$SPX gains for 5 or more weeks – what next ?

$SPX gains for 5 or more weeks – what next  ?

With S&P 500 Index ( $SPX) gaining for five weeks in row as on the week ending 8 Nov 2013 , below the details with how $SPX fared over the next 1/2/3/4/5 weeks .

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$SPX gains for 5 weeks in row stock chart

when ever $SPX gains for 5 or more weeks in row , since 1990 .

below the trading odds for the next 1/2/3/4/5 trading weeks , assuming one goes long at the close of the week ( i.e 8 Nov 2013 in this case , and exits over the next 1 week ( t+1 ) and so on ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 53 24 45.3 -0.09 -0.25 1.09 -1.07 1.02 -3.92
t+2 53 34 64.2 0.38 0.37 1.49 -1.61 0.93 -5.57
t+3 53 34 64.2 0.72 0.67 2.15 -1.85 1.17 -8.20
t+4 53 35 66.0 0.64 0.73 2.47 -2.91 0.85 -10.45
t+5 53 36 67.9 0.78 1.41 2.85 -3.58 0.79 -12.06

when ever $SPX gains for exactly 5 weeks in row , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 29 12 41.4 -0.42 -0.28 0.94 -1.38 0.68 -3.92
t+2 29 19 65.5 0.02 0.37 1.30 -2.41 0.54 -5.57
t+3 29 17 58.6 0.27 0.46 2.16 -2.40 0.90 -8.20
t+4 29 17 58.6 -0.01 0.33 2.44 -3.48 0.70 -10.45
t+5 29 17 58.6 -0.03 0.70 2.91 -4.19 0.69 -12.06

when ever $SPX gains for 5 or more weeks in row & $SPX is above 40-MA ( weekly) , since 1990 .

the idea of 40-MA is to $SPX is above 200 -DMA

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 50 23 46.0 -0.07 -0.22 1.07 -1.04 1.03 -3.92
t+2 50 32 64.0 0.46 0.34 1.52 -1.42 1.07 -5.57
t+3 50 32 64.0 0.69 0.57 2.00 -1.65 1.21 -8.20
t+4 50 33 66.0 0.68 0.70 2.31 -2.49 0.93 -10.45
t+5 50 34 68.0 0.97 1.30 2.86 -3.05 0.94 -8.89

when ever $SPX gains for 5 or more weeks in row & $SPX is above 200-MA ( weekly) , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 44 19 43.2 -0.17 -0.28 1.02 -1.07 0.95 -3.92
t+2 44 26 59.1 0.25 0.26 1.41 -1.42 0.99 -5.57
t+3 44 27 61.4 0.44 0.38 1.78 -1.71 1.05 -8.20
t+4 44 28 63.6 0.62 0.56 2.24 -2.21 1.02 -10.45
t+5 44 30 68.2 1.03 1.00 2.78 -2.73 1.02 -8.89

just to get an apple to apple comparison , for any random week , the trading odds for the next 1/2/3/4/5 trading weeks , since 1900

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 1243 694 55.8 0.16 0.24 1.66 -1.74 0.95 -18.20
t+2 1242 727 58.5 0.31 0.59 2.22 -2.38 0.93 -25.88
t+3 1241 743 59.9 0.47 0.78 2.77 -2.95 0.94 -28.35
t+4 1240 755 60.9 0.63 1.13 3.23 -3.41 0.95 -28.16
t+5 1239 759 61.3 0.79 1.19 3.66 -3.74 0.98 -30.14

conclusion , the odds for Longs for the next trading week are less than the normal average.

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2 thoughts on “$SPX gains for 5 or more weeks – what next ?

  1. Emily R Reply

    Why doesn’t the EOD screener use data all the way back to 1990 why only use 4 years

    • admin Post authorReply

      1) that’s the plan in the future , hardware and cleaner historical data back in 90’s is the main issue
      2) OTOH right now we are normalized on 4 years

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