when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

$SPX not closing below prev month low for 18 months in row chart

h/t @NorthmanTrader ( must #FF , btw )

Below the trading strategy rules that we applied ,

$SPX never closed below the previous month low , for 18 or more months in row ( in other words for the monthly bulls , who put a stop loss of previous month low , on closing basis , that is on the last trading day of the month )

below the trading odds of going at the close of the month of $SPX and exiting over the next 1/2/3/6/12 months , whenever $SPX don’t close below the previous month low for 18 months or more in row !!, since 1950

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 46 28 60.9 0.57 0.74 2.37 -2.23 1.06 -9.23
t+2 45 32 71.1 1.32 2.13 3.46 -3.96 0.88 -15.06
t+3 45 33 73.3 2.58 3.13 4.72 -3.31 1.42 -8.53
t+6 45 35 77.8 5.20 5.00 7.56 -3.05 2.47 -8.10
t+12 45 36 80.0 10.20 9.09 14.18 -5.72 2.48 -12.53

the average forward 12 month returns for $SPX , for any month stands at 6.73% ! there you have an out performance of 3.47% or 347 basis points !!

below the historical details of $SPX , never closing below the previous month low , for 17 months in row , since 1950.

Date Close # non close below prev month low t+1 t+2 t+3 t+6 t+12
Oct-2013 1756.54 17 ?? ?? ?? ?? ??
Jun-2004 1140.84 17 -3.43 -3.21 -2.3 -0.93 2.89
Jan-2001 1366.01 17 -9.23 -15.06 -8.53 -8.07 -10.37
Jun-1996 670.63 27 -4.57 -2.78 2.49 10.45 31.99
May-1996 669.12 26 0.23 -4.36 -2.56 13.14 26.78
Apr-1996 654.17 25 2.29 2.52 -2.17 7.81 22.5
Mar-1996 645.5 24 1.34 3.66 3.89 6.48 17.29
Feb-1996 640.43 23 0.79 2.15 4.48 1.81 23.48
Jan-1996 636.02 22 0.69 1.49 2.85 0.62 23.61
Dec-1995 615.93 21 3.26 3.98 4.8 8.88 20.26
Nov-1995 605.37 20 1.74 5.06 5.79 10.53 25.05
Oct-1995 581.5 19 4.1 5.92 9.38 12.5 21.28
Sep-1995 584.41 18 -0.5 3.59 5.39 10.45 17.61
Aug-1995 561.88 17 4.01 3.49 7.74 13.98 16.04
Jan-1977 102.03 17 -2.17 -3.54 -3.52 -3.12 -12.53
May-1965 88.42 32 -4.86 -3.59 -1.41 3.61 -2.59
Apr-1965 89.11 31 -0.77 -5.6 -4.33 3.71 2.19
Mar-1965 86.16 30 3.42 2.62 -2.37 4.41 3.56
Feb-1965 87.43 29 -1.45 1.92 1.13 -0.3 4.33
Jan-1965 87.56 28 -0.15 -1.6 1.77 -2.64 6.08
Dec-1964 84.75 27 3.32 3.16 1.66 -0.74 9.06
Nov-1964 84.42 26 0.39 3.72 3.57 4.74 8.52
Oct-1964 84.86 25 -0.52 -0.13 3.18 5.01 8.91
Sep-1964 84.18 24 0.81 0.29 0.68 2.35 6.87
Aug-1964 81.83 23 2.87 3.7 3.17 6.84 6.53
Jul-1964 83.18 22 -1.62 1.2 2.02 5.27 2.49
Jun-1964 81.69 21 1.82 0.17 3.05 3.75 2.97
May-1964 80.37 20 1.64 3.5 1.82 5.04 10.02
Apr-1964 79.46 19 1.15 2.81 4.68 6.8 12.14
Mar-1964 78.98 18 0.61 1.76 3.43 6.58 9.09
Feb-1964 77.8 17 1.52 2.13 3.3 5.18 12.38
Aug-1959 59.6 22 -4.56 -3.49 -2.21 -5.84 -4.43
Jul-1959 60.51 21 -1.5 -6 -4.94 -8.1 -8.26
Jun-1959 58.47 20 3.49 1.93 -2.72 2.43 -2.65
May-1959 58.68 19 -0.36 3.12 1.57 -0.68 -4.86
Apr-1959 57.59 18 1.89 1.53 5.07 -0.12 -5.59
Mar-1959 55.44 17 3.88 5.84 5.47 2.6 -0.18
Sep-1955 43.67 25 -3.05 4.21 4.14 11.01 3.85
Aug-1955 43.18 24 1.13 -1.95 5.4 5 10.03
Jul-1955 43.52 23 -0.78 0.34 -2.71 0.69 13.49
Jun-1955 41.03 22 6.07 5.24 6.43 10.85 14.48
May-1955 37.91 21 8.23 14.8 13.9 20.05 19.23
Apr-1955 37.96 20 -0.13 8.09 14.65 11.54 27.45
Mar-1955 36.58 19 3.77 3.64 12.17 19.38 32.53
Feb-1955 36.76 18 -0.49 3.26 3.13 17.46 23.34
Jan-1955 36.63 17 0.35 -0.14 3.63 3.49 12.01

Below the historical details of how the sequence of 17 months in row $SPX not closing below prev month low ended

Date Close sequence ends at Loss %
Jul-2004 1101.72 17 -3.43
Feb-2001 1239.94 17 -9.23
Jul-1996 639.95 27 -4.57
Feb-1977 99.82 17 -2.17
Jun-1965 84.12 32 -4.86
Sep-1959 56.88 22 -4.56
Oct-1955 42.34 25 -3.05

The average loss for the month stands at -4.55% , when the sequence 17 or more months of $SPX not closing below prev month low ends .

Check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

 

 

Leave a Reply