percentage based , curve fitted , slightly bearish $SPY pattern

percentage based , curve fitted , slightly bearish $SPY pattern

12aug2015

i don’t like to use between function ( hence i call curve fitting pattern ) & anyway here the trading rules

  • $SPY raised by more than 1.5% ( or 150 bps in short term trading terminology ) from the intra-day low to close
  • but $SPY gained for the day but not more than 25 bps ( that is t[0] % is >0 & <0.25 % )

below the $SPY trading odds for longs for the “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K , for the next 1/2/3/4/5/10/20 trading days ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 6 28.6 -1.12 -1.08 1.17 -2.04 0.57 -7.84 0.13 -2.42
t+2 21 8 38.1 -1.09 -1.55 2.23 -3.13 0.71 -5.30 0.31 -1.64
t+3 21 8 38.1 -1.56 -0.52 2.04 -3.77 0.54 -9.77 0.23 -1.88
t+4 21 4 19.0 -2.44 -1.48 3.90 -3.93 0.99 -13.81 0.10 -2.39
t+5 21 7 33.3 -2.32 -1.53 2.99 -4.98 0.60 -15.98 0.15 -1.98
t+10 21 8 38.1 -3.47 -1.64 3.77 -7.92 0.48 -26.77 0.17 -1.81
t+20 21 10 47.6 -3.05 -1.71 4.61 -10.01 0.46 -27.97 0.21 -1.38
1st +’ve exit in 5 days 21 14 66.7 -1.59 0.42 1.61 -8.00 0.20 -15.98 0.29 -1.42
1st -‘ve exit in 5 days 21 20 95.2 1.69 -1.36 -1.96 3.73 0.53 3.73 10.13 3.74

20/21 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 169 basis points ( and a median loss of 136 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to see if any edge is there .

below the historical instances of the above “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K

Date $SPY t Cls-Low % t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 0.08 1.69 ?? ?? ?? ?? ?? ??
23-May-12 123.80 0.06 1.76 0.19 -0.13 1.07 -0.39 -0.61 -0.13
25-May-10 96.91 0.10 3.29 -0.60 2.72 1.43 -0.27 2.33 -0.60
17-May-10 102.42 0.05 1.95 -1.36 -1.92 -5.62 -4.25 -5.48 -1.36
05-Feb-10 95.47 0.20 1.99 -0.71 0.53 0.34 1.38 1.30 -0.71
06-Mar-09 60.30 0.18 2.73 -1.18 4.71 5.39 9.54 10.40 -1.18
12-Feb-09 73.19 0.07 3.22 -1.08 -5.30 -5.53 -6.54 -7.46 -1.08
15-Jan-09 73.84 0.04 3.29 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
01-Oct-08 100.72 0.06 1.85 -3.62 -4.92 -9.77 -13.81 -15.98 -3.62
26-Sep-08 104.88 0.05 1.97 -7.84 -4.02 -3.97 -7.45 -8.70 -7.84
13-Mar-08 112.47 0.22 2.38 -1.55 -2.54 1.50 -1.01 0.83 -1.55
04-Aug-03 77.56 0.00 1.56 -2.11 -1.55 -0.52 -0.23 0.14 -2.11
20-Mar-03 68.88 0.22 2.09 2.13 -1.26 -0.32 -0.81 -0.74 -1.26
13-Nov-02 69.24 0.10 1.82 1.89 2.64 1.60 1.47 3.73 3.73
16-Sep-02 69.58 0.24 1.61 -2.29 -3.26 -5.76 -5.73 -6.51 -2.29
13-Sep-02 69.41 0.25 1.61 0.24 -2.05 -3.03 -5.53 -5.50 -2.05
31-Jul-02 70.57 0.24 2.14 -2.62 -4.80 -8.11 -5.02 -3.36 -2.62
26-Jun-02 75.64 0.16 2.65 1.76 1.27 -0.70 -2.80 -2.26 -0.70
08-Apr-02 87.11 0.21 1.53 -0.70 0.42 -2.07 -1.33 -2.09 -0.70
05-Sep-01 86.83 0.24 1.57 -2.58 -4.38 -3.21 -8.27 -8.49 -2.58
22-Feb-01 95.55 0.15 2.27 -0.68 1.43 0.50 -1.48 -0.96 -0.68
05-Jan-00 105.22 0.18 2.01 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green is the only instances where $SPY failed to close lower in the next 5 trading days , and the shorts ran for a cover

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