expecting a pullback $SPY trade – 23 Oct 2014

expecting a pullback $SPY trade – 23 Oct 2014 

with $SPY rising by more than 0.95% ( just to include the gain of 0.95% on 20th Oct 2014 ) , below trading strategy rules , data since 1993

  • $SPY gained by more than 0.95% as of current trading day
  • $SPY gained by more than 0.95% , for four trading days , during the last five trading days

below the trading odds for $SPY longs , for the next 1/2/3/4/5/ trading odds

Date Close t t+1 t+2 t+3 t+4 t+5 1st +’ve 1st -‘ve
23-Oct-14 194.93 1.16 ?? ?? ?? ?? ?? ?? ??
27-Oct-11 120.89 3.48 -0.02 -2.44 -5.16 -3.61 -1.85 -1.85 -0.02
10-Oct-11 112.38 3.35 0.1 0.98 0.77 2.5 0.54 0.1 0.54
29-Aug-11 113.47 2.87 0.26 0.71 -0.35 -2.9 -3.6 0.26 -0.35
01-Jun-09 84.75 2.42 0.08 -1.18 -0.25 -0.24 -0.64 0.08 -1.18
08-Dec-08 80.15 3.49 -1.65 -0.97 -3.36 -2.21 -3.57 -3.57 -1.65
03-Dec-08 76.91 2.41 -2.31 0.7 4.21 2.5 3.2 0.7 -2.31
28-Nov-08 79.35 1.26 -8.86 -5.36 -3.07 -5.32 -2.39 -2.39 -8.86
30-Jul-02 71.45 1.3 0.24 -2.38 -4.56 -7.89 -4.79 0.24 -2.38
19-Apr-01 97.11 1.33 -0.92 -2.71 -3.23 -1.97 -1.53 -1.53 -0.92
16-May-00 112.18 0.97 -1.05 -2.26 -3.8 -4.52 -5.93 -5.93 -1.05
08-Jul-97 68.08 1.05 -1.1 -0.66 -0.32 -0.01 0.48 0.48 -1.1
13-Feb-97 59.7 1.08 -0.23 0.62 -0.05 -1.27 -1.22 0.62 -0.23
avg -1.29 -1.25 -1.60 -2.08 -1.78 -1.07 -1.63
med -0.58 -1.08 -1.71 -2.09 -1.69 0.09 -1.08
std 2.42 1.81 2.60 2.94 2.42 1.98 2.34
t-test -1.85 -2.39 -2.13 -2.45 -2.54 -1.87 -2.41

11/12 times $SPY closed lower than entry ( 194.93) at some point of time , during the next five trading days , with an average loss of -1.63% and a median loss of -1.08%

1st -ve Close % , assumes , one is hypothetically short at the close , at the time of the observation of the pattern , and exits if $SPY closes lower than the entry point , in the next five trading days , other wise at the end of the fifth trading day , one attends the margin call 🙂

$SPY gains by more than 0.95% , during the last 4 out of 5 days , and gained by than 0.95% as of today , since 1993 

$SPY gains by more than 0.95% , during the last 4 out of 5 days , and gained by than 0.95% as of today , since 1993

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One thought on “expecting a pullback $SPY trade – 23 Oct 2014

  1. Pingback: The Whole Street’s Daily Wrap for 10/24/2014 | The Whole Street

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