recent NFP Friday’s momentum on $SPY

recent NFP Friday’s momentum on $SPY

$SPY day before NFP Friday Stock chart

Below the trading strategy rules ,that we employed

  • Current day is the day before 1st Friday of the month ( NFP approximated ) &
  • $SPY gained by more than 0.5%

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , since Jan 2009 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 16 76.2 0.51 0.38 0.87 -0.64 1.35 -0.89 3.93 3.39
t+2 21 15 71.4 0.66 0.18 1.17 -0.64 1.84 -1.53 4.12 3.51
t+3 21 14 66.7 0.40 0.22 1.26 -1.30 0.97 -2.16 2.15 1.70
t+4 21 10 47.6 0.41 -0.13 2.14 -1.17 1.84 -2.45 1.60 1.31
t+5 21 13 61.9 0.71 0.97 2.06 -1.50 1.38 -3.36 2.06 1.70
t+10 21 11 52.4 0.27 1.33 3.27 -3.02 1.08 -8.44 1.19 1.00
t+20 21 13 61.9 0.46 0.86 3.32 -4.18 0.79 -18.50 1.54 1.22
1st +’ve exit in 5 days 21 19 90.5 0.64 0.39 0.87 -1.57 0.56 -2.64 4.79 4.05

19/21 times $SPY gained an average of 0.64% , when it closed higher than the current close in the next five trading days , with the max loss being , -2.64%

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

Below the historical instances of $SPY gaining by more than 0.5% , the day before NFP Friday , since Jan 2009

Date $SPY Gain t+1% t+2% t+3% t+4% t+5%
05-Jun-14 194.45 0.65 ?? ?? ?? ?? ??
06-Feb-14 176.7 1.32 1.24 1.43 2.54 2.59 3.12
01-Aug-13 168.17 1.15 0.17 0.02 -0.54 -0.87 -0.5
06-Jun-13 159.51 0.9 1.27 1.27 0.23 -0.6 0.92
02-May-13 156.59 0.93 1.02 1.27 1.79 2.25 1.96
01-Nov-12 138.41 1.05 -0.89 -0.69 0.09 -2.18 -3.36
04-Oct-12 141.6 0.71 0.01 -0.33 -1.32 -1.95 -1.89
06-Sep-12 138.58 2.03 0.39 -0.18 0.09 0.43 1.96
01-Mar-12 131.49 0.51 -0.3 -0.71 -2.16 -1.48 -0.49
03-Nov-11 119.77 1.82 -0.61 0.01 1.29 -2.45 -1.53
06-Oct-11 110.52 1.81 -0.67 2.65 2.75 3.66 3.45
30-Jun-11 124.56 0.96 1.48 1.39 1.51 2.57 1.84
03-Mar-11 124.81 1.72 -0.75 -1.53 -0.67 -0.81 -2.64
02-Dec-10 114.01 1.28 0.26 0.16 0.22 0.59 0.97
04-Nov-10 113.73 1.93 0.38 0.18 -0.54 -0.13 -0.51
02-Sep-10 101.29 0.94 1.29 0.16 0.86 1.32 1.84
01-Apr-10 108.48 0.69 0.81 1.05 0.48 0.82 1.48
05-Nov-09 97.47 1.84 0.26 2.54 2.56 3.09 2.04
03-Sep-09 91.38 0.84 1.4 2.28 3.05 4.11 4.09
04-Jun-09 85.34 0.95 0.02 -0.39 0.12 -0.14 0.3
02-Apr-09 75.32 2.92 1 0.2 -2.14 -1.08 2.85
05-Feb-09 75.8 1.49 2.86 2.99 -1.72 -1.13 -1.07

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