When $VXO drops by 20% in a day

When $VXO drops by 20% in a day

VXO14Jul

h/t for reminding this @QuantEdges for this post  http://quantifiableedges.com/a-20-1-day-decline-in-vxo/ 

below the $SPY trading odds for the longs , for the next 1/2/3/4/5 /10/20 trading days , since $SPY IPO, when $VXO closes down by more than 20% in the day 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 2 11.8 -0.76 -0.29 0.30 -0.90 0.33 -4.42 0.00 -2.65
t+2 17 6 35.3 -1.51 -0.12 0.54 -2.63 0.20 -11.18 0.08 -1.94
t+3 17 5 29.4 -1.17 -0.16 0.45 -1.85 0.25 -7.47 0.09 -2.02
t+4 17 8 47.1 -1.36 -0.03 0.86 -3.33 0.26 -11.91 0.15 -1.58
t+5 17 5 29.4 -1.25 -0.23 1.27 -2.31 0.55 -15.04 0.12 -1.38
t+10 17 7 41.2 -1.78 -0.64 1.06 -3.77 0.28 -17.17 0.16 -1.65
t+20 17 10 58.8 -1.35 0.56 1.67 -5.67 0.29 -13.50 0.31 -1.20
1st +’ve exit in 5 days 17 11 64.7 -1.02 0.25 0.59 -3.98 0.15 -15.04 0.22 -1.13
1st -‘ve exit in 5 days 17 17 100.0 0.83 -0.29 -0.83 NA NA NA NA 3.01

17/17 times  $SPY closed at lower than the current close in the next five trading days .. with an average loss of 83 basis points at the 1st negative  close within in the next five trading days.

below the $SPY returns over the next 1/23/4/5/ trading days when $VXO closes up by more than 20% , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit (%) in 5 days
13-Jul-15 209.76 ?? ?? ?? ?? ?? ??
08-May-15 210.60 -0.48 -0.78 -0.76 0.28 0.38 -0.48
18-Jul-14 193.90 -0.19 0.25 0.47 0.47 0.01 -0.19
02-Jan-13 139.12 -0.22 0.22 -0.06 -0.35 -0.09 -0.22
09-Aug-11 108.22 -4.42 -0.12 0.55 2.68 1.80 -4.42
10-May-10 104.41 -0.29 1.11 -0.15 -1.95 -1.91 -0.29
20-Oct-08 85.75 -2.99 -8.27 -7.21 -11.91 -15.04 -2.99
13-Oct-08 87.95 -1.48 -11.18 -7.47 -8.03 -2.50 -1.48
19-May-08 122.81 -0.81 -2.48 -2.47 -3.78 -3.06 -0.81
13-Nov-07 125.84 -0.28 -1.72 -1.55 -2.92 -2.32 -0.28
18-Sep-07 128.95 0.59 -0.12 0.15 -0.03 -0.23 -0.12
06-Mar-07 117.19 -0.10 0.74 0.77 0.92 -1.04 -0.10
29-Jun-06 105.70 0.01 0.42 -0.15 0.13 -0.52 -0.15
15-Jun-06 104.29 -0.73 -1.52 -1.18 -0.45 -0.88 -0.73
28-Oct-97 67.42 -0.27 -2.46 -0.16 1.94 1.94 -0.27
11-Mar-96 45.53 -0.79 -0.11 0.33 0.26 2.20 -0.79
27-Jun-94 30.62 -0.46 -0.16 -0.78 -0.59 -0.07 -0.46
05-Apr-94 30.41 0.00 0.49 -0.26 0.16 0.00 -0.26

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dozen things about $SPY as on 29th June 2015

dozen things about $SPY as on 29th June 2015

dozen

 

below the $SPY trading odds for the next 1/2/3/4/5 /10/20 trading days , for the dozen things that am watching as of now , on 29th Jun 2015 close ..

OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

1) $SPY down for 4 days in row , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 129 81 62.8 0.39 0.38 1.39 -1.30 1.07 -6.98 1.50 2.07
t+2 129 81 62.8 0.56 0.36 1.90 -1.70 1.12 -9.33 1.80 2.35
t+3 129 85 65.9 0.59 0.72 1.93 -1.99 0.97 -11.53 1.82 2.57
t+4 129 80 62.0 0.63 0.67 2.24 -2.00 1.12 -10.54 1.70 2.45
t+5 129 83 64.3 0.79 0.73 2.57 -2.41 1.06 -12.83 1.79 2.62
t+10 129 77 59.7 0.73 0.56 3.50 -3.37 1.04 -12.89 1.42 1.81
t+20 129 95 73.6 2.29 2.58 4.55 -4.01 1.13 -10.70 3.05 5.14
1st +’ve exit in 5 days 129 118 91.5 0.81 0.66 1.30 -4.42 0.29 -12.83 2.49 3.50

27/28 of the last instances , SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 80 basis points at the 1st positive close within in the next five trading days.

2) $SPY down for 4 days in row , & today’s drop is the worst of all the four days, data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 35 21 60.0 0.40 0.38 1.20 -0.80 1.50 -2.43 1.97 1.74
t+2 35 23 65.7 1.11 0.72 2.30 -1.17 1.96 -4.17 2.96 2.43
t+3 35 22 62.9 0.67 0.89 2.17 -1.88 1.16 -4.31 1.96 1.45
t+4 35 19 54.3 0.02 0.14 1.82 -2.12 0.86 -10.54 1.06 0.04
t+5 35 22 62.9 0.35 0.33 1.98 -2.41 0.82 -6.38 1.49 0.72
t+10 35 23 65.7 0.40 0.50 2.66 -3.92 0.68 -12.89 1.25 0.56
t+20 35 27 77.1 2.27 2.46 4.06 -3.74 1.08 -9.30 3.57 3.01
1st +’ve exit in 5 days 35 33 94.3 1.22 0.78 1.44 -2.33 0.62 -3.83 10.33 3.25

33/35 times , SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 122 basis points at the 1st positive close within in the next five trading days.

3) $SPY posts 7 red candles in row , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 5 55.6 0.39 0.74 1.46 -0.96 1.53 -1.61 1.27 0.84
t+2 9 6 66.7 0.80 1.00 1.54 -0.69 2.25 -0.84 3.02 1.90
t+3 9 8 88.9 1.16 0.33 1.42 -0.90 1.57 -0.90 6.98 1.51
t+4 9 7 77.8 1.30 1.01 2.10 -1.50 1.40 -2.26 3.13 1.55
t+5 9 5 55.6 0.93 0.06 2.15 -0.58 3.70 -0.90 1.18 1.16
t+10 9 4 44.4 -0.51 -0.28 2.90 -3.23 0.90 -7.42 0.19 -0.37
t+20 9 5 55.6 1.21 2.22 4.79 -3.27 1.47 -5.00 1.08 0.80
1st +’ve exit in 5 days 9 9 100.0 0.97 1.00 0.97 NA NA NA NA 3.48

9/9 times , SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 97 basis points at the 1st positive close within in the next five trading days.

4) $SPY posts 2% loss on a Monday, data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 36 24 66.7 0.84 0.86 2.14 -1.75 1.22 -4.48 1.88 1.83
t+2 36 21 58.3 0.88 0.51 2.80 -1.81 1.55 -6.89 1.63 1.67
t+3 36 24 66.7 1.37 1.15 3.26 -2.42 1.35 -13.39 2.16 1.94
t+4 36 22 61.1 1.64 1.30 4.35 -2.61 1.67 -15.49 2.14 2.00
t+5 36 24 66.7 2.04 2.00 4.88 -3.66 1.33 -8.19 2.27 2.33
t+10 36 24 66.7 2.17 1.74 5.49 -4.48 1.23 -13.68 1.95 2.11
t+20 36 25 69.4 3.04 5.41 8.20 -8.69 0.94 -24.63 1.61 1.98
1st +’ve exit in 5 days 36 32 88.9 1.24 1.15 1.96 -4.46 0.44 -8.19 2.54 2.54

32/36 times , SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 124 basis points at the 1st positive close within in the next five trading days.

5) $SPY posts the worst loss in the last one year ( i.e 250 trading days) , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 12 75.0 1.23 0.38 1.84 -0.60 3.10 -1.49 7.03 2.71
t+2 16 10 62.5 0.37 0.18 2.03 -2.41 0.85 -6.65 0.86 0.50
t+3 16 10 62.5 1.17 0.34 2.94 -1.76 1.67 -5.36 1.97 1.37
t+4 16 9 56.3 0.94 1.05 3.73 -2.64 1.41 -6.63 1.50 0.98
t+5 16 11 68.8 0.96 1.14 2.51 -2.43 1.03 -5.98 1.82 1.25
t+10 16 9 56.3 -0.24 0.30 2.88 -4.26 0.68 -9.01 0.60 -0.22
t+20 16 10 62.5 -1.15 1.60 3.98 -9.71 0.41 -24.63 0.56 -0.55
1st +’ve exit in 5 days 16 14 87.5 1.23 0.71 1.80 -2.77 0.65 -3.09 3.87 2.27

14/16 times , SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 123 basis points at the 1st positive close within in the next five trading days.

6) $SPY posts a down Monday preceded by a down Friday , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 149 86 57.7 0.33 0.28 1.25 -0.93 1.34 -4.48 1.56 2.35
t+2 149 87 58.4 0.44 0.29 1.55 -1.12 1.39 -6.89 1.79 2.84
t+3 149 91 61.1 0.48 0.64 1.91 -1.76 1.08 -13.39 1.55 2.10
t+4 149 97 65.1 0.64 0.57 2.03 -1.96 1.03 -15.49 1.79 2.61
t+5 149 92 61.7 0.79 0.51 2.42 -1.84 1.32 -12.83 1.91 3.10
t+10 149 99 66.4 1.29 1.13 3.08 -2.26 1.37 -8.76 2.49 4.43
t+20 147 100 68.0 1.66 2.07 4.26 -3.87 1.10 -15.15 2.11 4.09
1st +’ve exit in 5 days 149 131 87.9 0.63 0.58 1.06 -2.49 0.42 -12.83 2.51 3.85

7) $SPY closes below 5-DMA & 20-DMA & 50-DMA for 3 or more days in row , data since 2013 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 27 18 66.7 0.48 0.91 1.05 -0.65 1.61 -1.26 2.79 2.71
t+2 27 22 81.5 0.96 1.09 1.31 -0.55 2.37 -0.94 8.84 4.92
t+3 27 21 77.8 1.08 0.96 1.62 -0.83 1.95 -1.79 5.83 4.05
t+4 27 22 81.5 1.36 1.16 1.90 -1.01 1.88 -2.74 7.73 4.45
t+5 27 21 77.8 1.75 2.04 2.50 -0.88 2.84 -2.06 9.04 5.25
t+10 27 26 96.3 3.22 3.43 3.50 -4.17 0.84 -4.17 18.70 7.36
t+20 26 26 100.0 5.38 4.88 5.38 INF INF 1.88 NA 12.34
1st +’ve exit in 5 days 27 26 96.3 0.89 1.06 0.93 -0.05 18.62 -0.05 451.11 8.59

8) $SPY closes below Lower Bollinger Band , on a Monday , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 40 24 60.0 0.52 0.51 1.51 -0.96 1.57 -4.48 2.26 1.91
t+2 40 24 60.0 0.53 0.41 1.78 -1.33 1.33 -6.89 1.83 1.64
t+3 40 25 62.5 0.34 0.75 1.91 -2.29 0.83 -13.39 1.51 0.70
t+4 40 29 72.5 0.29 0.62 1.67 -3.34 0.50 -15.49 1.45 0.54
t+5 40 26 65.0 0.84 0.33 2.45 -2.16 1.13 -5.98 2.19 1.63
t+10 40 24 60.0 0.84 1.14 3.48 -3.13 1.11 -9.01 1.82 1.25
t+20 39 28 71.8 2.30 3.82 5.70 -6.36 0.90 -24.63 2.18 1.95
1st +’ve exit in 5 days 40 37 92.5 1.08 0.82 1.39 -2.64 0.53 -3.22 6.16 4.15

9) $VIX is up by more than 30% , and the trading odd for $SPY , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 14 10 71.4 0.96 0.98 1.70 -0.88 1.94 -1.63 3.98 2.14
t+2 14 9 64.3 0.22 0.78 1.95 -2.89 0.67 -6.65 1.13 0.29
t+3 14 9 64.3 0.03 0.85 1.85 -3.25 0.57 -7.38 1.02 0.03
t+4 14 10 71.4 0.63 1.54 2.44 -3.87 0.63 -6.63 1.42 0.70
t+5 14 10 71.4 0.60 0.72 2.07 -3.08 0.67 -5.98 1.33 0.73
t+10 14 6 42.9 -0.81 -1.12 3.32 -3.90 0.85 -9.01 0.46 -0.70
t+20 14 9 64.3 -1.46 0.61 3.33 -10.09 0.33 -24.63 0.55 -0.67
1st +’ve exit in 5 days 14 12 85.7 1.14 1.08 1.79 -2.77 0.65 -3.09 3.67 2.14

10) $VIX closes 3 standard deviations above the 20-day moving average , data since Y2K 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 38 26 68.4 0.53 0.55 1.25 -1.02 1.22 -2.16 2.14 2.23
t+2 38 26 68.4 0.46 0.42 1.42 -1.61 0.88 -6.65 1.61 1.40
t+3 38 22 57.9 0.33 0.39 1.66 -1.50 1.11 -5.36 1.20 0.97
t+4 38 23 60.5 0.50 0.76 2.06 -1.88 1.10 -6.63 1.50 1.23
t+5 38 22 57.9 0.82 0.94 2.33 -1.25 1.86 -3.09 2.44 2.32
t+10 38 22 57.9 0.06 0.39 2.12 -2.76 0.77 -8.03 1.19 0.13
t+20 38 23 60.5 -0.22 1.13 3.13 -5.34 0.59 -15.12 0.92 -0.26
1st +’ve exit in 5 days 38 34 89.5 0.83 0.72 1.14 -1.83 0.62 -3.09 5.80 3.57

11) $SPY closes below S3 pivot point on a Monday , data since Y2K 

S3 as in S3 = (H+L+C)/3-2*(H-L)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 18 12 66.7 0.75 0.82 1.59 -0.95 1.68 -2.79 2.43 1.95
t+2 18 11 61.1 0.81 0.51 2.01 -1.09 1.85 -2.90 1.80 1.62
t+3 18 11 61.1 0.90 0.48 2.07 -0.95 2.18 -2.55 2.61 1.85
t+4 18 12 66.7 1.07 0.61 2.62 -2.02 1.30 -3.25 1.94 1.53
t+5 18 13 72.2 1.12 1.07 2.63 -2.83 0.93 -5.98 1.67 1.31
t+10 18 11 61.1 0.83 0.66 3.59 -3.52 1.02 -9.01 1.08 0.75
t+20 18 8 44.4 0.23 -0.46 7.49 -5.58 1.34 -24.63 0.72 0.11
1st +’ve exit in 5 days 18 17 94.4 1.02 1.01 1.29 -3.73 0.35 -3.73 4.99 2.70

OK enough of bullish stories

12) $SPY during the last trading day of the month , during last 12 instances

Winners : 2
Losers : 10
% Winners : 17%
Average Change % : -0.51
Median Change % : -0.48
Maximum Gain % : 1.14
Maximum Loss % : -1.97
Average Gain %if Winner : 0.71
Average Loss % if Loser : -0.76
Payoff Ratio 0.94
Profit Factor : 0.18
Date $SPY Change Change %
30-Jun-15 205.47 ?? ??
29-May-15 210.12 -1.31 -0.62
30-Apr-15 207.45 -2.10 -1.00
31-Mar-15 205.43 -1.81 -0.87
27-Feb-15 208.71 -0.71 -0.34
30-Jan-15 197.60 -2.52 -1.26
31-Dec-14 203.64 -2.04 -0.99
28-Nov-14 204.15 -0.43 -0.21
31-Oct-14 198.70 2.25 1.14
30-Sep-14 194.12 -0.51 -0.26
29-Aug-14 196.84 0.56 0.28
31-Jul-14 189.37 -3.81 -1.97
30-Jun-14 191.95 -0.10 -0.05

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when $VIX is up more by than 20% ++ in a day

when $VIX is up more by than 20% ++ in a day

29 Jun 2015 $VIX stock chartwith $VIX currently up by by 22.4% at the time of writing , below the trading strategy

  • $VIX closes up by more than 20% for the day

below the $SPY trading odds for the longs , for the next 1/2/3/4/5 /10/20 trading days , since Y2K, when $VIX closes up by more than 20% in the day 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 47 32 68.1 0.80 0.51 1.56 -0.80 1.94 -2.79 3.06 3.23
t+2 47 28 59.6 0.46 0.20 1.84 -1.58 1.16 -6.65 1.26 1.34
t+3 47 29 61.7 0.63 0.55 2.15 -1.82 1.18 -7.38 1.34 1.51
t+4 47 32 68.1 1.04 1.10 2.52 -2.14 1.18 -6.63 1.79 2.47
t+5 47 32 68.1 1.17 1.24 2.52 -1.72 1.47 -5.98 2.30 2.82
t+10 47 29 61.7 0.61 0.78 2.96 -3.19 0.93 -9.01 1.31 1.13
t+20 47 29 61.7 0.13 1.38 3.82 -5.83 0.66 -24.63 1.12 0.14
1st +’ve exit in 5 days 47 43 91.5 1.04 0.75 1.39 -2.79 0.50 -3.36 3.89 3.98

43/47 times  $SPY closed at higher than the current close in the next five trading days .. with an average gain of 104 basis points at the 1st positive close within in the next five trading days.

OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the $SPY returns over the next 1/23/4/5/ trading days when $VIX closes up by more than 20% , since Y2K

Date $SPY $VIX % t+1% t+2% t+3% t+4% t+5% 1st +’ve (%)exit in 5 days
29-Jun-15 ~207.45 23.25 ?? ?? ?? ?? ?? ??
31-Dec-14 203.64 20.60 -0.05 -1.86 -2.78 -1.57 0.18 0.18
10-Dec-14 200.17 20.72 0.51 -1.12 -1.80 -2.58 -0.67 0.51
09-Oct-14 189.91 24.16 -1.14 -2.77 -2.61 -3.27 -3.36 -3.36
31-Jul-14 189.37 27.16 -0.31 0.41 -0.56 -0.53 -1.07 0.41
17-Jul-14 191.94 32.18 1.02 0.83 1.27 1.50 1.50 1.02
24-Jan-14 173.84 29.85 -0.49 0.10 -0.86 0.19 -0.40 0.10
20-Jun-13 152.51 23.14 0.32 -0.95 0.01 1.00 1.59 0.32
15-Apr-13 148.41 43.20 1.48 -0.01 -0.63 0.23 0.68 1.48
25-Feb-13 141.92 34.02 0.68 1.95 1.75 2.09 2.63 0.68
09-Nov-11 114.04 31.59 0.94 2.84 1.87 2.37 0.75 0.94
31-Oct-11 116.21 22.14 -2.79 -1.20 0.60 -0.02 0.61 0.60
18-Aug-11 105.49 35.12 -1.63 -1.55 1.69 3.12 1.55 1.69
10-Aug-11 103.44 22.62 4.49 5.19 7.42 6.50 6.57 4.49
08-Aug-11 103.42 50.00 4.65 0.03 4.52 5.22 7.45 4.65
04-Aug-11 110.78 35.41 -0.15 -6.65 -2.31 -6.63 -2.44 -2.44
16-Mar-11 115.16 20.89 1.32 1.69 3.27 2.91 3.20 1.32
22-Feb-11 120.32 26.60 -0.61 -0.68 0.38 1.00 -0.68 0.38
28-Jan-11 116.57 24.09 0.75 2.36 2.17 2.40 2.69 0.75
04-Jun-10 96.01 20.43 -1.25 -0.19 -0.72 2.18 2.68 2.18
20-May-10 96.66 29.64 1.46 0.16 0.26 -0.34 2.99 1.46
07-May-10 100.00 24.85 4.40 4.11 5.56 4.25 2.36 4.40
06-May-10 101.51 31.67 -1.49 2.85 2.56 3.99 2.70 2.85
27-Apr-10 106.49 30.57 0.76 2.01 0.28 1.58 -0.81 0.76
04-Feb-10 95.28 20.74 0.21 -0.52 0.73 0.54 1.59 0.21
22-Jan-10 97.76 22.63 0.51 0.09 0.57 -0.59 -1.67 0.51
27-Nov-09 97.55 20.80 0.34 1.58 1.53 0.74 1.31 0.34
30-Oct-09 92.20 23.95 0.73 1.05 1.31 3.18 3.45 0.73
20-Jan-09 70.49 22.86 4.32 2.71 3.15 3.86 4.91 4.32
01-Dec-08 71.26 23.93 3.85 6.35 3.89 7.09 10.83 3.85
22-Oct-08 78.66 31.14 1.16 -3.97 -7.38 3.44 2.69 1.16
15-Oct-08 78.12 25.61 4.17 3.54 9.76 6.49 0.69 4.17
29-Sep-08 96.66 34.48 4.14 4.20 0.42 -0.93 -5.98 4.14
15-Sep-08 103.62 23.54 1.67 -2.90 -0.02 3.95 1.60 1.67
06-Jun-08 117.01 26.46 0.24 -0.26 -1.72 -1.35 -0.10 0.24
07-Nov-07 125.69 23.84 -0.51 -1.87 -2.85 0.11 -0.16 0.11
01-Nov-07 128.35 25.26 0.11 -0.65 0.69 -2.07 -2.56 0.11
19-Oct-07 127.19 24.11 0.58 1.40 1.21 1.45 2.64 0.58
09-Aug-07 122.97 23.45 -0.47 -0.11 -1.64 -2.99 -2.26 -2.26
13-Mar-07 115.97 29.59 0.75 0.88 0.60 1.81 2.37 0.75
27-Feb-07 117.02 64.22 1.03 0.72 -0.59 -1.54 0.14 1.03
13-Jul-06 102.99 22.77 -0.39 -0.53 -0.02 1.36 0.67 1.36
30-May-06 104.27 30.86 1.12 2.09 2.30 0.81 0.56 1.12
17-May-06 104.89 21.80 -0.50 0.20 -0.57 -1.32 -0.54 0.20
20-Jan-06 103.75 21.54 0.36 0.46 0.55 1.10 2.04 0.36
15-Apr-05 92.75 22.09 0.31 1.10 -0.31 1.63 1.24 0.31
03-Sep-02 68.34 22.46 1.43 0.57 1.95 2.70 3.87 1.43
17-Sep-01 79.65 31.16 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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check out the new look of the paststat

Bullish setup on $VXX !! as on 9 Apr 2015

Bullish setup on $VXX !! as on 9 Apr 2015

Bullish Setup on $VXXwith $VXX closing down for six days in row , below trading setup

  • $VXX closes down for 6 or more days in row
  • Below the trading odds for $VXX for going long ,  and exiting after 1/2/3/4/5/10/20 trading days , since Apr 2010 ( i.e previous five years of historical data)
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 30 18 60.0 0.73 0.30 1.86 -0.97 1.91 -2.07 1.86 1.33 2.14 1.86
t+2 30 20 66.7 1.41 0.90 2.70 -1.17 2.31 -2.36 4.62 3.46 2.94 2.63
t+3 30 19 63.3 1.39 1.42 3.23 -1.78 1.81 -4.28 5.79 4.18 3.20 2.38
t+4 30 17 56.7 0.79 0.64 3.88 -3.24 1.20 -9.08 4.58 3.16 4.51 0.96
t+5 30 17 56.7 0.75 0.41 3.92 -3.40 1.15 -7.91 4.23 3.10 4.77 0.86
t+10 30 9 30.0 -2.01 -4.80 8.94 -6.71 1.33 -13.02 0.80 0.46 9.10 -1.21
t+20 30 6 20.0 -9.68 -12.67 6.47 -13.72 0.47 -21.72 0.14 0.09 9.84 -5.39
1st +’ve exit in 5 days 30 29 96.7 1.62 1.35 1.81 -3.61 0.50 -3.61 23.96 20.23 1.95 4.55

29/30 times $VXX closed higher than the entry at some point of time in the next 5 trading days , with an average gain of 162 bps at the 1st +’ve close ..

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

1st + ‘ve exit in 5 days assumes , one goes long at current close and exits at higher close than the entry in the next 5 trading days , otherwise exit with a loss at the end of the 5th trading day .. ( 16th Apr 2015)

below the historical returns of $VXX , when ever it closed down for 6 or more days in row , since Apr 2010 

Date $VXX # down days t+1% t+2% t+3% t+4% t+5% 1st +’ve %
09-Apr-15 23.14 6 ?? ?? ?? ?? ?? ??
02-Jun-14 33.38 6 0.36 -0.69 -4.28 -9.08 -7.91 0.36
22-Apr-14 40.89 6 0.27 1.61 2.30 0.15 -1.69 0.27
15-Nov-13 47.03 6 0.00 1.23 -0.81 -4.06 -5.49 1.23
11-Jul-13 68.72 6 0.99 -1.22 1.34 -2.15 -3.78 0.99
12-Feb-13 89.48 6 0.54 -0.94 -1.79 -6.03 2.06 0.54
24-Sep-12 137.12 6 7.93 11.67 1.87 5.02 6.07 7.93
10-Jan-12 490.24 6 1.70 0.07 2.77 1.89 -1.60 1.70
06-Dec-11 648.64 7 2.94 7.82 0.17 0.69 0.17 2.94
05-Dec-11 651.04 6 -0.37 2.56 7.42 -0.20 0.32 2.56
28-Apr-11 370.40 7 0.04 3.15 5.27 6.48 9.50 0.04
27-Apr-11 374.88 6 -1.20 -1.15 1.92 4.01 5.21 1.92
06-Apr-11 450.88 7 0.71 2.63 1.67 2.63 0.89 0.71
05-Apr-11 452.64 6 -0.39 0.32 2.23 1.27 2.23 0.32
25-Mar-11 485.92 7 1.32 -1.25 -3.03 -3.29 -4.21 1.32
24-Mar-11 486.56 6 -0.13 1.18 -1.38 -3.16 -3.42 1.18
08-Feb-11 454.72 7 0.32 0.32 -1.41 -2.43 -1.09 0.32
07-Feb-11 460.32 6 -1.22 -0.90 -0.90 -2.61 -3.61 -3.61
18-Jan-11 488.96 6 5.30 4.22 5.46 3.34 2.06 5.30
05-Jan-11 573.28 6 0.28 0.61 0.47 -2.48 -6.70 0.28
10-Dec-10 610.08 8 1.47 2.02 4.35 2.31 0.50 1.47
09-Dec-10 616.64 7 -1.06 0.39 0.93 3.24 1.22 0.39
08-Dec-10 624.80 6 -1.31 -2.36 -0.92 -0.38 1.90 1.90
13-Oct-10 908.51 7 3.52 1.55 -1.20 1.97 -3.17 3.52
12-Oct-10 927.70 6 -2.07 1.38 -0.55 -3.24 -0.14 1.38
15-Sep-10 1107.49 6 0.40 -0.87 -3.35 -3.00 -1.44 0.40
13-Jul-10 1599.49 8 3.72 2.80 9.48 6.12 0.68 3.72
12-Jul-10 1614.84 7 -0.95 2.73 1.82 8.44 5.11 2.73
09-Jul-10 1634.68 6 -1.21 -2.15 1.49 0.59 7.12 1.49
18-Jun-10 1603.97 7 1.64 5.66 6.54 13.08 10.57 1.64
17-Jun-10 1632.76 6 -1.76 -0.16 3.80 4.66 11.09 3.80

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$VIX after 4th Friday of October

$VIX after 4th Friday of October

 

Have no Idea , why the $VIX spikes the day after fourth Friday of October ,

below the trading odds for the VIX cash index ( note that this information may not actually be tradable , but good to know ) , from the close of 4th Friday till the next 1/2/3/4/5 trading days , since 1990

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 24 19 79.2 5.36 3.31 7.25 -1.82 3.99 -3.82 16.70 12.34
t+2 24 16 66.7 5.17 2.92 10.64 -5.78 1.84 -15.38 2.08 1.52
t+3 24 14 58.3 5.22 3.49 12.84 -5.46 2.35 -11.59 2.28 1.67
t+4 24 14 58.3 4.25 3.46 12.71 -7.59 1.67 -20.51 1.39 0.85
t+5 24 12 50.0 3.89 0.64 15.26 -7.48 2.04 -24.31 1.17 0.81

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

Below the historical %age change details of VIX cash index , since 1990 , from the close of 4th Friday of October , since 1990

Date VIX t+1% t+2% t+3% t+4% t+5%
24-Oct-14 16.11 ?? ?? ?? ?? ??
25-Oct-13 13.09 1.68 2.44 4.28 5.04 1.45
26-Oct-12 17.81 4.44 -6.29 -1.24 3.43 -1.29
28-Oct-11 24.53 22.14 41.74 33.47 24.34 22.95
22-Oct-10 18.78 5.7 7.67 10.28 11.18 12.89
23-Oct-09 22.27 9.16 11.5 25.33 11.18 37.81
24-Oct-08 79.13 1.18 -15.38 -11.59 -20.51 -24.31
26-Oct-07 19.56 1.58 7.72 -5.27 18.66 17.64
27-Oct-06 10.8 3.7 2.78 6.57 5.74 3.33
28-Oct-05 14.25 7.51 4.21 -5.4 -8.77 -7.58
22-Oct-04 15.28 8.51 7.26 2.88 0.72 6.48
24-Oct-03 17.71 1.92 -5.03 -7.23 -7.79 -9.09
25-Oct-02 30 3.57 7.57 4.1 3.8 -2.33
26-Oct-01 28.42 11.33 17.73 18.09 13.69 8.06
27-Oct-00 26.47 -3.82 -10.73 -8.27 -9.63 -10.58
22-Oct-99 21.64 9.06 12.11 11.83 -1.39 2.59
23-Oct-98 32.27 0.34 2.11 0.46 -8.58 -13.08
24-Oct-97 23.17 34.31 34.74 45.66 64.87 51.45
25-Oct-96 17.29 6.07 5.73 6.88 4.74 3.47
27-Oct-95 14.63 -2.53 -5.47 -8.34 -9.84 -16.2
28-Oct-94 14.56 0 1.92 5.36 7.01 15.04
22-Oct-93 11.48 3.05 3.05 4.62 3.48 -0.17
23-Oct-92 16.46 -0.85 -1.34 -3.1 -6.01 -1.88
25-Oct-91 15.75 -1.9 -1.27 -1.84 -1.71 -0.95
26-Oct-90 30.75 2.57 -0.75 -2.31 -1.63 -2.34

As the VXX started trading since 2009 only , below the $VXX change % details , from the close of 4th Friday of October

Date $VXX t+1% t+2% t+3% t+4% t+5%
24-Oct-14 33.17 ?? ?? ?? ?? ??
25-Oct-13 51.36 0.55 -0.08 0.86 0.7 -0.08
26-Oct-12 145.2 1.96 -6.2 -3.77 -2.04 -5.43
28-Oct-11 580.16 10.62 26.64 22.72 16.69 19.28
22-Oct-10 820.86 -1.4 0.7 2.18 1.71 2.1
23-Oct-09 2707.61 3.26 2.03 9.1 3.54 13.94

5/5 times $VXX closed higher over the next two trading days , either at the first trading day or at the second trading trading from 4th Friday of October

below the $SPY trading odds 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 % PF OAPF
t+1 21 9 42.9 -0.74 -0.08 0.41 -1.61 0.25 -7.24 0.21 0.15
t+2 21 12 57.1 -0.06 0.15 1.38 -1.98 0.70 -5.14 0.92 0.56
t+3 21 12 57.1 0.01 0.02 1.45 -1.90 0.76 -4.10 1.00 0.65
t+4 21 12 57.1 0.69 0.35 2.46 -1.67 1.47 -4.32 1.85 1.23
t+5 21 14 66.7 0.87 0.41 2.38 -2.14 1.11 -4.18 2.09 1.45

from the $SPY point of view most the damage looks to be on the first trading day after the 4th friday of october

by removing the Asian Financial Crisis  out-liar of 1997 ,

below the $SPY trading odds 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 % PF OAPF
t+1 20 9 45.0 -0.42 -0.04 0.41 -1.09 0.37 -3.55 0.31 0.22
t+2 20 12 60.0 0.03 0.19 1.38 -1.99 0.69 -5.14 1.00 0.61
t+3 20 12 60.0 0.12 0.09 1.45 -1.87 0.78 -4.10 1.12 0.72
t+4 20 12 60.0 0.94 0.56 2.46 -1.34 1.83 -1.85 2.40 1.59
t+5 20 14 70.0 1.02 0.71 2.38 -2.15 1.10 -4.18 2.35 1.63

below the $SPY change % details

Date $SPY t+1% t+2% t+3% t+4% t+5%
24-Oct-14 196.43 ?? ?? ?? ?? ??
25-Oct-13 172.59 0.16 0.7 0.2 -0.09 0.15
26-Oct-12 135.68 0 1.05 0.15 0.35 1.14
28-Oct-11 120.86 -2.42 -5.14 -3.58 -1.83 -2.42
22-Oct-10 109.06 0.29 0.31 0.02 0.04 0.12
23-Oct-09 97.66 -1.08 -1.54 -3.39 -1.32 -4.18
24-Oct-08 76.66 -3.55 7.72 6.94 10.64 11.26
26-Oct-07 132.49 0.33 -0.36 0.67 -1.68 -1.57
27-Oct-06 116.76 -0.08 -0.09 -0.76 -0.82 -0.99
28-Oct-05 99.61 0.28 0.58 1.63 2.07 1.93
22-Oct-04 89.66 -0.12 1.41 2.62 2.93 2.91
24-Oct-03 83.09 0.05 1.41 1.54 1.76 1.66
25-Oct-02 71.18 -0.65 -1.8 -0.86 -1.85 0.08
26-Oct-01 85.83 -2.61 -3.77 -4.1 -1.64 -0.97
27-Oct-00 107.03 0.9 2.63 2.29 2.46 2.51
22-Oct-99 98.99 -0.51 -1.76 0.02 3.43 5.31
23-Oct-98 80.36 0.73 0.15 -0.02 2.4 2.96
24-Oct-97 69.75 -7.24 -1.89 -2.15 -4.32 -2.06
25-Oct-96 51.33 -0.66 0.14 -0.19 0.76 0.41
27-Oct-95 41.6 0.65 0.22 1.01 1.66 1.8
28-Oct-94 33.24 -0.36 -1.47 -2.02 -1.5 -2.77
22-Oct-93 31.54 0.29 0.22 0.29 1.01 1.01

back to back $VXO 10 % gains , and $SPY returns forward , $STUDY

back to back $VXO 10 % gains $STUDY

$VXO back to back to 10% gains for two days in row

with CBOEO EX implied Volatility$VXO gaining above 10% for two day’s in row ,

below the $SPY returns going forward for the next 1/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF Std T-Test
t+1 30 27 90.0 1.53 0.80 1.74 -0.37 4.75 -0.70 43.15 32.67 2.63 3.18
t+2 30 25 83.3 1.42 1.27 1.94 -1.21 1.61 -2.58 8.59 6.86 2.59 3.00
t+3 30 24 80.0 1.01 0.92 1.46 -0.76 1.92 -1.88 10.43 8.98 1.41 3.92
t+4 30 25 83.3 1.13 1.33 1.80 -2.22 0.81 -5.55 5.54 4.96 2.05 3.00
t+5 30 25 83.3 1.40 1.27 1.96 -1.41 1.40 -2.25 8.21 7.36 1.81 4.24
t+10 30 21 70.0 1.05 1.38 2.77 -2.96 0.94 -16.97 2.71 2.27 4.12 1.40
t+20 30 22 73.3 2.64 2.95 4.45 -2.32 1.92 -5.18 4.65 4.02 3.73 3.88
1st +’ve exit in 5 days 30 30 100.0 1.62 0.86 1.62 NA NA NA NA NA 2.59 3.42

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

1st +’ve exit in 5 day’s , assumes the trader is long at the current close and exits at the first higher close than the current close ( i.e 23rd Sep 2014 close ) , other wise exit with a loss at the end of the fifth trading day ( i.e . 30th Sep 2014)

30/30 ( 100%)  times $SPY closed higher with an average gain of -1.62% , and the median gain of 0.86% , at some point of time in the next five trading days

below the historical instances of $SPY , forward returns , when $VXO gained by 10% for two day’s in row , since Feb 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
23-Sep-14 198.01 ?? ?? ?? ?? ??
08-Jul-14 195.33 0.45 0.05 0.19 0.69 0.5
11-Apr-14 179.8 0.79 1.48 2.55 2.69 3.05
14-Mar-14 182.12 0.91 1.63 1.08 1.67 1.28
03-Feb-14 171.77 0.7 0.58 1.9 3.17 3.35
12-Jun-13 157.06 1.52 0.89 1.67 2.47 1.05
26-Sep-12 137.55 0.94 0.47 0.73 0.84 1.25
10-Apr-12 129.09 0.81 2.13 0.91 0.84 2.34
01-Nov-11 114.65 1.64 3.49 2.86 3.5 4.82
16-Mar-11 116.88 1.33 1.69 3.27 2.91 3.21
07-May-10 101.49 4.4 4.11 5.57 4.26 2.36
22-Jan-10 99.22 0.5 0.09 0.56 -0.59 -1.67
06-Nov-08 80.03 3.3 1.95 -1.2 -5.55 0.34
10-Oct-08 77.95 14.52 12.83 1.72 5.95 5.32
27-Jul-07 124.56 1.57 0.43 0.92 1.72 -0.9
07-Jun-07 127.44 1.3 1.48 0.37 1.87 2.52
27-Nov-06 117.19 0.44 1.48 1.53 1.3 2.07
13-Jul-06 104.52 -0.38 -0.53 -0.02 1.37 0.67
13-Jun-06 102.85 0.77 2.91 2.16 1.35 1.7
06-Aug-04 86.74 0.14 1.43 1.22 0.12 0.31
11-Mar-04 89.56 1.32 0.07 0.6 1.73 1.75
27-Jan-03 67.57 0.74 1.49 -0.9 1.01 1.2
12-Mar-01 91.02 1.64 -0.36 -0.34 -2.34 -0.35
12-Oct-00 102.3 3.33 3.8 1.22 0.84 4.64
03-May-00 107.63 0.76 1.98 1.22 0.4 -1.86
13-Oct-99 97.54 -0.02 -2.58 -1.88 -0.92 0.05
12-Jan-99 93.77 -0.7 -2.44 0.1 0.75 1.56
01-Oct-98 74.32 1.94 -0.12 -0.22 -1.71 -2.25
23-Jul-96 45.53 0.2 1.1 1.65 0.53 1.49
10-Jan-96 43.14 0.58 0.44 0.23 1.46 1.14
04-Nov-93 31.18 0.48 0.61 0.71 1.44 1.15

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when $VIX closes above Upper Bollinger Band

when $VIX closes above Upper Bollinger Band

$VIX close above Upper Bollinger Band Stock ChartthanQ for reminding

@anilvohra69

&&

a post by @gambulator  -> VIX above BB band EOD 7/17/2014

below,  the trading strategy rules ,

  • $VIX closes above upper bollinger band && ( important note , bollinger bands were based on 20 day average and 3 standard deviations )
  • $SPY close is above 200-DMA

below the trading odds for the$SPY longs for the next 1/2/3/4/5/10/20 trading days ,data since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 30 22 73.3 0.67 0.64 1.27 -0.98 1.29 -1.97 3.03 2.55
t+2 30 25 83.3 1.05 0.44 1.33 -0.36 3.65 -0.89 17.02 14.29
t+3 30 22 73.3 0.91 0.75 1.60 -0.98 1.63 -1.85 3.74 3.13
t+4 30 22 73.3 1.17 1.28 1.98 -1.07 1.85 -2.35 4.67 4.03
t+5 30 22 73.3 1.35 1.36 2.16 -0.89 2.43 -1.67 5.73 5.03
t+10 30 18 60.0 0.93 0.35 2.64 -1.62 1.63 -4.78 2.42 2.08
t+20 30 19 63.3 1.18 1.82 3.52 -2.85 1.23 -9.00 2.08 1.78
1st +’ve exit in 5 days 30 29 96.7 1.09 0.72 1.14 -0.29 3.92 -0.29 89.81 77.68

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

29/30 times $SPY closed higher at some point of time in the next five trading days , with an average gain of 1.1% , the only time it failed to close above the entry point was on 26th July 2007  ( apparently due to Wall Street fretting about credit, housing markets, energy prices.)

below historical instances of  $SPY ,  when $VIX closed above Upper Bollinger Band and while $SPY close is above 200-DMA , since 1994

Date Adj Close t% t+1% t+2% t+3% t+4% t+5%
17-Jul-14 195.71 -1.14 ?? ?? ?? ?? ??
14-Mar-14 182.97 -0.28 0.91 1.62 1.08 1.67 1.28
24-Jan-14 177.25 -2.14 -0.49 0.1 -0.86 0.19 -0.39
15-Apr-13 151.33 -2.32 1.47 -0.01 -0.63 0.23 0.67
25-Feb-13 144.72 -1.9 0.68 1.95 1.75 2.09 2.63
28-Dec-12 136 -1.08 1.71 4.31 4.07 4.53 4.24
10-Apr-12 129.69 -1.68 0.81 2.13 0.92 0.85 2.34
09-Apr-12 131.91 -1.12 -1.68 -0.89 0.41 -0.78 -0.85
16-Mar-11 117.43 -1.85 1.32 1.69 3.27 2.91 3.2
07-May-10 101.97 -1.49 4.4 4.11 5.56 4.25 2.36
06-May-10 103.51 -3.32 -1.49 2.85 2.56 3.99 2.7
27-Apr-10 108.59 -2.36 0.76 2.01 0.28 1.57 -0.81
22-Jan-10 99.68 -2.23 0.51 0.09 0.57 -0.58 -1.67
01-Sep-09 90.53 -2.21 -0.38 0.45 1.87 2.74 3.52
19-Oct-07 129.69 -2.61 0.59 1.4 1.21 1.45 2.64
27-Jul-07 125.15 -1.97 1.56 0.42 0.9 1.71 -0.9
26-Jul-07 127.66 -2.36 -1.97 -0.44 -1.56 -1.08 -0.29
07-Jun-07 128.04 -1.8 1.3 1.47 0.37 1.87 2.51
27-Feb-07 119.32 -3.91 1.02 0.72 -0.6 -1.54 0.14
17-May-06 106.95 -1.91 -0.5 0.2 -0.56 -1.32 -0.53
12-May-06 108.97 -1.3 0.2 0.06 -1.85 -2.35 -1.66
20-Jan-06 105.79 -1.82 0.36 0.46 0.55 1.11 2.04
11-Mar-04 89.98 -1.29 1.31 0.07 0.6 1.72 1.76
10-Mar-04 91.16 -1.68 -1.29 0 -1.23 -0.7 0.41
25-Mar-98 82.69 -0.36 -0.06 -0.48 -0.54 -0.21 0.6
27-Oct-97 65 -7.25 5.77 5.48 3.15 5.58 7.82
08-Mar-96 45.89 -3.25 1.15 0.37 1.07 1.5 1.44
18-Dec-95 43.81 -1.93 1.05 0.09 0.59 0.96 1.44
07-Mar-95 34.22 -0.75 0.26 0.2 1.69 1.61 2.34
12-Sep-94 32.64 -0.31 0.31 0.4 1.69 0.95 1.04
04-Feb-94 32.32 -2.27 0.46 0.53 0.93 0.06 0.4

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when $VXO spikes by 10 %

when  $VXO spikes by 10 %

 

$ VXO Stock Chart

 

below the trading odds for $SPY , when $VXO spikes by more than 10% in a day , since Jan 2000 , 

for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 277 170 61.4 0.28 0.28 1.13 -1.07 1.05 -7.42 1.70 1.60
t+2 277 161 58.1 0.49 0.38 1.79 -1.31 1.37 -7.03 1.89 1.82
t+3 277 167 60.3 0.40 0.51 1.87 -1.84 1.02 -13.39 1.60 1.57
t+4 277 171 61.7 0.47 0.69 2.15 -2.25 0.96 -15.50 1.62 1.58
t+5 277 177 63.9 0.70 1.00 2.43 -2.37 1.03 -18.91 1.90 1.87

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

if $VXO spikes by 10% or more on Tuesday , ( the most profitable day lately ) ,

below the trading odds for $SPY , if $VXO spikes by more than 10% on  a Tuesday , since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 58 43 74.1 0.58 0.65 1.06 -0.81 1.30 -2.34 3.44 3.10
t+2 58 42 72.4 0.98 0.98 1.88 -1.39 1.35 -4.32 3.52 3.30
t+3 58 39 67.2 0.79 0.62 1.88 -1.46 1.29 -5.33 2.58 2.41
t+4 58 41 70.7 0.76 0.92 1.88 -1.93 0.97 -5.77 2.46 2.31
t+5 58 39 67.2 0.99 1.14 2.23 -1.56 1.43 -4.07 3.11 2.93
t+10 58 41 70.7 1.49 1.72 3.38 -3.05 1.11 -11.55 2.76 2.57
t+20 58 33 56.9 1.00 1.16 4.28 -3.34 1.28 -18.35 1.73 1.59
1st +’ve exit in 5 days 58 53 91.4 0.79 0.74 1.08 -2.29 0.47 -4.07 5.30 4.89

only 5 out of 53 times $SPY failed to close above the entry price at some point of time , in the next five trading days !

below the historical instances of $VXO 10% or more gains on Tuesday , along with the $SPY returns for the next five trading days

 

Date $SPY $VXO $VXO Gain % t+1% t+2% t+3% t+4% t+5%
24-Jun-14 194.70 10.38 17.16 ?? ?? ?? ?? ??
06-May-14 185.89 13.14 10.98 0.59 0.48 0.63 1.61 1.70
15-Oct-13 167.24 16.91 13.41 1.40 2.07 2.76 2.77 3.37
27-Aug-13 160.18 16.41 14.44 0.36 0.52 0.20 0.65 1.49
11-Jun-13 159.11 16.77 13.01 -0.82 0.69 0.05 0.82 1.62
23-Oct-12 136.39 18.06 17.73 -0.29 0.01 -0.05 -0.05 1.00
25-Sep-12 138.97 13.93 11.89 -0.56 0.37 -0.09 0.17 0.28
24-Jul-12 128.48 19 10.53 0.02 1.67 3.54 3.54 2.82
10-Apr-12 129.69 19.66 12.02 0.81 2.13 0.92 0.85 2.34
06-Mar-12 128.04 18.03 17.92 0.70 1.69 2.09 2.10 3.94
01-Nov-11 115.19 34.47 21.76 1.63 3.48 2.86 3.49 4.82
25-Oct-11 116.18 30.85 11.41 1.02 4.54 4.51 2.00 -0.85
15-Mar-11 119.64 23.48 13.38 -1.85 -0.55 -0.18 1.36 1.01
01-Mar-11 121.85 19.45 17.59 0.21 1.94 1.17 0.39 1.26
22-Feb-11 122.69 18.74 30.41 -0.62 -0.68 0.37 1.00 -0.68
30-Nov-10 109.70 23.22 12.99 2.12 3.43 3.71 3.60 3.66
23-Nov-10 109.66 19.54 13.94 1.48 0.29 0.60 0.04 2.16
16-Nov-10 109.39 21.85 12.51 0.05 1.53 1.80 1.72 0.25
19-Oct-10 108.07 20.15 10.23 0.97 1.19 1.39 1.68 1.70
07-Sep-10 100.96 22.63 11.81 0.70 1.17 1.68 2.81 2.74
29-Jun-10 95.96 33.11 22.36 -0.95 -1.39 -1.93 -1.28 1.82
01-Jun-10 98.55 34.86 13.07 2.61 2.95 -0.66 -1.90 -0.84
18-May-10 103.01 31.51 13.10 -0.56 -4.32 -2.92 -4.16 -4.07
04-May-10 107.71 22.29 23.22 -0.60 -3.90 -5.33 -1.16 -1.44
27-Apr-10 108.59 21.08 31.09 0.76 2.01 0.28 1.57 -0.81
23-Feb-10 100.23 20.73 10.68 0.92 0.78 0.85 1.90 2.17
01-Sep-09 90.53 27.72 16.42 -0.38 0.45 1.87 2.74 3.52
17-Feb-09 70.67 48.54 13.54 -0.24 -1.32 -2.28 -5.77 -2.19
20-Jan-09 71.88 56.25 22.68 4.31 2.70 3.14 3.85 4.91
09-Sep-08 108.41 27.88 12.78 0.41 1.85 2.32 -2.54 -0.91
20-May-08 124.21 18.42 43.23 -1.69 -1.67 -2.99 -2.27 -1.82
05-Feb-08 116.84 30.1 12.15 -0.80 -0.15 -0.79 -0.28 0.64
22-Jan-08 113.87 33.24 10.84 2.41 3.27 1.77 3.46 3.97
11-Dec-07 128.17 24.47 11.18 0.98 0.77 -0.50 -1.92 -1.37
30-Oct-07 132.63 21.41 10.02 1.04 -1.33 -1.21 -1.97 -0.65
28-Aug-07 123.95 26.41 20.32 1.96 1.69 2.69 3.73 2.83
31-Jul-07 125.67 25.18 17.72 0.49 1.29 -1.31 0.34 1.41
24-Jul-07 130.48 19.03 14.98 0.21 -2.16 -4.08 -2.59 -3.69
10-Jul-07 130.16 17.22 19.75 0.71 2.30 2.60 2.59 2.54
13-Mar-07 118.25 17.57 29.57 0.74 0.88 0.60 1.81 2.37
27-Feb-07 119.32 18.85 70.28 1.02 0.72 -0.60 -1.54 0.14
13-Jun-06 103.33 22.25 13.00 0.77 2.91 2.16 1.35 1.70
30-May-06 106.32 17.85 36.47 1.12 2.09 2.30 0.81 0.56
28-Feb-06 107.69 11.84 12.98 0.88 0.88 0.41 -0.05 -0.20
27-Dec-05 105.37 11.3 14.49 0.22 -0.23 -0.77 0.98 1.46
31-May-05 98.99 12.5 11.01 0.85 1.07 0.56 0.46 0.55
10-May-05 96.60 14.17 12.37 0.55 -0.56 -0.76 0.18 0.84
22-Feb-05 97.87 12.83 16.11 0.73 1.39 2.39 1.72 2.22
13-Apr-04 91.99 17.5 13.34 0.16 -0.22 0.55 0.55 -1.14
03-Sep-02 69.68 43.86 22.51 1.44 0.57 1.95 2.70 3.87
02-Jul-02 74.96 33.64 10.08 0.57 4.58 3.27 0.67 -3.00
29-Jan-02 86.49 26.26 20.62 1.45 2.64 2.15 -0.38 -1.01
03-Apr-01 85.72 39.33 13.18 0.41 4.22 2.64 3.78 5.67
02-Jan-01 99.75 34.2 13.13 4.81 3.68 0.29 1.07 0.80
17-Oct-00 104.03 32.71 10.88 -0.37 3.38 3.83 4.30 3.60
02-May-00 110.73 30.87 12.99 -2.34 -1.61 -0.42 -1.16 -1.95
07-Mar-00 105.03 26.63 14.34 -0.13 2.79 2.24 1.12 -0.31
18-Jan-00 111.74 23.31 10.74 0.81 -0.72 -0.94 -3.75 -2.66
04-Jan-00 107.10 29.64 20.05 0.18 -1.44 4.30 4.65 3.40

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when $VXX and $SPY moves in the same direction

when $VXX and $SPY moves in the same direction

with both $VXX and $SPY moving in the same direction for the last three trading days , below the trading odds for $SPY for the next 1/2/3/4/5 trading days , when ever $SPY and $VXX moved in the same direction for three or more trading days , since $VXX started trading

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 10 6 60.0 -0.02 0.10 0.42 -0.69 0.61 -2.00 1.05 0.73
t+2 10 7 70.0 0.08 0.35 0.58 -1.07 0.54 -2.61 1.45 1.11
t+3 10 8 80.0 0.21 0.43 0.62 -1.41 0.44 -2.68 1.90 1.33
t+4 10 6 60.0 0.47 0.87 1.18 -0.59 2.01 -1.64 3.25 2.50
t+5 10 7 70.0 0.67 1.08 1.33 -0.89 1.50 -1.19 3.65 2.79

 

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

let’s look at when both $VXX and $SPY moved in the same direction on both on Friday’s and Monday’s together , 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 10 4 40.0 -0.48 -0.29 0.44 -1.09 0.40 -2.55 0.30 0.16
t+2 10 3 30.0 -0.43 -0.29 0.63 -0.89 0.71 -2.03 0.32 0.15
t+3 10 4 40.0 -0.71 -0.36 1.24 -2.00 0.62 -6.62 0.41 0.18
t+4 10 5 50.0 -0.42 0.03 1.17 -2.01 0.58 -6.76 0.55 0.27
t+5 10 3 30.0 -1.24 -0.34 1.63 -2.47 0.66 -12.83 0.27 0.10

slightly bearish with a low sample size  !!

below the historical instances of $VXX and $SPY moving in the same direction , both on Fri and Mon

Date $SPY t+1% t+2% t+3% t+4% t+5%
23-Jun-14 195.88 ?? ?? ?? ?? ??
10-Mar-14 186.44 -0.49 -0.47 -1.58 -1.86 -0.97
06-Jan-14 180.69 0.61 0.64 0.7 0.98 -0.37
14-Jan-13 142.74 0.07 0.06 0.7 0.92 1.47
24-Sep-12 140.47 -1.07 -1.62 -0.7 -1.15 -0.9
17-Sep-12 140.77 -0.09 -0.03 -0.02 -0.06 -0.21
09-Jul-12 129.81 -0.87 -0.86 -1.34 0.32 0.08
27-Feb-12 130.33 0.29 -0.11 0.41 0.11 -0.3
01-Aug-11 120.97 -2.55 -2.03 -6.62 -6.76 -12.83
01-Nov-10 109.73 0.79 1.2 3.15 3.54 3.34
23-Aug-10 98.64 -1.48 -1.09 -1.76 -0.24 -1.69

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$VXO weekly single digit closings

$VXO weekly single digit closings 

h/t @todd_harrison

with the $VXO (CBOEO EX implied Volatility Index) closing at 9.14 ( at the time of writing ) below the prior weekly closings below 10 and the next week trading odds for $VXO cash index ..

ps: you really can’t trade $VXO, as there is no derivative for it , and we don’t have a simple relationship , like y= a*x+b or something like that 🙂 to tell the likely odds for any other tradable derivative , but good to know

  • Winners : 8
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 17.87
  • Median Change % : 10.85
  • Maximum Gain % : 51.30
  • Maximum Loss % : 5.59
  • Average Gain %if Winner : 17.87

below the trading odds for $SPY longs , from fri weekly close to next fri weekly close , when ever $VXO closes in single digit , since 1993

  • Winners : 0
  • Losers : 8
  • % Winners : 0%
  • Average Change % : -0.82
  • Median Change % : -0.54
  • Maximum Gain % : -0.05
  • Maximum Loss % : -1.90

below the table with the historical details of $VXO weekly sing digit closings , since 1993 

Week  VXO SPY SPY (t+1 %) VXO
16-Jun-14 ~9.14 ~195.85 ?? ??
12-Feb-07 9.66 125.24 -0.29 9.73
29-Jan-07 9.79 124.45 -0.59 11.85
16-Jan-07 9.75 122.74 -0.48 9.85
11-Dec-06 9.97 122.33 -1.12 8.63
13-Nov-06 9.84 120.01 -0.05 5.59
19-Dec-05 9.87 106.96 -1.78 19.25
24-Jan-94 9.59 33.1 -1.90 51.30
20-Dec-93 9.04 32.32 -0.34 26.77

$VXO single digit weekly closings , since 1993 

$VXO weekly single digit closings

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