12 Dec 2018 : ETF trade-ideas -> $XOP , $EEM

12 Dec 2018 , ETF trade-ideas below the ETF trade ideas that had above 90% win rate with a profit factor of more than 5 , based on the historical data since Y2K ( or since IPO ) for 12th Dec 2018 $XOP: SPDR S&P Oil & Gas Explore & Prod. trading strategy rules currently posts […]

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back to back $SPY gap up opens of 1% or more , since IPO

back to back $SPY gap up opens of 1% or more , since IPO     with $SPY opening with a gap up of more than 1% ,for the second day in row , below the $SPY movements from Open to Close , and Open to Low ( to gauge the amount of average and […]

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11 Dec 2018 : $SPY trade idea with 48/48 wins

11 Dec 2018 : $SPY trade idea with $SPY closing at 264.13 as on 11th Dec 2018 , and the close being the bottom 20% of 20 day high - 20 day low range , below trading strategy SPY close is in bottom 20% range of 20 day high close - 20 day low close ( (264.13- […]

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11 Dec 2018 , ETF trade-ideas -> $EWJ , $XLF

11 Dec 2018 , ETF trade-ideas below the ETF trade ideas that had above 90% win rate with a profit factor of more than 5 , based on the historical data since Y2K ( or since IPO ) for 11th Dec 2018 $EWJ : iShares MSCI Japan ETF trading strategy rules is currently down for 4 […]

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$SPY trade idea as on 7 Dec 2018 , with 46/46 wins

$SPY trade idea with 46/46 wins with $SPY closing at 263.57 as on 7th Dec 2018 , and the close being the bottom 20% of 20 day high - 20 day low range , below trading strategy SPY close is in bottom 20% range of 20 day high close - 20 day low close ( (263.57- 263.25)*100/(280.05-263.25) […]

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historical $SPX death cross details since 1950

historical $SPX death cross details

$spx death cross

Death Cross definition 

A bearish signal generated when the 50-day(short-term) moving average crosses below the 200-day(long-term) moving average. See also golden cross.

Below are summary stats for the long trades from death cross and exit set to golden cross

# 34
wins 26
% wins 76.47
Avg % 1.21
Med % 4.30
Avg Win % 6.37
Avg Loss % -15.56
Avg Win/Loss 0.41
Max Win % 15.70
Max loss % -39.70
Avg DD from Entry % -10.31
Med DD from Entry % -6.1
Max DD from Entry % -54.40

Below the table with all the Death and Golden Crosses since 1950 on $SPX

$SPX Death and Golden Cross details since 1950

 

below the golden and death cross details since 1950

Date DC/GC SPX Date SPX Max DD From Entry Max DD % Returns % 100 becomes during  GC 100 becomes during  DC 100 becomes with  BnH
07-Dec-18 DC 2633.1 ?? ?? ?? ?? ??
25-Apr-16 GC 2087.8 07-Dec-18 2633.1 2000.5 -4.2 26.1 14076.2 112.3 15804.8
11-Jan-16 DC 1923.7 25-Apr-16 2087.8 1829.1 -4.9 8.5 11161.2 112.3 12531.8
21-Dec-15 GC 2021.2 11-Jan-16 1923.7 1922 -4.9 -4.8 11161.2 103.5 11546.6
28-Aug-15 DC 1988.9 21-Dec-15 2021.2 1881.8 -5.4 1.6 11726.7 103.5 12131.8
31-Jan-12 GC 1312.4 28-Aug-15 1988.9 1278 -2.6 51.5 11726.7 101.8 11938.0
12-Aug-11 DC 1178.8 31-Jan-12 1312.4 1099.2 -6.8 11.3 7738.2 101.8 7877.6
22-Oct-10 GC 1183.1 12-Aug-11 1178.8 1119.5 -5.4 -0.4 7738.2 91.4 7075.7
02-Jul-10 DC 1022.6 22-Oct-10 1183.1 1022.6 0.0 15.7 7766.2 91.4 7101.3
23-Jun-09 GC 895.1 02-Jul-10 1022.6 879.1 -1.8 14.2 7766.2 79.0 6137.9
21-Dec-07 DC 1484.5 23-Jun-09 895.1 676.5 -54.4 -39.7 6798.1 79.0 5372.7
12-Sep-06 GC 1313 21-Dec-07 1484.5 1313 0.0 13.1 6798.1 131.1 8910.3
19-Jul-06 DC 1259.8 12-Sep-06 1313 1240.3 -1.6 4.2 6012.9 131.1 7881.2
05-Nov-04 GC 1166.2 19-Jul-06 1259.8 1137.5 -2.5 8.0 6012.9 125.8 7561.9
18-Aug-04 DC 1095.2 05-Nov-04 1166.2 1091.2 -0.4 6.5 5565.9 125.8 6999.8
14-May-03 GC 939.3 18-Aug-04 1095.2 919.7 -2.1 16.6 5565.9 118.1 6573.6
30-Oct-00 DC 1398.7 14-May-03 939.3 776.8 -44.5 -32.8 4773.7 118.1 5637.9
11-Nov-99 GC 1381.5 30-Oct-00 1398.7 1329.8 -3.7 1.3 4773.7 175.9 8395.3
04-Nov-99 DC 1362.6 11-Nov-99 1381.5 1362.6 0.0 1.4 4715 175.9 8292.1
08-Dec-98 GC 1181.4 04-Nov-99 1362.6 1141.2 -3.4 15.3 4715.0 173.5 8179.1
29-Sep-98 DC 1049 08-Dec-98 1181.4 959.4 -8.5 12.6 4087.8 173.5 7091.1
15-Sep-94 GC 474.8 29-Sep-98 1049 445.5 -6.2 120.9 4087.8 154.0 6296.6
19-Apr-94 DC 442.5 15-Sep-94 474.8 441.5 -0.2 7.3 1850.2 154.0 2850.0
15-Feb-91 GC 369.1 19-Apr-94 442.5 362.8 -1.7 19.9 1850.2 143.6 2656.3
07-Sep-90 DC 323.4 15-Feb-91 369.1 295.5 -8.6 14.1 1543 143.6 2215.2
25-May-90 GC 354.6 07-Sep-90 323.4 307.1 -13.4 -8.8 1543.0 125.8 1941.2
26-Feb-90 DC 328.7 25-May-90 354.6 328.7 0.0 7.9 1691.8 125.8 2128.3
28-Jun-88 GC 272.3 26-Feb-90 328.7 257 -5.6 20.7 1691.8 116.6 1972.8
05-Nov-87 DC 254.5 28-Jun-88 272.3 223.9 -12.0 7.0 1401.7 116.6 1634.5
25-Nov-86 GC 248.2 05-Nov-87 254.5 224.8 -9.4 2.5 1401.7 109.0 1527.5
18-Nov-86 DC 236.8 25-Nov-86 248.2 236.8 0.0 4.8 1366.9 109.0 1489.6
12-Sep-84 GC 164.7 18-Nov-86 236.8 161.7 -1.8 43.8 1366.9 104.0 1421.2
03-Feb-84 DC 160.9 12-Sep-84 164.7 147.8 -8.1 2.3 950.7 104.0 988.5
28-Sep-82 GC 123.2 03-Feb-84 160.9 120.4 -2.3 30.6 950.7 101.6 965.8
02-Jul-81 DC 128.6 28-Sep-82 123.2 102.4 -20.4 -4.2 728.1 101.6 739.7
17-Jun-80 GC 116 02-Jul-81 128.6 114.1 -1.7 10.9 728.1 106.0 772.1
22-Apr-80 DC 103.4 17-Jun-80 116 103.4 0.0 12.2 656.7 106.0 696.5
21-Mar-79 GC 101.3 22-Apr-80 103.4 98.1 -3.2 2.2 656.7 94.5 620.8
13-Dec-78 DC 96.1 21-Mar-79 101.3 93.4 -2.7 5.4 642.9 94.5 607.7
22-May-78 GC 99.1 13-Dec-78 96.1 92.5 -6.7 -3.1 642.9 89.7 576.6
03-Mar-77 DC 100.9 22-May-78 99.1 86.9 -13.9 -1.8 663.2 89.7 594.8
04-Jan-77 GC 105.7 03-Mar-77 100.9 99.5 -5.9 -4.6 663.2 91.3 605.5
01-Dec-76 DC 102.5 04-Jan-77 105.7 102.1 -0.4 3.1 694.9 91.3 634.5
06-Mar-75 GC 83.7 01-Dec-76 102.5 80.3 -4.0 22.5 694.9 88.5 615.2
18-Apr-73 DC 111.5 06-Mar-75 83.7 62.3 -44.2 -25.0 567.4 88.5 502.3
26-Jan-72 GC 102.5 18-Apr-73 111.5 102.5 0.0 8.8 567.4 118.0 669.5
24-Sep-71 DC 98.2 26-Jan-72 102.5 90.2 -8.1 4.4 521.4 118.0 615.2
22-Oct-70 GC 83.4 24-Sep-71 98.2 82.8 -0.7 17.7 521.4 113.0 589.1
23-Jun-69 DC 96.2 22-Oct-70 83.4 69.3 -28.0 -13.4 443 113.0 500.5
27-May-69 GC 103.6 23-Jun-69 96.2 96.2 -7.1 -7.1 443.0 130.4 577.6
13-Mar-69 DC 98.4 27-May-69 103.6 98 -0.4 5.3 476.7 130.4 621.7
17-May-68 GC 96.9 13-Mar-69 98.4 96.4 -0.5 1.5 476.7 123.9 590.6
27-Feb-68 DC 90.5 17-May-68 96.9 87.7 -3.1 7.0 469.5 123.9 581.6
03-Feb-67 GC 87.4 27-Feb-68 90.5 86.5 -1.0 3.6 469.5 115.7 543.4
28-Apr-66 DC 91.1 03-Feb-67 87.4 73.2 -19.7 -4.1 453.1 115.7 524.4
17-Sep-65 GC 90.1 28-Apr-66 91.1 87.3 -3.0 1.2 453.1 120.7 547.0
22-Jul-65 DC 83.9 17-Sep-65 90.1 83.8 0.0 7.4 447.7 120.7 540.5
03-Jan-63 GC 63.7 22-Jul-65 83.9 63.7 0.0 31.6 447.7 112.4 503.3
07-May-62 DC 66 03-Jan-63 63.7 52.3 -20.8 -3.5 340.2 112.4 382.5
04-Jan-61 GC 58.4 07-May-62 66 58.4 0.0 13.1 340.2 116.5 396.3
15-Feb-60 DC 55.2 04-Jan-61 58.4 52.2 -5.4 5.8 300.8 116.5 350.3
30-Dec-59 GC 59.8 15-Feb-60 55.2 55.2 -7.7 -7.7 300.8 110.1 331.2
30-Oct-59 DC 57.5 30-Dec-59 59.8 56.2 -2.3 3.9 325.8 110.1 358.8
08-May-58 GC 44 30-Oct-59 57.5 43.1 -2.0 30.8 325.8 106.0 345.3
26-Sep-57 DC 42.6 08-May-58 44 39 -8.4 3.3 249.2 106.0 264.0
03-Jun-57 GC 47.4 26-Sep-57 42.6 42.6 -10.1 -10.1 249.2 102.5 255.5
26-Oct-56 DC 46.3 03-Jun-57 47.4 42.4 -8.4 2.4 277.3 102.5 284.3
21-Dec-53 GC 25 26-Oct-56 46.3 24.5 -1.6 85.5 277.3 100.2 277.7
11-May-53 DC 24.9 21-Dec-53 25 22.7 -8.8 0.2 149.5 100.2 149.8
03-Jan-50 Start 16.7 11-May-53 24.9 16.7 0.0 49.5 149.5 100.0 149.5

summary

  1. 100 at the start of 1950 , invested during the death cross only , becomes 112.3 at compounded annual returns of 0.6% , while 100 invested during the golden cross periods , becomes 14706 , with CAR of 10.6% against buy and hold returns of 7.62 ( one caveat though , the dividends are not considered , and generally the dividend yield is bit higher during the death cross periods )
  2. all but one bear markets ( 1987 bear market ) could have been avoided by staying out of the market , when a death cross occurs

—-

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$SPY rest of the year returns from Oct Opex , if $SPY up for the year, since 1994

$SPY ROY returns from Oct Opex

Rest of the year returns , if $SPY up for the year as on Oct Opex

below the returns for the rest of the year , if $SPY up for the year , as on october opex , sine 1994

Rest of the year returns , if $SPY up for the year as on Oct Opex 
Oct Opex $SPY YTD Gains EOY $SPY ROY %
19-Oct-18 276.25 4.87 31-Dec-17 ?? ??
20-Oct-17 252.51 16.66 29-Dec-17 263.42 4.32
21-Oct-16 205.98 6.59 30-Dec-16 216.45 5.08
16-Oct-15 191.52 0.35 31-Dec-15 193.25 0.90
17-Oct-14 174.06 3.47 31-Dec-14 190.86 9.66
18-Oct-13 157.98 24.26 31-Dec-13 168.22 6.48
19-Oct-12 127.11 15.96 31-Dec-12 127.14 0.03
21-Oct-11 107.60 0.01 30-Dec-11 109.61 1.88
15-Oct-10 100.17 7.13 31-Dec-10 107.58 7.40
16-Oct-09 90.88 22.82 31-Dec-09 93.50 2.89
19-Oct-07 119.24 7.06 31-Dec-07 117.09 -1.80
20-Oct-06 107.02 11.32 29-Dec-06 111.38 4.07
15-Oct-04 83.77 1.12 31-Dec-04 91.71 9.48
17-Oct-03 77.25 19.52 31-Dec-03 82.85 7.24
15-Oct-99 87.76 2.11 31-Dec-99 103.47 17.90
16-Oct-98 73.64 10.26 31-Dec-98 85.95 16.72
17-Oct-97 64.62 29.14 31-Dec-97 66.79 3.36
18-Oct-96 48.02 17.56 31-Dec-96 50.04 4.19
20-Oct-95 38.85 31.27 29-Dec-95 40.85 5.16
21-Oct-94 30.00 1.80 30-Dec-94 29.59 -1.37
n 19
up 17
% up 89
avg 5.45
med 4.32

$SPY up by 17 of 19 times for an average of 5.45% ( 545 bps) , for the rest of the year, if $SPY up for the year as on October Opex

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$SPY post Oct Opex since Y2K

$SPY post Oct Opex since Y2K

odds for $SPY longs , since Y2K , from Oct Opex

below the trading odds for $SPY longs from the close of October Opex day for the next 1/2/3/4/5 trading days , since Y2K

odds for $SPY longs , since Y2K , from Oct Opex
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 18 17 94.4 0.97 0.54 1.05 -0.39 2.70 -0.39 12.03
t+2 18 11 61.1 0.52 0.43 1.21 -0.56 2.16 -1.37 2.02
t+3 18 9 50.0 -0.08 0.00 1.01 -1.16 0.87 -2.76 0.53
t+4 18 9 50.0 0.43 0.17 1.69 -0.83 2.03 -2.30 1.53
t+5 18 11 61.1 0.52 0.67 1.92 -1.67 1.15 -6.62 1.77
1st +’ve exit in 5 days % 18 18 100.0 1.01 0.54 1.01 INF INF NA NA

18/18 times $SPY closed higher atleast once over next 5 trading days for an average of 101 bps and for a median of 54 bps

below the $SPY returns from october opex close , for the next 1/2/3/4/5 trading days , 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
18-Oct-18 ~278.5 ?? ?? ?? ?? ?? ?? ??
20-Oct-17 252.11 -0.39 -0.21 -0.71 -0.58 0.23 0.23 5
21-Oct-16 205.89 0.43 0.09 -0.11 -0.38 -0.67 0.43 1
16-Oct-15 191.11 0.05 -0.08 -0.70 0.98 2.09 0.05 1
17-Oct-14 174.01 0.97 2.97 2.24 3.43 4.22 0.97 1
18-Oct-13 157.50 0.01 0.58 0.10 0.44 0.89 0.01 1
19-Oct-12 129.02 0.01 -1.37 -1.65 -1.37 -1.42 0.01 1
21-Oct-11 106.83 1.23 -0.74 0.27 3.76 3.73 1.23 1
15-Oct-10 100.66 0.49 -0.82 0.14 0.37 0.55 0.49 1
16-Oct-09 90.80 0.83 0.29 -0.61 0.40 -0.74 0.83 1
17-Oct-08 74.82 6.01 2.84 -2.76 -1.63 -6.62 6.01 1
19-Oct-07 121.97 0.58 1.40 1.21 1.45 2.64 0.58 1
20-Oct-06 107.02 0.46 0.76 1.10 1.42 0.78 0.46 1
21-Oct-05 90.85 1.55 1.35 1.05 -0.03 1.41 1.55 1
15-Oct-04 83.59 0.38 -0.47 -0.67 -0.02 -1.14 0.38 1
17-Oct-03 78.15 0.75 0.58 -0.69 -0.87 -0.65 0.75 1
18-Oct-02 63.90 1.73 0.99 1.76 -0.32 1.76 1.73 1
19-Oct-01 76.90 1.97 1.45 1.18 3.00 2.77 1.97 1
20-Oct-00 98.22 0.45 -0.22 -2.57 -2.30 -0.45 0.45 1

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$SPY 1% down days ahead of Opex and post Fed Minutes

$SPY 1% down days ahead of Opex and post Fed Minutes

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes

small sample sizes in both cases ,

1) here are the odds for $SPY, when $SPY falls by more than 1% the day after fed minutes release , since 2009

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 12 3 25.0 -0.53 -0.53 0.71 -0.95 0.75 -3.01 0.06
t+2 12 5 41.7 -0.94 -0.10 1.22 -2.47 0.49 -7.09 0.12
t+3 12 7 58.3 -0.73 0.39 1.04 -3.20 0.33 -8.19 0.28
t+4 12 6 50.0 -0.18 0.13 2.41 -2.76 0.87 -4.66 0.44
t+5 12 7 58.3 0.20 0.82 2.76 -3.40 0.81 -6.95 0.74
1st -‘ve exit in 5 days % 12 11 91.7 0.72 -0.88 -0.97 1.99 0.49 1.99 2.45

9/12 times $SPY had fallen the next trading days by an average of 53 bps , and a median of 53 bps

below the prior instances of $SPY falling by more than 1% post fed minutes release , since 2009 , and the $SPY returns for the next 1/2/3/4/5 trading days

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 237.57 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
07-Apr-16 194.32 -1.20 0.27 0.03 0.97 1.99 1.99 1.99 5
07-Jan-16 183.95 -2.40 -1.10 -1.00 -0.20 -2.69 -1.09 -1.10 1
20-Aug-15 191.17 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
09-Oct-14 178.00 -1.98 -1.14 -2.77 -2.61 -3.27 -3.36 -1.14 1
10-Apr-14 167.56 -2.10 -0.90 -0.12 0.57 1.62 1.76 -0.90 1
17-May-12 114.80 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
23-Nov-11 101.17 -2.21 -0.19 2.70 2.99 7.23 7.22 -0.19 1
20-May-10 90.61 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
21-May-09 73.69 -1.44 -0.21 2.34 0.52 1.92 3.72 -0.21 1
19-Feb-09 64.11 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1
07-Jan-09 74.35 -3.00 0.41 -1.74 -4.10 -3.93 -6.95 -1.74 2

highlighted in red is the only instance , since 2009 , when $SPY failed to close lower than the entry , over next 5 trading days .

2) odds for $SPY, when $SPY falls by more than 1% ahead monthly expiry day, since 2009

odds for $SPY longs , since 2009 , when $SPY falls by more than 1% ahead of monthly expiry day
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 15 4 26.7 -0.55 -0.33 0.84 -1.06 0.80 -3.01 0.15
t+2 15 6 40.0 -0.64 -0.70 1.54 -2.09 0.74 -7.09 0.19
t+3 15 9 60.0 -0.21 0.26 1.23 -2.37 0.52 -8.19 0.46
t+4 15 9 60.0 0.12 0.99 1.77 -2.35 0.75 -4.66 0.81
t+5 15 9 60.0 0.39 1.01 2.11 -2.20 0.96 -4.73 1.12
1st -‘ve exit in 5 days % 15 13 86.7 0.59 -0.36 -0.99 2.07 0.48 2.63 2.20

11/15 times $SPY had fallen by an average of 55 bps , on the day of expiry day , when on prior day $SPY had fallen by more than 1% , since 2009 .

below the prior instances of $SPY falling by more than 1% ahead of expiry day since 2009

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 240.64 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
17-Dec-15 196.36 -1.52 -1.77 -0.96 -0.06 1.18 1.01 -1.77 1
20-Aug-15 193.55 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
17-Jul-14 181.41 -1.14 1.02 0.83 1.27 1.50 1.50 1.50 5
15-Aug-13 150.92 -1.40 -0.33 -0.97 -0.48 -1.09 -0.19 -0.33 1
20-Jun-13 145.15 -2.48 0.32 -0.95 0.00 0.99 1.59 -0.95 2
17-May-12 116.55 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
17-Nov-11 107.49 -1.59 -0.11 -2.01 -2.39 -4.55 -4.73 -0.11 1
18-Aug-11 100.60 -4.31 -1.63 -1.55 1.69 3.12 1.55 -1.63 1
19-Aug-10 92.46 -1.74 -0.32 -0.70 -2.18 -1.80 -2.46 -0.32 1
20-May-10 92.16 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
17-Dec-09 92.41 -1.20 0.56 1.58 1.95 2.15 2.63 2.63 5
19-Nov-09 92.23 -1.30 -0.36 0.91 1.07 1.42 -0.23 -0.36 1
19-Mar-09 66.36 -1.24 -2.11 4.92 2.85 3.93 6.05 -2.11 1
19-Feb-09 65.47 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1

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when $SPY posts largest percentage gain in 6 months ??

when $SPY posts largest percentage in 6 months ??   below the trading strategy rules , $SPY posts biggest gain in percentage terms as on current trading days in 6 months ( 125 trading days to be precise ) below the trading odds for $SPY longs for the next 1/2/3/4/5 trading days , since Y2K […]

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