Funny Volume only Slightly Bearish Pattern on $SPY

Funny Volume only Slightly Bearish Pattern on $SPY

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Not sure how to use these volume only patterns , but found this interesting pattern , here are the trading rules

1) $SPY posts highest volume in the last 10 trading days &&

2) current day is NFP day

below the $SPY trading odds for the next 1/2/3/4/5 days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 33 12 36.4 -0.67 -0.23 0.51 -1.34 0.38 -6.51 0.29 0.23 1.56 -2.45
t+2 33 11 33.3 -0.66 -0.33 1.24 -1.61 0.77 -9.34 0.37 0.29 2.23 -1.70
t+3 33 12 36.4 -1.05 -0.90 1.52 -2.52 0.60 -11.63 0.35 0.28 2.95 -2.04
t+4 33 12 36.4 -1.01 -0.64 2.05 -2.75 0.74 -17.79 0.38 0.29 4.08 -1.42
t+5 33 13 39.4 -1.12 -0.82 1.83 -3.04 0.60 -19.79 0.35 0.25 4.42 -1.46
t+10 33 18 54.5 -0.47 0.26 3.01 -4.64 0.65 -15.53 0.76 0.66 4.96 -0.54
t+20 33 21 63.6 1.31 1.56 4.23 -3.79 1.12 -12.24 1.81 1.53 5.77 1.31
1st +’ve exit in 5 days 33 22 66.7 -0.71 0.22 0.78 -3.69 0.21 -19.79 0.43 0.36 3.75 -1.09
1st -‘ve exit in 5 days 33 28 84.8 0.84 -0.70 -1.23 1.35 0.91 2.35 4.02 3.20 1.73 2.79

1st -‘ve exit in 5 days , assumes one goes short at current close , and exits at a lower close than entry over the next five days , other wise buy to cover for a loss at the end of 5th day trading day ..

28/33 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 84 basis points at the 1st negative close within in the next five trading days.

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

below the $SPY returns over the next 1/2/3/4/5 trading days , when $SPY posts highest volume in 10 trading days , on NFP day , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit (%) in 5 days
08-May-15 211.62 ?? ?? ?? ?? ?? ??
06-Mar-15 206.58 0.41 -1.22 -1.45 -0.19 -0.80 -1.22
05-Sep-14 198.19 -0.26 -0.89 -0.51 -0.40 -0.98 -0.26
01-Aug-14 189.71 0.72 -0.26 -0.23 -0.76 0.38 -0.26
04-Apr-14 182.82 -1.10 -0.70 0.37 -1.74 -2.63 -1.10
06-Dec-13 175.73 0.26 -0.11 -1.23 -1.55 -1.56 -0.11
06-Sep-13 160.48 0.95 1.70 2.02 1.75 1.98 1.98
05-Apr-13 149.17 0.68 1.03 2.27 2.60 2.35 2.35
04-May-12 128.85 0.07 -0.33 -0.92 -0.71 -1.02 -0.33
05-Aug-11 111.16 -6.51 -2.17 -6.49 -2.29 -1.64 -6.51
03-Jun-11 120.13 -1.06 -1.12 -1.53 -0.78 -2.16 -1.06
04-Mar-11 121.49 -0.78 0.08 -0.06 -1.91 -1.23 -0.78
07-Jan-11 116.61 -0.13 0.22 1.13 0.96 1.70 -0.13
06-Aug-10 101.99 0.54 -0.01 -2.75 -3.34 -3.63 -0.01
05-Feb-10 95.94 -0.72 0.52 0.32 1.38 1.29 -0.72
04-Dec-09 99.32 -0.15 -1.27 -0.90 -0.33 0.09 -0.15
06-Mar-09 60.59 -1.17 4.72 5.40 9.54 10.40 -1.17
09-Jan-09 78.32 -2.40 -2.22 -5.30 -5.26 -4.52 -2.40
03-Oct-08 96.22 -5.09 -9.34 -11.63 -17.79 -19.79 -5.09
06-Jun-08 117.58 0.24 -0.26 -1.73 -1.35 -0.10 -0.26
07-Mar-08 111.35 -1.32 2.23 1.28 1.50 -0.07 -1.32
04-Jan-08 121.31 -0.08 -1.70 -0.67 -0.02 -0.82 -0.08
07-Sep-07 124.15 -0.19 0.97 1.23 1.94 1.93 -0.19
04-Aug-06 106.99 -0.23 -0.62 -0.95 -0.64 -0.93 -0.23
01-Apr-05 95.88 0.17 0.65 0.99 1.53 0.48 0.48
06-Aug-04 85.88 0.14 1.43 1.22 0.12 0.31 0.31
05-Mar-04 92.87 -1.22 -1.62 -3.26 -4.52 -3.26 -1.22
09-Jan-04 89.69 0.74 0.14 0.98 1.23 1.63 1.63
06-Jun-03 78.25 -1.01 -0.01 1.05 1.37 0.31 -1.01
07-Mar-03 65.42 -2.40 -3.36 -2.71 0.66 0.98 -2.40
04-Jan-02 90.91 -0.70 -0.93 -1.74 -1.31 -2.28 -0.70
07-Sep-01 83.43 1.22 -4.06 -4.29 -6.22 -9.21 -4.06
04-May-01 97.44 -0.86 -0.90 -1.32 -1.04 -1.71 -0.86
06-Oct-00 107.33 -0.75 -2.39 -3.21 -5.63 -2.49 -0.75

highlighted in bold were those 5 instances where $SPY failed to closed lower over the next five trading days ..

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