when $SPX breaks the yearly R1 pivot point

$SPX breaks the yearly R1 pivot point

$SPX R1 pivot point

h/t@Jeff York 

below the instances of $SPX prior year’s , since 1951 , crossing the yearly R1 Pivot Point and the returns from the R1 pivot point till the year end close.

R1 Pivot is calculated as R1 = 2*( previous year’s high + low + close)/3 – previous year’s low , for 2104 that value is 1989.8 , and as on  24th July 2014 , with the intra-day high of 1991.39 , we broken out of the yearly R1 pivot point

Below the trading odds for the $SPX longs , assuming one goes long after R1 pivot point is breached, at the R1 value , with the exit set to , year end close , ( i.e last trading day of the Dec of that year) , minus the complications of annual-zing the returns , as in certain years R1 is breached as early as in January itself , and for certain years it is breached as late as in November.

  • Winners : 31
  • Losers : 7
  • % Winners : 82%
  • Average Change % : 8.13
  • Median Change % : 6.32
  • Maximum Gain % : 34.55
  • Maximum Loss % : -8.80
  • Average Gain %if Winner : 10.86
  • Average Loss % if Loser : -3.98
  • Payoff Ratio 2.73

vs the buy and hold of $SPX from each year end close and holding on to the next year end close , since 1951

  • Winners : 46
  • Losers : 17
  • % Winners : 73%
  • Average Change % : 8.82
  • Median Change % : 11.78
  • Maximum Gain % : 45.02
  • Maximum Loss % : -38.49
  • Average Gain %if Winner : 16.89
  • Average Loss % if Loser : -13.04
  • Payoff Ratio 1.30

what did we achieve? -> our win rate and the pay off ratio ( average winner divided by average loss ) are slightly increased vs the buy and hold strategy !

below the historical details of $SPX breaking out R1 pivot point , and the year ending close details , since 1951

Date Month High Yearly R1 Year Close Cls – R1 Cls – R1 %
Jul-2014 1991.39 1989.8 ?? ?? ??
Feb-2013 1530.94 1514.18 1848.36 334.18 22.07
Mar-2012 1419.15 1393.86 1426.19 32.33 2.32
Feb-2011 1344.07 1343.19 1257.6 -85.59 -6.37
Apr-2007 1498.02 1493.64 1468.36 -25.28 -1.69
Mar-2006 1310.88 1304.01 1418.3 114.29 8.76
Nov-2005 1270.64 1265.93 1248.29 -17.64 -1.39
Apr-1999 1371.56 1345.16 1469.25 124.09 9.22
Mar-1998 1113.07 1061.27 1229.23 167.96 15.83
Feb-1997 817.68 802.81 970.43 167.62 20.88
May-1996 681.1 673.47 740.74 67.27 9.99
Feb-1995 489.19 482.79 615.93 133.14 27.58
Mar-1993 456.76 454.77 466.45 11.68 2.57
Feb-1991 370.96 368.5 417.09 48.59 13.19
Jan-1989 297.51 294.39 353.4 59.01 20.04
Jan-1987 280.96 263.83 247.08 -16.75 -6.35
Mar-1986 240.11 228.45 242.17 13.72 6.01
Jan-1985 180.27 176.01 211.28 35.27 20.04
Apr-1983 164.43 155.93 164.93 9 5.77
Oct-1982 140.4 138.74 140.64 1.9 1.37
Jan-1980 117.17 114.99 135.76 20.77 18.06
Aug-1979 109.84 107.29 107.94 0.65 0.61
Aug-1978 106.27 105.38 96.11 -9.27 -8.8
Jan-1976 101.99 101.63 107.46 5.83 5.74
May-1975 93.51 92.75 90.19 -2.56 -2.76
Mar-1972 109.75 108.68 118.05 9.37 8.62
Mar-1971 102.03 101.54 102.09 0.55 0.54
Jul-1968 103.67 103.38 103.86 0.48 0.46
Apr-1967 94.77 92.61 96.47 3.86 4.17
Apr-1965 89.64 89.43 92.43 3 3.35
Mar-1964 79.89 79.48 84.75 5.27 6.63
Sep-1963 73.87 73.38 75.02 1.64 2.23
Jan-1961 61.97 61.6 71.55 9.95 16.15
Jul-1959 60.62 60.17 59.89 -0.28 -0.47
Jul-1958 47.19 46.42 55.21 8.79 18.94
Jun-1955 41.03 39.71 45.48 5.77 14.53
Mar-1954 26.94 26.74 35.98 9.24 34.55
Jun-1952 24.96 24.85 26.57 1.72 6.92
Jan-1951 21.74 21.69 23.77 2.08 9.59

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