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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