page #169 from $SPY High Probability Trading Strategies

page #169 from $SPY High Probability Trading Strategies

with $SPY trading at 274.30 and posting a down day at the time of writing

below trading strategy , ctrl+c & ctrl+v ‘ed from

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$SPY High Probability Trading Strategies : PDF

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$SPY High Probability Trading Strategies

here is the snippet from page #169

Trading strategy rules

  • Current trading day is Monday and $SPY posts a down day
  • & previous trading day is Friday and $SPY posted a down day
  • & $SPY close is below 200-DMA as on trading day
  • Go Long at close

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$SPY High Probability Trading Strategies : PDF

$SPY High Probability Trading Strategies

$SPY High Probability Trading Strategies – Table of Contents

  • $SPY High Probability Trading Strategies —- i
  • disclaimer —- 4
  • feedback —- 5
  • ACKNOWLEDGMENTS —- 8
  • Introduction —- 10
  • Short term trading rules —- 15
  • Nobody asked me, but: technical analysis!!? —- 33
  • Building blocks —- 42
  • Quantitative trading metrics —- 45
  • Sample backtesting —- 56
  • High probability trading patterns on $SPY —- 62
  • % plays —- 63
  • consecutive down & ups —- 88
  • maxima & minima & miscellaneous —- 120
  • around eom & eoq & opex —- 174
  • economic events —- 220
  • & rule #34 —- 233
  • & & don’t forget the drift —- 237
  • 10 books every trader should read —- 240
  • Sayonara —- 247
  • Glossary —- 248

 

 

use paststat at the time of checkout for a limited time discount ( valid till 4th Jun 2019)

when $SPY lost by more than 5% for the month

when $SPY lost by more than 5% for the month

trading odds , after $SPY lost by more than 5% in a month as last on trading day of the month, since Y2K

below the trading strategy rules

  1. current trading day is last trading day of the month
  2. $SPY lost more than 5% for the month

below the trading odds for $SPY, 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 Avg DD% Max DD% Avg Run Up% T-Test
t+1 26 11 42 -0.74 -0.23 1.21 -2.18 0.56 -8.86 0.31 -1.91 -9.14 0.75 -1.50
t+2 26 10 39 -1.08 -0.75 1.44 -2.66 0.54 -5.40 0.22 -2.70 -9.14 1.13 -2.15
t+3 26 11 42 -0.92 -0.50 1.68 -2.84 0.59 -8.11 0.39 -3.22 -9.14 1.65 -1.62
t+4 26 12 46 -1.16 -1.31 2.05 -3.91 0.52 -9.72 0.46 -4.27 -13.23 1.96 -1.66
t+5 26 10 39 -0.99 -1.34 2.78 -3.36 0.83 -13.76 0.53 -4.67 -14.09 2.53 -1.30
1st -‘ve exit in 5 days % 26 24 92 1.47 -1.31 1.90 -3.71 0.51 -3.84 3.03 -0.46 -4.50 2.37 3.20

24/26 times , since Y2K, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average of 147 bps and median of -131 bps

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

below the historical $SPY returns , over the next 1/2/3/4/5 trading days , when on last trading day , $SPY down for the month by more than 5% , since Y2K

Date Open High Low Close MTD% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
31-May-19 276.20 277.12 275.29 276.15 -6.08 ?? ?? ?? ?? ?? ?? ??
31-Dec-18 248.47 249.10 246.39 248.83 -8.79 0.10 -2.28 0.99 1.78 2.74 -2.28 2
31-Oct-18 267.87 270.42 267.35 267.85 -6.91 1.06 0.47 1.02 1.66 3.84 3.84 5
31-Aug-15 183.77 184.72 182.75 183.36 -6.10 -2.98 -1.14 -1.07 -2.57 -0.12 -2.98 1
31-May-12 114.35 115.00 113.16 114.15 -6.01 -2.52 -2.56 -1.83 0.38 0.44 -2.52 1
30-Sep-11 98.31 99.17 97.13 97.20 -6.94 -2.85 -0.72 1.12 2.95 2.26 -2.85 1
31-Aug-11 104.65 105.55 103.66 104.45 -5.50 -1.05 -3.58 -4.28 -1.58 -2.60 -1.05 1
30-Jun-10 87.07 87.87 86.20 86.48 -5.17 -0.45 -0.99 -0.34 2.80 3.82 -0.45 1
28-May-10 92.26 92.33 90.77 91.20 -7.95 -1.68 0.88 1.23 -2.33 -3.55 -1.68 1
27-Feb-09 60.06 61.43 59.90 60.00 -10.74 -4.50 -5.22 -2.98 -6.94 -6.78 -4.50 1
30-Jan-09 68.97 69.31 66.72 67.22 -8.21 -0.30 1.10 0.60 2.10 5.01 -0.30 1
28-Nov-08 71.35 72.55 71.23 72.52 -6.96 -8.86 -5.35 -3.07 -5.32 -2.40 -8.86 1
31-Oct-08 76.54 79.35 76.06 77.95 -16.52 0.29 3.70 -0.66 -6.17 -3.07 -0.66 3
30-Sep-08 91.37 94.02 88.98 93.37 -9.44 0.06 -3.57 -4.87 -9.72 -13.76 -3.57 2
30-Jun-08 102.38 103.20 101.91 102.45 -8.35 0.31 -1.41 -1.30 -2.31 -0.58 -1.41 2
31-Jan-08 105.74 109.81 105.58 108.88 -6.05 1.61 0.33 -2.36 -3.14 -2.50 -2.36 3
31-Dec-02 63.80 64.11 63.16 63.97 -5.66 3.22 3.54 5.36 5.10 3.58 3.58 5
30-Sep-02 59.17 59.74 58.37 59.01 -10.49 4.80 1.66 0.64 -1.21 -3.25 -1.21 4
31-Jul-02 65.00 65.76 64.11 65.48 -7.88 -2.61 -4.79 -8.11 -5.01 -3.36 -2.61 1
28-Jun-02 71.29 72.19 71.03 71.08 -7.38 -1.95 -4.03 -3.49 0.35 -0.90 -1.95 1
30-Apr-02 76.60 77.76 76.33 77.20 -5.82 1.22 0.83 -0.26 -2.22 -2.56 -0.26 3
28-Sep-01 73.25 77.97 72.91 74.29 -8.16 -0.16 1.09 2.79 2.87 2.67 -0.16 1
31-Aug-01 80.36 81.33 80.17 80.89 -5.93 -0.64 -0.39 -2.96 -4.76 -3.59 -0.64 1
30-Mar-01 81.65 82.46 80.91 82.46 -5.60 -2.13 -5.40 -5.00 -1.41 -2.91 -2.13 1
28-Feb-01 89.32 89.38 86.87 87.35 -9.54 0.52 -0.27 0.64 1.72 2.44 -0.27 2
30-Nov-00 93.08 93.78 91.15 92.92 -7.47 -0.05 0.80 4.11 2.45 1.04 -0.05 1
29-Sep-00 102.19 102.54 100.89 100.89 -5.48 0.15 -0.78 0.04 0.39 -1.78 -0.78 2

highlighted in bold are the two instances when $SPY didn’t close lower than entry over the next 5 trading days 

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$SPY from 10th trading day since 2015

$SPY from 10th trading day since 2015

$SPY from 10th trading day close , since 2015

trading strategy rules ,

1) current trading day is 10th trading of the month

2) trading odds for the next 1/2/3/4/5/10/20 trading days , since 1st Jan 2015

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % Profit Factor
t+1 36 25 69.4 0.41 0.24 0.69 -0.24 2.90 -0.50 5.58
t+2 36 29 80.6 0.49 0.33 0.74 -0.53 1.39 -1.18 5.03
t+3 36 27 75.0 0.52 0.41 0.90 -0.64 1.42 -1.40 3.54
t+4 36 27 75.0 0.56 0.41 1.01 -0.79 1.28 -2.60 3.18
t+5 36 28 77.8 0.59 0.60 1.12 -1.26 0.89 -5.53 2.69
t+10 36 26 72.2 0.68 0.54 1.48 -1.41 1.06 -4.84 2.51
t+20 35 25 71.4 1.18 1.23 2.37 -1.79 1.32 -6.40 3.04
1st +’ve exit in 5 days % 36 36 100.0 0.59 0.47 0.59 INF INF 0.05 NA

36/36 times , since Jan 2015 ( indeed from feb 2014 , 47/47) , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 59 bps , and a median of 47 bps 

below the $SPY returns for the next 1/2/3/4/5 trading days since 1st Jan 2015

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #  days to 1st +’ve cls
16-Jan-17 ?? ?? ?? ?? ?? ?? ?? ??
14-Dec-17 264.32 0.83 1.47 1.08 1.03 1.23 0.83 1
14-Nov-17 256.43 -0.50 0.35 0.05 0.22 0.88 0.35 2
13-Oct-17 253.66 0.13 0.20 0.30 0.33 0.85 0.13 1
15-Sep-17 247.93 0.21 0.31 0.35 0.08 0.10 0.21 1
14-Aug-17 244.09 -0.01 0.16 -1.40 -1.55 -1.48 0.16 2
17-Jul-17 243.09 0.05 0.59 0.64 0.55 0.53 0.05 1
14-Jun-17 240.64 -0.19 -0.17 0.66 -0.02 -0.04 0.66 3
12-May-17 235.45 0.55 0.46 -1.32 -0.92 -0.28 0.55 1
17-Apr-17 231.11 -0.30 -0.48 0.33 0.01 1.11 0.33 3
14-Mar-17 232.39 0.87 0.67 0.49 0.38 -0.91 0.87 1
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
17-Jan-17 221.94 0.22 -0.15 0.22 -0.04 0.60 0.22 1
14-Dec-16 220.28 0.41 0.22 0.43 0.82 0.54 0.41 1
14-Nov-16 211.22 0.78 0.59 1.11 0.88 1.64 0.78 1
14-Oct-16 207.84 -0.35 0.28 0.54 0.36 0.40 0.28 2
15-Sep-16 208.88 -0.38 -0.37 -0.36 0.76 1.39 0.76 4
12-Aug-16 211.97 0.29 -0.23 -0.04 0.18 0.04 0.29 1
15-Jul-16 209.42 0.27 0.17 0.58 0.20 0.65 0.27 1
14-Jun-16 200.81 -0.14 0.16 -0.21 0.43 0.72 0.16 2
13-May-16 197.65 0.99 0.04 0.07 -0.27 0.36 0.99 1
14-Apr-16 200.78 -0.11 0.59 0.91 1.00 0.46 0.59 2
14-Mar-16 194.46 -0.16 0.41 1.05 1.45 1.59 0.41 2
12-Feb-16 179.22 1.69 3.35 2.93 2.88 4.37 1.69 1
15-Jan-16 180.36 0.13 -1.15 -0.60 1.44 -0.09 0.13 1
14-Dec-15 193.68 1.05 2.53 0.97 -0.82 0.00 1.05 1
13-Nov-15 193.33 1.52 1.45 3.06 2.97 3.34 1.52 1
14-Oct-15 190.23 1.54 2.00 2.05 1.92 1.28 1.54 1
15-Sep-15 188.44 0.87 0.64 -1.00 -0.48 -1.78 0.87 1
14-Aug-15 198.85 0.56 0.27 -0.53 -2.60 -5.53 0.56 1
15-Jul-15 199.98 0.80 0.89 0.94 0.54 0.36 0.80 1
12-Jun-15 198.44 -0.43 0.11 0.28 1.32 0.87 0.11 2
14-May-15 200.52 0.11 0.42 0.39 0.32 0.61 0.11 1
15-Apr-15 198.84 -0.03 -1.18 -0.28 -0.39 0.10 0.10 5
13-Mar-15 193.63 1.34 1.03 2.25 1.78 2.68 1.34 1
13-Feb-15 197.35 0.16 0.17 0.10 0.70 0.68 0.16 1
15-Jan-15 187.23 1.31 1.53 2.04 3.56 2.99 1.31 1

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tickalert

 

when $SPY posts 8++ 20 day high closes in last 9 trading days

when $SPY posts 8++ 20 day high closes in last 9 trading days

$SPY posts 8 or more 20 day high closes in last 9 trading days

below trading strategy rules

1) $SPY posts 8 or more 20 day high closes in last 9 trading days

2) below the backtest results for the next 1/2/3/4/5/10/20 trading days , since Y2K

# is on lower end at 19 ( ps: we consider anything below 25 is on lower end) , but its good to know

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 11 57.9 0.13 0.03 0.39 -0.23 1.72 -0.50 1.58 1.51
t+2 19 16 84.2 0.27 0.17 0.42 -0.57 0.74 -1.05 2.47 2.15
t+3 19 17 89.5 0.51 0.54 0.62 -0.39 1.59 -0.75 8.03 4.35
t+4 19 18 94.7 0.70 0.68 0.77 -0.67 1.16 -0.67 12.31 5.96
t+5 19 16 84.2 0.79 0.86 0.97 -0.19 5.25 -0.39 17.68 5.63
t+10 19 17 89.5 1.16 1.28 1.30 -0.09 14.44 -0.17 87.79 7.75
t+20 19 14 73.7 1.82 2.40 3.09 -1.75 1.77 -3.16 2.69 3.40
1st +’ve exit in 5 days % 19 18 94.7 0.32 0.31 0.36 -0.39 0.91 -0.39 9.40 4.16

since Y2K , 18/19 times , $SPY closed higher than the current trading day’s close ,after 4 trading days , at an average of 70 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 $SPY posting 8 or more 20 day high closings , since Y2K , and the forward 1/2/3/4/5 trading day’s returns

Date Close t+1% t+2% t+3% t+4% t+5% t+10% 1st +’ve exit in 5 days %
12-Jan-18 277.92 ?? ?? ?? ?? ?? ?? ??
18-Nov-14 192.31 -0.16 0.01 0.55 0.83 0.76 1.14 0.01
17-Nov-14 191.21 0.58 0.42 0.59 1.13 1.41 1.33 0.58
11-Nov-14 191.03 -0.11 0.00 0.03 0.09 0.67 1.44 0.00
10-Jun-14 181.28 -0.35 -1.05 -0.75 -0.67 -0.39 0.02 -0.39
15-May-13 150.92 -0.47 0.49 0.49 0.63 -0.11 -0.17 0.49
14-May-13 150.11 0.54 0.07 1.03 1.03 1.17 -0.01 0.54
22-Dec-10 109.02 -0.14 -0.10 0.04 0.11 -0.05 1.28 0.04
21-Dec-10 108.68 0.31 0.17 0.21 0.35 0.42 1.79 0.31
20-Dec-10 107.99 0.63 0.95 0.80 0.84 0.99 1.91 0.63
18-Mar-10 99.49 -0.50 0.03 0.73 0.24 0.08 1.07 0.03
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.33 0.68
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 1.27 0.59
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 2.01 0.80
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 1.39 0.03
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 1.46 0.01
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 2.05 0.42
18-Apr-07 117.80 -0.03 0.92 0.54 0.58 1.50 1.54 0.92
17-Apr-07 117.65 0.12 0.10 1.04 0.66 0.70 1.07 0.12
16-Apr-07 117.34 0.27 0.39 0.36 1.31 0.93 1.08 0.27
avg 0.13 0.27 0.51 0.70 0.79 1.16 0.32
med 0.03 0.17 0.54 0.68 0.86 1.28 0.31
std 0.38 0.54 0.51 0.51 0.61 0.65 0.33
t-test 1.51 2.15 4.35 5.96 5.63 7.75 4.16
# 19 19 19 19 19 19 19
wins 11 16 17 18 16 17 18
%wins 57.89 84.21 89.47 94.74 84.21 89.47 94.74
avg win 0.39 0.42 0.62 0.77 0.97 1.30 0.36
avg loss -0.23 -0.57 -0.39 -0.67 -0.19 -0.09 -0.39
maxloss -0.50 -1.05 -0.75 -0.67 -0.39 -0.17 -0.39

10th Jan 2014 is the only time when $SPY failed to close higher after 4 trading days.

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tickalert

when $SPY posts 5 or more up days in 1st quarter

when $SPY posts 5 or more up days in 1st quarter

$SPY when up for 5 or more days , during the 1st qtr

trading strategy rules

1) $SPY posts 5 or more up days

2) & its first quarter of the year

3) since 1 Jan 2007

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
08-Jan-18 273.92 ?? ?? ?? ?? ?? ?? ??
15-Feb-17 230.45 -0.09 0.07 0.67 0.58 0.65 0.07 2
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
13-Feb-17 228.34 0.40 0.92 0.84 1.00 1.60 0.40 1
07-Mar-16 192.63 -1.09 -0.60 -0.52 1.08 0.95 1.08 4
18-Feb-15 197.68 -0.07 0.53 0.51 0.80 0.71 0.53 2
17-Feb-15 197.66 0.01 -0.06 0.54 0.52 0.81 0.01 1
18-Feb-14 170.00 -0.66 -0.08 -0.19 0.36 0.33 0.36 4
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
13-Feb-14 168.87 0.55 0.67 0.01 0.60 0.48 0.55 1
12-Feb-14 168.00 0.52 1.07 1.19 0.52 1.11 0.52 1
11-Mar-13 141.12 -0.22 -0.08 0.45 0.32 -0.24 0.45 3
08-Mar-13 140.59 0.38 0.15 0.30 0.83 0.70 0.38 1
07-Mar-13 139.99 0.43 0.81 0.58 0.72 1.26 0.43 1
25-Jan-13 135.90 -0.12 0.27 -0.12 -0.37 0.66 0.27 2
24-Jan-13 135.14 0.56 0.44 0.84 0.44 0.19 0.56 1
13-Mar-12 123.93 -0.11 0.47 0.61 1.00 0.71 0.47 2
27-Jan-11 112.66 -1.75 -1.01 0.58 0.38 0.61 0.58 3
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.68 4
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 0.59 1
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 0.80 1
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 0.03 1
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 0.01 1
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 0.42 1
09-Mar-10 97.29 0.45 0.86 0.87 0.90 1.70 0.45 1
08-Mar-10 97.13 0.17 0.61 1.03 1.04 1.07 0.17 1
05-Mar-10 97.11 0.02 0.18 0.63 1.05 1.06 0.02 1
04-Mar-10 95.75 1.43 1.45 1.62 2.07 2.49 1.43 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 0.66 5
11-Jan-10 97.52 -0.93 -0.10 0.17 -0.95 0.29 0.17 3
08-Jan-10 97.39 0.14 -0.79 0.04 0.31 -0.81 0.14 1
07-Feb-07 115.69 -0.13 -0.87 -1.21 -0.38 0.28 0.28 5
06-Feb-07 115.44 0.22 0.09 -0.66 -0.99 -0.16 0.22 1
05-Feb-07 115.40 0.03 0.25 0.12 -0.63 -0.97 0.03 1
avg 0.04 0.23 0.40 0.55 0.75 0.41 1.82
med 0.03 0.25 0.51 0.60 0.71 0.42 1.00
std 0.61 0.61 0.61 0.68 0.70 0.31
t 0.38 2.14 3.75 4.61 6.10 7.53
n 33 33 33 33 33 33
wins 21 22 26 26 29 33
% wins 63.64 66.67 78.79 78.79 87.88 100.00
avg win 0.37 0.57 0.63 0.84 0.93 0.41
avg loss -0.54 -0.45 -0.45 -0.54 -0.54
max loss -1.75 -1.01 -1.21 -0.99 -0.97

33/33 times , since Jan 2007 , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 41 bps , and a median of 42 bps 

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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tickalert

 

when $SPX gets out of the gate strongly

when $SPX gets out of the gate strongly

when $SPX gains by more than 2% during the first 4 days since 1950

firstly a very happy and new prosperous new year to the readers !!

with 4 trading days gone by into the new 2018 ,

below a look at the rest of the year returns for $SPX , since 1950 , when as on 4th trading day $SPX gains by more than 1%

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
06-Jan-17 2276.98 1.70 2673.61 17.42
07-Jan-13 1461.89 2.50 1848.36 26.44
06-Jan-12 1277.81 1.61 1426.19 11.61
06-Jan-11 1273.85 1.29 1257.60 -1.28
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-04 1126.33 1.30 1211.92 7.60
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-02 1164.89 1.46 879.82 -24.47
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-97 753.23 1.69 970.43 28.84
06-Jan-89 280.67 1.06 353.40 25.91
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
07-Jan-86 213.80 1.19 242.17 13.27
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
05-Jan-73 119.87 1.54 97.55 -18.62
06-Jan-72 103.51 1.39 118.05 14.05
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-63 64.12 1.62 75.02 17.00
07-Jan-58 41.00 2.53 55.21 34.66
07-Jan-54 25.06 1.01 35.98 43.58
05-Jan-51 20.87 2.15 23.77 13.90
06-Jan-50 16.98 1.92 20.43 20.32
avg 13.21
med 13.97
std 14.08
t-test 4.97
n 28.00
wins 23.00
% wins 82.14
avg win % 18.21
avg loss % -9.76
max loss % -24.47

vs

when $SPX returns are less than 1% during the first 4 trading days of the year , since 1950

n 40
wins 25
% wins 62.5
avg 5.37
med 4.99
avg win % 15.21
avg loss % -11.04

2) when $SPX returns are more than 2% as on 4 the trading of the year ,

nothing bearish here !!

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
07-Jan-13 1461.89 2.50 1848.36 26.44
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-58 41.00 2.53 55.21 34.66
05-Jan-51 20.87 2.15 23.77 13.90
      avg 14.32
      med 13.90
      std 9.82
      t-test 7.72
      n 15.00
      wins 13.00
      % wins 86.67
      avg win % 16.86
      avg loss % -2.22
      max loss % -3.23

when $SPY lost more than 1stdev(50) on a tuesday

$SPY lost more than 1stdev(50) on a tue

with the aid of $SPY tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011

$SPY lost by more than 1 stdev(50) on a tue

ps: clicking the above image will take to the details of historical trades , of the $spy turn around trading strategy!

38/38 times , since last 4 years, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 82 bps , and a median of 69 bps 

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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$SPY post june opex – very bearish since Y2K

$SPY post june opex – very bearish

$SPY post June Opex , since Y2K

trading strategy rules

 1) current day is june opex day

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% 17 7 41.2 -0.22 -0.10 0.53 -0.75 0.70 -3.00 0.50 -0.99
t+2% 17 8 47.1 -0.20 -0.05 0.73 -1.03 0.71 -2.92 0.68 -0.71
t+3% 17 10 58.8 -0.16 0.17 0.67 -1.34 0.50 -2.24 0.75 -0.57
t+4% 17 7 41.2 -0.29 -0.26 0.97 -1.18 0.82 -3.86 0.40 -0.85
t+5% 17 3 17.6 -0.89 -0.47 0.62 -1.21 0.51 -3.45 0.05 -3.05
t+10% 17 8 47.1 -0.44 -0.66 2.05 -2.66 0.77 -8.53 0.58 -0.59
t+20% 17 10 58.8 -0.38 0.82 2.50 -4.50 0.56 -17.20 0.94 -0.31
1st -‘ve cls in 5 days 17 17 100.0 0.84 -0.66 -0.84 INF INF -0.03 INF 4.55

17/17 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 84 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 16th Jun 2017 close ) , or at the end of the 5th trading day at close

 

below the returns of $SPY from june opex day close , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve cls in 5 days % # days to 1st -‘ve cls in 5 days
16-Jun-17 242.64 ?? ?? ?? ?? ?? ?? ??
17-Jun-16 202.41 0.64 0.93 0.77 2.08 -1.59 -1.59 5
19-Jun-15 202.23 0.51 0.58 -0.15 -0.45 -0.47 -0.15 3
20-Jun-14 184.34 -0.03 -0.63 -0.18 -0.26 -0.06 -0.03 1
21-Jun-13 146.77 -1.26 -0.31 0.67 1.26 0.85 -1.26 1
15-Jun-12 121.06 0.19 1.16 1.00 -1.27 -0.51 -1.27 4
17-Jun-11 112.27 0.51 1.89 1.28 0.98 -0.19 -0.19 5
18-Jun-10 96.79 -0.29 -1.93 -2.24 -3.86 -3.45 -0.29 1
19-Jun-09 78.24 -3.00 -2.92 -2.09 0.04 -0.22 -3.00 1
20-Jun-08 108.91 -0.10 -0.30 0.17 -2.55 -3.08 -0.10 1
15-Jun-07 124.19 -0.12 0.13 -1.26 -0.71 -1.65 -0.12 1
16-Jun-06 99.31 -0.79 -0.45 0.29 -0.15 -0.17 -0.79 1
17-Jun-05 94.97 0.03 0.09 0.17 -1.24 -1.96 -1.24 4
18-Jun-04 87.18 -0.38 0.12 0.99 0.67 0.18 -0.38 1
20-Jun-03 75.11 -1.03 -0.93 -1.92 -0.64 -1.79 -1.03 1
21-Jun-02 73.72 0.52 -1.73 -1.57 0.15 -0.32 -1.73 2
15-Jun-01 89.27 -0.48 -0.05 0.48 1.62 0.82 -0.48 1
16-Jun-00 106.21 1.28 0.92 0.87 -0.66 -1.51 -0.66 4

will it be a straight 19th winner ? ( this streak started from 18th Jun 1999 #FYI)

—–

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$SPY on the day of rate hike

$SPY on the day of rate hike

CME FedWatch Tool

With the CME FedWatch tool currently projecting a probability of nearly 96% for a rate hike at the June 14 meeting , below a look at the $SPY behavior on the day when fed hikes rates , since Y2K

Date Close Prv Close Change Change %
15-Mar-17 237.91 235.87 2.04 0.86
14-Dec-16 223.58 225.44 -1.86 -0.83
16-Dec-15 201.57 198.67 2.90 1.46
29-Jun-06 101.89 99.87 2.02 2.02
10-May-06 105.65 105.71 -0.06 -0.06
28-Mar-06 103 103.64 -0.64 -0.62
31-Jan-06 101.22 101.97 -0.75 -0.74
13-Dec-05 100.54 99.86 0.68 0.68
1-Nov-05 95.15 94.87 0.28 0.30
20-Sep-05 96.39 97.21 -0.82 -0.84
9-Aug-05 97.03 96.45 0.58 0.60
30-Jun-05 93.72 94.23 -0.51 -0.54
3-May-05 91.32 91.17 0.15 0.16
22-Mar-05 91.56 92.5 -0.94 -1.02
2-Feb-05 93.05 92.77 0.28 0.30
14-Dec-04 93.79 93.47 0.32 0.34
10-Nov-04 90.56 90.49 0.07 0.08
21-Sep-04 87.45 87.07 0.38 0.44
10-Aug-04 83.56 82.5 1.06 1.28
30-Jun-04 88.3 87.83 0.47 0.54
16-May-00 106.54 105.52 1.02 0.97
21-Mar-00 108.36 106.18 2.18 2.05
2-Feb-00 102.2 102.11 0.09 0.09
# 23 23
%wins 69.57 69.57
avg 0.39 0.33
med 0.28 0.30
avg win 0.91 0.76
avg loss -0.80 -0.66
max loss -1.86 -1.02
stdevp 1.10 0.85
t-test 1.70 1.85

$SPY gained 16/23 times , on the day when fed hiked the rates , at an avg of 33 bps , a median of 30 bps , with avg gain at 76 bps , and avg loss at 66 bps . the worst one day loss on the day when fed hiked was 102 bps on 22 March 2005

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