$SPY and Doji’s

$SPY and Doji’s 


$SPY Doji Candle Stock Pattern

With $SPY posting a Doji candle stick pattern on 7 Oct 2013 , below few studies ,

firstly Doji definition,

Doji: On a candlestick chart, a Doji is defined as the one , when the open price and close price are the same, or the difference between the open and the close is very small. “Very small” is a relative term, so we have taken the range for the day as the reference. For example, if the range for the day is 1 point and if the absolute difference between open and close is 0.01 points, we have called it as a 1% Doji ,

with 7 Oct 2013, $SPY OHLC values being , 167.42, 168.45 , 167.25 , 167.43 , the range being , 1.2 points and the absolute difference between open and close , being 0.01 points , we can qualify that as a 1% Doji .

below the few combinations of trading studies

$SPY posts a Doji 

below the trading odds for longs , with various exit periods ( t+1, being the exit after 1 trading days , and t+20 being the exit after 20 trading days etc.) , the backtest period is from Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 40 18 45.0 -0.28 -0.12 1.10 -1.40 0.78
t+2 40 20 50.0 -0.37 0.00 1.27 -2.01 0.63
t+3 40 22 55.0 0.24 0.22 1.65 -1.49 1.11
t+4 40 22 55.0 -0.14 0.22 1.45 -2.08 0.70
t+5 40 23 57.5 -0.47 0.26 1.26 -2.81 0.45
t+10 40 23 57.5 -0.34 0.52 1.84 -3.29 0.56
t+20 40 24 60.0 0.65 1.60 3.15 -3.11 1.01

$SPY posts a Doji & $SPY Closed down for the day 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 21 6 28.6 -0.84 -0.38 0.97 -1.56 0.62
t+2 21 9 42.9 -0.75 -0.19 1.08 -2.13 0.51
t+3 21 12 57.1 0.44 0.39 1.83 -1.41 1.30
t+4 21 12 57.1 -0.04 0.16 1.37 -1.93 0.71
t+5 21 11 52.4 -0.77 0.45 1.29 -3.03 0.43
t+10 21 12 57.1 -0.50 0.61 2.13 -4.00 0.53
t+20 21 12 57.1 0.63 0.35 3.52 -3.23 1.09

$SPY posts a Doji & $SPY Closed above 200 DMA 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 27 14 51.9 0.04 0.03 0.84 -0.83 1.02
t+2 27 15 55.6 0.14 0.22 1.09 -1.05 1.05
t+3 27 15 55.6 0.12 0.07 1.14 -1.16 0.99
t+4 27 16 59.3 0.08 0.28 1.07 -1.35 0.79
t+5 27 17 63.0 0.11 0.28 1.01 -1.42 0.71
t+10 27 17 63.0 0.56 0.69 1.91 -1.75 1.09
t+20 27 18 66.7 1.23 1.79 2.83 -1.96 1.45

$SPY posts a Doji & $SPY Closed below 50 DMA 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 12 5 41.7 -1.01 -0.48 1.25 -2.62 0.48
t+2 12 6 50.0 -1.04 -0.19 1.55 -3.62 0.43
t+3 12 8 66.7 0.78 1.16 2.15 -1.95 1.10
t+4 12 6 50.0 -0.16 0.00 2.20 -2.53 0.87
t+5 12 5 41.7 -1.29 -1.12 2.24 -3.81 0.59
t+10 12 6 50.0 -1.44 -0.41 2.05 -4.92 0.42
t+20 12 6 50.0 -0.01 -0.51 3.65 -3.68 0.99

$SPY posts a Doji & $SPY Closed below 20 DMA 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 12 5 41.7 -1.06 -0.47 1.25 -2.70 0.46
t+2 12 7 58.3 -0.68 0.84 1.60 -3.87 0.41
t+3 12 7 58.3 0.82 1.60 2.63 -1.72 1.53
t+4 12 5 41.7 -0.61 -0.62 2.41 -2.76 0.87
t+5 12 5 41.7 -1.40 -1.12 2.25 -4.00 0.56
t+10 12 6 50.0 -1.67 -0.22 2.43 -5.77 0.42
t+20 12 6 50.0 -0.56 -0.51 3.30 -4.41 0.75

looking at few of the red highlighted , in the above studies , looks like downward bias might continue for the next 1 or 2 trading days .

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