February Barometer better than January Barometer ?

February Barometer better than January Barometer ?

January Barometer Definition :

A theory stating that the movement of the S&P 500 during the month of January sets the stock market’s direction for the year (as measured by the S&P 500). The January Barometer states that if the S&P 500 was up at the end of January compared to the beginning of the month, proponents would expect the stock market to rise during the rest of the year.

Replacing the above definition , with XXX Barometer by replacing Jan with Feb and so on so forth .

below the trading odds for the Rest of the year ( from the xx month end closing value to Dec end closing value ) returns , for various monthly barometers , assuming Year to date returns are positive as on that month closing.

ps:  The rest of the year end values are not normalized , ( say for ex : Jan has got 11 months room , while Feb has got only 10 months , while Nov has got only 1 month etc .)the idea here is to test the rest of the year end returns from various monthly closing values. Data since 1950 on S&P 500 Index .

Month # Wins % Wins Avg Median Avg W % Avg L % Pay Off
Jan 40 35 87.5 12.1 12.4 15.2 -9.2 1.7
Feb 36 33 91.7 12.7 11.3 14.5 -6.7 2.2
Mar 40 35 87.5 9.3 8.1 11.9 -9.2 1.3
Apr 39 33 84.6 8.1 6.6 10.5 -4.9 2.2
May 43 35 81.4 7.4 8.1 10.6 -6.8 1.6
Jun 43 34 79.1 6.2 6.5 9.7 -6.7 1.5
Jul 45 38 84.4 4.6 4.5 7.0 -8.6 0.8
Aug 43 35 81.4 4.0 4.4 6.6 -7.0 0.9
Sep 44 37 84.1 4.5 4.7 6.3 -5.2 1.2
Oct 45 38 84.4 4.2 4.4 5.2 -1.6 3.2
Nov 42 33 78.6 2.2 1.7 3.3 -1.7 1.9
Dec 47 NA NA NA NA NA NA NA

as you could see that Feb barometer works better , with the percentage wins slightly more than that of Jan , and also the pay-off ratio ( average win divided by average loss ) is better at 2.2 than Jan’s value of 1.7

below the colorful table of various SPX monthly barometers since 1950 

Monthly Barometers for $SPX , since 1950

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

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

$SPY Returns around Presidents Day

$SPY Returns around Presidents Day

president

image courtesy : http://fashionnaction.blogspot.in/2012/02/epic-presidents-art-for-presidents-day.html 

The odds for the $SPY longs at close of Thursday ( of the coming President day weekend ) and exiting on Friday at close ( i.e  one closes the long positions to enjoy the loonngg weekend 🙂 ) , data since $SPY IPO ( since Feb 1993 )

1) $ SPY returns prior to the last trading day of Presidents Day, since 1993

  • Winners : 4
  • Losers : 17
  • % Winners : 19%
  • Average Change % : -0.42
  • Median Change % : -0.40
  • Maximum Gain % : 2.17
  • Maximum Loss % : -2.21
  • Average Gain %if Winner : 0.70
  • Average Loss % if Loser : -0.68
  • Payoff Ratio 1.02

2) $ SPY returns after the first trading day of Presidents Day, since 1993

  • Winners : 10
  • Losers : 11
  • % Winners : 48%
  • Average Change % : -0.38
  • Median Change % : 0.00
  • Maximum Gain % : 1.76
  • Maximum Loss % : -4.28
  • Average Gain %if Winner : 0.78
  • Average Loss % if Loser : -1.58
  • Payoff Ratio 0.50

3) $ SPY combined returns during the day before and day after of Presidents Day ( for a two day holding period) , since 1993

i.e one goes long on Thursday at close and exits on Tuesday at close

  • Winners : 9
  • Losers : 12
  • % Winners : 43%
  • Average Change % : -0.79
  • Median Change % : -0.40
  • Maximum Gain % : 3.97
  • Maximum Loss % : -5.31
  • Average Gain %if Winner : 0.92
  • Average Loss % if Loser : -2.08
  • Payoff Ratio 0.44

4) $ SPY trading odds of going long on Thursday prior Presidents Day holiday and exiting in the next 1/2/3/4/5  trading days ,since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 21 4 19.0 -0.42 -0.40 0.70 -0.68 1.02 -2.21
t+2 21 9 42.9 -0.79 -0.40 0.92 -2.08 0.44 -5.31
t+3 21 9 42.9 -0.74 -0.05 0.83 -1.92 0.43 -5.79
t+4 21 8 38.1 -1.07 -0.36 0.96 -2.32 0.41 -6.55
t+5 21 9 42.9 -0.79 -0.34 1.26 -2.33 0.54 -7.46
short and exit @ 1st -‘ve close than current close with-in 5 days 21 20 95.2 0.54 -0.44 0.74 -3.43 0.22 -3.43

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

below the historical returns of “$SPY around Presidents Day ” , 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
13-Feb-14
14-Feb-13 -0.12 0.63 -0.63 -1.23 -0.27
16-Feb-12 0.27 0.31 -0.02 0.43 0.65
17-Feb-11 0.21 -1.8 -2.4 -2.47 -1.43
11-Feb-10 -0.08 1.5 1.98 2.58 2.79
12-Feb-09 -1.08 -5.31 -5.54 -6.55 -7.46
14-Feb-08 -0.02 0.26 0.56 -0.28 0.34
15-Feb-07 -0.05 0.16 0.12 0.05 -0.34
16-Feb-06 -0.27 -0.52 0.08 -0.06 0.19
17-Feb-05 0.14 -1.35 -0.64 0.01 1
12-Feb-04 -0.44 0.45 0.01 -0.36 -0.67
13-Feb-03 2.17 3.97 3.43 2.4 3.43
14-Feb-02 -1.05 -2.94 -1.31 -3.36 -2.15
15-Feb-01 -2.21 -3.71 -5.79 -5.64 -6.29
17-Feb-00 -2.15 -2.39 -1.24 -3.23 -3.58
11-Feb-99 -1.2 -1.8 -1.9 -1.12 -0.7
12-Feb-98 -0.58 -0.09 0.83 0.28 1.04
13-Feb-97 -0.21 0.63 -0.05 -1.25 -1.22
15-Feb-96 -0.4 -1.38 -0.17 1.42 1.13
16-Feb-95 -0.4 -0.4 0.32 0.49 0.74
17-Feb-94 -0.58 0.4 0.15 -1.19 -0.73
11-Feb-93 -0.79 -3.28 -3.35 -3.41 -3.09

highlighted bold in red , was the only instances when $SPY didn’t manage to close higher at some point time

ps: it’s different matter that during these 1929 crash analogue circulation period   the high odds bearish patterns (mind you there exists very few only !! ) 1) $SPY up for 4 or more days 2) When $SPY closes above previous day’s high for 4 days in row are not working ….

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

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

be alert to big minimums on Mondays – when $SPY makes a 10 day low ??

 $SPY makes a 10 day low on a Monday Trading Strategy

taking a cue from the no. 4) from the 22 Things a Man Should Know About Trading, from Victor Niederhoffer

below few trading strategies

Strategy 1) – $SPY makes a 10 day closing low on Monday , Overnight Edge 

  • $SPY makes 10 day low &
  • Today is Monday &
  • Go Long at close &
  • Exit at next open

Below the backtest perfromance summary of $SPY makes a 10 day closing low on Monday , Overnight Edge , since 2000.

$SPY makes a 10 day closing low on Monday , Overnight Edge , backtest performance summary since 2000

  • Winners : 69
  • Losers : 24
  • % Winners : 74%
  • Average Change % : 0.37
  • Median Change % : 0.29
  • Maximum Gain % : 4.04
  • Maximum Loss % : -2.40
  • Average Gain %if Winner : 0.67
  • Average Loss % if Loser : -0.51
  • Payoff Ratio 1.32
  • Profit Factor : 3.62
  • Outlier Adjusted Profit Factor : 3.37

Strategy 2) – $SPY makes a 10 day closing low on Monday & $SPY lost more than 1% , Overnight Edge 

  • $SPY makes 10 day low &
  • $SPY lost more than 1% today &
  • Today is Monday &
  • Go Long at close &
  • Exit at next open

$SPY closea at  10 day low on Monday and lost more than 1% , Overnight Edge , backtest performance summary since 2000

 

Strategy 2-a) – $SPY makes a 10 day closing low on Monday & $SPY lost more than 1% , & $SPY returns from next 1/2/3/4/5/10/20 trading days 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 53 36 67.9 0.97 0.68 1.93 -1.07 1.80 -4.48
t+2 53 32 60.4 0.77 0.84 2.32 -1.60 1.45 -6.89
t+3 53 38 71.7 0.99 1.12 2.53 -2.91 0.87 -13.39
t+4 53 35 66.0 1.14 1.07 3.19 -2.85 1.12 -15.48
t+5 53 34 64.2 1.69 1.45 3.83 -2.14 1.79 -5.98
t+10 53 37 69.8 2.25 1.91 4.52 -3.01 1.50 -9.01
t+20 53 35 66.0 2.82 2.84 6.74 -4.80 1.41 -24.63
Swing High 53 48 90.6 1.38 1.08 1.81 -2.74 0.66 -3.36

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

48/53  ( 91% ) times $SPY closed higher over the next 5 trading day at some close , when $SPY lost more than 1% on  Monday by closing at 10 day low  , since 2000.

below the historical instances of $SPY makes a 10 day closing low on Monday & $SPY lost more than 1%, since 2000. 

Date Overnight t+1 t+2 t+3 t+4 t+5 t+10 t+20
13-Jan-14 ?? ?? ?? ?? ?? ?? ?? ??
24-Jun-13 0.91 0.96 1.96 2.56 2.14 2.74 5.14 7.69
15-Apr-13 0.75 1.47 -0.01 -0.64 0.23 0.67 2.69 5.43
25-Feb-13 0.48 0.68 1.95 1.75 2.09 2.63 4.72 4.46
25-Jun-12 0.28 0.5 1.41 1.12 3.63 3.95 2.15 1.98
14-May-12 -0.07 -0.57 -0.96 -2.42 -3.26 -1.59 -0.31 -0.89
09-Apr-12 -0.2 -1.68 -0.89 0.41 -0.78 -0.85 -1.04 -0.81
19-Dec-11 1.57 3.03 3.22 4.14 5.07 5.16 6.16 9.28
21-Nov-11 -0.21 -0.39 -2.59 -2.77 0.04 0.33 5.52 4.23
03-Oct-11 -1.43 2.2 4.09 5.97 5.26 8.78 9.37 14.17
08-Aug-11 1.61 4.65 0.03 4.52 5.22 7.45 0.42 4.22
06-Jun-11 0.51 -0.07 -0.48 0.28 -1.12 -1.04 -0.55 4.21
23-May-11 0.29 -0.08 0.26 0.71 1.1 2.15 -2.34 -1.49
18-Apr-11 0.16 0.58 1.95 2.47 2.35 3.24 3.96 2
07-Jun-10 0.08 1.08 0.53 3.47 3.98 3.81 6.12 -2.02
26-Oct-09 0.11 -0.46 -2.34 -0.23 -3.13 -2.42 2.49 3.67
17-Aug-09 0.22 0.79 1.67 2.72 4.74 4.73 4.22 7.53
22-Jun-09 0.22 0.09 0.95 3.14 2.87 3.83 -1.36 7.05
15-Jun-09 0.36 -1.35 -1.46 -0.74 -0.37 -3.36 0.34 -1.91
09-Mar-09 2.06 5.97 6.65 10.84 11.71 11.38 21.58 23.61
02-Mar-09 1.43 -0.76 1.6 -2.55 -2.38 -3.52 7.46 12.4
23-Feb-09 0.86 3.79 2.98 1.29 -0.97 -5.43 -8.76 10.92
17-Nov-08 -0.37 1.89 -4.65 -11.73 -6.96 -0.51 -0.24 7.49
27-Oct-08 4.04 11.68 10.88 14.71 15.35 15.69 10.34 1.29
06-Oct-08 2.02 -4.48 -6.89 -13.39 -15.48 -3.22 -5.65 -7.26
29-Sep-08 1.92 4.14 4.2 0.42 -0.93 -5.98 -9.01 -24.63
15-Sep-08 -2.4 1.68 -2.9 -0.02 3.96 1.6 -6.71 -15.12
07-Jul-08 -0.03 1.77 -0.19 0.23 -0.95 -1.84 0.82 -0.03
10-Mar-08 2.13 3.6 2.63 2.85 1.26 0.24 5.87 7.42
17-Dec-07 0.7 0.55 0.55 1.19 2.65 3.41 0.43 -5.08
26-Nov-07 0.56 1.15 4.39 4.42 5.47 4.78 7.9 6.44
27-Nov-06 -0.13 0.43 1.47 1.52 1.3 2.07 2.46 2.84
12-Jun-06 -0.21 -1.17 -0.4 1.72 0.98 0.18 1.25 3.2
10-May-04 0.57 0.84 1.49 1.06 1.11 0.25 1.32 5.54
22-Mar-04 0.55 -0.17 -0.09 1.23 1.26 2.68 5.13 2.07
21-Jul-03 0.42 0.9 0.98 0.21 1.98 1.61 0.24 2.24
23-Jun-03 -0.2 0.1 -0.92 0.38 -0.78 -0.8 2.77 0.75
31-Mar-03 0.6 1.53 3.99 3.49 4.11 3.92 4.97 8.7
10-Mar-03 0.2 -0.98 -0.32 3.12 3.46 6.71 7.03 8.72
27-Jan-03 0.51 0.74 1.5 -0.9 1.01 1.21 -1.4 -0.86
09-Dec-02 0.59 1.35 1.44 1.42 -0.17 2.42 1.08 2.63
11-Nov-02 0.45 0.79 0.89 2.8 3.57 2.52 5.92 2.78
07-Oct-02 0.86 1.56 -1.31 1.9 6.35 6.95 13.95 15.16
30-Sep-02 0.78 4.8 1.65 0.63 -1.22 -3.25 3.47 9.55
22-Jul-02 0.43 -2.73 3.07 2.18 4.14 9.21 1.91 16.07
01-Jul-02 -0.17 -2.12 -1.57 2.35 1.07 -1.47 -6.66 -6.28
03-Jun-02 -0.21 0.25 1.19 -0.87 -0.99 -0.6 -0.24 -6.71
06-May-02 0.6 -0.35 3.36 2.16 0.24 2.28 4.01 -0.79
25-Mar-02 -0.08 0.58 0.84 0.8 0.84 0.29 -1.3 -2.73
04-Feb-02 -0.41 -0.62 -1.05 -1.67 0.22 1.45 -0.99 5.04
17-Sep-01 0.02 -0.24 -2.26 -5.37 -6.38 -3.09 0.34 5.18
12-Mar-01 1.12 1.65 -0.36 -0.34 -2.33 -0.35 -1.54 -2.71
20-Nov-00 0.14 0.51 -1.89 0.11 1 -0.73 2.26 -3.2
24-Jan-00 0.13 1.14 0.34 -0.06 -3.18 -0.55 1.46 -3.82

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

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

one might want to take a look down under – $EWA for the next five months

$EWA best five months ahead

inspired our sister concern blog post “the best five months on All Ords are coming ”

below the trading odds for $EWA (iShares MSCI Australia ) for going long at November end and exiting at April end , since 1997 ( as the $EWA full year data is available from 1997 ) 

  • Winners : 14
  • Losers : 2
  • % Winners : 88%
  • Average Change % : 9.73
  • Median Change % : 8.69
  • Maximum Gain % : 23.29
  • Maximum Loss % : -8.19
  • Average Gain %if Winner : 11.96
  • Average Loss % if Loser : -5.87
  • Average Gain % / Average Loss % : 2.04

for comparison sake below the trading odds for $SPY for going long at November end and exiting at April end , since 1997 

  • Winners : 10
  • Losers : 6
  • % Winners : 63%
  • Average Change % : 5.53
  • Median Change % : 5.46
  • Maximum Gain % : 17.23
  • Maximum Loss % : -6.04
  • Average Gain %if Winner : 10.68
  • Average Loss % if Loser : -3.06
  • Average Gain % / Average Loss % : 3.49

that’s an out-performance of 420 basis points for the next five months , if one invests in $EWA 

here is the table with EWA  returns for various five months holding period since 1997

ps: Jan Column , assumes going long at the Jan last trading day of the Jan and exiting on Jun last trading day ( 5 month holding period)

Returns are for five month holding period.

$EWA Returns for 5 Month Holding Period , since 1997

the table with $SPY returns for various five months since 1997 .

$SPY Returns for 5 Month Holding Period , since 1997

here are the $EWA-$SPY spread returns , since 1997, for various five months

Date $EWA Next 5 month returns % $SPY Next 5 month returns % $EWA-$SPY
Nov-2013 25.48 ?? 181.12
Nov-2012 23.54 16.61 139.11 13.63 2.98
Nov-2011 20.82 5.72 119.75 13.11 -7.39
Nov-2010 20.18 23.29 111.31 16.25 7.04
Nov-2009 19.28 3.32 101.28 9.09 -5.77
Nov-2008 10.52 15.02 80.89 -1.47 16.49
Nov-2007 23.31 -8.19 130.71 -6.04 -2.16
Nov-2006 16.89 18.18 121.29 6.53 11.65
Nov-2005 12.8 20.55 106.3 5.81 14.73
Nov-2004 10.91 4.77 98.25 -0.96 5.72
Nov-2003 7.89 8.11 87.05 5.10 3.01
Nov-2002 5.82 9.28 75.61 -1.32 10.60
Nov-2001 5.6 6.79 90.46 -4.83 11.62
Nov-2000 5.33 3.94 103.67 -3.73 7.67
Nov-1999 5.92 -3.55 108.08 4.69 -8.24
Nov-1998 5.36 19.78 89.13 15.39 4.38
Nov-1997 5.02 12.15 72.42 17.23 -5.08

below the historical $EWA returns from Nov End till Apr End , since 1997

Date EWA Next 5 month returns %
Nov-2013 25.48 ??
Nov-2012 23.54 16.61
Nov-2011 20.82 5.72
Nov-2010 20.18 23.29
Nov-2009 19.28 3.32
Nov-2008 10.52 15.02
Nov-2007 23.31 -8.19
Nov-2006 16.89 18.18
Nov-2005 12.8 20.55
Nov-2004 10.91 4.77
Nov-2003 7.89 8.11
Nov-2002 5.82 9.28
Nov-2001 5.6 6.79
Nov-2000 5.33 3.94
Nov-1999 5.92 -3.55
Nov-1998 5.36 19.78
Nov-1997 5.02 12.15

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

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

Trade Ideas at open 13-Nov-2013 , $NUGT, $PSE

Trade Ideas at open 13-Nov-2013 , $NUGT, $PSE

13 Nov 2013 Trade Ideas

operating the Quant-Ideas pro database , with the below query

price > 5 & trade sample size over past 4 years > 16, & the average monthly volume > 2 mil & the %age winners > 70% , & the outlier profit factor >  2 ,& pay off ratio >2  & the historical average profit of > 1%

we found the following three trades , assuming one enters the trade at open on 13  Nov-2013 and exit at 13 Nov 2013 close

1) Short $NUGT ( Direxion Daily Gold Miners Bull 3X Shrs ( NUGT ) at next open , when Commodity Channel Index (CCI) moved below -100

ps: The CCI period used is 20

below the trading odds for short at next open when $NUGT CCI(20) moves below -100 and buy to cover the next day at close, since last 4 years

  • Total # of Trades : 39
  • Percent Profitable Trades : 72%
  • Number of Win Trades : 28
  • Number of Loss Trades : 11
  • Avg Profit Trade % : 2.62
  • Median Trade % : -2.40
  • Avg Win Trade % : 4.45%
  • Avg Loss Trade % : 2.03%
  • Max Win Trade % : 12.33%
  • Max Loss Trade % : 7.02 %
  • Max Consecutive Wins: 8
  • Max Consecutive Losses: 2
  • Ratio Avg Win / Avg Loss % :2.19
  • Profit Factor :7.57
  • Outlier Adjusted Profit Factor :6.34

2) Long $PSE (Pioneer Southwest Energy Partners LP) at next open , when  when Commodity Channel Index (CCI) moved below -200

ps: The CCI period used is 20

below the trading odds for long at next open when $PSE CCI(20) moves below -200 and exit at the next day at close, since last 4 years

  • Total # of Trades : 21
  • Percent Profitable Trades :76%
  • Number of Win Trades :16
  • Number of Loss Trades :5
  • Avg Profit Trade % :1.31
  • Median Trade % :1.18%
  • Avg Win Trade % :1.94%
  • Avg Loss Trade % :-0.69%
  • Max Win Trade % :6,56%
  • Max Loss Trade % :2.08%
  • Max Consecutive Wins :9
  • Max Consecutive Losses: 1
  • Ratio Avg Win / Avg Loss % :2.81
  • Profit Factor: 8.51
  • Outlier Adjusted Profit Factor: 6.68

Check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

$SPY breaks 10-DMA after 20 days – slightly bullish

$SPY breaks 10-DMA after 20 days

$SPY closes below 10-DMA after 20 days stock chartwith $SPY closing below 10-DMA,  after closing above 10-DMA for 20 days in row  , below a look at how $SPY fares over the next few days , since 1995.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 25 13 52.0 0.17 0.10 0.69 -0.40 1.75 -1.91
t+2 25 14 56.0 0.09 0.10 0.78 -0.78 1.00 -1.98
t+3 25 15 60.0 0.31 0.53 1.06 -0.82 1.29 -2.06
t+4 25 18 72.0 0.58 0.88 1.30 -1.27 1.02 -3.44
t+5 25 17 68.0 0.65 0.54 1.60 -1.36 1.18 -3.03
t+10 25 18 72.0 1.32 1.88 2.59 -1.96 1.32 -8.15
t+20 25 15 60.0 1.52 2.02 4.29 -2.64 1.63 -7.29
Swing High 25 22 88.0 0.35 0.51 0.72 -2.30 0.31 -3.03

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.

below the prior instances of $SPY closing below 10-DMA after closing above for 20 or more days in row , since 1995.

Date Close # consec close above 10-DMA t+1 t+2 t+3 t+4 t+5 t+10 t+20
07-Nov-13 174.93 20 ?? ?? ?? ?? ?? ?? ??
23-May-13 163.78 22 -0.09 0.51 -0.14 0.23 -1.21 -0.39 -3.35
04-Feb-13 147.38 22 1 1.08 0.95 1.51 1.49 2.48 3.18
23-Aug-12 136.92 20 0.6 0.62 0.53 0.6 -0.12 2.61 4.26
30-Jan-12 126.66 26 -0.04 0.84 0.99 2.42 2.34 3.04 4.71
20-Jan-11 120.95 34 0.22 0.79 0.85 1.24 1.49 2.11 4.82
16-Apr-10 111 44 0.38 1.27 1.09 1.39 2.05 -0.46 -4.59
11-Aug-09 91.44 21 1.07 1.84 1.06 -1.43 -0.65 3.43 4
15-Oct-07 136.29 24 -0.79 -0.48 -0.85 -3.44 -2.88 -0.56 -7.29
01-Nov-06 118.12 27 -0.06 -0.23 0.9 1.28 1.5 2.31 2.68
30-Nov-05 106.3 22 1.03 1.16 0.94 1.13 0.54 1.92 0.36
04-Aug-05 104.43 20 -0.68 -0.87 -0.27 -0.32 0.08 -1.24 -1
20-Sep-04 93.46 24 0.44 -0.81 -1.35 -0.9 -1.53 1.22 -0.71
28-Jan-04 93.15 31 0.1 0.1 0.53 0.37 -0.46 2.38 1.38
19-May-03 75.21 24 -0.21 0 0.98 1.2 2.97 5.5 9.72
09-May-01 99 21 0.29 -0.39 -0.2 0.26 2.63 2.87 2.02
26-Nov-99 109.76 21 -0.36 -1.53 -0.73 -0.14 1.69 0.31 3.67
21-Jul-98 89.11 20 0 -1.98 -2.06 -1.36 -3.03 -8.15 -5.26
08-Apr-98 84.11 23 0.8 0.51 1.37 1.64 0.46 1.53 -0.88
05-Mar-98 78.93 26 2.01 1.66 2.62 3.1 3.52 5.21 8.24
03-Jun-97 63.52 34 -0.11 0.27 2.22 2.74 3.05 6.06 6.12
03-Dec-96 55.71 22 0.25 0 -0.59 0.88 0.39 -2.42 -0.54
15-Feb-96 48.11 20 -0.39 -1.37 -0.17 1.41 1.14 -0.48 -1.16
15-Dec-95 45.61 21 -1.91 -0.88 -1.84 -1.34 -0.99 0.53 -1.58
18-Apr-95 36.75 26 -0.11 0.05 0.54 1.71 1.44 1.88 4.76
27-Feb-95 35.08 24 0.83 0.17 0.31 0.34 0.4 1.25 4.36

highlighted in the red in the above table are the only three instances , where $SPY didn’t close above the entry point at some point of time over the next five trading days.

you might want to read a similar post by Cesar Alvarez @ SPX Closes Above MA10 For 15 Days

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

$SPY now above 10 DMA for 20 days in row

$SPY now above 10 DMA for 20 days in row

$spy closing above 10 DMA Stock Chartwith $SPY closing above 10-DMA for 20 trading days in row , below the table with next 1/23/4/5/10/20 days returns , since Jan 2000.

trading pattern used is $SPY closed above 10-DMA for exactly 20 days in row ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 15 7 46.7 -0.02 -0.05 0.41 -0.40 1.04 -0.82
t+2 15 6 40.0 -0.23 -0.22 0.43 -0.68 0.64 -1.47
t+3 15 6 40.0 -0.06 -0.18 0.73 -0.59 1.24 -1.66
t+4 15 9 60.0 0.28 0.37 0.87 -0.59 1.46 -1.06
t+5 15 6 40.0 0.03 -0.21 1.04 -0.64 1.61 -2.35
t+10 15 9 60.0 0.48 0.92 1.88 -1.62 1.16 -2.89
t+20 15 12 80.0 1.45 1.86 2.28 -1.88 1.22 -3.21

conclusion : a dip might be in the offing on $SPY in the  next few days  ( look at the rows , t+1 to t+4) , and then eventually a rise ( look at the row t+20)

below the $SPY historical details of when $SPY closed above 10-DMA for exactly 20 days in row 

Date Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
06-Nov-13 177.17 ?? ?? ?? ?? ?? ?? ??
20-May-13 166.93 0.14 -0.6 -0.89 -0.97 -0.38 -2.02 -0.71
30-Jan-13 150.07 -0.25 0.78 -0.35 0.65 0.72 1.39 1.03
22-Aug-12 141.82 -0.82 -0.22 -0.2 -0.3 -0.22 1.37 3.45
19-Jan-12 131.46 0.37 0.11 0 0.84 0.32 0.92 3.49
29-Dec-10 125.92 -0.16 -0.13 0.9 0.84 1.37 2.11 3.23
11-Mar-10 115.45 0.01 0.04 0.83 1.43 1.38 1.46 3.98
07-Aug-09 101.2 -0.2 -1.44 -0.39 0.37 -0.4 1.76 0.85
08-Oct-07 155.02 0.95 0.78 0.29 0.84 -0.01 -2.89 -3.21
20-Oct-06 136.84 0.46 0.75 1.1 1.41 0.78 -0.22 2.62
25-Nov-05 127.13 -0.71 -0.82 -1.35 -0.34 -0.21 -0.63 0.24
03-Aug-05 124.72 -0.8 -1.47 -1.66 -1.06 -1.11 -2.02 -1.71
13-Sep-04 113.43 0.2 -0.55 -0.26 0.17 -0.44 -1.96 0.01
09-Jan-04 112.39 0.75 0.15 1 1.25 1.65 3.1 1.86
12-May-03 94.88 -0.18 -0.39 0.23 -0.01 -2.35 0.55 4.6
07-May-01 126.24 -0.05 -0.47 -0.18 -0.86 -0.67 4.28 2.02

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

Anatomy of $SPY on First Trading Day of the Month now available on Amazon

Anatomy of $SPY on First Trading Day of the Month

 

ps : clicking on the above image will take you to Amazon store.

Details:

Anatomy of $SPY on First Trading Day of the Month takes the most compelling edges from the past and combines them with greatly detailed new analysis. Over 75 pages in length, the book provides incredibly comprehensive detail on First Trading Day of the Month market behavior and probabilities.

Kora Reddy ( the co-founder of http://paststat.com ) shows where the greatest trading edges lie through detailed historical analysis.

Day and swing traders alike will be able to use the guide to take advantage of historical probabilities, around First Trading Day of the Month.

Appreciate if you can share this campaign on social media

Good Luck With Stock Markets
@paststat

few momentum softening patterns on $SPX

few momentum softening patterns on $SPX

$SPX Stock Chart

below few studies that triggered , suggesting for a lower close , in the next few trading sessions on $SPX

1) $SPX gains for 5 days in row and today’s volume is the highest 

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 $SPX gains for 5 days in row and today’s volume is the highest “, since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 22 10 45.5 -0.25 -0.10 0.41 -0.79 0.51 -3.52
t+2 22 8 36.4 -0.24 -0.32 0.83 -0.85 0.97 -2.35
t+3 22 11 50.0 -0.14 0.07 0.70 -0.98 0.71 -4.05
t+4 22 12 54.5 -0.22 0.08 0.94 -1.60 0.59 -7.11
t+5 22 13 59.1 -0.25 0.08 1.01 -2.08 0.49 -6.54
t+10 22 13 59.1 0.07 0.43 1.54 -2.06 0.75 -6.96
t+20 22 11 50.0 -0.04 -0.04 2.23 -2.31 0.97 -4.48

besides  $SPX posted a lower 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 loss at the first lower close stands at -0.46%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 0.69%, with max gain being 1.72%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX gains for 5 days in row and today’s volume is the highest“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67 ?? ?? ?? ?? ??
10-Sep-13 1683.99 0.31 -0.03 0.24 0.81 1.23
25-Apr-13 1585.16 -0.18 0.53 0.78 -0.16 0.78
12-Dec-12 1428.48 -0.63 -1.04 0.13 1.28 0.51
13-Mar-12 1395.95 -0.12 0.48 0.59 0.99 0.69
16-Sep-11 1216.01 -0.98 -1.14 -4.05 -7.11 -6.54
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
09-Jul-07 1531.85 -1.42 -0.85 1.03 1.35 1.15
18-Apr-07 1472.5 -0.12 0.8 0.57 0.54 1.56
25-Oct-06 1382.22 0.5 -0.35 -0.31 -0.31 -1.04
24-Oct-06 1377.38 0.35 0.85 0 0.04 0.04
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
29-Sep-05 1227.68 0.09 -0.08 -1.08 -2.55 -2.95
14-Jul-05 1226.5 0.12 -0.44 0.23 0.71 0.04
17-Jun-05 1216.96 -0.07 -0.28 -0.25 -1.33 -2.09
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
03-Nov-04 1143.2 1.62 2.01 1.9 1.83 1.72
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5
02-Sep-03 1021.99 0.42 0.59 -0.06 0.94 0.12
05-Jun-03 990.14 -0.24 -1.44 -0.54 0.74 0.85
28-May-03 953.22 -0.38 1.09 1.45 1.92 3.46
21-Mar-03 895.79 -3.52 -2.35 -2.88 -3.04 -3.6

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

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

2) $SPX closes at year high with the highest volume in a month ( i.e 20 trading days including today)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 19 10 52.6 -0.09 0.01 0.27 -0.50 0.54 -1.61
t+2 19 7 36.8 -0.25 -0.27 0.45 -0.66 0.69 -1.53
t+3 18 8 44.4 -0.13 -0.07 0.52 -0.65 0.80 -1.37
t+4 18 7 38.9 -0.11 -0.30 0.54 -0.53 1.03 -1.63
t+5 18 9 50.0 0.07 -0.12 0.81 -0.67 1.21 -1.90
t+10 18 11 61.1 0.49 0.42 1.48 -1.06 1.40 -1.83
t+20 18 10 55.6 0.30 0.38 2.27 -2.16 1.05 -4.48

besides  $SPX posted a lower close than the current close , at some point during the next five trading days ,  on closing basis, 15/18 times , that’s 83% chance . The average loss at the first lower close stands at -0.2%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 1.22%, with max gain being 1.94%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX closes at year high with the highest volume in a month“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67
18-Oct-13 1744.5 0.01 0.58
18-Sep-13 1725.52 -0.18 -0.9 -1.37 -1.63 -1.9
14-Sep-12 1465.77 -0.31 -0.44 -0.32 -0.38 -0.38
13-Sep-12 1459.99 0.4 0.08 -0.05 0.07 0.02
06-Sep-12 1432.12 0.4 -0.21 0.1 0.31 1.95
16-Mar-12 1404.17 0.4 0.1 -0.09 -0.81 -0.5
18-Jan-11 1295.02 -1.01 -1.14 -0.9 -0.32 -0.3
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
21-May-07 1525.1 -0.06 -0.18 -1.15 -0.61 -0.46
20-Apr-07 1484.35 -0.23 -0.27 0.75 0.67 0.65
14-Nov-06 1393.22 0.24 0.47 0.57 0.52 0.69
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
08-Jan-04 1131.92 -0.89 -0.41 -0.95 -0.12 0.01
07-Jan-04 1126.33 0.5 -0.4 0.08 -0.45 0.37
18-Dec-03 1089.18 -0.05 0.35 0.63 0.45 0.62
16-Dec-03 1075.13 0.13 1.31 1.26 1.66 1.94
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

check out the Earnings Historical Price Reaction Database 

analyzing 14 OCT 2013 BTFD price action on $SPY

14 OCT 2013 BTFD price action on $SPY

pattern 1) $SPY opens with more than half percent gap down open but closes in green for the day , close is greater than 200 DMA.

i.e , Open[0]<0.995*Close[1]& Close[0]>Close[1]& Close[0]>AVERAGE(Close[0]:Close[199])

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 the above price action of $SPY closes in green after opening at more than half percent gap down .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 28 18 64.3 0.30 0.28 0.76 -0.52 1.47 -1.78
t+2 28 17 60.7 0.42 0.25 1.16 -0.72 1.60 -2.03
t+3 28 18 64.3 0.35 0.42 1.33 -1.43 0.93 -3.76
t+4 28 18 64.3 0.52 0.64 1.46 -1.18 1.24 -3.80
t+5 28 18 64.3 0.81 0.91 1.89 -1.14 1.66 -3.66
t+10 28 18 64.3 0.85 0.92 2.12 -1.45 1.46 -6.67
t+20 28 17 60.7 0.83 1.34 3.19 -2.82 1.13 -11.13

besides  $SPY posted a higher close than the current close ( i.e 14 Oct 2013) at some point during the next five trading days ,  on closing basis, 24/28 times , that’s 86% chance . The other four times , when the $SPY failed to close higher in the next five days from the entry, at least one day in the next five trading days , lost on an average ( 1.52% five days later ) ,with maximum loss at -3.66% on 2nd August 2004.

Below the table with , historical instances of “$SPY closes in green after opening at more than half percent gap down” and the next 1/2/3/4/5/10/20 change% details, since 2000.

Date Open Close Gap Full day Change% t+1 t+2 t+3 t+4 t+5 t+10 t+20
14-Oct-13 169.21 170.94 -0.62 0.40 ?? ?? ?? ?? ?? ?? ??
23-May-12 127.10 128.09 -0.72 0.05 0.2 -0.13 1.08 -0.39 -0.61 -0.17 0.65
27-Feb-12 131.14 132.24 -0.67 0.17 0.29 -0.1 0.42 0.11 -0.29 0.31 3.7
05-Jan-12 122.46 123.45 -0.54 0.27 -0.26 -0.02 0.85 0.91 1.15 3.05 5.08
14-Apr-11 123.96 124.78 -0.57 0.08 0.36 -0.76 -0.19 1.17 1.68 3.7 1.88
10-Feb-11 124.27 124.95 -0.51 0.03 0.6 0.84 0.53 1.16 1.46 0.01 -1.11
26-Oct-10 110.95 111.53 -0.50 0.02 -0.29 -0.28 -0.2 -0.16 0.63 2.43 -0.23
22-Apr-10 111.41 112.54 -0.71 0.29 0.66 0.28 -2.1 -1.35 -0.12 -6.67 -11.13
22-Mar-10 107.24 108.43 -0.57 0.53 0.7 0.21 0.05 -0.01 0.62 2.09 3.67
06-Nov-09 97.89 98.69 -0.55 0.26 2.28 2.29 2.82 1.77 2.32 2.15 3.47
03-Nov-09 95.56 96.40 -0.56 0.31 0.26 2.11 2.38 4.71 4.72 6.4 6.31
14-Sep-09 95.24 96.52 -0.86 0.48 0.42 1.94 1.79 1.85 1.6 1.47 2.77
19-Aug-09 90.14 91.65 -0.78 0.87 1.03 3.01 3 3.2 3.21 -0.14 7.2
06-May-08 124.38 126.18 -0.58 0.86 -1.78 -2.03 -2.22 -1.12 -1.1 -0.11 -2.84
22-Oct-07 130.88 132.36 -0.54 0.57 0.82 0.63 0.87 2.05 2.39 -0.32 -4.5
30-May-07 131.97 133.73 -0.51 0.81 -0.1 0.4 0.41 0.01 -1.06 -1.03 -1.58
03-Aug-06 109.42 110.35 -0.58 0.26 -0.17 -0.4 -0.78 -1.11 -0.82 1.26 1.73
07-Jul-05 99.85 101.25 -0.99 0.40 1.14 1.66 1.93 2.06 2.46 2.3 3.14
09-Dec-04 98.46 99.35 -0.55 0.35 0.1 0.98 1.33 1.41 1.35 1.79 -0.17
02-Aug-04 91.18 91.91 -0.59 0.21 -0.77 -0.78 -2.39 -3.8 -3.66 -2.49 -0.48
14-Apr-04 92.85 93.49 -0.53 0.16 -0.37 0.4 0.4 -1.29 -0.63 -0.5 -2.59
24-Oct-03 84.10 84.71 -0.50 0.22 0.05 1.4 1.53 1.75 1.65 1.96 0.6
07-Oct-03 84.44 85.26 -0.57 0.39 -0.25 0.02 0.3 0.62 0.97 0.57 1.44
05-Jun-03 80.02 80.89 -0.58 0.49 -0.4 -1.41 -0.41 0.66 0.96 0.37 -0.56
22-Apr-03 72.32 74.14 -0.62 1.85 0.92 0.03 -1.21 0.5 0.85 2.82 1.23
03-Aug-00 111.69 113.81 -1.18 0.69 0.54 1.75 2.13 1.27 0.77 3.16 4.64
05-May-00 110.01 111.94 -0.53 1.20 -0.76 -1.55 -3.76 -1.57 -0.5 -1.67 2.5
17-Apr-00 105.43 109.77 -0.59 3.38 2.64 1.69 2.18 1.07 5.27 2.4 4.22
23-Mar-00 116.33 119.06 -0.61 1.69 0.59 -0.47 -1.05 -0.95 -2.6 -1.43 -5.8

highlighted in red are , where $SPY is not able to produce a higher close over the next five trading days.

pattern 2) $SPY opens with more than half percent gap down open , Close > 1% of the Open , and Open is in the bottom 10% of day’s range , and Close is in the top 10% of the day’s range

i.e , Open[0]<0.995*Close[1] && Close[0]>1.01*Open[0] && (High[0]-Close[0])*100/(High[0]-Low[0])<10 && (Open[0]-Low[0])*100/(High[0]-Low[0])<10 

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 the price action 2) happens on $SPY.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 23 10 43.5 -0.26 -0.16 1.10 -1.31 0.84
t+2 23 14 60.9 0.13 0.40 1.24 -1.60 0.78
t+3 23 16 69.6 0.82 1.35 1.91 -1.66 1.15
t+4 23 16 69.6 1.20 0.99 2.10 -0.85 2.47
t+5 23 16 69.6 0.83 0.64 2.09 -2.05 1.02
t+10 23 13 56.5 1.02 1.93 3.17 -1.77 1.79
t+20 23 12 52.2 -0.07 0.27 3.36 -3.81 0.88

besides  $SPY posted a higher close than the current close ( i.e 14 Oct 2013) at some point during the next five trading days ,  on closing basis, 21/23 times , that’s 91% chance . The other two times , when the $SPY failed to close higher in the next five days from the entry, at least one day in the next five trading days , lost on an average ( 2.32% five days later ) ,with maximum loss at -2.93% on 6th Dec 2002.

Below the table with , historical instances of “price action 2) on $SPY” and the next 1/2/3/4/5/10/20 change% details, since 2000.

Date Open High Low Close Gap Cls-Open t+1 t+2 t+3 t+4 t+5
14-Oct-13 169.21 171.08 169.08 170.94 -0.62 1.02 ?? ?? ?? ?? ??
06-Sep-11 109.03 111.67 109.02 111.51 -2.94 2.27 2.82 1.75 -0.91 -0.28 0.64
20-Jul-10 98.92 101.43 98.87 101.36 -1.33 2.47 -1.29 0.91 1.79 2.84 2.83
11-Jun-10 100.61 102.07 100.55 102.00 -0.88 1.38 -0.16 2.12 2.08 2.25 2.35
26-May-09 80.56 83.48 80.52 83.24 -0.74 3.33 -1.79 -0.42 1.35 3.8 3.88
21-Apr-09 75.51 77.61 75.44 77.55 -0.73 2.70 -0.62 0.36 1.88 0.92 0.59
12-Dec-08 76.82 79.98 76.51 79.91 -2.71 4.02 -1.4 3.24 2.24 0.33 -0.1
26-Nov-08 75.70 80.09 75.64 79.89 -1.59 5.54 1.25 -7.71 -4.17 -1.85 -4.13
16-Sep-08 104.63 109.20 104.45 109.00 -2.41 4.18 -4.5 -1.66 2.25 -0.06 -2.34
23-Jan-08 112.34 118.61 112.11 118.32 -2.78 5.33 0.85 -0.61 1.03 1.53 0.79
30-May-07 131.97 133.78 131.87 133.73 -0.51 1.33 -0.1 0.4 0.41 0.01 -1.06
07-Jul-05 99.85 101.25 99.82 101.25 -0.99 1.40 1.14 1.66 1.93 2.06 2.46
22-Apr-03 72.32 74.32 72.15 74.14 -0.62 2.51 0.92 0.03 -1.21 0.5 0.85
17-Mar-03 67.48 70.30 67.28 70.16 -0.80 3.98 0.58 1.35 1.58 3.75 0.3
06-Dec-02 72.50 74.15 72.39 74.04 -1.44 2.12 -2.76 -1.45 -1.36 -1.36 -2.93
15-Nov-02 72.40 73.65 72.36 73.53 -0.80 1.56 -1.01 -1.13 1.06 2.95 2.22
24-Jul-02 62.57 68.17 62.21 67.85 -2.28 8.43 -0.84 1.05 5.97 7.35 7.61
08-Apr-02 88.85 90.21 88.77 90.13 -1.22 1.45 -0.7 0.43 -2.07 -1.33 -2.09
19-Dec-01 90.49 91.94 90.42 91.84 -0.77 1.49 -0.99 -0.39 -0.58 -0.03 0.58
16-May-01 98.36 101.80 98.19 101.60 -0.90 3.29 0.16 0.61 2.1 1.96 0.24
04-May-01 97.42 100.34 97.26 100.33 -1.24 2.98 -0.86 -0.91 -1.33 -1.04 -1.71
10-Jan-01 101.37 103.83 101.22 103.83 -0.65 2.43 0.09 -0.11 0.53 0.99 2
03-Aug-00 111.69 113.98 111.50 113.81 -1.18 1.90 0.54 1.75 2.13 1.27 0.77
17-Apr-00 105.43 109.77 105.04 109.77 -0.59 4.11 2.64 1.69 2.18 1.07 5.27

highlighted in red are , where $SPY is not able to produce a higher close over the next five trading days.

conclusion : some more gains possible in the next 5 days ??

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

check out Quant-Ideas  to aid the short term trader to find high probability winning trades