$SPY posts a red candle and a down day for 4 or more days in row

$SPY posts a red candle and a down day for 4 or more days in row

 

as on 18 dec 2018 , with $SPY close at 255.08 , below the trading strategy rules

  • $SPY closes below the open and previous day’s close for 4 or more days in row

below the trading odds for $SPY , for the next 1/2/3/4/5 trading days , since 1993

 

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 102 68 67 0.33 0.41 1.10 -1.20 0.91 -6.98 1.59 -0.78 -7.85 1.22
t+2 102 70 69 0.53 0.43 1.56 -1.73 0.90 -9.33 1.73 -1.19 -14.29 1.84
t+3 102 70 69 0.83 0.81 1.96 -1.64 1.19 -11.53 2.40 -1.53 -16.45 2.21
t+4 102 71 70 1.03 0.75 2.18 -1.61 1.35 -4.54 2.58 -1.70 -16.45 2.62
t+5 102 75 74 1.28 1.12 2.48 -2.07 1.20 -7.68 2.72 -1.96 -16.45 3.18
1st +’ve exit in 5 days % 102 96 94 0.91 0.67 1.11 -2.34 0.48 -3.83 7.14 -1.17 -16.45 1.52

 

96/102 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 91 basis points and a median gain of 67 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 a down day along with a red candle for 4 or more days , since 1993 ,

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
18-Dec-18 255.08 ?? ?? ?? ?? ?? ?? ??
14-Nov-18 270.20 1.04 1.31 -0.41 -2.25 -1.92 1.04 1
26-Sep-18 289.88 0.28 0.29 0.64 0.58 0.63 0.28 1
24-Apr-18 260.63 0.25 1.27 1.36 0.58 0.76 0.25 1
15-Mar-18 271.45 0.11 -1.25 -1.08 -1.27 -3.74 0.11 1
21-Mar-17 227.31 0.24 0.13 0.06 -0.05 0.68 0.24 1
04-Nov-16 200.76 2.21 2.67 3.75 4.01 3.77 2.21 1
21-Aug-15 185.42 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
29-Jun-15 192.53 0.21 1.01 0.92 0.63 1.27 0.21 1
06-Jan-15 185.55 1.25 3.04 2.22 1.42 1.13 1.25 1
05-Jan-15 187.32 -0.94 0.29 2.07 1.25 0.46 0.29 2
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
25-Sep-13 153.14 0.38 -0.08 -0.61 0.18 0.08 0.38 1
24-Sep-13 153.58 -0.29 0.09 -0.37 -0.90 -0.11 0.09 2
19-Aug-13 148.54 0.49 -0.13 0.78 1.12 0.75 0.49 1
28-Dec-12 125.02 1.70 4.31 4.07 4.53 4.24 1.70 1
04-Jun-12 112.37 0.76 3.02 3.08 3.90 2.58 0.76 1
18-May-12 113.81 1.72 1.90 1.95 2.15 1.82 1.72 1
17-May-12 114.80 -0.86 0.85 1.02 1.08 1.28 0.85 2
25-Nov-11 100.97 2.90 3.19 7.44 7.42 7.32 2.90 1
23-Nov-11 101.17 -0.19 2.70 2.99 7.23 7.22 2.70 2
22-Nov-11 103.45 -2.21 -2.39 0.44 0.72 4.87 0.44 3
21-Nov-11 103.86 -0.39 -2.59 -2.77 0.04 0.33 0.04 4
05-May-11 114.80 0.44 0.83 1.69 0.62 1.10 0.44 1
13-Apr-11 112.95 0.08 0.44 -0.68 -0.11 1.25 0.08 1
12-Apr-11 112.96 -0.01 0.07 0.43 -0.69 -0.12 0.07 2
24-Aug-10 89.33 0.39 -0.28 1.26 -0.21 -0.21 0.39 1
02-Jul-10 86.52 0.66 3.83 4.85 5.64 5.70 0.66 1
01-Jul-10 86.99 -0.54 0.11 3.26 4.28 5.06 0.11 2
24-Jun-10 90.93 0.42 0.10 -2.99 -3.91 -4.34 0.42 1
28-Oct-09 87.14 2.15 -0.81 -0.09 0.23 0.49 2.15 1
22-May-09 73.53 2.56 0.73 2.13 3.94 6.46 2.56 1
03-Mar-09 57.46 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 57.89 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
19-Feb-09 64.11 -0.97 -4.52 -0.90 -1.68 -3.27 -3.27 5
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
09-Oct-08 73.77 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 79.31 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 81.36 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
18-Jan-08 105.76 -1.01 1.36 2.22 0.74 2.41 1.36 2
08-Jan-08 111.25 1.05 1.71 0.89 1.71 -0.53 1.05 1
07-Jan-08 113.07 -1.61 -0.58 0.07 -0.74 0.06 0.07 3
04-Jan-08 113.17 -0.08 -1.70 -0.67 -0.01 -0.82 -0.82 5
03-Jan-08 116.01 -2.45 -2.53 -4.11 -3.10 -2.46 -2.46 5
02-Jan-08 116.07 -0.05 -2.50 -2.58 -4.15 -3.15 -3.15 5
12-Nov-07 114.49 3.05 2.76 1.28 1.45 0.04 3.05 1
27-Feb-07 109.71 1.03 0.72 -0.59 -1.54 0.14 1.03 1
17-Jul-06 96.04 0.51 1.91 1.21 0.49 2.33 0.51 1
13-Oct-05 90.19 1.06 1.43 0.33 2.00 0.20 1.06 1
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
15-Sep-05 94.19 0.71 0.37 -0.47 -1.40 -1.05 0.71 1
24-Jan-05 88.43 0.28 0.58 0.76 0.76 1.38 0.28 1
05-Jan-05 89.54 0.51 0.36 0.84 0.14 0.47 0.51 1
04-Jan-05 90.16 -0.69 -0.19 -0.33 0.14 -0.55 0.14 4
11-Mar-04 82.73 1.31 0.07 0.60 1.73 1.75 1.31 1
23-Feb-04 85.31 -0.17 0.24 0.31 0.38 1.37 0.24 2
22-Jan-03 64.59 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83 5
07-Oct-02 57.69 1.57 -1.30 1.90 6.36 6.95 1.57 1
23-Jul-02 58.03 5.97 5.07 7.07 12.28 13.75 5.97 1
07-May-02 76.01 3.72 2.52 0.59 2.64 4.87 3.72 1
07-Feb-02 77.90 1.92 3.17 2.84 3.93 3.74 1.92 1
06-Feb-02 78.39 -0.63 1.28 2.52 2.20 3.28 1.28 2
30-Aug-01 81.14 0.73 0.09 0.34 -2.25 -4.06 0.73 1
15-Dec-00 93.25 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
01-Dec-00 93.85 0.85 4.16 2.49 1.09 1.32 0.85 1
12-Oct-00 94.49 3.33 3.80 1.22 0.85 4.65 3.33 1
11-Oct-00 96.91 -2.49 0.76 1.21 -1.30 -1.67 0.76 2
23-May-00 97.47 1.63 -0.11 0.00 3.26 3.49 1.63 1
22-May-00 98.92 -1.47 0.13 -1.58 -1.47 1.74 0.13 2
22-Feb-00 95.09 1.18 -0.86 -1.22 0.86 1.83 1.18 1
15-Oct-99 87.76 0.73 1.70 2.70 3.30 4.18 0.73 1
23-Sep-99 89.87 -0.10 0.56 0.37 -0.83 0.68 0.56 2
31-Aug-99 92.55 1.23 0.04 2.96 2.58 2.08 1.23 1
26-Jul-99 94.44 0.83 1.16 -0.26 -1.48 -1.25 0.83 1
23-Jul-99 95.14 -0.74 0.09 0.41 -0.99 -2.21 0.09 2
22-Jul-99 95.33 -0.20 -0.93 -0.10 0.22 -1.18 0.22 4
11-Jun-99 90.70 0.10 0.77 2.70 3.66 3.78 0.10 1
25-May-99 90.14 1.11 -0.34 0.93 0.58 0.68 1.11 1
19-Apr-99 90.49 1.25 4.15 5.14 4.87 5.48 1.25 1
16-Apr-99 91.91 -1.54 -0.31 2.54 3.52 3.25 2.54 3
26-Feb-99 86.12 0.28 -0.61 -0.08 1.19 3.22 0.28 1
07-May-98 75.46 1.63 1.29 2.37 2.63 2.11 1.63 1
28-Apr-98 74.92 0.69 2.56 3.71 3.45 2.73 0.69 1
26-Jan-98 65.97 1.01 1.92 2.48 2.54 4.24 1.01 1
11-Dec-97 65.50 0.20 1.21 1.83 1.31 0.33 0.20 1
08-Jul-96 43.82 0.41 0.81 -1.22 -1.15 -4.07 0.41 1
07-May-96 42.70 1.25 1.17 2.17 3.71 4.35 1.25 1
29-Feb-96 42.44 1.59 2.18 3.13 2.23 2.74 1.59 1
28-Feb-96 42.86 -0.97 0.61 1.19 2.13 1.24 0.61 2
20-Feb-96 42.72 1.24 2.84 2.55 1.09 0.78 1.24 1
02-Aug-95 36.74 -0.03 0.08 0.31 0.31 0.28 0.08 2
09-Jun-95 34.65 0.56 1.65 1.56 2.00 2.30 0.56 1
22-Nov-94 29.00 0.56 1.04 1.49 1.46 1.32 0.56 1
04-Oct-94 29.24 0.03 -0.28 0.17 1.24 2.75 0.03 1
09-May-94 28.22 0.78 -0.14 0.35 0.35 0.39 0.78 1
06-May-94 28.47 -0.87 -0.10 -1.01 -0.52 -0.52 -0.52 5
03-Jan-94 29.40 0.40 0.61 0.61 1.21 2.42 0.40 1
21-Sep-93 28.45 0.83 1.38 1.10 2.21 2.00 0.83 1
08-Jun-93 27.72 0.35 0.42 0.84 0.70 0.49 0.35 1
26-Apr-93 26.91 1.08 0.86 1.30 1.44 2.09 1.08 1
23-Apr-93 27.12 -0.79 0.29 0.07 0.50 0.64 0.29 2
22-Apr-93 27.24 -0.43 -1.21 -0.14 -0.36 0.07 0.07 5

highlighted in red are the prior 6 instances where $SPY failed to close above the entry price over the next 5 trading days

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when $SPY closes at quarterly low on a Mon ??

$SPY closes at quarterly low on a Mon ?? with $SPY closing at 255.36 as on 17th Dec-2018 , posting a quarterly lowest close , below the trading strategy that triggered trading strategy rules $SPY closes at quarterly lowest close ( i.e lowest close in 62 trading days ) current  trading day is monday below […]

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$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

this $study is a tweak from the study posted by Rob of Quantifiable Edges

on twitter 

“SPY gaps up and closes below the open 3 days in a row. Close < 200ma. (Results above the 200ma were less consistent, fyi.) Could happen today. Hat-tip for the idea.”

below the trading strategy rules

  1. $SPY gaps up ( that is current day’s open is above previous day’s close ) and posts a red candle ( that is current day’s close is below current day’s open) , for 3 or more days in row
  2. current quarter is 4th quarter of the year

below the trading odds for $SPY , for the next 1/2/3/4/5 trading days , since 1993

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 33 26 79 0.51 0.49 0.83 -0.69 1.20 -1.89 3.74 -0.17 -1.95 0.90
t+2 33 25 76 0.80 0.68 1.25 -0.60 2.08 -0.99 5.43 -0.24 -1.95 1.23
t+3 33 25 76 0.70 0.48 1.24 -0.97 1.28 -2.69 3.41 -0.39 -2.80 1.39
t+4 33 25 76 0.93 0.87 1.54 -0.99 1.56 -1.97 3.68 -0.47 -3.14 1.65
t+5 33 24 73 1.14 1.01 1.95 -1.00 1.94 -3.38 3.61 -0.79 -3.38 2.01
1st +’ve exit in 5 days % 33 32 97 0.65 0.49 0.70 -0.79 0.88 -0.79 24.63 -0.26 -2.28 0.93

 

32/33 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 65 basis points and a median gain of 49 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 a gap up and a red candle for 3 days in row , in the 4th quarter , since 1993

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
13-Dec-18 265.37 ?? ?? ?? ?? ?? ?? ??
29-Dec-17 263.42 0.72 1.35 1.78 2.46 2.65 0.72 1
22-Dec-17 264.06 -0.12 -0.07 0.13 -0.24 0.47 0.13 3
21-Dec-17 264.13 -0.03 -0.15 -0.10 0.11 -0.27 0.11 4
30-Dec-16 216.45 0.77 1.36 1.28 1.65 1.31 0.77 1
19-Dec-11 105.06 3.03 3.23 4.14 5.07 5.15 3.03 1
27-Oct-09 88.82 -1.89 0.22 -2.69 -1.97 -1.66 0.22 2
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
22-Dec-08 71.39 -1.03 -0.46 0.11 -0.17 2.19 0.11 3
20-Dec-07 116.96 1.43 2.19 2.41 1.12 0.87 1.43 1
22-Dec-06 110.69 0.59 1.25 1.04 0.62 0.44 0.59 1
21-Dec-05 97.31 0.52 0.58 -0.44 -0.22 -0.67 0.52 1
20-Dec-05 97.16 0.16 0.68 0.74 -0.29 -0.06 0.16 1
19-Dec-05 97.07 0.10 0.25 0.78 0.84 -0.19 0.10 1
30-Nov-05 96.32 1.02 1.15 0.93 1.12 0.53 1.02 1
11-Oct-05 90.96 -0.79 -0.84 0.20 0.57 -0.52 0.20 3
10-Oct-05 91.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 4
07-Oct-05 91.87 -0.84 -0.99 -1.76 -1.82 -0.79 -0.79 5
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
30-Nov-04 89.03 1.14 1.22 1.15 1.12 0.18 1.14 1
03-Nov-04 86.57 1.37 2.00 1.85 1.65 1.73 1.37 1
03-Oct-00 101.14 0.83 1.18 -1.01 -1.75 -3.38 0.83 1
05-Nov-99 96.90 0.09 -0.85 -0.11 0.45 1.36 0.09 1
04-Nov-99 95.95 0.98 1.08 0.13 0.87 1.44 0.98 1
26-Dec-97 64.53 1.97 3.57 3.50 4.03 4.27 1.97 1
24-Dec-97 64.27 0.40 2.38 3.98 3.91 4.45 0.40 1
28-Nov-97 65.54 2.58 1.96 2.25 2.16 3.46 2.58 1
22-Dec-95 40.66 0.49 0.43 0.33 0.46 1.53 0.49 1
26-Oct-95 38.13 0.76 1.41 0.97 1.79 2.43 0.76 1
30-Dec-94 29.59 0.48 0.96 0.96 1.06 1.17 0.48 1
16-Dec-93 29.29 0.55 0.68 0.34 1.02 0.95 0.55 1
22-Oct-93 29.14 0.27 0.20 0.27 1.01 1.01 0.27 1
08-Oct-93 28.94 0.20 0.34 0.34 1.63 2.17 0.20 1
07-Oct-93 28.90 0.14 0.34 0.48 0.48 1.77 0.14 1

high lighted in the red is the only one instance when $SPY failed to close higher than entry price over the next 5 trading days

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11 Dec 2018 : $SPY trade idea with 48/48 wins

11 Dec 2018 : $SPY trade idea with $SPY closing at 264.13 as on 11th Dec 2018 , and the close being the bottom 20% of 20 day high - 20 day low range , below trading strategy SPY close is in bottom 20% range of 20 day high close - 20 day low close ( (264.13- […]

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11 Dec 2018 , ETF trade-ideas -> $EWJ , $XLF

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$SPY trade idea as on 7 Dec 2018 , with 46/46 wins

$SPY trade idea with 46/46 wins with $SPY closing at 263.57 as on 7th Dec 2018 , and the close being the bottom 20% of 20 day high - 20 day low range , below trading strategy SPY close is in bottom 20% range of 20 day high close - 20 day low close ( (263.57- 263.25)*100/(280.05-263.25) […]

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$SPY turnaround tuesday pattern with 101/105 wins since IPO – 25 Sep 2018

$SPY turnaround tuesday pattern

odds for $SPY longs , since IPO , when $SPY down for 3 or more days in row , on a Tuesday

below the trading strategy rules , for the turnaround tuesday pattern

  1. current trading day is Tuesday
  2. & $SPY is down for 3 days in row

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since $SPY IPO from Feb 1993 , when $SPY is down on tuesday for 3 or more days in row

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 104 79 76.0 0.56 0.45 0.96 -0.68 1.41 -2.52 4.30
t+2 105 67 63.8 0.56 0.38 1.58 -1.23 1.28 -9.33 2.15
t+3 105 69 65.7 0.71 0.75 1.80 -1.40 1.29 -11.53 2.46
t+4 105 77 73.3 1.05 0.86 2.02 -1.61 1.25 -10.54 2.95
t+5 105 78 74.3 1.41 1.09 2.34 -1.26 1.85 -6.38 4.62
1st +’ve exit in 5 days % 105 101 96.2 0.74 0.56 0.86 -2.26 0.38 -3.83 10.49

101/105 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 74 bps and a median gains of 56 bps 

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

instead of pasting all the 105 trades , here are the only 4 loss trades ,

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
15-May-12 116.97 -0.38 -1.86 -2.70 -1.03 -0.85 -0.85 5
17-Jan-06 99.09 -0.40 -0.02 -1.84 -1.49 -1.39 -1.39 5
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83 5
12-Jun-01 89.87 -0.86 -3.08 -2.93 -3.40 -2.97 -2.97 5

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paststat discount

 

when $SPY down for 3 or more days in row in march

when $SPY down for 3 or more days in row in march

$SPY down for more than 3 days in row in marchwith $SPY down for 3 days in row , below trading strategy rules

1) $SPY down for 3 or more days in row

2) current trading month is march

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 31 25 80.6 0.68 0.35 1.01 -0.68 1.47 -1.30 3.97
t+2 31 24 77.4 1.05 0.82 1.56 -0.71 2.21 -1.81 5.93
t+3 31 24 77.4 1.02 0.64 1.79 -1.64 1.09 -2.55 3.55
t+4 31 20 64.5 0.67 0.33 1.78 -1.34 1.33 -3.75 2.15
t+5 31 24 77.4 1.34 1.02 2.14 -1.41 1.52 -4.12 4.40
1st +’ve exit in 5 days % 31 30 96.8 0.88 0.63 0.96 -1.33 0.72 -1.33 8.41

30/31 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 88 bps and a median gains of 63 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 down for 3 or more days in row , in march , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
27-Mar-17 230.17 0.73 0.82 1.14 0.91 0.73 0.73 1
21-Mar-17 230.28 0.24 0.13 0.06 -0.05 0.68 0.24 1
20-Mar-17 233.28 -1.28 -1.05 -1.16 -1.23 -1.33 -1.33 5
08-Mar-17 232.06 0.13 0.48 0.53 0.14 1.01 0.13 1
24-Mar-16 196.06 0.06 0.98 1.43 1.18 1.87 0.06 1
26-Mar-15 193.96 0.23 1.45 0.57 0.21 0.57 0.23 1
25-Mar-15 194.42 -0.24 -0.01 1.21 0.33 -0.03 1.21 3
19-Mar-13 140.46 0.70 -0.16 0.64 0.22 1.02 0.70 1
29-Mar-12 124.62 0.41 1.15 0.73 -0.26 -0.31 0.41 1
22-Mar-12 123.71 0.32 1.73 1.42 0.91 0.74 0.32 1
06-Mar-12 119.23 0.70 1.70 2.09 2.10 3.94 0.70 1
16-Mar-11 109.36 1.32 1.69 3.27 2.91 3.20 1.32 1
26-Mar-10 99.51 0.63 0.70 0.36 1.05 1.87 0.63 1
03-Mar-09 58.21 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
28-Mar-08 107.22 0.35 3.88 3.95 4.21 4.09 0.35 1
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
04-Mar-08 107.90 0.63 -1.45 -2.47 -3.75 -0.29 0.63 1
03-Mar-08 108.31 -0.38 0.25 -1.83 -2.84 -4.12 0.25 2
28-Mar-07 113.44 0.11 0.13 0.24 1.32 1.43 0.11 1
05-Mar-07 109.43 1.71 1.61 2.47 2.50 2.65 1.71 1
07-Mar-06 100.10 0.21 -0.46 0.48 0.67 1.73 0.21 1
06-Mar-06 100.26 -0.16 0.05 -0.62 0.33 0.51 0.05 2
22-Mar-05 90.21 0.09 0.21 0.35 -0.32 1.09 0.09 1
23-Mar-04 82.85 0.08 1.41 1.43 2.86 3.21 0.08 1
11-Mar-04 83.81 1.31 0.07 0.60 1.73 1.75 1.31 1
10-Mar-04 84.91 -1.30 0.00 -1.23 -0.70 0.41 0.41 5
14-Mar-02 84.66 0.95 0.97 1.64 -0.27 -0.23 0.95 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
14-Mar-00 97.51 2.33 7.11 7.82 7.27 9.47 2.33 1
08-Mar-00 97.69 2.92 2.37 1.26 -0.18 2.15 2.92 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days ,

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when $SPY lost by more than 1% for 3 or more days

when $SPY lost by more than 1% for 3 or more days

3 , 1% down days in row

with $SPY losing more than 1% for 3 or more consecutive days , below the $SPY trading odds for the next 1/2/3/4/5 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 31 22 71.0 1.06 0.52 2.58 -2.65 0.97 -6.98 1.88
t+2 31 18 58.1 1.21 0.91 4.08 -2.78 1.47 -9.33 1.84
t+3 31 18 58.1 0.89 1.59 4.04 -3.48 1.16 -13.39 1.45
t+4 31 22 71.0 1.62 1.32 3.61 -3.22 1.12 -15.49 2.47
t+5 31 18 58.1 1.74 1.54 4.71 -2.37 1.99 -7.68 2.27
1st +’ve exit in 5 days % 31 29 93.5 2.58 1.60 2.94 -2.72 1.08 -3.22 11.93

29/31 times , since Y2K, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 258 bps and a median gains of 160 bps

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

as there was once during a sequence of 7 , 1% down moves during 6-10 oct 2008 , and few other times when it went to 4 consecutive 1% down days , here the trading odds for $SPY , when $SPY falls by more than 1% for exactly 3 days ( that is the first occurrence of 3 consecutive , 1% down  days)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 24 18 75.0 0.79 0.52 1.72 -1.99 0.86 -4.48 2.10
t+2 24 14 58.3 0.88 0.90 2.67 -1.62 1.65 -6.89 1.99
t+3 24 12 50.0 0.33 -0.03 3.47 -2.81 1.23 -13.39 1.01
t+4 24 16 66.7 0.72 0.61 2.84 -3.53 0.80 -15.49 1.35
t+5 24 13 54.2 1.25 0.74 4.07 -2.08 1.96 -5.03 1.86
1st +’ve exit in 5 days % 24 22 91.7 1.54 1.08 1.93 -2.72 0.71 -3.22 6.15

below the prior instances of $SPY falling by more than 1% for 3 or more days in row , since Y2K ,

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
01-Mar-18 267.70 ?? ?? ?? ?? ?? ?? ??
08-Jan-16 184.30 0.10 0.91 -1.61 0.01 -2.14 0.10 1
25-Aug-15 177.82 3.84 6.41 6.41 5.55 2.40 3.84 1
24-Aug-15 179.93 -1.18 2.62 5.16 5.16 4.31 2.62 2
13-Oct-14 175.34 0.15 -0.52 -0.61 0.57 1.54 0.15 1
22-Jan-10 92.83 0.51 0.09 0.57 -0.59 -1.67 0.51 1
02-Mar-09 58.65 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
12-Nov-08 70.71 6.23 0.93 -0.41 1.47 -5.03 6.23 1
10-Oct-08 72.92 14.52 12.82 1.72 5.95 5.32 14.52 1
09-Oct-08 74.74 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 80.35 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 82.42 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
06-Oct-08 86.29 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 5
10-Mar-08 103.85 3.59 2.63 2.85 1.26 0.23 3.59 1
22-Jan-08 106.06 2.40 3.27 1.77 3.46 3.97 2.40 1
15-Apr-05 88.09 0.31 1.10 -0.31 1.63 1.24 0.31 1
22-Jan-03 65.43 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
11-Nov-02 65.19 0.79 0.90 2.80 3.56 2.52 0.79 1
07-Oct-02 58.44 1.57 -1.30 1.90 6.36 6.95 1.57 1
04-Oct-02 59.68 -2.07 -0.53 -3.34 -0.21 4.16 4.16 5
19-Sep-02 62.28 0.03 -0.79 -2.39 0.03 1.67 0.03 1
05-Aug-02 61.59 3.37 5.17 8.57 8.98 8.18 3.37 1
23-Jul-02 58.78 5.97 5.07 7.07 12.28 13.75 5.97 1
22-Jul-02 60.44 -2.74 3.07 2.19 4.14 9.21 3.07 2
10-Jul-02 67.73 0.81 -0.29 0.24 -1.69 -1.50 0.81 1
21-Jun-02 73.00 0.52 -1.73 -1.57 0.15 -0.32 0.52 1
21-Sep-01 70.83 3.52 4.59 4.22 5.13 7.36 3.52 1
22-Mar-01 80.37 3.02 4.34 6.47 3.53 3.92 3.02 1
21-Feb-01 90.61 0.15 -0.53 1.59 0.65 -1.33 0.15 1
15-Dec-00 94.47 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
19-May-00 100.98 -0.75 -2.21 -0.62 -2.33 -2.21 -2.21 5
14-Apr-00 97.31 3.49 6.23 5.24 5.74 4.60 3.49 1

highlighted in red highlighted were the 2 instances when $SPY failed to close higher over next five trading days ,

you might want to consider subscribing to our daily quant rants email  !!

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