$SPY on the 1st Day of November

$SPY on the 1st Day of November

Anatomy of $SPY on First Trading Day of the Month

Below the trading odds for $SPY longs from the last trading day of the October , to the next 1/2/3/4/5 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 14 66.7 0.21 0.28 0.93 -1.24 0.75 -2.79 1.16 0.93
t+2 21 15 71.4 0.57 0.44 1.31 -1.29 1.01 -2.23 2.06 1.65
t+3 21 14 66.7 0.71 0.60 1.64 -1.14 1.44 -2.97 2.48 1.97
t+4 21 15 71.4 1.09 1.14 2.37 -2.12 1.12 -6.17 3.26 2.71
t+5 21 15 71.4 0.93 0.63 2.15 -2.14 1.01 -4.36 2.29 1.87
1st +’ve exit in 5 days 21 19 90.5 0.42 0.58 0.81 -3.24 0.25 -4.36 2.01 1.69

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 31st Oct 2014 close ) , other wise exit with a loss at the end of the fifth trading day ( i.e . 7th Nov 2014)

Below the historical instances of SPY , returns from the last trading day of October to next 1/2/3/4/5 trading days

Date $SPY t+1% t+2% t+3% t+4% t+5%
31-Oct-14 201.66 ?? ?? ?? ?? ??
31-Oct-13 172.44 0.24 0.59 0.27 0.78 -0.49
31-Oct-12 135.68 1.05 0.15 0.35 1.14 -1.15
31-Oct-11 117.94 -2.79 -1.2 0.6 -0.01 0.61
29-Oct-10 109.19 0.03 0.82 1.23 3.18 3.56
30-Oct-09 93.58 0.74 1.05 1.31 3.17 3.45
31-Oct-08 85.29 0.28 3.69 -0.67 -6.17 -3.07
31-Oct-07 133.38 -2.34 -2.23 -2.97 -1.66 -4.36
31-Oct-06 116.66 -0.68 -0.74 -0.91 0.21 0.59
31-Oct-05 99.89 0.3 1.34 1.78 1.64 1.74
29-Oct-04 92.27 0.28 0.31 1.57 2.96 3.61
31-Oct-03 84.47 0.65 0.44 0.51 1.04 0.3
31-Oct-02 69.86 1.98 2.95 3.75 5.1 2.52
31-Oct-01 82.31 2.56 3.27 4.62 6.24 6.1
31-Oct-00 109.85 -0.34 -0.17 -0.12 0.58 0.56
29-Oct-99 104.25 -1.06 -1.76 -1.1 -0.35 0.63
30-Oct-98 82.74 1.7 0.97 2.04 3.43 3.75
31-Oct-97 68.31 2.11 2.11 2.44 2.06 0.95
31-Oct-96 51.72 -0.35 0.31 0.89 2.82 3.07
31-Oct-95 41.69 0.79 1.44 1.58 1.22 0.84
31-Oct-94 33.12 -1.12 -1.66 -1.15 -2.42 -2.11
29-Oct-93 31.86 0.28 0.22 -1.07 -2.13 -1.66

Highlighted in the red were the only two instances , where $SPY was not able to close higher than the entry price , over the next 5 trading days .

Pattern 2 ) $SPY  posts an unfilled full gap up ( current low > previous day’s high ) , on the last trading day of the month 

Below the trading odds for $SPY longs from the last trading day of the month , when $SPY posts an unfilled full gap , over the next 1/2/3/4/5 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 9 7 77.8 0.44 0.47 0.74 -0.61 1.21 -1.06 3.24 2.09
t+2 9 8 88.9 0.67 0.96 0.98 -1.76 0.55 -1.76 3.48 2.75
t+3 9 8 88.9 0.98 0.67 1.24 -1.10 1.13 -1.10 6.77 4.79
t+4 9 6 66.7 0.99 0.95 1.79 -0.60 2.96 -1.01 4.96 3.36
t+5 9 6 66.7 0.94 0.71 1.85 -0.88 2.11 -1.79 4.07 2.74
1st +’ve exit in 5 days 9 9 100.0 0.77 0.63 0.77 NA NA 0.30 NA NA

instances are small , but good to know that $SPY posted a higher close over the next five trading days , at some point of time

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