few Santa Dip Buy Strategies as on 10 Dec 2014

few Santa Dip Buy Strategies as on 10 Dec 2014


santa-claus-rally-cartoon

feels good to be back after a health related break .

below few Santa dip buying strategies that triggered , since Monday

1) $SPY closes at 20-Day low during December , data since 1993 

that is

  • $SPY closes at 20 trading day’s low &
  • Current trading month is December

below the previous trading odds for $SPY longs for the next 1/2/3/4/5 trading days , data since 1993 ( or since $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 18 14 77.8 0.70 0.75 1.17 -0.94 1.24 -2.90 3.95 3.33
t+2 18 15 83.3 1.23 1.33 1.74 -1.33 1.31 -2.23 6.91 5.25
t+3 18 16 88.9 1.96 2.04 2.45 -1.93 1.27 -3.61 9.36 7.89
t+4 18 16 88.9 2.48 2.58 2.99 -1.57 1.91 -2.93 14.19 12.21
t+5 18 16 88.9 3.00 2.61 3.47 -0.77 4.54 -1.51 46.32 40.99
t+10 18 15 83.3 3.15 3.23 4.03 -1.24 3.26 -1.64 18.19 15.53
t+20 18 17 94.4 3.62 2.86 3.94 -1.77 2.23 -1.77 50.42 42.07
1st +’ve exit in 5 days 18 18 100.0 1.05 0.81 1.05 NA NA NA NA NA

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

1st +’ve exit in 5 day’s , assumes the trader is long at the current close and exits at the first higher close than the current close ( i.e 10th Dec 2014 close ) , other wise exit with a loss at the end of the fifth trading day ( i.e . 17th Dec 2014)

Below the historical instances of SPY , returns for “$SPY closes at 20-Day low during December ” trading strategy , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
10-Dec-14 203.16 ?? ?? ?? ?? ??
13-Dec-13 174.71 0.62 0.30 2.01 1.90 2.49
12-Dec-13 174.73 -0.01 0.61 0.29 2.00 1.89
28-Dec-12 135.37 1.70 4.31 4.07 4.53 4.24
30-Dec-05 104.08 1.76 2.24 2.31 3.15 3.42
29-Dec-05 104.65 -0.54 1.20 1.68 1.75 2.59
27-Dec-02 69.3 0.82 0.97 4.21 4.53 6.38
19-Dec-02 70.36 1.44 1.46 0.71 0.75 -1.51
13-Dec-02 70.5 2.60 1.70 0.52 -0.20 1.23
13-Dec-01 87.18 0.95 2.00 2.60 3.33 2.32
20-Dec-00 97.31 0.70 3.72 4.83 5.60 5.92
19-Dec-00 100.22 -2.90 -2.23 0.71 1.79 2.53
15-Dec-00 100.95 1.34 -0.72 -3.61 -2.93 -0.02
14-Dec-98 85.56 2.58 2.44 4.08 4.52 5.98
24-Dec-97 69.59 0.40 2.37 3.98 3.91 4.44
23-Dec-97 69.8 -0.30 0.10 2.06 3.67 3.60
16-Dec-96 52.84 0.79 1.59 3.69 3.92 3.65
12-Dec-96 53.39 0.24 -1.03 -0.24 0.54 2.62
08-Dec-94 31.3 0.38 1.05 1.44 1.95 2.27

18/18 times $SPY closed higher than the entry price over the next 5 trading days at some point of time

2) $SPY closes at 5-Day low during December and during bull Markets, data since 1993

that is

  • $SPY closes at 5 trading day’s low &
  • Current trading month is December &
  • $SPY close is above 200-DMA

below the previous trading odds for $SPY longs for the next 1/2/3/4/5 trading days , data since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 50 33 66.0 0.36 0.25 0.79 -0.49 1.62 -1.71 2.38 2.17
t+2 49 35 71.4 0.64 0.78 1.23 -0.81 1.51 -2.68 3.37 2.93
t+3 48 38 79.2 1.02 0.94 1.47 -0.68 2.15 -1.63 7.92 7.17
t+4 48 41 85.4 1.32 1.04 1.69 -0.79 2.13 -1.92 14.54 13.29
t+5 48 40 83.3 1.47 1.34 1.93 -0.81 2.37 -2.16 13.32 12.36
t+10 47 40 85.1 2.09 2.48 2.71 -1.47 1.84 -3.53 13.15 12.19
t+20 47 41 87.2 2.89 2.59 3.66 -2.40 1.53 -4.67 11.62 10.87
1st +’ve exit in 5 days 48 48 100.0 0.71 0.60 0.71 NA NA NA NA NA

48/48 times $SPY closed higher over the next 5 trading days at some point time , with an average gain of 0.71% and a median gain of 0.6% !!

ps: the last time it triggered was on 8th Dec 2014 ( $SPY close of 206.61), and is currently in the loss as of at the end of 2nd trading day , at -1.67% !

I just want to share this joke found on the twitter !!

conclusion : keep calm and buy the ” Santa Dip ”

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