few momentum softening patterns on $SPX

few momentum softening patterns on $SPX

$SPX Stock Chart

below few studies that triggered , suggesting for a lower close , in the next few trading sessions on $SPX

1) $SPX gains for 5 days in row and today’s volume is the highest 

below the trading odds for Longs on $SPY and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever $SPX gains for 5 days in row and today’s volume is the highest “, since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 22 10 45.5 -0.25 -0.10 0.41 -0.79 0.51 -3.52
t+2 22 8 36.4 -0.24 -0.32 0.83 -0.85 0.97 -2.35
t+3 22 11 50.0 -0.14 0.07 0.70 -0.98 0.71 -4.05
t+4 22 12 54.5 -0.22 0.08 0.94 -1.60 0.59 -7.11
t+5 22 13 59.1 -0.25 0.08 1.01 -2.08 0.49 -6.54
t+10 22 13 59.1 0.07 0.43 1.54 -2.06 0.75 -6.96
t+20 22 11 50.0 -0.04 -0.04 2.23 -2.31 0.97 -4.48

besides  $SPX posted a lower close than the current close , at some point during the next five trading days ,  on closing basis, 18/21 times , that’s 86% chance . The average loss at the first lower close stands at -0.46%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 0.69%, with max gain being 1.72%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX gains for 5 days in row and today’s volume is the highest“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67 ?? ?? ?? ?? ??
10-Sep-13 1683.99 0.31 -0.03 0.24 0.81 1.23
25-Apr-13 1585.16 -0.18 0.53 0.78 -0.16 0.78
12-Dec-12 1428.48 -0.63 -1.04 0.13 1.28 0.51
13-Mar-12 1395.95 -0.12 0.48 0.59 0.99 0.69
16-Sep-11 1216.01 -0.98 -1.14 -4.05 -7.11 -6.54
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
09-Jul-07 1531.85 -1.42 -0.85 1.03 1.35 1.15
18-Apr-07 1472.5 -0.12 0.8 0.57 0.54 1.56
25-Oct-06 1382.22 0.5 -0.35 -0.31 -0.31 -1.04
24-Oct-06 1377.38 0.35 0.85 0 0.04 0.04
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
29-Sep-05 1227.68 0.09 -0.08 -1.08 -2.55 -2.95
14-Jul-05 1226.5 0.12 -0.44 0.23 0.71 0.04
17-Jun-05 1216.96 -0.07 -0.28 -0.25 -1.33 -2.09
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
03-Nov-04 1143.2 1.62 2.01 1.9 1.83 1.72
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5
02-Sep-03 1021.99 0.42 0.59 -0.06 0.94 0.12
05-Jun-03 990.14 -0.24 -1.44 -0.54 0.74 0.85
28-May-03 953.22 -0.38 1.09 1.45 1.92 3.46
21-Mar-03 895.79 -3.52 -2.35 -2.88 -3.04 -3.6

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

check out the Anatomy of $SPY 5 day gaining streaks : e-book

2) $SPX closes at year high with the highest volume in a month ( i.e 20 trading days including today)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 19 10 52.6 -0.09 0.01 0.27 -0.50 0.54 -1.61
t+2 19 7 36.8 -0.25 -0.27 0.45 -0.66 0.69 -1.53
t+3 18 8 44.4 -0.13 -0.07 0.52 -0.65 0.80 -1.37
t+4 18 7 38.9 -0.11 -0.30 0.54 -0.53 1.03 -1.63
t+5 18 9 50.0 0.07 -0.12 0.81 -0.67 1.21 -1.90
t+10 18 11 61.1 0.49 0.42 1.48 -1.06 1.40 -1.83
t+20 18 10 55.6 0.30 0.38 2.27 -2.16 1.05 -4.48

besides  $SPX posted a lower close than the current close , at some point during the next five trading days ,  on closing basis, 15/18 times , that’s 83% chance . The average loss at the first lower close stands at -0.2%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 1.22%, with max gain being 1.94%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX closes at year high with the highest volume in a month“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67
18-Oct-13 1744.5 0.01 0.58
18-Sep-13 1725.52 -0.18 -0.9 -1.37 -1.63 -1.9
14-Sep-12 1465.77 -0.31 -0.44 -0.32 -0.38 -0.38
13-Sep-12 1459.99 0.4 0.08 -0.05 0.07 0.02
06-Sep-12 1432.12 0.4 -0.21 0.1 0.31 1.95
16-Mar-12 1404.17 0.4 0.1 -0.09 -0.81 -0.5
18-Jan-11 1295.02 -1.01 -1.14 -0.9 -0.32 -0.3
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
21-May-07 1525.1 -0.06 -0.18 -1.15 -0.61 -0.46
20-Apr-07 1484.35 -0.23 -0.27 0.75 0.67 0.65
14-Nov-06 1393.22 0.24 0.47 0.57 0.52 0.69
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
08-Jan-04 1131.92 -0.89 -0.41 -0.95 -0.12 0.01
07-Jan-04 1126.33 0.5 -0.4 0.08 -0.45 0.37
18-Dec-03 1089.18 -0.05 0.35 0.63 0.45 0.62
16-Dec-03 1075.13 0.13 1.31 1.26 1.66 1.94
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

check out the Earnings Historical Price Reaction Database 

Leave a Reply