few simple tweaks on $SPY down for four days in row trading strategy

$SPY down for four days in row – what next ?

$SPY down for four days in row stock chart

with $SPY down for 4 days in row , below with various simple filters ( or tweaks ) that one may want apply on top of the $SPY down for four days in row trading strategy.

The trading odds presented below, are with assumption that speculator goes long at close and exits at next close , and the look back period for testing is from Jan 2000.

1) $SPY down for 4 or more days in row 

  • Winners : 75
  • Losers : 44
  • % Winners : 63%
  • Average Change % : 0.40
  • Median Change % : 0.39
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.44
  • Average Loss % if Loser : -1.36
  • Average Gain % / Average Loss % : 1.06
  • Average Absolute Change% : 1.37
  • Profit Factor : 1.65

1 a ) $SPY down for exactly for 4 days in row

  • Winners : 46
  • Losers : 29
  • % Winners : 61%
  • Average Change % : 0.23
  • Median Change % : 0.21
  • Maximum Gain % : 5.97
  • Maximum Loss % : -5.72
  • Average Gain %if Winner : 1.11
  • Average Loss % if Loser : -1.15
  • Average Gain % / Average Loss % : 0.96
  • Average Absolute Change% : 0.78
  • Profit Factor : 1.36

2) $SPY down for 4 or more days in row  & close is above or below 10 Day Moving Average

when current close is below 10-DMA

  • Winners : 73
  • Losers : 44
  • % Winners : 62%
  • Average Change % : 0.39
  • Median Change % : 0.39
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.44
  • Average Loss % if Loser : -1.36
  • Average Gain % / Average Loss % : 1.07
  • Average Absolute Change% : 1.37
  • Profit Factor : 1.61

when current close is above 10-DMA

  • Winners : 2
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 1.19
  • Median Change % : 1.19
  • Maximum Gain % : 2.25
  • Maximum Loss % : 0.13
  • Average Gain %if Winner : 1.19
  • Average Loss % if Loser : NA
  • Average Gain % / Average Loss % : NA
  • Average Absolute Change% : 1.19
  • Profit Factor : NA

ps : sample size minuscule 

3) $SPY down for 4 or more days in row & close is  above or below 20 Day Moving Average 

when current close is below 20-DMA

  • Winners : 67
  • Losers : 41
  • % Winners : 62%
  • Average Change % : 0.43
  • Median Change % : 0.40
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.53
  • Average Loss % if Loser : -1.36
  • Average Gain % / Average Loss % : 1.13
  • Average Absolute Change% : 1.43
  • Profit Factor : 1.70

when current close is above 20-DMA

  • Winners : 8
  • Losers : 3
  • % Winners : 73%
  • Average Change % : 0.11
  • Median Change % : 0.30
  • Maximum Gain % : 2.25
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.65
  • Average Loss % if Loser : -1.33
  • Average Gain % / Average Loss % : 0.49
  • Average Absolute Change% : 0.83
  • Profit Factor : 1.14

4) $SPY down for 4 or more days in row & close is above or below 50 Day Moving Average

when current close is below 50-DMA

  • Winners : 54
  • Losers : 34
  • % Winners : 61%
  • Average Change % : 0.56
  • Median Change % : 0.50
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.72
  • Average Loss % if Loser : -1.29
  • Average Gain % / Average Loss % : 1.33
  • Average Absolute Change% : 1.56
  • Profit Factor : 2.00

when current close is above 50-DMA

  • Winners : 21
  • Losers : 10
  • % Winners : 68%
  • Average Change % : -0.03
  • Median Change % : 0.13
  • Maximum Gain % : 2.56
  • Maximum Loss % : -5.72
  • Average Gain %if Winner : 0.71
  • Average Loss % if Loser : -1.57
  • Average Gain % / Average Loss % : 0.45
  • Average Absolute Change% : 0.96
  • Profit Factor : 0.84

5) $SPY down for 4 or more days in row & close is above or below 200 Day Moving Average 

when current close is below 200-DMA

  • Winners : 44
  • Losers : 26
  • % Winners : 63%
  • Average Change % : 0.62
  • Median Change % : 0.53
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.84
  • Average Loss % if Loser : -1.46
  • Average Gain % / Average Loss % : 1.26
  • Average Absolute Change% : 1.70
  • Profit Factor : 2.03

when current close is above 200-DMA

  • Winners : 31
  • Losers : 18
  • % Winners : 63%
  • Average Change % : 0.10
  • Median Change % : 0.21
  • Maximum Gain % : 4.41
  • Maximum Loss % : -5.72
  • Average Gain %if Winner : 0.86
  • Average Loss % if Loser : -1.21
  • Average Gain % / Average Loss % : 0.71
  • Average Absolute Change% : 0.99
  • Profit Factor : 1.14

6) $SPY down for 4 or more days in row  & current day’s loss is more than 1%

  • Winners : 31
  • Losers : 19
  • % Winners : 62%
  • Average Change % : 0.61
  • Median Change % : 0.41
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.94
  • Average Loss % if Loser : -1.56
  • Average Gain % / Average Loss % : 1.25
  • Average Absolute Change% : 1.80
  • Profit Factor : 1.89

7) $SPY down for 4 or more days in row  & current day’s loss is the minimum in the last four trading days

  • Winners : 19
  • Losers : 13
  • % Winners : 59%
  • Average Change % : 0.39
  • Median Change % : 0.36
  • Maximum Gain % : 3.79
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 1.20
  • Average Loss % if Loser : -0.79
  • Average Gain % / Average Loss % : 1.52
  • Average Absolute Change% : 1.03
  • Profit Factor : 2.25

8) $SPY down for 4 or more days in row  & current day’s loss is the maximum in the last four trading days

  • Winners : 18
  • Losers : 9
  • % Winners : 67%
  • Average Change % : 1.14
  • Median Change % : 0.51
  • Maximum Gain % : 14.51
  • Maximum Loss % : -2.45
  • Average Gain %if Winner : 2.12
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 2.63
  • Average Absolute Change% : 1.68
  • Profit Factor : 3.73

Trading odds with out that max winner of 14.51% ( on 10th Oct 2008)

  • Winners : 17
  • Losers : 9
  • % Winners : 65%
  • Average Change % : 0.63
  • Median Change % : 0.46
  • Maximum Gain % : 5.97
  • Maximum Loss % : -2.45
  • Average Gain %if Winner : 1.39
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 1.73
  • Average Absolute Change% : 1.19
  • Profit Factor : 2.40

9) $SPY down for 4 or more days in row  & $SPY lost more than 2% over the last four trading days

  • Winners : 60
  • Losers : 36
  • % Winners : 63%
  • Average Change % : 0.47
  • Median Change % : 0.41
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.60
  • Average Loss % if Loser : -1.41
  • Average Gain % / Average Loss % : 1.13
  • Average Absolute Change% : 1.53
  • Profit Factor : 1.75

variant , $SPY down for 4 or more days in row  & $SPY didn’t loose more than 2% over the last four trading days

  • Winners : 15
  • Losers : 8
  • % Winners : 65%
  • Average Change % : 0.13
  • Median Change % : 0.30
  • Maximum Gain % : 2.25
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.80
  • Average Loss % if Loser : -1.12
  • Average Gain % / Average Loss % : 0.72
  • Average Absolute Change% : 0.91
  • Profit Factor : 1.21

10) $SPY down for 4 or more days in row  & $SPY closed at 20 day low during current trading session.

  • Winners : 46
  • Losers : 26
  • % Winners : 64%
  • Average Change % : 0.57
  • Median Change % : 0.53
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.83
  • Average Loss % if Loser : -1.66
  • Average Gain % / Average Loss % : 1.11
  • Average Absolute Change% : 1.77
  • Profit Factor : 1.83

and the NOT variant (i.e  $SPY down for 4 or more days in row  & $SPY did not close at 20 day low during current trading session) 

  • Winners : 29
  • Losers : 18
  • % Winners : 62%
  • Average Change % : 0.15
  • Median Change % : 0.13
  • Maximum Gain % : 2.63
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.81
  • Average Loss % if Loser : -0.92
  • Average Gain % / Average Loss % : 0.88
  • Average Absolute Change% : 0.85
  • Profit Factor : 1.25

11) $SPY down for 4 or more days in row  & $SPY current trading day’s range  is the narrowest of all the four trading days including today

  • Winners : 17
  • Losers : 9
  • % Winners : 65%
  • Average Change % : 0.28
  • Median Change % : 0.57
  • Maximum Gain % : 3.72
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.18
  • Average Loss % if Loser : -1.42
  • Average Gain % / Average Loss % : 0.83
  • Average Absolute Change% : 1.26
  • Profit Factor : 1.52

and a slight variant  $SPY down for 4 or more days in row  & $SPY current trading day’s range  is the widest of all the four trading days including today

  • Winners : 30
  • Losers : 20
  • % Winners : 60%
  • Average Change % : 0.42
  • Median Change % : 0.33
  • Maximum Gain % : 5.77
  • Maximum Loss % : -2.56
  • Average Gain %if Winner : 1.28
  • Average Loss % if Loser : -0.91
  • Average Gain % / Average Loss % : 1.40
  • Average Absolute Change% : 1.12
  • Profit Factor : 1.83

12) $SPY down for 4 or more days in row  & ROC(20) is greater than zero 

ROC is the rate of change , simply the close minus 20 trading day’s ago close , expressed in percent terms.

  • Winners : 21
  • Losers : 11
  • % Winners : 66%
  • Average Change % : 0.17
  • Median Change % : 0.13
  • Maximum Gain % : 2.56
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.73
  • Average Loss % if Loser : -0.92
  • Average Gain % / Average Loss % : 0.80
  • Average Absolute Change% : 0.80
  • Profit Factor : 1.37

and the variant $SPY down for 4 or more days in row  & ROC(20) is lower than zero 

  • Winners : 54
  • Losers : 33
  • % Winners : 62%
  • Average Change % : 0.49
  • Median Change % : 0.49
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.71
  • Average Loss % if Loser : -1.50
  • Average Gain % / Average Loss % : 1.14
  • Average Absolute Change% : 1.63
  • Profit Factor : 1.72

13) $SPY down for 4 or more days in row ( Below or Above Lower Bollinger Band )

it would be unwise to expect $SPY to close to above upper bollinger band , hence the study is restricted for only the lower bollinger bands

a) $SPY down for 4 or more days in row and close is below lower bollinger band 

  • Winners : 28
  • Losers : 20
  • % Winners : 58%
  • Average Change % : 0.55
  • Median Change % : 0.37
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 2.20
  • Average Loss % if Loser : -1.76
  • Average Gain % / Average Loss % : 1.25
  • Average Absolute Change% : 1.11
  • Profit Factor : 1.71

b) $SPY down for 4 or more days in row and close is above lower bollinger band 

  • Winners : 47
  • Losers : 24
  • % Winners : 66%
  • Average Change % : 0.30
  • Median Change % : 0.39
  • Maximum Gain % : 3.72
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.98
  • Average Loss % if Loser : -1.02
  • Average Gain % / Average Loss % : 0.96
  • Average Absolute Change% : 1.00
  • Profit Factor : 1.59

14) $SPY down for 4 or more days in row ( & Four or more lower highs )

lower high is when current high is less than prev days high ,

  • Winners : 36
  • Losers : 20
  • % Winners : 64%
  • Average Change % : 0.71
  • Median Change % : 0.35
  • Maximum Gain % : 14.51
  • Maximum Loss % : -2.50
  • Average Gain %if Winner : 1.71
  • Average Loss % if Loser : -1.11
  • Average Gain % / Average Loss % : 1.55
  • Average Absolute Change% : 1.50
  • Profit Factor : 2.43

a) $SPY down for 4 or more days in row and $SPY posts 4 or more lower highs

and the NOT variant b) $SPY down for 4 or more days in row and $SPY did not post 4 or more lower highs as on current trading session

  • Winners : 39
  • Losers : 24
  • % Winners : 62%
  • Average Change % : 0.14
  • Median Change % : 0.39
  • Maximum Gain % : 3.79
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.18
  • Average Loss % if Loser : -1.57
  • Average Gain % / Average Loss % : 0.76
  • Average Absolute Change% : 1.33
  • Profit Factor : 1.16

15) $SPY down for 4 or more days in row ( & Four or more lower lows)

lower high is when current low is less than prev days low

a) $SPY down for 4 or more days in row and $SPY posts 4 or more lower lows

  • Winners : 31
  • Losers : 22
  • % Winners : 58%
  • Average Change % : 0.45
  • Median Change % : 0.32
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.91
  • Average Loss % if Loser : -1.60
  • Average Gain % / Average Loss % : 1.19
  • Average Absolute Change% : 1.78
  • Profit Factor : 1.56

and the NOT variant b) $SPY down for 4 or more days in row and $SPY did not post 4 or more lower lows as on current trading session

  • Winners : 44
  • Losers : 22
  • % Winners : 67%
  • Average Change % : 0.37
  • Median Change % : 0.44
  • Maximum Gain % : 4.41
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 1.11
  • Average Loss % if Loser : -1.12
  • Average Gain % / Average Loss % : 0.99
  • Average Absolute Change% : 1.11
  • Profit Factor : 1.77

16) $SPY down for 4 or more days in row ( & Four ago $ SPY closed at 52 week high)

like the present condition ( as on 25 Sep 2013) , when $SPY closed at 250 day closing high four days ago

  • Winners : 4
  • Losers : 5
  • % Winners : 44%
  • Average Change % : -0.47
  • Median Change % : -0.06
  • Maximum Gain % : 1.31
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.56
  • Average Loss % if Loser : -1.30
  • Average Gain % / Average Loss % : 0.43
  • Average Absolute Change% : 0.97
  • Profit Factor : 0.28

and the NOT variant b)  $SPY down for 4 or more days in row and $SPY did not close at 250 day closing high 4 days ago 

  • Winners : 71
  • Losers : 39
  • % Winners : 65%
  • Average Change % : 0.48
  • Median Change % : 0.42
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.49
  • Average Loss % if Loser : -1.36
  • Average Gain % / Average Loss % : 1.09
  • Average Absolute Change% : 1.40
  • Profit Factor : 1.86

17) $SPY down for 4 or more days in row ( & Four ago $ SPY closed at 20 Day high)

like the present condition ( as on 25 Sep 2013) , when $SPY closed at 20 day closing high four days ago

  • Winners : 15
  • Losers : 10
  • % Winners : 60%
  • Average Change % : 0.09
  • Median Change % : 0.12
  • Maximum Gain % : 2.56
  • Maximum Loss % : -3.91
  • Average Gain %if Winner : 0.78
  • Average Loss % if Loser : -0.96
  • Average Gain % / Average Loss % : 0.82
  • Average Absolute Change% : 0.85
  • Profit Factor : 1.11

and the NOT variant b)  $SPY down for 4 or more days in row and $SPY did not close at 20 day closing high 4 days ago 

  • Winners : 60
  • Losers : 34
  • % Winners : 64%
  • Average Change % : 0.49
  • Median Change % : 0.50
  • Maximum Gain % : 14.51
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.60
  • Average Loss % if Loser : -1.47
  • Average Gain % / Average Loss % : 1.09
  • Average Absolute Change% : 1.56
  • Profit Factor : 1.77

18) $SPY down for 4 or more days in row ( Day of the Week wise)

Week Day # # wins % wins Avg % Avg Win % Avg Loss % Avg W/L (%)
Mon 23 11 48% 0.02 1.43 -1.27 1.13
Tue 27 20 74% 0.68 1.24 -1.18 1.05
Wed 20 12 60% -0.21 0.82 -1.77 0.47
Thu 25 14 56% -0.18 0.84 -1.48 0.56
Fri 25 18 72% 1.55 2.55 -1.00 2.55

19) $SPY down for 4 or more days in row (Month wise) 

Month # # wins % wins Avg % Avg Win % Avg Loss % Avg W/L (%)
Jan 14 7 50% -0.07 0.88 -1.02 0.86
Feb 12 7 58% 0.08 1.45 -1.85 0.79
Mar 6 4 67% 0.57 1.13 -0.57 2.00
Apr 6 3 50% -0.50 1.46 -2.47 0.59
May 10 7 70% 1.09 2.10 -1.27 1.66
Jun 14 8 57% -0.04 0.60 -0.88 0.68
Jul 10 7 70% 0.92 1.55 -0.55 2.84
Aug 10 8 80% 0.14 0.50 -1.30 0.38
Sep 8 6 75% 0.83 1.16 -1.09 1.06
Oct 12 8 67% 1.05 3.38 -3.61 0.94
Nov 11 5 45% 0.54 1.95 -0.63 3.08
Dec 7 5 71% 0.35 0.92 -1.06 0.87

20) $SPY down for 4 or more days in row (Trading week number wise ) 

ps: we are marking the current trading as 1 , if it is first trading day of the month , and so on .. 

the first trading week is when the current trading day is between the 1st and 5th ( including ) trading day of the month 

the second trading week is when the current trading day is between the 6th and 10th ( including ) trading day of the month 

the third trading week is when the current trading day is between the 11th and 15th ( including ) trading day of the month 

the fourth trading week is when the current trading day is between the 16 and the last trading day ( could be 20,21,22 or 23 as well !!) of the month 

Trading Week # # wins % wins Avg % Avg Win % Avg Loss % Avg W/L (%)
First 38 22 58% 0.27 1.13 -0.92 1.23
Second 31 19 61% 0.45 2.02 -2.03 0.99
Third 21 13 62% 0.27 1.18 -1.21 0.98
Fourth 30 21 70% 0.63 1.40 -1.38 1.02

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