Happy Saint Patrick’s Day !

Happy Saint Patrick’s Day ! 

St Patrick Day

Below the trading odds for $SPY for going long on the trading day before the St Patrick Day , and exiting after 1/2/3/4/5/10/20 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 22 17 77.3 0.67 0.35 1.02 -0.52 1.95 -1.01 5.85 5.04 1.08 2.91
t+2 22 15 68.2 0.96 0.61 1.57 -0.35 4.45 -0.79 8.83 7.36 1.50 3.00
t+3 22 10 45.5 0.64 -0.08 2.17 -0.63 3.46 -2.39 3.18 2.54 1.78 1.69
t+4 22 10 45.5 0.51 -0.05 2.35 -1.02 2.30 -3.38 2.11 1.75 1.96 1.22
t+5 22 10 45.5 1.22 -0.05 3.77 -0.91 4.14 -3.23 3.51 2.88 2.95 1.93
t+10 22 17 77.3 0.77 1.08 1.78 -2.66 0.67 -5.34 3.78 2.89 2.50 1.45
t+20 22 12 54.5 0.96 1.00 3.94 -2.60 1.51 -6.33 1.91 1.54 4.11 1.10
1st +’ve exit in 5 days 22 19 86.4 0.95 0.63 1.14 -0.25 4.61 -0.50 49.13 40.45 1.07 4.18

 

19/22 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 95 basis points at the 1st positive 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 historical returns of $SPY from one trading day before of St Patrcik’s Day 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days %
16-Mar-15 208.58 ?? ?? ?? ?? ?? ??
14-Mar-14 181.12 0.91 1.62 1.08 1.67 1.28 0.91
15-Mar-13 150.48 -0.55 -0.78 -0.09 -0.94 -0.15 -0.15
16-Mar-12 132.54 0.39 0.10 -0.07 -0.78 -0.46 0.39
16-Mar-11 116.24 1.32 1.69 3.27 2.91 3.21 1.32
16-Mar-10 105.18 0.59 0.54 0.03 0.56 1.27 0.59
16-Mar-09 66.99 3.06 5.36 4.06 1.84 9.15 3.06
14-Mar-08 111.76 -1.01 3.10 0.55 2.42 4.46 3.10
16-Mar-07 117.76 1.21 1.76 3.43 3.35 3.51 1.21
16-Mar-06 108.93 0.08 -0.08 -0.71 -0.10 -0.31 0.08
16-Mar-05 97.31 0.20 -0.09 -0.47 -1.48 -1.40 0.20
16-Mar-04 89.61 1.12 1.14 -0.31 -1.57 -1.74 1.12
14-Mar-03 66.35 3.15 3.75 4.55 4.78 7.02 3.15
15-Mar-02 90.82 0.02 0.69 -1.20 -1.16 -1.38 0.02
16-Mar-01 88.40 2.04 -0.70 -2.39 -3.38 -0.46 2.04
16-Mar-00 111.02 0.66 0.14 2.20 2.82 4.58 0.66
16-Mar-99 98.11 -0.43 1.17 -0.55 -0.36 -3.23 1.17
16-Mar-98 80.20 0.30 0.67 0.92 1.80 1.57 0.30
14-Mar-97 58.14 0.28 -0.79 -1.14 -1.65 -1.19 0.28
15-Mar-96 46.08 1.91 1.69 1.58 1.32 1.61 1.91
16-Mar-95 34.81 0.11 0.11 -0.14 -0.06 0.00 0.11
16-Mar-94 32.18 0.00 -0.03 -0.28 -0.03 -0.09 -0.09
16-Mar-93 30.11 -0.63 0.00 -0.17 -0.73 -0.50 -0.50

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