 0.87 0.81 1.09 -0.43 2.56 -0.67
1st +’ve exit in 5 days 21 20 95.2 0.44 0.46 0.50 -0.67 0.74 -0.67

20/21 or 95% times $SPY closed higher in the next five trading days at some point of time , 

below the prior instances of “When $SPY makes a  5-bar rally pattern ” , since Feb 1993 and the next 1/2/3/4/5 trading day percent changes

Date t+1 t+2 t+3 t+4 t+5
12-Feb-14
22-Oct-13 -0.48 -0.15 0.31 0.47 1.00
25-Jan-13 -0.12 0.27 -0.12 -0.37 0.66
24-Jan-13 0.57 0.44 0.84 0.44 0.20
27-Dec-11 -1.32 -0.30 -0.78 0.80 0.96
28-Dec-09 -0.13 -0.17 -1.14 0.54 0.81
11-Nov-09 -1.01 -0.48 0.96 1.08 1.02
10-Nov-09 0.51 -0.51 0.03 1.47 1.59
10-Sep-09 -0.02 0.46 0.88 2.41 2.26
18-Aug-06 -0.43 -0.44 -0.72 -0.80 -0.67
09-Jan-06 0.10 0.42 0.02 -0.07 -0.34
23-Nov-05 0.07 -0.63 -0.75 -1.28 -0.27
02-Apr-04 0.55 0.23 0.00 -0.23 0.16
01-Apr-04 0.75 1.31 0.99 0.75 0.51
31-Mar-04 0.60 1.36 1.92 1.60 1.36
02-Jul-99 -0.02 0.11 0.19 0.78 0.34
13-Jun-97 0.03 -0.10 -0.46 0.57 0.22
12-Jun-97 0.84 0.87 0.74 0.38 1.41
11-Jun-97 1.93 2.79 2.82 2.68 2.31
07-Sep-95 0.38 0.65 1.13 1.56 2.52
06-Sep-95 0.05 0.43 0.70 1.18 1.61
16-Dec-94 0.15 -0.15 0.91 0.61 0.70

bold in red , where $SPY not able to manage to close higher in the next five trading days

you might want to download Anatomy of $SPY 5 day gaining streaks : e-book

there is another , something unusual about the last five days , not only it had made 5-bar -rally , but on each of those days $SPY opened with gap-ups ,

below the details of those prior two instances ( yes only 2 in the last 21 years ) , when $SPY made 5 gap-ups in row along a 5-bar-rally , since Feb 1993 

Date Close t+1 t+2 t+3 t+4 t+5
12-Feb-14 182.07
28-Dec-09 103.83 -0.13 -0.17 -1.14 0.54 0.81
10-Sep-09 95.56 -0.02 0.46 0.88 2.41 2.26

this bull run is continuous-ally picking single-digit sample sizes !!

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when $SPY posts an Inside day after a worst loss in 20 days ??

$SPY posts an Inside day after a worst loss in 20 days

$SPY Inside day price pattern Stock Chart

with $SPY posting an

  • Inside day ( lower high and higher low ) as on current trading session i.e 4 Feb 2014 &&
  • the previous day $SPY lost the most in the 20 trading days

below the trading odds for $SPY longs  going forward in the next 1/2/3/4/5/10/20 trading days , when $SPY posts an inside day after a worst one day performance in last 20 trading days , since Jan 2003 ( i.e last decade ) 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 29 18 62.1 0.57 0.18 1.32 -0.66 2.00 -1.55
t+2 29 18 62.1 0.42 0.19 1.18 -0.81 1.46 -2.08
t+3 29 22 75.9 0.71 0.74 1.30 -1.17 1.11 -2.54
t+4 29 22 75.9 1.00 1.09 1.62 -0.95 1.71 -2.18
t+5 29 23 79.3 1.20 1.42 1.81 -1.14 1.58 -2.15
t+10 29 19 65.5 0.59 0.97 2.16 -2.40 0.90 -6.42
t+20 28 21 75.0 1.27 1.69 3.11 -4.23 0.74 -10.22
1st +’ve exit in 5 days 29 27 93.1 0.86 0.57 0.99 -0.97 1.02 -0.98

27/29 or 93% times $SPY closed higher at some point of time in the next five trading days at some point of time 

below the prior instances of $SPY posts an Inside day after a worst loss in 20 days , since Jan 2003 and the next 1/2/3/4/5 trading day changes

Date Close t+1 t+2 t+3 t+4 t+5
04-Feb-14 175.39
14-Jan-14 183.67 0.54 0.41 -0.02 0.28 0.34
08-Nov-13 176.33 0.02 -0.19 0.62 1.12 1.56
16-Apr-13 154.98 -1.46 -2.08 -1.23 -0.79 0.23
04-Apr-13 153.45 -0.44 0.23 0.57 1.81 2.14
24-Dec-12 139.53 -0.42 -0.55 -1.63 0.04 2.61
11-Apr-12 131.95 1.30 0.11 0.04 1.52 1.17
10-Nov-11 118.46 1.88 0.92 1.42 -0.19 -1.77
23-Sep-11 108.19 2.38 3.52 1.41 2.21 -0.34
19-Apr-11 123.87 1.36 1.88 1.77 2.65 3.32
31-Jan-11 120.86 1.61 1.41 1.63 1.92 2.56
17-Nov-10 110.46 1.47 1.75 1.67 0.19 1.67
07-May-10 102.91 4.40 4.11 5.57 4.25 2.36
28-Apr-10 110.42 1.24 -0.48 0.82 -1.56 -2.15
25-Jan-10 101.12 -0.43 0.05 -1.10 -2.18 -0.65
21-Jan-09 75.67 -1.55 -1.12 -0.44 0.57 3.98
02-Dec-08 76.15 2.40 0.04 3.13 6.72 4.96
08-Jun-07 130.9 0.17 -0.92 0.56 1.21 1.78
11-May-07 130.74 -0.21 -0.19 0.49 0.29 1.17
28-Feb-07 121.65 -0.30 -1.60 -2.54 -0.87 -0.97
23-Jan-06 107.15 0.10 0.19 0.74 1.67 1.60
28-Dec-05 106.58 -0.45 -0.99 0.75 1.23 1.29
29-Nov-05 106.3 -0.54 0.48 0.60 0.40 0.58
21-Oct-05 99.59 1.56 1.35 1.05 -0.02 1.42
23-Feb-05 99.49 0.65 1.65 0.99 1.49 1.44
02-Jul-04 92.91 -0.88 -0.59 -1.28 -1.02 -0.98
21-Apr-04 92.4 1.40 1.49 1.35 1.44 0.13
12-Jan-04 92.52 -0.57 0.25 0.50 0.90 0.88
11-Sep-03 82.86 0.18 -0.17 1.29 1.09 2.28
06-Aug-03 78.58 1.06 1.34 1.72 2.65 2.13

bold in red , where $SPY not able to manage to close higher in the next five trading days ..

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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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How to trade NR7 and Inside Day Pattern on $SPY

How to trade NR7 and Inside Day Pattern on $SPY

$SPY NR7ID pattern stock chart

NR7 Inside Price Pattern Definitions:

Narrow Range 7 : or simply an NR7 day is a basic price pattern which simply means that we had the trading day in which the range is narrower than any of the previous six days.

Narrow range patterns come from Toby Crabel book, “Day Trading with Short Term Price Patterns & Opening Range Breakout” Toby Crabel is the founder of Crabel Capital Management, LLC , currently has over $1 billion in assets under management.

Inside Day: or simply ID is a day , where the high of the current day is lower than the high of the previous day and the low of the current day is higher than the low of the previous day.

Narrow Range 7 Inside Day  : or simply NR7ID is a cocktail made out of combining an ID and an NR7.

With $SPY forming an NR7ID as on 16 Jan 2014 close ,

below the two possible scenarios which are written in multiple trading text books

1) Go long above previous day’s high after an NR7ID pattern 

go long above  previous day’s high (184.66, for 17th Jan 2014) , only if it trades there  ( which means the previous day’s high must be in between , the current day’s high and low , why ? on a full gap up day ( when the current low is higher than prev high) , assuming one puts a buy stop tick above previous day’s high order , the order won’t be executed , right ??

below the trading odds for “going long above previous day’s high after an NR7ID pattern ” since Jan 2000

  • Total Trades : 71
  • Winners : 38
  • Losers : 33
  • % Winners : 54%
  • Average Change % : -0.05
  • Median Change % : 0.09
  • Maximum Gain % : 2.77
  • Maximum Loss % : -3.54
  • Average Gain %if Winner : 0.52
  • Average Loss % if Loser : -0.70
  • Payoff Ratio 0.75
  • Profit Factor : 0.79
  • Outlier Adjusted Profit Factor : 0.69

Doesn’t work like what was written in trading text books ! besides it is a loss making strategy !!

2) Go short below previous day’s low after an NR7ID pattern 

go short at previous day’s low  (183.83 , for 17th Jan 2014 ) , only if it trades there  ( which means the previous day’s low must be in between , the current day’s high and low , why ? on a full gap down day ( when the current high is less than prev low) , assuming one puts a sell short one tick below previous day’s low limit order , the order won’t be executed .)

  • Total Trades : 71
  • Winners : 44
  • Losers : 27
  • % Winners : 62%
  • Average Change % : 0.27
  • Median Change % : -0.13
  • Maximum Gain % : 4.81
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 0.74
  • Average Loss % if Loser : -0.51
  • Payoff Ratio 1.46
  • Profit Factor : 2.62
  • Outlier Adjusted Profit Factor : 2.29

look ohk ! for trading strategy to go short on $SPY , but few tweaks like when the previous day’s close is below 200-DMA, 20-DMA ( which are not the case as on 16 Jan 2014 close ) , will enhance the trading strategy perfromance …

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have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?

back to back outside days on $SPY – what next ?

back to back outside days on $SPY 

$SPY back to back outside days stock chart

with $SPY forming outside days for two days in row , outside day defined as in higher high and lower low 

below study , with $SPY returns from next 1/2/3/4/5/10/20 trading days , whenever $SPY posts 2 “outside days ” in row since $SPY IPO ( i.e Feb 1993)

$SPY posts 2 outside days in row since Feb 1993
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 18 9 50.0 0.23 0.06 0.87 -0.41 2.14 -1.22
t+2 18 10 55.6 0.26 0.15 1.03 -0.70 1.47 -1.90
t+3 18 13 72.2 0.84 0.95 1.45 -0.72 2.00 -1.40
t+4 18 14 77.8 0.88 1.11 1.33 -0.67 1.99 -1.55
t+5 18 14 77.8 1.10 1.28 1.60 -0.64 2.50 -1.08
t+10 18 10 55.6 0.65 0.66 1.81 -0.80 2.26 -2.23
t+20 18 12 66.7 0.91 1.53 2.46 -2.19 1.13 -4.26
Swing High 18 17 94.4 0.58 0.60 0.68 -1.08 0.63 -1.08

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

17/18  ( 95% ) times $SPY closed higher 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 3rd Jan 2005  , when it lost -1.08% at the end of fifth trading day , highlighted below in red bold) 

below the historical instances of 2 outside days in row on $SPY, since Feb 1993.

Date Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
09-Jan-14 183.64 ?? ?? ?? ?? ?? ?? ??
22-May-13 163.37 -0.29 -0.37 0.22 -0.43 -0.06 -1.93 -3.94
25-Oct-12 137.65 -0.05 -0.05 1 0.09 0.3 -2.23 -0.78
04-Dec-09 101.71 -0.16 -1.26 -0.89 -0.33 0.09 -0.19 2.91
06-Aug-09 91.09 1.31 1.1 -0.16 0.91 1.68 1.1 0.76
30-Mar-07 123.06 0.11 1.19 1.31 1.58 1.72 3.32 4.43
01-Nov-06 117.49 -0.06 -0.24 0.89 1.28 1.5 2.31 2.68
09-Aug-06 108.53 0.3 0.02 0.1 1.3 2.14 2.18 2.3
17-Apr-06 109.48 1.59 1.78 1.92 1.94 1.74 1.35 0.65
03-Jan-05 100.19 -1.22 -1.9 -1.4 -1.55 -1.08 -0.69 -1.15
11-Feb-04 94.85 -0.36 -0.8 0.09 -0.35 -0.72 -0.97 -4.26
02-Jan-04 90.9 1.09 1.19 1.53 1.94 1.05 2.7 2.46
01-Nov-02 72.23 0.96 1.76 3.07 0.54 -0.69 1.26 4.28
14-Aug-02 73.46 1.39 1.09 3.46 2.36 3.83 -0.12 -2.99
12-Aug-96 49.44 -0.79 -0.44 -0.63 0.2 0.24 -0.26 -0.02
05-Feb-96 47.09 0.93 1.53 2.61 2.59 3.38 0.21 2.65
06-Mar-95 35.03 -0.74 -0.51 -0.54 0.94 0.86 2.17 3.54
11-Jul-94 31.51 0.16 0.32 1.43 1.43 1.62 1.49 2.57
24-Jan-94 32.82 0 0.27 1.19 1.46 2.19 0 0.34

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unusual Outside day pattern on $SPY – what next ??

unusual Outside day pattern on $SPY

$SPY Outside day Chartan outside is when current high is higher than previous high and current low is lower than previous low, with $SPY first opening lower than the low previous day and closing higher than the previous high , we looked at the “unusual outside day pattern ” on $SPY.

here are the trading strategy rules that we employed  for the unusual outside day pattern on $SPY

  • $SPY opens lower than previous low &
  • $SPY closes above previous high

 below a look at how $SPY fares over the next 1/2/3/4/5/10/20 trading days , after $SPY forming that unusual outside day pattern , since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 24 12 50.0 -0.17 0.00 0.63 -0.96 0.66 -1.79
t+2 24 13 54.2 -0.10 0.35 1.01 -1.42 0.71 -4.32
t+3 24 13 54.2 0.18 0.15 1.68 -1.59 1.06 -3.99
t+4 24 13 54.2 0.17 0.35 2.10 -2.10 1.00 -7.10
t+5 24 15 62.5 0.58 0.50 1.90 -1.63 1.17 -4.34
Swing High 24 20 83.3 0.23 0.47 0.67 -1.99 0.34 -3.26
Swing Low 24 5 20.8 -0.52 -0.48 1.39 -1.02 1.36 -4.32

Swing High column , is calculated with the assumption , that one exits the longs at the first profitable close over the next five tradings days , otherwise with a loss at the end of the fifth trading day for a loss.

Swing Low column , is calculated with the assumption , that one exits the shorts at the first profitable close over the next five tradings days , otherwise with a loss at the end of the fifth trading day for a loss.

conclusion : tough call to make ! , though inclination is towards , to short $SPY and buy cover at the first profitable close ( i.e a lower close than the current close , in the next five trading days , other wise exit with a loss , at the end of the fifth trading close) .

below the prior instances of $unusual outside day pattern on $SPY , since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
13-Nov-13 178.38 ?? ?? ?? ?? ??
15-Jan-13 144.94 -0.01 0.63 0.86 1.40 1.57
31-Dec-12 140.35 2.57 2.33 2.78 2.50 2.20
28-Nov-12 138.43 0.47 0.49 -0.01 -0.14 0.03
24-Aug-12 137.74 0.02 -0.07 0.00 -0.72 -0.25
20-Jul-10 101.36 -1.29 0.91 1.79 2.84 2.83
19-Aug-09 91.65 1.03 3.01 3.00 3.20 3.21
26-May-09 83.24 -1.79 -0.42 1.35 3.80 3.88
11-Sep-08 112.05 0.46 -4.32 -2.72 -7.10 -4.34
22-Jul-08 113.81 0.54 -1.55 -1.57 -3.01 -0.94
06-May-08 126.18 -1.78 -2.03 -2.22 -1.12 -1.10
02-Nov-05 103.2 0.43 0.30 0.40 0.40 0.52
19-Oct-05 101.53 -1.76 -1.38 0.15 -0.05 -0.34
29-Aug-05 102.71 -0.53 0.74 0.66 0.48 1.66
18-Aug-04 91.05 -0.29 0.42 0.15 0.30 0.98
05-Mar-04 95.62 -1.21 -1.61 -3.26 -4.52 -3.26
09-Sep-02 72.61 1.14 0.52 -1.34 -1.09 -0.85
24-Jul-02 67.85 -0.84 1.05 5.97 7.35 7.61
19-Dec-01 91.84 -0.99 -0.39 -0.58 -0.03 0.58
25-Oct-01 87.7 -0.23 -2.83 -3.99 -4.32 -1.87
16-May-01 101.6 0.16 0.61 2.10 1.96 0.24
04-May-01 100.33 -0.86 -0.91 -1.33 -1.04 -1.71
10-Jan-01 103.83 0.09 -0.11 0.53 0.99 2.00
03-Aug-00 113.81 0.54 1.75 2.13 1.27 0.77
13-Jun-00 115.1 0.17 0.39 -0.44 0.83 0.48

highlighted in the green are , when $SPY failed to close lower than current close , and highlighted in the red are when $PSY failed to close higher the current close .

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Few reversal bar pattern on $SPY as on 8-Nov-2013

Reversal bar pattern on $SPY as on 8-Nov-2013

with $SPY gaining by 1.35% as on 8 Nov 2013 , after falling by -1.26% as on 7 Nov 2013 , below few studies of that reversal bar pattern

$SPY 1% reversal bar stock chart

donate to Red Cross @ http://www.redcross.org.ph/donate  for for the victims of Philippine Typhoon

1) reversal bar pattern -1 , trading strategy rules , for $SPY falls by more than 1% prev day and then reverses the entire loss during current day, since 2000
$SPY falls by more than 1% during the previous day

$SPY gains by more than 1% and also reverses the entire loss of previous day

an easy language code would be ,

Close[0]>Close[2] && Close[1]-Close[2] < -1%

and not a common mistake that many ( including me !! ) does , which is

Close[1]-Close[2] < -1% && Close[0]-Close[1] > 1%

Below the trading odds for $SPY longs, over next 1/2/3/4/5/10/20 trading days ,  when ever $SPY falls by more than 1% prev day and then reverses the entire loss during current day , since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 62 32 51.6 -0.05 0.18 1.30 -1.50 0.87 -6.41
t+2 62 28 45.2 -0.48 -0.14 1.73 -2.29 0.75 -13.35
t+3 62 30 48.4 -0.23 -0.13 2.34 -2.64 0.88 -8.68
t+4 62 33 53.2 -0.09 0.35 2.33 -2.84 0.82 -10.60
t+5 62 34 54.8 -0.17 0.28 2.45 -3.34 0.73 -17.24
t+10 62 35 56.5 0.10 0.25 2.96 -3.61 0.82 -17.16
t+20 62 40 64.5 1.18 2.24 4.43 -4.72 0.94 -11.54

may be bit softening of $SPY over the next few days

2) reversal bar pattern -2 , trading strategy rules , for $SPY falls by more than 1% prev day with the close at bottom range , and $SPY gains by more than 1% with a top range close during current day,  since 2000

  • $SPY falls by more than 1% during the previous day
  • and the $SPY close is in the bottom 10% of the day’s range ( that is Close – Low / High – low <0.1)
  • $SPY gains by more than 1% during the current day
  • and $SPY closes is in the top 10% of the day’s range ( that is High-Close / High – low <0.1)

Below the trading odds for $SPY longs , over next 1/2/3/4/5/10/20 trading days , when ever $SPY falls by more than 1% prev day with the close at bottom range , and $SPY gains by more than 1% with a top range close during current day,  since 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 37 16 43.2 -0.46 -0.49 0.94 -1.53 0.62 -6.41
t+2 37 18 48.6 -0.50 -0.13 1.11 -2.03 0.55 -13.35
t+3 37 21 56.8 0.20 0.54 1.84 -1.96 0.94 -8.68
t+4 37 22 59.5 0.90 0.92 2.37 -1.25 1.89 -3.36
t+5 37 24 64.9 0.83 0.84 2.28 -1.86 1.23 -4.18
t+10 37 20 54.1 0.57 0.22 2.76 -2.01 1.38 -4.45
t+20 37 24 64.9 1.02 1.45 3.83 -4.18 0.92 -17.74
Swing High 37 34 91.9 0.75 0.63 0.94 -1.35 0.69 -1.62
Swing Low 37 5 13.5 -0.75 -0.72 3.28 -1.38 2.38 -6.41

Swing high ( for bulls)  row is , assuming one goes long at then exits at first profitable close , or exit at the end of the fifth trading day with loss

Swing low ( for bears) row is , assuming one goes short at close then exits at first lower close , or exit at the end of the fifth trading day with loss , a percentage wins less than number less than say 20 favors the bears !!

34/37 times $SPY closed higher than the current close at some point of time during the next five trading days , at the same time , 32/37 times $SPY closed lower than the current close at some point of time during the next five trading days , while I have no idea whether that lower close comes first or the higher close comes first ..

pat yourself, if long strangle / straddle weekly option strategy is flashing in your mind  ( barring the theta calculations )

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4 bar rally & 8 higher highs and lower highs on $SPY – what next ?

4 bar rally & 8 higher highs and lower highs on $SPY


SPYchart

1) 4 bar rally pattern that triggered today at close 

1 bar rally definition

today’s open > prev day’s open && today’s high >prev day’s high && today’s low > prev day’s low && today’s close > prev day’s close

below the trading odds for Longs on $SPY and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever “$SPY form a 4 bar rally pattern “, since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 43 19 44.2 -0.14 -0.06 0.33 -0.52 0.64 -2.60
t+2 43 24 55.8 -0.25 0.04 0.49 -1.19 0.41 -4.79
t+3 43 23 53.5 -0.25 0.03 0.68 -1.32 0.51 -8.11
t+4 43 22 51.2 -0.16 0.04 0.87 -1.24 0.70 -7.12
t+5 43 23 53.5 -0.12 0.18 1.09 -1.51 0.72 -6.56
t+10 43 29 67.4 0.32 0.69 1.38 -1.87 0.74 -6.88
t+20 43 25 58.1 0.27 0.40 2.09 -2.27 0.92 -5.91

as you can see in the above table , the odds don’t favor much either on the long side or on the short side , bit sideways movement for the next five days ??

2) 8 or more consecutive higher highs

higher high is when current high is greater than previous high

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 21 9 42.9 -0.08 -0.12 0.51 -0.53 0.97 -2.14
t+2 21 10 47.6 0.25 0.00 1.02 -0.44 2.31 -1.02
t+3 21 11 52.4 0.21 0.26 0.93 -0.58 1.60 -1.92
t+4 21 13 61.9 0.45 0.36 1.06 -0.55 1.94 -1.49
t+5 21 15 71.4 0.66 0.66 1.35 -1.08 1.25 -1.79
t+10 21 17 81.0 0.73 0.92 1.47 -2.43 0.61 -3.45
t+20 21 16 76.2 1.38 1.77 2.38 -1.83 1.31 -4.50

besides  $SPY posted a higher close than the current close , at some point during the next five trading days ,  on closing basis, 18/21 times , that’s 86% chance . The average gains at profitable exit stands at 0.75% , while the average loss ( i.e exiting after 5 trading days ) , for the exits that didn’t close above the entry point stands at -1.32%, with max loss being -1.79%.

3) 8 or more consecutive higher lows

higher low is when current low is greater than previous low

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 35 18 51.4 0.12 0.02 0.52 -0.32 1.65 -0.88
t+2 35 18 51.4 0.11 0.04 0.72 -0.53 1.36 -1.34
t+3 35 19 54.3 0.17 0.07 0.87 -0.66 1.32 -1.39
t+4 35 20 57.1 0.23 0.36 1.08 -0.91 1.18 -2.07
t+5 35 21 60.0 0.39 0.31 1.22 -0.86 1.41 -1.84
t+10 35 22 62.9 0.62 0.63 1.84 -1.45 1.27 -2.90
t+20 35 20 57.1 0.96 1.03 2.87 -1.59 1.81 -3.23

4) 8 or more consecutive higher highs and lows

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 8 3 37.5 0.04 -0.14 0.52 -0.25 2.10 -0.39
t+2 8 3 37.5 -0.07 -0.17 0.56 -0.44 1.26 -0.68
t+3 8 2 25.0 -0.26 -0.26 0.34 -0.45 0.74 -0.91
t+4 8 4 50.0 0.07 0.07 0.57 -0.43 1.32 -0.74
t+5 8 5 62.5 0.06 0.29 0.74 -1.07 0.69 -1.79
t+10 8 7 87.5 0.52 0.77 1.01 -2.90 0.35 -2.90
t+20 8 6 75.0 0.99 1.40 1.79 -1.41 1.28 -2.78

as the sample size is low , lets look at

5) 7 or more consecutive higher highs and lows

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 15 7 46.7 0.12 -0.12 0.52 -0.23 2.21 -0.39
t+2 14 7 50.0 0.14 0.12 0.69 -0.41 1.70 -0.68
t+3 14 5 35.7 -0.04 -0.14 0.70 -0.44 1.57 -1.17
t+4 14 6 42.9 0.01 -0.12 0.76 -0.55 1.37 -2.07
t+5 14 9 64.3 0.14 0.29 0.78 -1.02 0.77 -1.79
t+10 14 11 78.6 0.51 0.70 1.14 -1.78 0.64 -2.90
t+20 14 9 64.3 0.70 0.93 1.97 -1.59 1.24 -2.78

conclusion : putting the above five studies in context , expect a bit consolidation in the coming 5 trading days 

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