when $SPY abs change for the week is negligible

when $SPY abs change for the week is negligible

$SPY weekly chart ending 12 Jun 2015with $SPY closing almost where close a week ago , on the weekly bar , below trading strategy rules

1) $SPY absolute change for the week on the weekly bar is less than 0.1%

below the $SPY returns for the next 1/2/3/4 trading weeks since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 18 58.1 0.25 0.19 1.26 -1.16 1.09 -2.64 1.42 0.95
t+2 31 24 77.4 1.05 1.41 2.02 -2.27 0.89 -4.43 2.78 2.66
t+3 31 23 74.2 1.24 1.02 2.40 -2.10 1.14 -4.37 3.18 2.78
t+4 31 22 71.0 1.05 1.63 2.61 -2.74 0.95 -4.55 2.50 2.10
1st +’ve exit in 4 weeks 31 27 87.1 0.90 1.17 1.62 -3.94 0.41 -4.55 2.75 2.24

vs

for the $SPY longs for any other week , where the absolute change% for the week is more than 0.1 %, since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 728 398 54.7 0.12 0.21 1.73 -1.82 0.95 -19.79 1.14 1.27
t+2 727 417 57.4 0.21 0.55 2.30 -2.60 0.89 -26.77 1.19 1.66
t+3 726 432 59.5 0.34 0.85 2.84 -3.33 0.85 -28.70 1.25 2.16
t+4 725 444 61.2 0.48 1.15 3.29 -3.96 0.83 -29.41 1.32 2.67
1st +’ve exit in 4 weeks 728 581 79.8 0.27 0.95 1.63 -5.08 0.32 -29.41 1.28 2.01

27/31 times  $SPY closed at higher than the current close at some point of time in the next four trading weeks , at the weekly close ( i.e friday to friday close) with an average gain of 90 basis points at the 1st positive close within in the next four trading weeks.

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

below the historical instances of $SPY absolute weekly change is less than 0.1% , since Jan 2000 

Date $SPY t % t+1% t+2% t+3% t+4% 1st +’ve cls %
08-Jun-15 209.93 0.08 ?? ?? ?? ?? ??
21-Jul-14 194.85 0.01 -2.64 -2.27 -1.01 0.74 0.74
23-Jun-14 192.98 -0.06 1.22 0.40 0.97 0.97 1.22
12-May-14 184.44 0.05 1.22 2.46 3.90 3.23 1.22
05-May-14 184.35 -0.05 0.05 1.27 2.51 3.95 0.05
21-Apr-14 182.71 -0.05 0.95 0.90 0.94 2.18 0.95
18-Feb-14 179.56 -0.07 1.31 2.38 0.42 1.70 1.31
02-Dec-13 175.73 -0.03 -1.56 0.89 2.16 1.63 0.89
30-Sep-13 164.03 -0.01 0.81 3.26 4.18 4.33 0.81
22-Jul-13 163.44 -0.04 1.09 0.12 -1.94 -1.47 1.09
23-Jan-12 123.43 -0.10 2.06 1.93 3.48 3.88 2.06
13-Jun-11 117.61 0.06 -0.19 5.41 5.79 3.65 5.41
23-May-11 122.98 -0.07 -2.31 -4.43 -4.37 -4.55 -4.55
15-Nov-10 109.75 0.07 -1.24 2.16 3.48 3.88 2.16
07-Dec-09 99.41 0.09 -0.28 1.78 0.84 3.67 1.78
15-Dec-08 77.53 -0.09 -1.17 5.41 1.02 -3.55 5.41
10-Mar-08 111.27 -0.08 2.41 1.97 6.14 3.42 2.41
13-Aug-07 122.99 0.00 2.50 1.99 0.94 2.90 2.50
25-Jun-07 127.85 -0.08 1.70 2.94 2.04 -3.54 1.70
07-May-07 127.67 -0.04 1.17 0.55 2.13 0.12 1.17
27-Nov-06 117.54 -0.09 0.86 2.08 0.94 1.56 0.86
20-Nov-06 117.65 -0.05 -0.09 0.76 1.98 0.84 0.76
06-Jun-05 98.14 0.04 1.37 -0.62 -0.16 1.34 1.37
31-May-05 98.10 -0.08 0.04 1.41 -0.57 -0.11 0.04
27-Dec-04 98.30 0.08 -2.01 -2.18 -3.38 -2.85 -2.85
06-Dec-04 96.59 0.07 0.56 1.68 1.77 -0.28 0.56
10-May-04 88.12 0.07 -0.21 2.56 2.67 3.92 2.56
22-Mar-04 88.91 -0.03 3.25 3.01 2.52 3.00 3.25
28-Oct-02 70.53 0.08 -0.69 1.25 3.49 4.11 1.25
11-Mar-02 90.42 0.00 -1.38 -1.83 -3.39 -4.48 -4.48
18-Dec-00 99.93 -0.02 0.19 -1.34 0.81 2.35 0.19
13-Nov-00 103.96 0.01 -1.32 -3.24 -1.96 -3.86 -3.86

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

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few bullish setups on $SPY on 26th -31st May 2014 weekly bar

bullish setups on $SPY on 26th-31st May 2014 weekly bar

$SPY weekly chart 26 May 2014

 

1) $SPY posts an unfilled full gap up on the weekly chart , since Feb 1993 

unfilled full gap up is , when the current weekly low is greater than previous weekly high .

below the trading odds for the $SPY longs for the next 1/2/3/4/8/13/26 trading weeks

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 16 8 50.0 -0.03 0.12 1.09 -1.15 0.95 -3.45 1.08 0.82
t+2 16 10 62.5 0.01 0.35 1.44 -2.37 0.61 -8.53 1.12 0.71
t+3 16 7 43.8 0.57 -0.08 2.36 -0.82 2.88 -3.38 2.33 1.80
t+4 16 11 68.8 0.98 1.64 2.53 -2.41 1.05 -4.54 2.17 1.81
t+8 16 14 87.5 3.04 2.88 3.76 -1.97 1.91 -3.06 11.36 9.36
t+13 16 14 87.5 4.16 3.74 4.84 -0.64 7.62 -0.91 53.25 44.03
t+26 15 14 93.3 8.20 9.58 9.53 -10.43 0.91 -10.43 10.05 8.64
1st +’ve exit in 8 weeks 16 15 93.8 0.83 1.03 1.09 -3.06 0.35 -3.06 5.70 4.54

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

below the historical instances, of “$SPY posting an unfilled full gap up on weekly bar since Feb 1993”

Week Starting $SPY t+1% t+2% t+3% t+4% t+8%
27-May-14 192.68 ?? ?? ?? ?? ??
23-Dec-13 183.04 -0.52 0.16 -0.11 -2.7 0.02
16-Sep-13 169.05 -1.06 -1.07 -0.27 2.15 5.47
08-Jul-13 165.07 0.99 0.96 2.05 1.07 -0.88
11-Mar-13 152.75 -0.14 0.54 -0.43 1.91 4.86
10-Oct-11 116.28 1.14 4.92 2.37 3.34 2.85
07-Feb-11 124.47 1.07 -0.59 -0.48 -1.7 0.25
13-Sep-10 104.64 2.07 1.88 3.6 4.63 6.85
14-Jun-10 103.38 -3.45 -8.53 -3.38 -4.54 -3.06
09-Nov-09 99.99 -0.17 -0.04 1.27 1.36 5.08
16-Apr-07 128.23 0.62 1.55 1.51 2.7 3.44
13-Dec-04 99.04 1.11 1.2 -0.84 -1.01 1.11
23-Nov-98 90.74 -0.95 -1.99 -0.51 3.01 2.9
02-Feb-98 76.43 0.37 2 3.44 4.24 11.11
11-Sep-95 42.17 -0.21 0.09 -0.05 0.33 1.87
13-Mar-95 35.37 1.33 1.1 2.29 3.05 6.45
12-Apr-93 30.45 -2.66 -2 -1.31 -2.1 0.36

2) inspired by We Have Now Gone 8 Days, from Victor Niederhoffer , but on weekly bar , 

we have now gone 7 weeks , without a -0.1% decline ,below the trading odds for the $SPY longs for the next 1/2/3/4/8/13/26 trading weeks , when $SPY hasn’t fallen more than -0.1% for 7 or more weeks in row , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 20 9 45.0 0.15 -0.09 1.20 -0.71 1.70 -1.56 1.13 0.80
t+2 20 11 55.0 0.75 0.05 1.97 -0.75 2.64 -1.60 2.76 2.23
t+3 20 16 80.0 1.48 1.08 2.07 -0.88 2.35 -1.49 6.65 5.65
t+4 20 17 85.0 1.87 1.88 2.42 -1.25 1.94 -2.54 12.23 10.78
t+8 20 15 75.0 2.64 2.01 3.90 -1.16 3.37 -2.60 7.31 6.24
t+13 20 18 90.0 3.42 3.10 4.07 -2.39 1.70 -4.78 11.28 8.86
t+26 19 14 73.7 3.97 5.47 6.89 -4.20 1.64 -6.46 4.58 3.82
1st +’ve exit in 8 weeks 20 20 100.0 1.60 1.20 1.60 NA NA NA NA NA

below the historical instances of $SPY not falling more than -0.1% on weekly bar for 7 or more weeks in row , since 1993

Date # NO declines of > -0.1% $SPY t+1% t+2% t+3% t+4% t+8%
27-May-14 7 192.68 ?? ?? ?? ?? ??
02-Dec-13 10 179.17 -1.56 0.89 2.16 1.63 -0.99
25-Nov-13 9 179.23 -0.03 -1.60 0.85 2.13 -0.63
18-Nov-13 8 179.04 0.11 0.07 -1.49 0.96 2.12
11-Nov-13 7 178.29 0.42 0.53 0.49 -1.08 2.83
11-Feb-13 7 148.44 -0.14 0.00 2.19 2.90 4.86
10-Jan-11 7 120.91 -0.72 -1.22 1.43 2.94 1.19
14-May-07 7 131.69 -0.62 0.96 -1.04 0.72 1.90
20-Jan-04 9 93.1 -0.83 0.02 0.61 0.40 -2.60
12-Jan-04 8 92.94 0.17 -0.66 0.19 0.79 -1.44
05-Jan-04 7 91.44 1.64 1.82 0.97 1.84 3.55
16-Mar-98 8 82.87 -0.23 2.47 1.19 2.20 1.05
09-Mar-98 7 80.54 2.89 2.66 5.44 4.12 4.06
16-Jun-97 10 66.86 -0.75 2.77 2.45 1.91 0.22
09-Jun-97 9 66.7 0.24 -0.51 3.01 2.70 4.48
02-Jun-97 8 64.22 3.86 4.11 3.33 6.99 10.34
27-May-97 7 63.31 1.44 5.35 5.61 4.82 10.85
14-Oct-96 7 52.49 -1.28 -0.88 3.09 3.94 2.93
11-Dec-95 7 44.88 -0.98 -0.51 -0.33 -2.54 6.51
07-Sep-93 8 31.67 -0.66 -0.73 0.06 -0.13 -0.13
30-Aug-93 7 31.65 0.06 -0.60 -0.66 0.13 1.64

huh ! what is overbought definition ?

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When $SPY weekly absolute change is less than 0.1%

When $SPY weekly absolute change is less than 0.1%

$SPY weekly absolute change stock chart

with $SPY weekly change for the week ending 16th May 2014 ( starting 12th May 2014 ) , a mere 0.05% , below a look at the $SPY forward next 1/2/3/4/5/ trading weeks ( entry at weekly close , Friday Close and exit at net Friday close , if not a holiday , otherwise Thursday etc) , whenever $SPY absolute weekly change is less than 0.1%

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 29 16 55.2 0.2 0.05 1.24 -1.08 1.14 -2.31 1.56 1.36
t+2 28 22 78.6 1.21 1.55 2.14 -2.22 0.97 -4.43 3.78 3.34
t+3 28 20 71.4 0.96 1.07 2.29 -2.37 0.97 -4.37 2.51 2.19
t+4 27 17 63 0.55 1.34 2.53 -2.82 0.9 -4.55 1.61 1.38
t+5 27 17 63 1.12 1.38 3.17 -2.36 1.34 -5.76 2.5 2.17
1st +’ve exit in 5 weeks 29 26 89.7 1.27 1.17 1.71 -2.55 0.67 -3.88 6.61 5.76

vs

for the $SPY longs for any random week , since Jan 2000 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 748 403 53.9 0.1 0.18 1.79 -1.86 0.96 -19.79 1.11 1.1
t+2 747 423 56.6 0.2 0.55 2.4 -2.67 0.9 -26.77 1.17 1.16
t+3 746 439 58.8 0.31 0.89 2.93 -3.44 0.85 -28.7 1.21 1.2
t+4 745 447 60 0.41 1.15 3.37 -4.03 0.84 -29.41 1.25 1.23
t+5 744 448 60.2 0.51 1.32 3.76 -4.41 0.85 -29.87 1.28 1.27
1st +’ve exit in 5 weeks 748 608 81.3 0.36 1.06 1.72 -5.58 0.31 -29.87 1.32 1.31

below the historical instances of $SPY absolute weekly change is less than 0.1% , since Jan 2000 

Date $SPY Weekly Chg% t+1% t+2% t+3% t+4% t+5%
12-May-14 188.05 0.05 ?? ?? ?? ?? ??
05-May-14 187.96 -0.05 0.05 ?? ?? ?? ??
21-Apr-14 186.29 -0.05 0.95 0.9 0.94 ?? ??
18-Feb-14 183.08 -0.07 1.31 2.38 0.42 1.7 1.32
02-Dec-13 179.17 -0.03 -1.56 0.89 2.16 1.63 2.32
30-Sep-13 167.24 -0.01 0.81 3.26 4.18 4.34 4.97
22-Jul-13 166.65 -0.03 1.09 0.11 -1.94 -1.48 -3.23
29-Aug-11 111.23 -0.1 -1.64 3.65 -3.16 -3.49 -1.3
13-Jun-11 119.91 0.06 -0.18 5.41 5.79 3.65 5.93
23-May-11 125.39 -0.07 -2.31 -4.43 -4.37 -4.55 0.81
15-Nov-10 111.9 0.08 -1.24 2.15 3.48 3.87 4.96
07-Dec-09 101.35 0.09 -0.28 1.79 0.84 3.67 2.83
15-Dec-08 79.05 -0.09 -1.16 5.41 1.02 -3.55 -5.76
10-Mar-08 113.45 -0.07 2.41 1.97 6.13 3.41 7.37
13-Aug-07 125.4 0 2.5 1.99 0.94 2.89 5.52
25-Jun-07 130.36 -0.08 1.7 2.94 2.04 -3.54 -4.41
07-May-07 130.17 -0.04 1.17 0.55 2.14 0.12 1.9
27-Nov-06 119.84 -0.09 0.86 2.08 0.93 1.56 0.78
20-Nov-06 119.95 -0.05 -0.09 0.77 1.98 0.84 1.47
06-Jun-05 100.06 0.04 1.37 -0.61 -0.15 1.34 2.61
31-May-05 100.02 -0.08 0.04 1.41 -0.57 -0.11 1.38
27-Dec-04 100.23 0.09 -2.02 -2.18 -3.39 -2.85 -0.54
06-Dec-04 98.48 0.06 0.57 1.69 1.78 -0.27 -0.45
01-Jun-04 92.24 0.1 1.21 0.94 1.14 0.28 -0.74
10-May-04 89.84 0.07 -0.2 2.57 2.67 3.92 3.64
22-Mar-04 90.65 -0.03 3.25 3.01 2.53 3 -0.06
28-Oct-02 71.91 0.07 -0.68 1.25 3.49 4.12 1.96
11-Mar-02 92.19 -0.01 -1.38 -1.82 -3.4 -4.48 -3.23
18-Dec-00 101.57 -0.02 0.5 -1.03 1.12 2.67 4.1
13-Nov-00 105.67 0.01 -1.32 -3.24 -1.96 -3.86 -3.88

highlighted in the red were the instances when $SPY was not able to close higher than the current close , over the next 5 five weeks at some point of time 

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That lower high and lower low after a 52 week high on $SPY Weekly was a buy with 32/34 winners

lower high and lower low after a 52 week high on $SPY

$SPY pull back from 52 week high stock chart

with $SPY making a lower high and lower low on the weekly chart , after making a 52 week high during the previous week , below trading strategy rules

  • $SPY makes a 52 week high ( intra-week,) during the previous week
  • $SPY makes a lower high and lower low during the current week

below the trading odds for  for the next 1/2/3/4/5/10/20 trading weeks, assuming one goes long at the close of the week , and exits over the next 1 week at close ( t+1 ) and so on .., Study period is from 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 34 26 76.5 1.02 1.14 1.67 -1.08 1.54 -1.67
t+2 34 21 61.8 1.09 0.81 2.37 -0.98 2.41 -2.34
t+3 34 24 70.6 1.39 1.79 2.59 -1.51 1.71 -3.11
t+4 34 25 73.5 1.48 1.95 2.79 -2.14 1.30 -3.99
t+5 34 29 85.3 1.90 1.70 2.79 -3.23 0.86 -5.39
t+10 34 22 64.7 3.12 3.59 6.06 -2.25 2.69 -4.06
t+20 33 27 81.8 5.09 6.02 6.98 -3.41 2.05 -12.88
Swing High 34 32 94.1 1.43 1.67 1.69 -2.81 0.60 -3.13

Swing high ( for bulls)  row is , assuming one goes long at then exits at first profitable close , or exit at the end of the fifth trading week with loss.

32/34  ( 94% ) times $SPY closed higher over the next 5 trading weeks at some close . ( the only time it didn’t close higher over the next five trading weeks , it indeed closed higher 20 weeks later ) 

Below the historical instances of $SPY making a lower high and lower low after making a 52 week high , since 2000

Week Start $SPY t+1 t+2 t+3 t+4 t+5 t+10 t+20
02-Dec-13 180.94
23-Sep-13 168.91 -0.01 0.8 3.24 4.17 4.32 7.12
28-May-13 161.8 0.83 -0.17 -2.16 -1.33 0.27 4.13 7.78
15-Apr-13 153.91 1.77 3.79 5.1 7.37 6.32 3.72 7.35
18-Mar-13 154.03 0.69 -0.29 2.06 -0.08 1.69 5.04 9.39
25-Feb-13 149.91 2.19 2.9 2.75 3.46 2.45 7.9 12.3
27-Aug-12 137.4 2.25 4.31 3.89 2.54 4.08 -1.6 6.39
09-Apr-12 132.8 0.59 2.37 -0.1 -1.11 -5.39 -2.18 3.46
05-Mar-12 132.64 2.43 1.95 2.8 2.06 0.12 -5.28 1.77
22-Feb-11 124.96 0.11 -1.12 -3.03 -0.34 1.06 1.86 0.45
15-Nov-10 113 -1.24 2.16 3.49 3.88 4.96 6.73 11.51
03-May-10 103.47 2.36 -1.93 -1.7 -3.99 -1.42 -3.68 4.24
19-Jan-10 101.15 -1.67 -2.34 -1.08 1.76 1.39 8.3 0.84
26-Oct-09 95.4 3.45 5.85 5.67 5.81 7.19 11.23 13.05
15-Oct-07 131.6 2.64 1.02 -3.02 -2.59 -3.7 -1.06 -12.88
23-Jul-07 126.99 -0.91 -0.28 -0.28 2.21 1.71 7.91 1.9
04-Jun-07 131.61 1.78 0.11 0.02 1.72 2.96 -3.78 2.63
26-Feb-07 120.35 1.52 0.3 3.81 2.81 4.43 9.22 11.62
18-Dec-06 122.16 0.61 -0.15 1.77 1.47 0.98 -1.48 7.6
27-Nov-06 121.02 0.86 2.08 0.94 1.56 0.79 3.23 7.01
30-Oct-06 117.85 1.24 2.84 2.79 2.69 3.57 5.49 6.02
08-May-06 110.57 -1.66 -0.67 -0.19 -3.01 -3.13 -3.67 4.27
06-Mar-06 109.58 1.98 1.66 1.36 1.14 0.49 -0.77 0.37
17-Jan-06 107.35 2.04 0.23 0.53 2.25 2.73 3.47 -0.1
19-Dec-05 108.02 -1.78 1.32 1.51 -0.62 1.41 1.57 2.36
08-Aug-05 103.87 -0.48 -1.87 -0.65 1.25 0.79 -3.6 2.15
14-Mar-05 99.65 -1.17 -0.93 -0.45 -3.7 -2.5 1.45 4.08
10-Jan-05 99.01 -1.23 -0.69 1.69 2.14 1.82 -0.54 2.02
22-Nov-04 98.64 0.76 0.82 1.4 2.52 2.61 2.07 -2.72
08-Mar-04 92.5 -1.01 -1.03 2.18 1.95 1.47 -2.12 -0.84
23-Feb-04 94.51 1.17 -2.13 -3.11 -3.13 0.01 -4.06 -3.06
17-Nov-03 85.22 2.15 2.53 3.78 5 5.76 9.41 10.65
20-Oct-03 84.71 1.65 1.96 1.81 0.6 2.76 7.89 9.2
22-Sep-03 81.74 3.44 4.62 4.31 3.63 5.35 6.9 15.73
23-Jun-03 79.56 1.11 2.64 1.9 2.63 0.87 5.29 8.4

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7 Up

 

$DJIA & $SPX  gains for 7 weeks in row 

7up-260640

image source  : http://www.hdwallpapersinn.com/7up-cartoon-wallpapers.html

with $SPX and $DJIA gaining  for 7 weeks in row , below the trading odds for the next 1/2/3/4/5 trading weeks , assuming one goes long at the close of the week ( i.e 22 Nov 2013 in this case , and exits over the next 1 week at close ( t+1 ) and so on ..

1) when ever $SPX gains for 7 or more weeks in row , since 1950.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 60 33 55.0 0.19 0.14 1.04 -0.86 1.21 -2.08
t+2 60 33 55.0 0.37 0.16 1.42 -0.92 1.55 -2.91
t+3 60 39 65.0 0.68 0.73 1.61 -1.05 1.54 -3.32
t+4 60 41 68.3 1.11 1.22 2.17 -1.18 1.84 -5.53
t+5 60 46 76.7 1.39 1.41 2.23 -1.34 1.66 -5.28
Swing High 60 57 95.0 0.82 0.71 1.01 -2.82 0.36 -5.28


Swing high ( for bulls)  row is , assuming one goes long at then exits at first profitable close , or exit at the end of the fifth trading day with loss.

57/60  ( 95% ) times $SPX closed higher over the next 5 trading weeks at some weekly close .

2) when ever $SPX gains for exactly 7 weeks in row , since 1950.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 27 16 59.3 0.52 0.42 1.35 -0.67 2.00 -1.50
t+2 27 17 63.0 0.62 0.46 1.52 -0.90 1.69 -2.91
t+3 27 17 63.0 0.70 0.79 1.78 -1.14 1.56 -3.32
t+4 27 19 70.4 1.24 1.53 2.49 -1.72 1.45 -5.53
t+5 27 20 74.1 1.47 1.56 2.60 -1.77 1.47 -5.28
Swing High 27 25 92.6 0.86 0.89 1.19 -3.17 0.37 -5.28

25/27  ( 93% ) times $SPX closed higher over the next 5 trading weeks at some weekly close .

3) when ever $DJIA gains for 7 or more weeks in row , since 1900.

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 107 65 60.7 0.27 0.40 1.28 -1.29 0.99 -4.76
t+2 107 62 57.9 0.34 0.67 1.84 -1.72 1.07 -12.60
t+3 107 72 67.3 0.41 0.79 1.86 -2.58 0.72 -9.85
t+4 107 70 65.4 0.49 1.10 2.34 -3.01 0.78 -16.54
t+5 107 72 67.3 0.57 1.33 2.76 -3.92 0.70 -18.37
Swing High 107 97 90.7 0.40 0.82 1.19 -7.17 0.17 -18.37

97/107  ( 91% ) times $DJIA closed higher over the next 5 trading weeks at some weekly close .

that max loss of -18.37% occurred during from the week of 2nd Sep 1932 over the next 5 weeks .

4) when ever $DJIA gains for exactly 7 weeks in row , since 1900.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 42 32 76.2 0.75 0.78 1.31 -1.05 1.25 -1.87
t+2 42 29 69.0 1.09 1.10 2.02 -0.98 2.05 -2.30
t+3 42 33 78.6 0.77 0.86 2.09 -4.10 0.51 -9.85
t+4 42 30 71.4 0.88 1.43 2.55 -3.29 0.78 -12.95
t+5 42 30 71.4 0.86 0.84 3.12 -4.77 0.65 -14.80
Swing High 42 41 97.6 1.03 0.90 1.21 -6.43 0.19 -6.43

41/42  ( 98% ) times $DJIA closed higher over the next 5 trading weeks at some weekly close .

that max loss of -6.42% came during the week starting from 14 May 1965 , over the next five trading weeks .

conclusion : more upside coming ??

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$SPX gains for 6 weeks in row – what next

$SPX gains for 6 weeks in row

$SPX gains for 6 weeks stock chart

with $SPX gaining  for 6 weeks in row , below the trading odds for the next 1/2/3/4/5 trading weeks , assuming one goes long at the close of the week ( i.e 15 Nov 2013 in this case , and exits over the next 1 week ( t+1 ) and so on ..

when ever $SPX gains for 6 or more weeks in row , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 24 12 50.0 0.30 -0.05 1.25 -0.64 1.95 -1.63
t+2 24 15 62.5 0.81 0.46 1.74 -0.72 2.40 -1.31
t+3 24 17 70.8 1.26 0.94 2.15 -0.89 2.41 -2.77
t+4 24 18 75.0 1.42 1.86 2.49 -1.78 1.40 -6.99
t+5 24 19 79.2 1.77 2.07 2.79 -2.11 1.32 -4.91
Swing High 24 23 95.8 1.19 1.22 1.29 -1.17 1.10 -1.17

Swing high ( for bulls)  row is , assuming one goes long at then exits at first profitable close , or exit at the end of the fifth trading day with loss.

23/24 times $SPX closed higher over the next 5 trading weeks at some weekly close .

when ever $SPX gains for 6 weeks exactly in row , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 12 7 58.3 0.55 0.15 1.38 -0.61 2.27 -1.63
t+2 12 9 75.0 1.20 0.78 1.85 -0.74 2.48 -1.26
t+3 12 8 66.7 1.37 0.89 2.60 -1.09 2.39 -2.77
t+4 12 8 66.7 1.27 1.79 3.19 -2.59 1.23 -6.99
t+5 12 9 75.0 1.70 2.41 3.27 -3.00 1.09 -4.91
Swing High 12 11 91.7 1.08 1.16 1.29 -1.17 1.10 -1.17

conclusion : any pull back is a buying opportunity on the $SPX

below the table with details of $SPX gaining for 6 weeks in row , since 1990.

Week Starting Close t+1 t+2 t+3 t+4 t+5
11-Nov-13 1798.18 ?? ?? ?? ?? ??
11-Feb-13 1519.79 -0.28 -0.1 2.07 2.69 2.44
04-Feb-13 1517.93 0.12 -0.15 0.02 2.19 2.82
13-Aug-12 1418.16 -0.5 -0.82 1.39 3.36 2.96
10-Jan-11 1293.24 -0.76 -1.31 1.36 2.78 3.85
03-Jan-11 1271.5 1.71 0.93 0.38 3.1 4.53
05-Apr-10 1194.37 -0.19 1.92 -0.64 -6.99 -4.91
13-Apr-09 869.6 -0.39 0.91 6.86 1.53 2
14-May-07 1522.75 -0.46 0.89 -0.99 0.67 -1.33
07-May-07 1505.85 1.12 0.66 2.02 0.12 1.8
13-Sep-04 1128.55 -1.63 0.26 -0.57 -1.8 -2.91
20-Jan-04 1141.55 -0.91 0.11 0.37 0.22 0.3
12-Jan-04 1139.83 0.15 -0.76 0.26 0.52 0.38
05-Jan-04 1121.86 1.6 1.76 0.83 1.86 2.13
29-Dec-03 1108.48 1.21 2.83 2.98 2.04 3.09
16-Mar-98 1099.16 -0.34 2.14 1.05 2.14 0.8
09-Mar-98 1068.61 2.86 2.51 5.06 3.94 5.06
02-Mar-98 1055.69 1.22 4.12 3.77 6.35 5.21
16-Jun-97 898.7 -1.27 2.03 2 1.85 4.46
09-Jun-97 893.27 0.61 -0.67 2.65 2.62 2.47
02-Jun-97 858.01 4.11 4.74 3.41 6.87 6.84
07-Sep-93 461.72 -0.63 -0.89 -0.1 -0.31 1.69
30-Aug-93 461.34 0.08 -0.54 -0.8 -0.01 -0.22
23-Aug-93 460.54 0.17 0.26 -0.37 -0.63 0.16
14-Dec-92 441.28 -0.34 -1.26 -2.77 -0.94 -1.17

highlighted in the red was the instance when $SPX failed to close above the current weekly close , at some point of time over the next 5 trading weeks ( at weekly close)

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Trade Idea ( Weekly) : $TSLA Weekly RSI is Above 70

$TSLA Weekly RSI is Above 70

$TSLA Weekly Stock Chart

$TSLA Weekly RSI(14) is above 70,  trading strategy rules

Below the backtest performance summary for the “$TSLA Weekly RSI(14) is above 70 ” trading strategy  since the stock went for IPO , for a holding period of 1 week ( i.e till the coming Friday , or last trading day of the week , if Friday is a holiday)

$TSLA Weekly RSI(14) above 70 trading strategy backtest performance summary
Total # of Trades 21 Percent Profitable Trades 76%
Number of Win Trades 16 Number of Loss Trades 5
Avg Profit Trade % 6.41 Median Trade % 6.54
Win/Loss Details
Avg Win Trade % 9.60% Avg Loss Trade % -3.81%
Max Win Trade % 40.71% Max Loss Trade % 7.87%
Max Consecutive Wins 8 Max Consecutive Losses 2
Ratio Avg Win / Avg Loss % 2.52 T-Test 2.99
Profit Factor 7.79 Outlier Adjusted Profit Factor 6.4

Below the Prior instances of $TSLA Weekly RSI(14) is above 7o , along with the next week change , change% details , since TSLA IPO.

Week (Start) Next Week Change Next Week Change % Week (Start) Next Week Change Next Week Change %
05-Aug-13 ?? ?? 20-May-13 0.68 0.7
29-Jul-13 15 10.87 13-May-13 5.58 6.1
22-Jul-13 8.61 6.65 06-May-13 14.74 19.2
15-Jul-13 9.71 8.11 29-Apr-13 22.21 40.71
08-Jul-13 -10.22 -7.87 22-Apr-13 3.35 6.54
01-Jul-13 9.81 8.17 15-Apr-13 3.37 7.05
24-Jun-13 12.73 11.86 08-Apr-13 4.08 9.33
17-Jun-13 7.81 7.85 04-Feb-13 -2.2 -5.61
10-Jun-13 -0.75 -0.75 28-Jan-13 0.94 2.45
03-Jun-13 -1.74 -1.71 22-Jan-13 1.32 3.57
28-May-13 4.28 4.38 07-Nov-11 -1.04 -3.09

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Trade Idea ( Weekly) : $XOM Weekly Close Crosses Below Upper Bollinger Band

$XOM Weekly Close Crosses Below Upper Bollinger Band

$XOM Weekly Close Crosses Below Upper Bollinger Band Stock Chart

$XOM Weekly Close Crosses Below Upper Bollinger Band,  trading strategy rules

  • $XOM (Exxon Mobil Corporation) Close Crosses below Upper Bollinger Band (i.e current weekly close  is below upper bollinger band , while previous weekly close is above upper bollinger band, and bollinger bands are used are 20 weekly moving averages , and 2 standard deviations)
  • Go long at the next weekly open ( on Monday , if holiday on Tuesday open , in this week case , on 5 Aug 2013 open )
  • Exit at the next weekly close 

Below the backtest performance summary for the “$XOM Weekly Close Crosses Below Upper Bollinger Band trading strategy since Jan 2000 for a holding period of 1 week ( i.e till the coming Friday , or last trading day of the week , if Friday is a holiday) from the next weekly open

  • Total # of Trades 28
  • Percent Profitable Trades 71%
  • Number of Win Trades 20
  • Number of Loss Trades 8
  • Avg Profit Trade % 1.02
  • Median Trade % 0.72
  • Avg Win Trade % 1.66%
  • Avg Loss Trade % -0.58%
  • Ratio Avg Win / Avg Loss % 2.86
  • Profit Factor 7.37
  • Outlier Adjusted Profit Factor 6.16
  • Max Win Trade % 4.91%
  • Max Loss Trade % 1.26%
  • Max Consecutive Wins 6
  • Max Consecutive Losses 2
  • T-Test 3.50

Below the Prior instances of $XOM Weekly Close Crosses Below Upper Bollinger Band, along with the next weekly change from open and change from open% details , since 2000.

$XOM Weekly Close Crosses Below Upper Bollinger Band , since 2000
Week ( Starting) Change from Next Weekly Open to Close Change % from Next Weekly Open to Close
29-Jul-13 ?? ??
28-May-13 0.92 1.02
17-Sep-12 0.14 0.16
27-Dec-11 -0.82 -0.99
07-Feb-11 2.3 2.97
15-Nov-10 -0.82 -1.24
25-Oct-10 3.06 4.91
01-Oct-07 2.52 3.18
21-May-07 0.83 1.15
23-Apr-07 0.22 0.32
04-Dec-06 1.77 2.73
13-Nov-06 -0.15 -0.24
14-Aug-06 0.97 1.63
24-Apr-06 0.51 0.95
19-Sep-05 -0.13 -0.24
07-Mar-05 1.33 2.61
11-Oct-04 -0.08 -0.2
20-Sep-04 1.02 2.59
07-Sep-04 0.69 1.76
21-Jun-04 0.18 0.49
05-Jan-04 -0.16 -0.49
16-Jun-03 -0.37 -1.26
24-Mar-03 0.06 0.21
18-Mar-02 0.47 1.41
21-May-01 0.02 0.06
30-Apr-01 0.03 0.09
02-Oct-00 0.4 1.19
18-Sep-00 1.21 3.77

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Trade Idea ( Weekly) : iShares MSCI Mexico Capped ($EWW) Crosses Above 50-SMA

iShares MSCI Mexico Capped ($EWW) Crosses Above 50-SMA (Weekly)

iShares MSCI Mexico Capped (EWW)  Crosses above 50-SMA Stock Chart

$EWW Weekly Close Crosses above on weekly SMA -50 bar,  trading strategy rules

  • $EWW ( iShares MSCI Mexico Capped ) Close Crosses Above 50-SMA ( that is during the current weekly bar , ending on Friday , close is above 50 weekly moving average , while during the previous weekend , the close is below 50 weekly moving average)
  • Go long at Weekly close and
  • Exit at the next weekly close 

Below the backtest performance summary for the “$EWW ( iShares MSCI Mexico Capped ) Weekly Close Crosses Above 50-SMA” trading strategy  since Jan 2000 for a holding period of 1 week ( i.e till the coming Friday , or last trading day of the week , if Friday is a holiday)

  • Total # of Trades : 17
  • Number of Win Trades : 13
  • Number of Loss Trades : 4
  • Percent Profitable Trades : 76%
  • Avg Profit Trade % : 2.64
  • Median Trade % : 4.32
  • Avg Win Trade % : 4.44%
  • Avg Loss Trade % : -3.21%
  • Ratio Avg Win / Avg Loss % : 1.38
  • Profit Factor : 4.70
  • Outlier Adjusted Profit Factor : 3.76
  • Max Win Trade % : 9.19%
  • Max Loss Trade % : 6.44%
  • Max Consecutive Wins: 8
  • Max Consecutive Losses: 1
  • T-Test : 2.73

Below the Prior instances of $EWW Weekly Close Crosses above on weekly SMA -50 bar , along with the next week change , change% details , since 2000.

$EWW Weekly Close Crosses above 50-SMA , since 2000
Week ( Starting) Next Week Change Next Week Change%
29-Jul-13 ?? ??
28-May-13 -2.03 -2.99
18-Jun-12 3.75 6.57
23-Jan-12 2.57 4.49
30-Aug-10 0.03 0.06
06-Jul-10 -0.93 -1.93
13-Jul-09 1.72 4.7
01-Jun-09 0.35 0.99
24-Mar-08 3.13 5.81
26-Nov-07 2.5 4.69
19-Jun-06 1.6 4.97
21-Apr-03 0.78 7.07
10-Dec-01 0.22 1.83
23-Apr-01 0.37 3.02
28-Aug-00 -0.2 -1.47
26-Jun-00 1.18 9.19
30-May-00 -0.83 -6.44
17-Apr-00 0.54 4.32

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