$SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open Trading Strategy Since 2009

$SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open

Trend Sell Day is defined as a day with the open is at the top 20 % of  intra-day’s range and the close is in the bottom 20 % of the intra-day’s range .

For example, Yesterday’s ( 12 Jun 2013) $SPY OHLC ( Open , High , Low , Close) were 164.22 , 164.39 , 161.6 , 161.75, giving us the open’s position in the  intra-day range as top 6% ( ( High-Open)/(High-Low)), while the close’s position in the intra-day range as bottom 5% (( Close-Low)/(High-Low))

1.5% range or range is defined as , (High-Low)/Average(High,Low) expressed in percentage terms , for yesterday the $SPY range% is 1.71

here are the trading system rules we employed

  • $SPY posts a trend sell day previous trading day
  • $SPY previous day range is more than 1.5% ( we are taking 1.5% as a cutoff value because we are rounding yesterday’s range to the nearest number)
  • Go long at open
  • Exit at the close

below the backtest performance summary of  “$SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open Trading Strategy” since 2009

$SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open Trading Strategy Since 2009

We are merely revealing this over optimization variant via day of the week technique ( even though not applicable for today), if you restrict this trade to only Mondays and Tuesdays Openings , while the previous trading day was a 1.5% trend sell day .

here the backtest performance summary report , which stunned us !!!

$SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open if it is Mon or Tue, Trading Strategy Since 2009

Next time keep an alert to Monday/Friday Trend Sell Day sell-offs .

below the last 25 historical trades generated by $SPY Posts a 1.5% Range Trend Sell Day , Buy at Next Open Trading Strategy”  for your reference and if you want to replicate this strategy coding in the platform of your choice !!

Date Open High Low Close Close-Open Close – Open %
13-06-2013 161.66 ?? ?? ?? ?? ??
16-04-2013 156.29 157.49 155.91 157.41 1.12 0.72
26-02-2013 149.06 149.54 148.08 149.36 0.3 0.2
15-11-2012 134.43 134.93 133.64 134.15 -0.28 -0.21
05-11-2012 139.74 140.55 139.32 140.23 0.49 0.35
22-10-2012 141.51 142.03 140.65 141.77 0.26 0.18
26-09-2012 142.42 142.46 141.31 141.65 -0.77 -0.54
11-07-2012 131.97 132.35 131.15 131.92 -0.05 -0.04
22-06-2012 130.91 131.48 130.40 131.23 0.32 0.25
12-06-2012 128.92 130.12 128.31 130.03 1.11 0.86
21-05-2012 127.33 129.15 127.12 129.10 1.77 1.39
18-05-2012 128.51 128.74 126.73 126.92 -1.59 -1.24
11-04-2012 134.30 134.55 133.78 134.02 -0.28 -0.21
20-12-2011 119.00 120.90 117.23 120.70 1.7 1.43
09-12-2011 120.51 122.31 120.40 122.00 1.49 1.24
26-10-2011 120.35 120.75 118.28 120.30 -0.05 -0.04
22-09-2011 109.61 110.54 107.72 109.23 -0.38 -0.34
26-08-2011 111.39 114.11 109.62 113.59 2.2 1.97
23-08-2011 108.94 112.24 108.39 112.11 3.17 2.91
05-08-2011 117.24 117.54 112.52 115.62 -1.62 -1.38
28-07-2011 125.75 126.87 125.18 125.38 -0.37 -0.29
02-06-2011 126.43 126.70 125.47 126.21 -0.22 -0.17
02-03-2011 124.73 125.75 124.35 125.17 0.44 0.35
31-01-2011 122.18 122.86 121.87 122.76 0.58 0.48
22-07-2010 102.26 103.77 102.25 103.32 1.06 1.03

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$SPY Close to Close Price Patterns

$SPY Close to Close Price Patterns

With $SPY for the last 7 days doing  down/up/down/up/down/up/ now down & inspired by the cult classic “Day Trading With Short Term Price Patterns and Opening Range Breakout” by Toby Cable

from the Section-II Short Term Price Patterns , Chapter 6 Close to Close ( on Bonds) ,

Here we tested all one , two , three, four, five day close to close ( C/C) patterns on $SPY , entry was assumed on the last close of the pattern with the exit on the next day’s close.

Now a few examples to help clarify the close-to-close price patterns:

DDUUD: The latest day (today) was a down close, yesterday was an up close, the day before yesterday was an up close, 3 day ago was a down close, 4 days ago was also a down close.
UDDDU: The latest day (today) was an up close, yesterday was a down close, the day before yesterday (i.e. 2 days ago) was a down close, 3 days earlier was a down close, 4 days ago was an up close.
DDDUU: The latest day (today) was an up close, yesterday was also an up close, the day before yesterday (i.e. 2 days earlier) was a down close, 3 days ago was a down close, and 4 days ago was also a down close.
UUDDD: The latest day (today) was a down close, yesterday was a down close, the day before yesterday (i.e. 2 days earlier) was a down close, 3 days ago was an up close, and 4 days ago was also an up close.

Glossary of the columns used 

Pattern is the price patterns
Wins Total number of trades that were profitable assuming one goes long after the price pattern
Loss Total number of trades that were unprofitable.
%Wins : Number of winning trades
Avg: Avg gain/loss for the price pattern
Avg Win : Average amount of profit for the profitable trades.
Avg Loss: Average amount of loss for the losing trades.
Win / Loss Ratio: The average profit of all winning trades divided by the average loss of all losing trades. Please note that it is not the number of winning trades divided by the number of losing trades.
Gross P&L:  Total profit achieved by the price pattern, it is simply an arithmetic sum of the next day $SPY change in percentages

The test period if from 5 Feb 1993 till 3rd Jun 2013

A listing of the $SPY close -to-close patterns is given in below tables for one – to – four days.

$SPY 1, 2, 3, 4 close-to-close price patterns since Feb 1993

as a naked eye can notice , anything ending with D is positive the next day in average returns terms , hence the acronym BTFD 🙂 on the trading desks ??

A listing of the $SPY close -to-close patterns is given in below tables for five days.$SPY five days close-to-close price patterns since Feb 1993

the current five day price pattern combo of DUDUD  has occurred 157 times on $SPY since Feb 1993, with 87 times $SPY gaining next day with an average gain of of 0.06% , with a pay-off ratio of 1.02 

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TradeIdea : Materials Select Sector SPDR $XLB Forms Bull Hook Price Pattern

Materials Select Sector $XLB Forms Bull Hook Price Pattern

Materials Select Sector SPDR (XLB) Bullhook Price Pattern Stock Chart

Materials Select Sector SPDR ( $XLB ) forms a Bull Hook Price Pattern 

  • $XLB forms bull hook price pattern
  • Go Long at close
  • Exit at next trading day’s close

Bull Hook Price Pattern Definition :

Bull Hook Price Pattern is authored by Toby Crabel first in Stocks and Commodities Magazine and is defined, as

A bull hook day opens above the previous day’s high and closes below the previous day’s close with a narrowing range.

Below the backtest performance summary for going Long when “XLB forms a bull hook price pattern ” trading system during the last four years.

Go Long when XLB ETF forms a bull hook price pattern back test performance summary
Total number of trades 14 Percent profitable 93%
Number of winning trades 13 Number of losing trades 1
Average profit per trade % 1.06 Median trade 0.63
Average winning trade % 1.34% Avg Loss Trade % -2.56%
Largest winning trade % 3.96% Max Loss Trade % 2.56%
Max consecutive winners 13 Max Consecutive Losses 1
Ratio avg win/avg loss % 0.52 T-Test 2.47
Profit Factor 6.82 Outlier Adjusted Profit Factor 5.34

Below the details of next day change, change% of $XLB ETF Price, when  XLB ETF forms a bull hook price pattern , during the last 4 years

XLB ETF next day change , change % for last 4 years, when ever XLB forms a bull hook price pattern 
Date 1 Day Change 1 Day Change %
09-May-13 ?? ??
11-Feb-13 0.02 0.05
19-Dec-12 0.36 0.98
22-May-12 0.39 1.19
24-Feb-12 0.01 0.03
26-Jan-12 0.05 0.14
24-Jun-11 0.07 0.19
11-Oct-10 0.09 0.28
26-Aug-10 0.84 2.98
21-Jul-10 0.61 2.15
12-Jul-10 0.75 2.7
26-May-10 1.1 3.96
08-Feb-10 0.68 2.46
10-Dec-09 0.08 0.27
23-Oct-09 -0.74 -2.56

Could we get 14th time lucky this time ??

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hi there ,  don’t put funny queries like number of trades > 100 & win rate > 90% etc , if such kind of trades exist we won’t be starting out this portal , nor we would be blogging  ..