if and when $SPX closes above 1881

if and when $SPX closes above 1881

1900

 

image courtesy : http://www.zazzle.com/1900s+gift+boxes

with $SPX trading above 1881 ( at the time of writing) , and assuming we close above that level today  (as on 6 Mar 2014 or when ever we close above 1881 , but below 1900 )

& inspired by those wonderful discussions Round Number Theory and Smallmouth Bass, by J.T. Holley ( as must#FF @steenbab say’s Victor Niederhoffer as a Manager of Intellectual Capital

here is the theory , that I’m testing ,

$SPX closes above 1% minus level ( 1900-1% = 1881, that’s the reason I said 1881 , otherwise nothing special about that level) but below the next big round number to be conquered ( on closing basis) for the first time ever .

below the trading odds for the $SPX ( S&P 500 Cash Index) longs for the next 1/2/3/4/5/10/20 trading days , since the first ever round number 100 is about to be crossed .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 16 11 68.8 0.24 0.28 0.60 -0.56 1.07 -1.43
t+2 16 10 62.5 0.33 0.15 1.06 -0.89 1.19 -2.09
t+3 16 11 68.8 0.46 0.38 1.11 -0.97 1.15 -1.34
t+4 16 10 62.5 0.80 0.61 1.56 -0.46 3.36 -0.82
t+5 16 16 100.0 1.03 0.75 1.03 NA NA NA
t+10 16 15 93.8 2.30 2.09 2.47 -0.25 9.88 -0.25
t+20 16 14 87.5 2.85 3.75 3.41 -1.08 3.17 -1.50
1st +’ve exit in 5 days 16 16 100.0 0.56 0.45 0.56 NA NA NA

16/16 times ( or 100% ) $SPX closed at higher close than the current close at some point of time than the current close over the next five trading days and after 5 trading days.

below the historical details of  $SPX closings above 1% minus the next round number to be conquered , but below the next round number to be conquered , for the first time ever

Date $SPX 1% minus the next round number t+1 t+2 t+3 t+4 t+5 t+10 t+20
06-Mar-2014 ( or whenever) 1881 + 1881 ?? ?? ?? ?? ?? ?? ??
14-Nov-13 1790.62 1782 -0.37 -0.57 -0.93 -0.13 0.37 0.15 -0.65
18-Jul-13 1689.37 1683 0.36 0.08 0.5 -0.82 0.51 2.07 2.23
10-Apr-13 1587.73 1584 0.14 -0.23 0.04 0.55 0.71 0.68 0.67
21-Mar-00 1493.87 1485 0.31 0.45 0.07 0.35 0.86 0.91 1.34
02-Jul-99 1391.22 1386 0.53 1.25 1.27 2.64 2.96 3.69 4.77
11-Mar-99 1297.68 1287 0.08 1.1 1.63 2.37 2.39 4.14 4.44
23-Nov-98 1188.21 1188 0.85 2.14 2.11 1.07 0.22 1.24 0.4
19-Mar-98 1089.74 1089 0.59 0.04 -1.34 -0.5 0.78 -0.25 -1.5
13-Jun-97 893.27 891 0.25 -0.68 0.25 1.31 1.5 2.52 4.17
02-Oct-96 694.01 693 -0.18 0.53 0.78 -0.16 0.78 2.62 4.12
16-Nov-95 597.34 594 0.4 0.22 0.94 1.19 0.25 3.41 4.85
16-Mar-95 495.41 495 -1.43 -2.09 -1.23 -0.77 0.27 1.46 4.81
28-Aug-91 396.64 396 2.12 1.67 2 2.47 0.01 2.08 3.38
20-Mar-87 298.17 297 0.95 3.09 2.64 2.97 3.45 2.09 3.07
12-Nov-85 198.08 198 -0.65 -0.94 -0.23 0.67 0.98 4.85 4.9
03-Jun-68 99.99 99 -0.17 -0.82 -1.11 -0.4 0.5 5.13 4.53

pat and treat yourself :), if you noticed , 990, and 772 ( the 1% minus levels of 1000, and 800 respectively ) are missing from the above list , the reason they are missing are ,

for ex: on 2nd Feb 98 , S&P cash index jumped with out giving an opportunity to enter below 1000 , but about 990 ( by closing at 1001.27 from the prev day ( 30-Jan-98) closing value of 985.49 and similarly there was never an opportunity to enter above 772 and below 800 , while anticipating for 800 .

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