DJIA and triple crown winners

DJIA and triple crown winners

American PharoahBelow the DJIA rest of the year returns , during the years when there was a triple crown winner

Date DJIA Year End DJIA Triple Crown Winner Rest of Year %
06-Jun-15 17849.5 31-Dec-15 ?? American Pharoah ??
10-Jun-78 859.23 29-Dec-78 805.01 Affirmed -6.31
11-Jun-77 910.79 30-Dec-77 831.17 Seattle Slew -8.74
09-Jun-73 920 31-Dec-73 850.86 Secretariat -7.52
05-Jun-48 190.18 31-Dec-48 177.3 Citation -6.77
08-Jun-46 209.96 31-Dec-46 177.2 Assault -15.60
05-Jun-43 142.28 31-Dec-43 135.89 Count Fleet -4.49
07-Jun-41 118 31-Dec-41 110.96 Whirlaway -5.97
05-Jun-37 175.14 31-Dec-37 120.85 War Admiral -31.00
08-Jun-35 114.01 31-Dec-35 144.13 Omaha 26.42
07-Jun-30 263.93 31-Dec-30 164.58 Gallant Fox -37.64
07-Jun-19 107.46 31-Dec-19 107.23 Sir Barton -0.21
# Wins 1/11
        Avg -8.89
        Med -6.77

vs

DJIA rest of year returns , when there was no triple crown winner , since 1900

Winners : 76
Losers : 28
% Winners : 73%
Average Change % : 5.04
Median Change % : 5.44
Maximum Gain % : 41.89
Maximum Loss % : -41.57
Average Gain %if Winner : 11.88
Average Loss % if Loser : -13.52

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how does $SPY do after large US IPO

how does $SPX do after large US IPO ?

$BABA

in response to the tweet below

 

caveats , there might exist a data snoop while considering the largest 25 IPO’s , as some of the IPO’s might not be really the largest IPO’s in-terms of ranking on that issue date , but just to get an idea

below the $SPY returns after 1/5/10/20 day’s , after 25 large IPO hits the opening bell ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF Std T-Test
t+1 24 9 37.5 -0.43 -0.48 0.88 -1.22 0.72 -2.77 0.39 0.30 1.24 -1.71
t+5 24 14 58.3 -0.01 0.17 1.72 -2.43 0.71 -6.69 0.90 0.66 2.69 -0.01
t+10 24 12 50.0 0.67 -0.12 4.12 -2.79 1.48 -6.66 1.47 1.13 4.11 0.79
t+20 24 14 58.3 1.17 2.03 4.80 -3.92 1.23 -6.49 1.79 1.51 5.20 1.10

ps:  #FYI ,$BABA is not included while calculating the $SPY forward returns

if we consider only the largest IPO’s within 30 day calendar non-interleaving period ( or 20 trading days)

below the $SPY returns after 1/5/10/20 day’s , after 25 large IPO hits the opening bell ,

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF Std T-Test
t+1 21 6 28.6 -0.67 -0.72 0.72 -1.22 0.59 -2.77 0.23 0.14 1.13 -2.69
t+5 21 12 57.1 -0.16 0.16 1.72 -2.66 0.64 -6.69 0.77 0.52 2.78 -0.26
t+10 21 10 47.6 0.46 -0.90 4.09 -2.83 1.44 -6.66 1.29 0.94 4.18 0.51
t+20 21 12 57.1 0.89 1.39 4.72 -4.21 1.12 -6.49 1.57 1.28 5.33 0.77

conclusion : looking at the results , the next day , $SPY seems to fall , and is statistically significant at t-test of -2.7 over a 21 sample size ! but the returns after 1 /2/4 weeks seems to pretty random .

below the historical $SPY returns after large IPO ( All Time Largest US IPOs – Top 25 data is from http://www.renaissancecapital.com/ipohome/rankings/biggestus.aspx

 

Date Company Underwriter Deal Size $SPY t% t+1% t+5% t+10% t+20%
18-Sep-14 Alibaba Group Holding Credit Suisse $21,767 200.88 1.06 ?? ?? ?? ??
18-Mar-08 Visa J.P. Morgan $17,864 115.87 4.16 -2.48 0.16 2.8 2.91
01-Nov-99 ENEL SpA Merrill Lynch $16,452 103.15 -1.06 -0.72 1.8 3.33 2.74
17-May-12 Facebook Morgan Stanley $16,007 124.3 -1.49 -0.85 1.28 -2.06 3.04
17-Nov-10 General Motors Morgan Stanley $15,774 108.94 0.06 1.47 1.67 3.67 5.58
17-Nov-96 Deutsche Telekom Goldman Sachs $13,034 54.06 0.02 0.72 2.81 0.94 -1.48
26-Apr-00 AT&T Wireless Group Goldman Sachs $10,620 112.02 -1.13 -0.33 -3.92 -5.7 -4.26
12-Jun-01 Kraft Foods Credit Suisse $8,680 97.29 -0.17 -0.85 -2.97 -3.17 -5.69
17-Oct-97 France Telecom Merrill Lynch $7,289 69.96 -1.02 1.43 -0.3 -2.36 -1.29
17-Nov-97 Telstra Corporation Credit Suisse $5,646 70.33 1.84 -0.63 0.23 2.87 2.67
04-Oct-98 Swisscom Warburg Dillon Read $5,582 74.23 -2.02 -0.09 1.29 7.79 13.36
09-Nov-99 United Parcel Service Morgan Stanley $5,470 104.02 -0.94 0.74 3.33 3.31 2.94
12-Mar-00 Infineon Goldman Sachs $5,230 105.72 -1.09 -1.42 5.74 9.9 9.11
16-Jun-00 China Unicom Ltd Morgan Stanley $4,916 112.37 -0.82 1.27 -1.51 -0.9 3.01
01-Jul-02 CIT Group Goldman Sachs $4,600 76.23 -1.95 -2.13 -1.47 -6.66 -6.27
21-Oct-98 Conoco Morgan Stanley $4,403 80.2 -0.35 1.5 0.17 5.27 7.62
21-Jun-07 Blackstone Group L.P. Morgan Stanley $4,133 130.46 0.55 -0.94 -1.05 0.66 1
06-Oct-09 Banco Santander Brasil Santander Investment $4,025 95.34 1.44 0.27 1.85 3.5 -0.82
15-Oct-97 China Mobile Limited Goldman Sachs $3,965 71.82 -0.22 -1.59 0.06 -4.97 -6.49
21-Mar-02 Travelers Property Casualty Citi $3,885 90.26 0.04 -0.22 -0.66 -2.25 -2.09
09-Mar-11 HCA Holdings BofA Merrill Lynch $3,786 122.64 -0.14 -1.85 -4.7 -1.64 1.39
07-Jul-99 Telecom Eireann Merrill Lynch $3,758 105.9 0.14 0.08 0.42 -1.25 -6.4
19-Jun-98 Alstom Credit Suisse $3,732 82.49 -0.51 0.48 3.3 5.39 7.72
03-May-99 Goldman Sachs Group Goldman Sachs $3,657 102.65 1.84 -1.43 -1 -1.11 -4.37
27-Mar-01 Agere Systems Morgan Stanley $3,600 91.44 2.04 -2.77 -6.69 -1.4 4.11

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Football World Cup and Equity Markets

Football World Cup and Equity Markets

One-Year relative return in equity markets

 

source : http://www.goldmansachs.com/our-thinking/outlook/world-cup-sections/world-cup-book-2014-equity-markets.html

three line summary :  

1) On average, the victor outperforms the global market by 3.5% in the first month – a meaningful amount ( $EWG)

2) Most of the World Cup runners-up have seen their stock markets continue to underperform, with an average relative fall of 5.6% over the first three months ($ARGT)

3)  the host country has enjoyed an outperformance of its stock market in the month after the event. The average outperformance is 2.7%, ( $EWZ)

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Pre-Election Rally across BRI’s

Pre-Election Rally across BRI’s

2014 brazil elections

With Brazil’s election three months away , below the pre-election rally statistics among BRI’s (as there were no general elections in China , we are not including them )

two fine prints ,

1) we don’t know whether during the 1990’s BRI’s were already known as emerging economies .. ( as the term BRIC itself was coined was coined by Jim O’Neill in a 2001 )

2) the returns are calculated using the respective country index values , hence the currency effect’s and dividends if any during the three month period were not included ..

below are the trading odds for all the 16 general elections held since 1990 , and for which the data is available with us (#FYI  Russia data is not available before 1998 )

  • Winners : 11
  • Losers : 5
  • % Winners : 69%
  • Average Change % : 11.06
  • Median Change % : 9.82
  • Maximum Gain % : 75.15
  • Maximum Loss % : -31.23
  • Average Gain %if Winner : 21.51
  • Average Loss % if Loser : -11.95
  • Payoff Ratio 1.80

below the historical details of BRI’s indices during the prior general elections

Election Date Index t-3 mths Index Change %
Brazil
05-Oct-14 ?? 04-Jul-14 54055 ??
03-Oct-10 70229 02-Jul-10 61430 14.32
01-Oct-06 36449 30-Jun-06 36631 -0.50
06-Oct-02 9260 05-Jul-02 10524 -12.01
25-Oct-98 7272 24-Jul-98 10575 -31.23
03-Oct-94 5484 04-Jul-94 3580.9 53.15
Russia
04-Mar-12 1608.08 05-Dec-11 1517.89 5.94
02-Mar-08 1660.42 03-Dec-07 1838.78 -9.70
14-Mar-04 586.86 15-Dec-03 506.22 15.93
26-Mar-00 268.86 27-Dec-99 153.5 75.15
India
12-May-14 7014.25 10-Feb-14 6053.45 13.70
13-May-09 3635.25 11-Feb-09 2925.7 19.52
10-May-04 1769.1 09-Feb-04 1880.7 -6.31
01-Oct-99 1403.2 02-Jul-99 1197.85 14.63
27-Feb-98 1060.75 28-Nov-97 1023.95 3.47
07-May-96 1093.09 06-Feb-96 925.71 15.31
14-Jun-91 397.78  15-Mar-91 375.79 5.53

Election Rally Details across BRI’s , since 1990

Election Rally Details across BRI's , since 1990

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Full Moon and Friday the 13th and Stock Markets

Full Moon and Friday the 13th and Stock Markets 

Friday the 13th and full moon

Source for the Full Moon and Friday the 13th data -> http://earthsky.org/space/when-does-friday-the-13th-have-a-full-moon

Below the historical Down Jones Index movements from the 13th Friday and Full Moon till next Friday , since 1900

13 Fri & Full Moon Date DJIA Next Fri DJIA Chg %
13-Mar-03 64.11 20-Mar-03 65.75 2.56
13-Oct-05 81.54 20-Oct-05 82.27 0.9
13-Jun-19 102.85 20-Jun-19 106.13 3.19
13-Jan-22 80.82 20-Jan-22 82.95 2.64
13-Nov-70 759.79 20-Nov-70 761.57 0.23
13-Jul-84 1109.87 20-Jul-84 1101.37 -0.77
13-Feb-87 2183.35 20-Feb-87 2235.24 2.38
13-Mar-98 8602.51 20-Mar-98 8906.42 3.53
13-Oct-00 10192.18 20-Oct-00 10226.59 0.34
13-Jul-14 16775.74 20-Jun-14         ??      ??
avg 1.67
med 2.38
max 3.53
min -0.77

Below the trading odds for $DJIA longs , for a week holding period from 13th Fri and Full Moon date’s close till next Friday’s close

  • Winners : 8
  • Losers : 1
  • % Winners : 89%
  • Average Change % : 1.67
  • Median Change % : 2.38
  • Maximum Gain % : 3.53
  • Maximum Loss % : -0.77
  • Average Gain %if Winner : 1.97
  • Average Loss % if Loser : -0.77
  • Payoff Ratio 2.56

Full Moon and Friday the 13th and Stock Markets Colorful table 

Full Moon and Fri the 13th and Stock Markets

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friday the 13th

friday the 13th

Friday the 13th

below the trading odds for the $SPY longs , the day before friday the 13th , since Feb 1993

1) Trading odds for $SPY longs from the day before friday the 13th , since Feb 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 34 20 58.8 0.28 0.24 0.88 -0.58 1.51 -1.58 2.07 1.63
t+2 34 24 70.6 0.52 0.65 1.17 -1.04 1.12 -5.31 2.77 2.35
t+3 34 28 82.4 0.73 0.93 1.24 -1.62 0.76 -5.53 3.75 3.33
t+4 34 25 73.5 0.89 1.01 1.70 -1.35 1.26 -6.55 4.03 3.61
t+5 34 24 70.6 0.84 1.36 2.01 -1.97 1.02 -7.45 2.67 2.37
t+10 34 21 61.8 0.91 1.70 3.17 -2.74 1.16 -11.63 1.81 1.58
t+20 34 24 70.6 1.46 3.00 3.96 -4.55 0.87 -9.46 1.71 1.50
1st +’ve exit in 5 days 34 31 91.2 0.45 0.65 0.81 -3.31 0.24 -7.45 2.81 2.40

31 /34 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.45 %, beware the max loss stands at -7.45% at the end of 5th trading day , happened on 12 Feb 2009 .

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

 

2) Trading odds for $SPY longs from the day before friday the 13th , when $SPY closes above 13 -DMA , since Feb 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 18 12 66.7 0.25 0.28 0.63 -0.51 1.23 -1.04 1.95 1.65
t+2 18 14 77.8 0.77 0.69 1.04 -0.18 5.70 -0.36 17.25 14.36
t+3 18 16 88.9 1.08 1.02 1.27 -0.38 3.38 -0.75 20.13 17.20
t+4 18 16 88.9 1.34 1.38 1.55 -0.38 4.13 -0.38 27.55 22.24
t+5 18 15 83.3 1.21 1.36 1.68 -1.15 1.46 -2.19 6.11 5.03
t+10 18 12 66.7 1.67 1.70 3.13 -1.26 2.49 -4.13 3.79 2.87
t+20 18 14 77.8 2.46 3.18 3.89 -2.54 1.53 -5.83 3.35 2.54
1st +’ve exit in 5 days 18 17 94.4 0.52 0.61 0.68 -2.19 0.31 -2.19 3.81 3.30

ps: a close above 193.57 is needed for $SPY to close above 13-DMA !

below the historical instances of $SPY returns from the day before friday the 13th , when the $SPY closes above 13 day moving average

Date Close t+1% t+2% t+3% t+4% t+5%
12-Jun-14 ~ 194.19 ?? ?? ?? ?? ??
12-Sep-13 166.49 0.22 0.8 1.26 2.43 2.25
12-Jan-12 123.65 -0.52 -0.14 0.97 1.5 1.88
12-Nov-09 99.46 0.53 2 2.11 2.05 0.72
12-Mar-09 67.67 0.78 0.49 3.56 5.88 4.57
12-Jul-07 133.79 0.3 0.28 0.23 0.05 0.44
12-Apr-07 124.82 0.46 1.41 1.67 1.8 1.78
12-Oct-06 116.47 0.26 0.41 0.1 0.23 0.39
12-Jan-06 108.68 -0.09 -0.36 -0.75 -0.38 -2.19
12-Feb-04 94.1 -0.46 0.45 0 -0.37 -0.67
12-Jun-03 80.87 -1.04 1.04 1.04 0.95 -0.58
12-Nov-98 85.14 0.97 1.73 1.73 2.34 3.23
12-Mar-98 80.85 -0.38 0.69 0.99 1.36 1.62
12-Feb-98 77.16 -0.58 -0.09 0.82 0.29 1.04
12-Jun-97 66.14 0.85 0.89 0.74 0.39 1.44
12-Sep-96 49.52 1.51 1.9 1.66 1.39 1.8
12-Oct-95 42.17 0.33 -0.14 0.52 0.81 1.28
12-Jan-95 32.78 1.19 1.8 1.83 1.74 1.16
12-Aug-93 30.75 0.13 0.68 1.04 1.59 1.59

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Congrats California Chrome , but no triple crown pls ….

Congrats California Chrome

triple-crown-affirmed-horizontal-gallery

Congrats California Chrome , for winning the Preakness Stakes after the Kentucky Derby, and good luck in the Belmont Stakes ! 

here is a look at the DJIA index performance , in those years when there was a triple crown winner , assuming one goes long at May end ( I know ,there is a slight problem using May end closing values , as the Belmont Stakes happen on the Saturday between June 5 and June 11., but for the sake of simplicity ) 

below the trading odds for the DJIA longs , from May end till Dec end, when there was a triple crown winner , data since 1900 ,

  • # : 11
  • Winners : 2
  • Losers : 9
  • % Winners : 18%
  • Average Change % : -8.05
  • Median Change % : -5.61
  • Maximum Gain % : 30.27
  • Maximum Loss % : -40.17
  • Average Gain %if Winner : 15.96
  • Average Loss % if Loser : -13.38
  • Payoff Ratio 1.19

below the trading odds for the DJIA longs , from May end till next May end ( i.e 12 months holding period), when there was a triple crown winner , data since 1900 ,

  • #: 11
  • Winners : 2
  • Losers : 9
  • % Winners : 18%
  • Average Change % : -11.89
  • Median Change % : -11.73
  • Maximum Gain % : 37.96
  • Maximum Loss % : -53.30
  • Average Gain %if Winner : 19.05
  • Average Loss % if Loser : -18.76
  • Payoff Ratio 1.02

looks bit rough periods ahead if this “triple crown indicator ” triggers 🙁

for apple to apple comparison , below the trading odds for the DJIA longs , from May end till next May end ( i.e 12 months holding period), when there was NOT a triple crown winner , data since 1900 ,

  • # : 102
  • Winners : 70
  • Losers : 32
  • % Winners : 69%
  • Average Change % : 9.89
  • Median Change % : 8.54
  • Maximum Gain % : 96.94
  • Maximum Loss % : -65.17
  • Average Gain %if Winner : 19.95
  • Average Loss % if Loser : -12.13
  • Payoff Ratio 1.64

below the DJIA returns in those years when there was a triple crown winner , since 1900

Year Horse May end – Dec End % May End – Next May End (%)
1919 Sir Barton 1.64 -12.74
1930 Gallant Fox -40.17 -53.3
1935 Omaha 30.27 37.96
1937 War Admiral -30.83 -38.33
1941 Whirlaway -4.15 -12.85
1943 Count Fleet -4.34 0.13
1946 Assault -16.53 -20.27
1948 Citation -7.05 -11.73
1973 Secretariat -5.61 -11.01
1977 Seattle Slew -7.51 -6.46
1978 Affirmed -4.24 -2.17
2014 California Chrome ? ?? ??

not to be a spoil sport , sorry no triple crown for California Chrome pls !!

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$SPY Trading Odds on Friday the 13th

$SPY Trading Odds on Friday the 13th

Friday the 13th

 

image courtesy : apparently the above cartoon was published in the Muskegon Chronicle, Aug 13, 1909, joked about people’s fears of unlucky Friday the 13th , courtesy : http://muskegonmemories.blogspot.in/2011_08_01_archive.html

below various trading odds for $SPY on Friday the 13th , backtest period is Feb 1993

1) Go Long at open and exit at current close on Friday the 13th 

  • Winners : 22
  • Losers : 11
  • % Winners : 67%
  • Average Change % : 0.21
  • Median Change % : 0.12
  • Maximum Gain % : 3.48
  • Maximum Loss % : -1.04
  • Average Gain %if Winner : 0.63
  • Average Loss % if Loser : -0.62
  • Payoff Ratio 1.02
  • Profit Factor : 2.11
  • Outlier Adjusted Profit Factor : 1.53

2) Go Long at open and exit at current close on Friday the 13th , If $SPY closed in red during  previous trading session

  • Winners : 12
  • Losers : 2
  • % Winners : 86%
  • Average Change % : 0.57
  • Median Change % : 0.20
  • Maximum Gain % : 3.48
  • Maximum Loss % : -0.60
  • Average Gain %if Winner : 0.76
  • Average Loss % if Loser : -0.55
  • Payoff Ratio 1.38
  • Profit Factor : 8.61
  • Outlier Adjusted Profit Factor : 5.18

3) Go Long at open and exit at next close ( i.e usually on Monday close, unless the coming Monday is a holiday) on Friday the 13th 

  • Winners : 23
  • Losers : 10
  • % Winners : 70%
  • Average Change % : 0.44
  • Median Change % : 0.54
  • Maximum Gain % : 3.96
  • Maximum Loss % : -5.18
  • Average Gain %if Winner : 1.06
  • Average Loss % if Loser : -0.99
  • Payoff Ratio 1.06
  • Profit Factor : 2.67
  • Outlier Adjusted Profit Factor : 2.18

4) Go Long at open and exit at next close ( i.e usually on Monday close, unless the coming Monday is a holiday) on Friday the 13th , If $SPY closed in red during  previous trading session

  • Winners : 11
  • Losers : 3
  • % Winners : 79%
  • Average Change % : 0.96
  • Median Change % : 0.91
  • Maximum Gain % : 3.96
  • Maximum Loss % : -0.94
  • Average Gain %if Winner : 1.33
  • Average Loss % if Loser : -0.38
  • Payoff Ratio 3.49
  • Profit Factor : 19.80
  • Outlier Adjusted Profit Factor : 14.16

below the historical instances of $SPY change from Open to current close and next close , on Friday the 13th , since Feb 1093 ( i.e since IPO)

Date Open Close Prv Chg% Cls-Open Nxt Cls – Cur Opn
13-Sep-13 168.31 168.51 -0.45 0.12 0.69
13-Jul-12 130.30 132.14 -0.63 1.41 1.17
13-Apr-12 134.09 132.80 1.73 -0.96 -1.02
13-Jan-12 124.03 124.22 0.30 0.16 0.54
13-May-11 128.18 127.13 0.61 -0.82 -1.45
13-Aug-10 101.18 101.20 -0.63 0.02 -0.02
13-Nov-09 100.69 100.98 -1.03 0.28 1.74
13-Mar-09 68.81 68.88 2.59 0.11 -0.20
13-Feb-09 75.63 74.91 0.06 -0.95 -5.18
13-Jun-08 120.07 120.94 0.45 0.73 0.78
13-Jul-07 135.26 135.51 2.10 0.18 0.17
13-Apr-07 126.25 126.62 0.56 0.29 1.25
13-Oct-06 117.52 117.93 1.01 0.35 0.50
13-Jan-06 109.56 109.65 -0.43 0.09 -0.18
13-May-05 97.77 97.28 -1.08 -0.50 0.43
13-Aug-04 88.63 88.70 -0.98 0.08 1.12
13-Feb-04 95.17 94.60 -0.35 -0.60 0.30
13-Jun-03 81.67 80.82 0.25 -1.04 1.04
13-Dec-02 72.33 71.87 0.00 -0.63 1.94
13-Sep-02 71.04 71.82 -1.35 1.10 1.34
13-Jul-01 95.48 96.59 2.22 1.16 -0.11
13-Oct-00 104.18 107.80 -2.67 3.48 3.96
13-Aug-99 101.88 103.06 -0.06 1.16 1.60
13-Nov-98 86.13 86.90 -0.10 0.89 1.65
13-Mar-98 81.97 81.40 0.33 -0.70 0.38
13-Feb-98 77.67 77.53 0.33 -0.19 0.30
13-Jun-97 66.95 67.45 1.27 0.74 0.77
13-Dec-96 54.44 54.63 -0.93 0.34 -0.94
13-Sep-96 50.90 51.09 0.35 0.37 0.74
13-Oct-95 43.09 43.04 0.26 -0.12 -0.61
13-Jan-95 33.51 33.72 0.01 0.62 1.25
13-May-94 31.40 31.32 0.15 -0.27 -0.24
13-Aug-93 31.15 31.18 -0.09 0.09 0.63

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How to trade $AMZN, $WMT , during the week of Black Friday Sale

$WMT $AMZN $XLP during the week of Black Friday Sale

Black Friday Sale Cartoonimage courtesy : http://www.texascottageblog.com/2011/11/survival-guide-to-black-friday.html

Trading odds for Longs for $WMT during the week of Black Friday sale , that is to go long on one Friday before the Black Friday ( i’e today at close) and exit on the Black Friday close

  • Winners : 18
  • Losers : 5
  • % Winners : 78%
  • Average Change % : 1.15
  • Median Change % : 0.83
  • Maximum Gain % : 5.59
  • Maximum Loss % : -6.93 ( Year 2000) 
  • Average Gain %if Winner : 2.03
  • Average Loss % if Loser : -2.50
  • Average Gain % / Average Loss % : 0.81

Trading odds for Longs for $AMZN during the week of Black Friday sale since IPO.

  • Winners : 12
  • Losers : 4
  • % Winners : 75%
  • Average Change % : 4.52
  • Median Change % : 2.60
  • Maximum Gain % : 19.93
  • Maximum Loss % : -8.24 ( in 1997) 
  • Average Gain %if Winner : 7.58
  • Average Loss % if Loser : -4.68
  • Average Gain % / Average Loss % : 1.62

Trading odds for Longs for $XLP during the week of Black Friday sale since 1999. 

$XLP (Consumer Staples Select Sector SPDR) has the second highest weight-age for $WMT after $RTH ( which has no liquidity)

  • Winners : 7
  • Losers : 7
  • % Winners : 50%
  • Average Change % : 0.72
  • Median Change % : 0.19
  • Maximum Gain % : 4.71
  • Maximum Loss % : -2.22
  • Average Gain %if Winner : 2.08
  • Average Loss % if Loser : -0.76
  • Average Gain % / Average Loss % : 2.75

below the table with $AMZN , $WMT, $XLP , Stock Price Change% details during the Black Friday Sale week , since 1990

$WMT and $AMZN around Black Friday Sale

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DJIA New Round Number Thresholds

DJIA New Round Number Thresholds 

The DJIA closed above 16,000 for the first time ever today,  below the details of DJIA closings above a new thousand-point threshold since it hit 1000 , back in 14th Nov 1972

In the table below, we list the first day that the DJIA closed above each thousand-point threshold from 1,000 to 16,000. We know that a thousand point threshold when DJIA is trading at 1000, is 50% vs, 15K  to 16K, is little over 7%, but there traders who watch big round numbers , and the market’s ability to push through the round numbers as mentioned again by

@VicNiederhoffer  ( #FF ,as his books and his blog have a great influence on the paststat.com website functionality)

Below the table with $DJIA new round number thresholds , and he change % after 1 ( t+1) /2 ( t+2 ) /3/4/5/ trading days

$DJIA New Round Number Thresholds

below the trading odds for $DJIA longs for the next 1/2/3/4/5/10/20 trading days , whenever $DJIA closes above a new round number .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 15 5 33.3 -0.29 -0.17 0.24 -0.55 0.43 -1.17
t+2 15 7 46.7 -0.43 -0.37 0.32 -1.09 0.29 -2.20
t+3 15 8 53.3 -0.33 0.19 0.54 -1.32 0.41 -2.55
t+4 15 9 60.0 -0.01 0.19 0.69 -1.07 0.65 -2.46
t+5 15 9 60.0 0.19 0.62 1.19 -1.30 0.91 -3.76
t+10 15 9 60.0 0.87 1.20 2.59 -1.71 1.51 -3.84
t+20 15 9 60.0 1.06 1.76 3.92 -3.23 1.21 -6.58
Swing High 15 12 80.0 -0.16 0.18 0.28 -1.94 0.15 -3.76
Swing Low 15 3 20.0 -0.04 -0.23 1.85 -0.51 3.64 -1.17

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 at the first lower close over the next five tradings days , otherwise with exits at the end of the fifth trading day , ( calculated , keeping in mind the bears)

12/15 (80%) times  $DJIA closed above the current close at some point of time ( as shown in the Swing High Column ) over the next five trading days , and $DJIA closed below , 12/15 times , the current close at some point of time over the five trading days

{an excel tip} to get the 1K round number would be =QUOTIENT(Close, 1000) 

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