remember the rule #34 on $SPY ?

the rule #34 on $SPY

 $SPY trading odds from the 34th trading day of the year , since 1994

 

searching for rule #34 images is NSFW !! 

just a data mining exercise , but here are the trading rules

  • current trading day is either 34th trading day of the year ,
  • below the $SPY returns for the next 1/2/3/4/5 trading days , since 1994
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 3 13.6 -0.72 -0.46 0.67 -0.94 0.71 -3.58 0.06 -3.25
t+2 22 10 45.5 -0.35 -0.27 0.40 -0.97 0.41 -2.61 0.27 -1.84
t+3 22 11 50.0 -0.24 0.07 0.66 -1.14 0.58 -2.74 0.36 -0.93
t+4 22 12 54.5 -0.37 0.06 0.77 -1.73 0.44 -4.44 0.35 -1.13
t+5 22 13 59.1 -0.33 0.11 0.63 -1.72 0.37 -4.51 0.48 -1.02
t+10 22 11 50.0 -0.22 0.06 2.12 -2.56 0.83 -10.98 0.70 -0.32
t+20 22 14 63.6 0.81 1.18 3.23 -3.42 0.94 -10.81 1.27 0.92
1st +’ve in 5 days 22 18 81.8 0.01 0.38 0.50 -2.22 0.23 -3.46 0.76 0.03
1st -‘ve in 5 days 22 22 100.0 0.87 -0.61 -0.87 INF INF -0.01 INF 4.54

22/22 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 87 basis points at the 1st negative close within in the next five trading days.

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

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , from the close of 34th trading day of the year , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
22-Feb-16 194.78 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
20-Feb-14 176.92 -0.11 0.44 0.40 0.41 0.93 0.44 -0.11
20-Feb-13 142.56 -0.61 0.36 -1.55 -0.87 0.38 0.36 -0.61
21-Feb-12 125.76 -0.32 0.12 0.34 0.51 0.80 0.12 -0.32
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
22-Feb-10 98.40 -1.21 -0.31 -0.44 -0.38 0.66 0.66 -1.21
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
20-Feb-08 114.83 -0.83 -0.22 1.04 1.80 1.69 1.04 -0.83
21-Feb-07 121.10 -0.08 -0.47 -0.55 -4.44 -3.46 -3.46 -0.08
21-Feb-06 104.65 0.61 0.46 0.72 0.75 -0.20 0.61 -0.20
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
20-Feb-03 65.17 1.01 -0.63 0.17 -1.29 0.01 1.01 -0.63
20-Feb-02 84.12 -2.07 -0.86 0.78 0.57 0.96 0.78 -2.07
20-Feb-01 96.43 -2.16 -2.01 -2.67 -0.60 -1.52 -1.52 -2.16
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
22-Feb-99 93.80 -0.05 -1.81 -2.74 -3.14 -2.87 -2.87 -0.05
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
19-Feb-97 58.14 -1.21 -1.17 0.00 0.08 -0.90 0.08 -1.21
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
17-Feb-94 31.47 -0.60 0.40 0.13 -1.19 -0.73 0.40 -0.60
17-May-93 28.88 -0.07 1.98 2.26 1.34 1.77 1.98 -0.07

are we heading for a 23rd straight win for this $SPY bearish seasonal trading pattern ?

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