slightly $SPY bearish seasonal pattern on $SPY

slightly $SPY bearish seasonal pattern on $SPY

$SPX Aug AnalogueAugust $SPX Analogue chart is from @RyanDetrick

below the $SPY trading odds for longs from the close of 1st trading day of August since 1993 , 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 22 12 54.5 -0.25 0.10 0.56 -1.22 0.46 -3.87 0.44 -0.93
t+2 22 11 50.0 -0.41 -0.01 0.76 -1.58 0.48 -5.63 0.39 -1.16
t+3 22 8 36.4 -0.47 -0.19 1.17 -1.41 0.83 -6.62 0.34 -1.18
t+4 22 9 40.9 -0.45 -0.42 1.16 -1.55 0.74 -6.75 0.33 -1.05
t+5 22 12 54.5 -0.51 0.12 1.39 -2.79 0.50 -12.82 0.45 -0.73
t+10 22 12 54.5 -0.46 0.28 1.85 -3.24 0.57 -6.33 0.52 -0.73
t+20 22 13 59.1 -0.37 0.81 2.65 -4.73 0.56 -13.75 0.58 -0.38
1st +’ve exit in 5 days 22 17 77.3 -0.41 0.26 0.74 -4.29 0.17 -12.82 0.43 -0.63
1st -‘ve exit in 5 days 22 19 86.4 0.66 -0.51 -1.05 1.82 0.58 3.35 3.29 2.13

19/22 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 66 basis points ( and a median loss of 51 bps) at the 1st positive close within in the next five trading days, from the close of the 1t trading day of August 

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 prior returns of $SPY , from the 1st trading day of August , since 1993 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve cls in 5 days %
01-Aug-14 188.79 0.72 -0.25 -0.22 -0.76 0.38 -0.25
01-Aug-13 164.14 0.17 0.02 -0.54 -0.87 -0.50 -0.54
01-Aug-12 129.44 -0.69 1.28 1.48 1.99 2.11 -0.69
01-Aug-11 118.63 -2.55 -2.02 -6.62 -6.75 -12.82 -2.55
02-Aug-10 101.83 -0.48 0.19 0.08 -0.32 0.21 -0.48
03-Aug-09 89.00 0.26 -0.03 -0.55 0.75 0.55 -0.03
01-Aug-08 108.86 -0.93 1.74 2.20 0.67 2.54 -0.93
01-Aug-07 123.85 0.80 -1.80 -0.15 0.91 2.32 -1.80
01-Aug-06 105.66 0.67 0.95 0.77 0.54 0.15 0.15
01-Aug-05 100.87 0.60 0.87 0.06 -0.62 -0.80 -0.62
02-Aug-04 88.84 -0.78 -0.79 -2.41 -3.80 -3.67 -0.78
01-Aug-03 77.56 0.00 -2.11 -1.55 -0.52 -0.23 -2.11
01-Aug-02 68.72 -2.24 -5.63 -2.46 -0.76 2.44 -2.24
01-Aug-01 93.25 0.42 -0.14 -1.48 -1.09 -2.93 -0.14
01-Aug-00 108.66 0.50 1.20 1.74 2.95 3.35 3.35
02-Aug-99 99.48 -0.47 -1.83 -0.93 -2.02 -2.23 -0.47
03-Aug-98 82.20 -3.87 -2.55 -2.13 -1.96 -2.52 -3.87
01-Aug-97 69.16 0.26 0.33 1.16 0.39 -1.65 -1.65
01-Aug-96 46.63 2.17 1.57 1.87 2.12 1.97 1.97
01-Aug-95 39.28 -0.23 -0.25 -0.15 0.08 0.08 -0.23
01-Aug-94 31.51 0.13 0.16 -0.41 -0.73 -0.51 -0.41
02-Aug-93 29.95 0.07 0.07 -0.13 0.00 0.57 -0.13

highlighted in red were those instances where $SPY failed to close lower in the next 5 trading days , from the 1st trading day of August

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