friday the 13th

friday the 13th

Friday the 13th

below the trading odds for the $SPY longs , the day before friday the 13th , since Feb 1993

1) Trading odds for $SPY longs from the day before friday the 13th , since Feb 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 34 20 58.8 0.28 0.24 0.88 -0.58 1.51 -1.58 2.07 1.63
t+2 34 24 70.6 0.52 0.65 1.17 -1.04 1.12 -5.31 2.77 2.35
t+3 34 28 82.4 0.73 0.93 1.24 -1.62 0.76 -5.53 3.75 3.33
t+4 34 25 73.5 0.89 1.01 1.70 -1.35 1.26 -6.55 4.03 3.61
t+5 34 24 70.6 0.84 1.36 2.01 -1.97 1.02 -7.45 2.67 2.37
t+10 34 21 61.8 0.91 1.70 3.17 -2.74 1.16 -11.63 1.81 1.58
t+20 34 24 70.6 1.46 3.00 3.96 -4.55 0.87 -9.46 1.71 1.50
1st +’ve exit in 5 days 34 31 91.2 0.45 0.65 0.81 -3.31 0.24 -7.45 2.81 2.40

31 /34 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.45 %, beware the max loss stands at -7.45% at the end of 5th trading day , happened on 12 Feb 2009 .

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

 

2) Trading odds for $SPY longs from the day before friday the 13th , when $SPY closes above 13 -DMA , since Feb 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 18 12 66.7 0.25 0.28 0.63 -0.51 1.23 -1.04 1.95 1.65
t+2 18 14 77.8 0.77 0.69 1.04 -0.18 5.70 -0.36 17.25 14.36
t+3 18 16 88.9 1.08 1.02 1.27 -0.38 3.38 -0.75 20.13 17.20
t+4 18 16 88.9 1.34 1.38 1.55 -0.38 4.13 -0.38 27.55 22.24
t+5 18 15 83.3 1.21 1.36 1.68 -1.15 1.46 -2.19 6.11 5.03
t+10 18 12 66.7 1.67 1.70 3.13 -1.26 2.49 -4.13 3.79 2.87
t+20 18 14 77.8 2.46 3.18 3.89 -2.54 1.53 -5.83 3.35 2.54
1st +’ve exit in 5 days 18 17 94.4 0.52 0.61 0.68 -2.19 0.31 -2.19 3.81 3.30

ps: a close above 193.57 is needed for $SPY to close above 13-DMA !

below the historical instances of $SPY returns from the day before friday the 13th , when the $SPY closes above 13 day moving average

Date Close t+1% t+2% t+3% t+4% t+5%
12-Jun-14 ~ 194.19 ?? ?? ?? ?? ??
12-Sep-13 166.49 0.22 0.8 1.26 2.43 2.25
12-Jan-12 123.65 -0.52 -0.14 0.97 1.5 1.88
12-Nov-09 99.46 0.53 2 2.11 2.05 0.72
12-Mar-09 67.67 0.78 0.49 3.56 5.88 4.57
12-Jul-07 133.79 0.3 0.28 0.23 0.05 0.44
12-Apr-07 124.82 0.46 1.41 1.67 1.8 1.78
12-Oct-06 116.47 0.26 0.41 0.1 0.23 0.39
12-Jan-06 108.68 -0.09 -0.36 -0.75 -0.38 -2.19
12-Feb-04 94.1 -0.46 0.45 0 -0.37 -0.67
12-Jun-03 80.87 -1.04 1.04 1.04 0.95 -0.58
12-Nov-98 85.14 0.97 1.73 1.73 2.34 3.23
12-Mar-98 80.85 -0.38 0.69 0.99 1.36 1.62
12-Feb-98 77.16 -0.58 -0.09 0.82 0.29 1.04
12-Jun-97 66.14 0.85 0.89 0.74 0.39 1.44
12-Sep-96 49.52 1.51 1.9 1.66 1.39 1.8
12-Oct-95 42.17 0.33 -0.14 0.52 0.81 1.28
12-Jan-95 32.78 1.19 1.8 1.83 1.74 1.16
12-Aug-93 30.75 0.13 0.68 1.04 1.59 1.59

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