page #234 from $SPY High Probability Trading Strategies

page #234 from $SPY High Probability Trading Strategies

below trading strategy , ctrl+c & ctrl+v ‘ed from

$SPY High Probability Trading Strategies : PDF

Trading strategy rules

  • Current trading day is 134th trading day of the year
  • Go Short at close

below the trading odds for $SPY, for the next 1/2/3/4/5/10/20 trading days , since Y2K ->

 

trading odds from 134th trading day of the year for $SPY , since IPO 
Exit # Wins %Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up% T-Test
t+1 25 9 36 -0.19 -0.08 0.51 -0.58 0.87 -2.75 0.44 -0.67 -2.94 0.43 -1.14
t+2 25 13 52 -0.13 0.04 0.64 -0.96 0.66 -2.88 0.73 -1.02 -3.15 0.68 -0.61
t+3 25 16 64 0.04 0.24 0.89 -1.47 0.61 -4.92 1.55 -1.36 -6.42 0.97 0.13
t+4 25 12 48 -0.46 -0.14 0.99 -1.79 0.55 -8.26 0.67 -1.77 -8.71 1.09 -1.10
t+5 25 12 48 -0.40 -0.12 0.97 -1.66 0.58 -10.98 0.66 -2.15 -11.79 1.29 -0.79
1st -‘ve exit in 5 days % 25 24 96 0.61 -0.24 0.65 -0.36 1.80 -0.36 14.89 -0.33 -1.34 0.94 3.69

24/25 times , since IPO, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 61 bps and median of -24 bps

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

below the historical $SPY returns , over the next 1/2/3/4/5 trading days , from 134th trading day of the year when on last trading day , $SPY down for the month by more than 5% , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # days to 1st -‘ve cls
15-Jul-19 300.75 ?? ?? ?? ?? ?? ?? ??
13-Jul-18 274.14 -0.09 0.31 0.53 0.15 0.03 -0.09 1
14-Jul-17 236.36 -0.01 0.04 0.58 0.63 0.54 -0.01 1
14-Jul-16 203.87 -0.13 0.13 0.03 0.45 0.07 -0.13 1
15-Jul-15 194.42 0.8 0.89 0.94 0.54 0.36 0.36 5
15-Jul-14 178.56 0.37 -0.77 0.24 0.06 0.49 -0.77 2
15-Jul-13 149.3 -0.37 -0.12 0.43 0.61 0.8 -0.37 1
13-Jul-12 117.89 -0.24 0.45 1.19 1.46 0.53 -0.24 1
14-Jul-11 111.35 0.58 -0.24 1.37 1.31 2.72 -0.24 2
15-Jul-10 91.45 -2.75 -2.18 -1.09 -2.38 -0.2 -2.75 1
15-Jul-09 76.3 -0.16 0.93 2.01 2.48 2.46 -0.16 1
14-Jul-08 97.77 -1.41 1.01 2.02 2.66 2.71 -1.41 1
16-Jul-07 120.92 -0.05 -0.23 0.16 -0.86 -0.56 -0.05 1
14-Jul-06 94.73 -0.15 0.36 1.76 1.06 0.35 -0.15 1
14-Jul-05 92.59 -0.06 -0.46 0.09 0.43 -0.15 -0.06 1
15-Jul-04 81.83 -0.08 -0.51 0.76 -1.1 -0.83 -0.08 1
15-Jul-03 73.07 -0.59 -2 -0.99 -2.22 -1.33 -0.59 1
15-Jul-02 66.01 -1.93 -1.73 -4.92 -8.26 -10.98 -1.93 1
13-Jul-01 86.2 -1.25 -0.33 -1.01 -0.14 -0.74 -1.25 1
13-Jul-00 104.44 0.98 0.81 -0.01 -0.81 0.56 -0.01 3
15-Jul-99 97.36 0.54 -0.12 -2.17 -2.28 -3.57 -0.12 2
15-Jul-98 80.18 0.69 0.82 0.82 -0.93 -0.93 -0.93 4
14-Jul-97 61.92 0.51 1.83 1.32 -0.83 -0.81 -0.83 4
11-Jul-96 42.63 0.07 -2.88 -2.64 -1.48 -0.12 -2.88 2
13-Jul-95 36.29 -0.08 0.47 -0.39 -1.48 -1.11 -0.08 1
14-Jul-94 28.62 0.03 0.21 0 -0.45 -0.24 -0.45 4

highlighted in red is the only time $SPY did not close lower than the entry over the next 5 trading days

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