if by Monday $SPY recovers half of last week’s losses ?

if by Monday $SPY recovers half of last week’s losses ?

bit complex rules ,

  • today is Monday
  • Previous trading day was Friday and 6 trading days ago was also a Friday ( the idea here is we are tracking full working week )
  • as on previous trading which was a Friday , $SPY lost more than 1% , over the last five trading days ( for the last week ending on Friday as on 114 Mar 2014 , $SPY lost -1.91%)
  • $SPY on the current session recovers half or more of the last week’s losses

below the trading odds for the next 1/2/3/4/5/10/20 trading days ,when by Monday $SPY recovers half of last week’s losses ?, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 27 12 44.4 -0.12 -0.28 0.84 -0.88 0.95 -2.35
t+2 27 13 48.1 -0.39 -0.07 1.41 -2.06 0.68 -11.18
t+3 27 14 51.9 -0.61 0.56 1.76 -3.16 0.56 -7.48
t+4 27 11 40.7 -1.16 -1.11 1.66 -3.09 0.54 -8.03
t+5 27 13 48.1 -0.78 -0.29 1.59 -2.98 0.53 -6.54
t+10 27 16 59.3 0.28 1.57 3.29 -4.10 0.80 -7.01
t+20 27 19 70.4 0.41 1.31 3.61 -7.19 0.50 -11.45

looks a bit bearish bias towards this weekend ( but be careful to even think of shorting $SPY , most of the short patterns failed miserably in 2013 ..)

below the prior instances of by Monday $SPY recovers half of last week’s losses , since Jan 2000

Date Close Monday Gain% Prev Week Loss % t+1 t+2 t+3 t+4 t+5 t+10 t+20
17-Mar-14 ~186.57 1.03 -1.91 ?? ?? ?? ?? ?? ?? ??
19-Nov-12 135.42 2.03 -1.29 0.04 0.23 1.6 1.37 0.86 3.27 5.41
15-Aug-11 114.35 2.12 -1.63 -0.86 -0.79 -5.07 -6.62 -6.54 -0.79 -2.34
21-Mar-11 122.39 1.55 -1.93 -0.35 -0.07 0.89 1.2 0.96 2.85 0.24
10-May-10 107.44 4.4 -6.35 -0.28 1.12 -0.15 -1.95 -1.9 -6.35 -8.93
03-May-10 111.32 1.3 -2.47 -2.35 -2.94 -6.16 -7.55 -3.49 -6.23 -9.93
01-Feb-10 100.46 1.56 -1.67 1.21 0.71 -2.4 -2.2 -2.91 0.3 4.18
05-Oct-09 95.31 1.5 -1.88 1.43 1.71 2.49 3.11 3.51 5.97 0.46
28-Sep-09 97.41 1.79 -2.13 -0.3 -0.69 -3.15 -3.6 -2.16 2.34 1.7
18-May-09 82.72 2.83 -4.59 -0.12 -0.79 -2.21 -2.42 0.08 6.4 3.41
08-Dec-08 81.27 3.49 -2.4 -1.65 -0.98 -3.36 -2.21 -3.57 -2.16 3.23
24-Nov-08 75.94 6.93 -8.2 0.74 4.64 5.95 -3.44 0.28 10.72 7.63
13-Oct-08 90.51 14.51 -19.79 -1.48 -11.18 -7.48 -8.03 -2.51 -6.95 1.08
12-May-08 124.1 1.12 -1.84 0.01 0.22 1.47 1.56 1.85 -0.86 -2.44
19-Mar-07 121.5 1.2 -1.2 0.55 2.21 2.13 2.28 2.14 1.68 5.39
29-Aug-05 102.16 0.77 -1.39 -0.53 0.73 0.66 0.48 1.65 2.6 0.96
16-May-05 97.66 0.93 -1.16 0.67 1.7 2.13 1.99 2.55 3.23 4.08
24-Nov-03 85.88 1.32 -1.19 0.38 0.75 0.82 1.91 1.65 1.78 4.98
14-Apr-03 71.81 2.06 -1.21 0.93 -0.78 0.7 0.79 2.69 5.06 8.34
16-Dec-02 73.34 2.59 -2.92 -0.87 -2.03 -2.73 -1.34 -1.31 -2.37 3.01
17-Jun-02 82.65 2.68 -1.88 0.82 -1.54 -2.79 -4.31 -3.81 -4.54 -11.45
13-May-02 85.63 2.04 -1.73 2.17 1.78 2.31 2.8 1.69 1.57 -3.84
11-Feb-02 88.21 1.23 -2.28 -0.32 0.75 0.56 -0.5 -2.4 0.69 5.58
22-Oct-01 86.35 1.97 -1.97 -0.51 -0.78 1.01 0.78 -1.84 2.56 6.75
05-Mar-01 97.49 0.91 -1.08 1.08 1.8 1.91 -1.11 -5.34 -7.01 -7.84
12-Feb-01 104.22 1.15 -2.19 -0.82 -0.97 -0.01 -2.22 -3.72 -4.7 -10.76
18-Dec-00 103.73 1.34 -1.97 -2.03 -4.88 -4.22 -1.34 -0.29 -3.12 0.89
26-Jun-00 113.69 1.27 -1.5 -0.73 -0.46 -1.39 -0.64 0.72 1.57 1.31

ps : ~186.57 at the time of writing ,

pps: a close above 186.43 , triggers the above study , otherwise its void ( in which case the predictability is very very less)

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