$SPY closes above lower bollinger band after closing below the lower bollinger band for 3 days in row

$SPY closes above lower bollinger band after closing below the lower bollinger band for 3 days in row

$SPY close crossing above lower bollinger band stock chart

following up the yesterday post on the bollinger band trading strategy

here are the trading strategy rules, we employed

below the trading odds for the longs , with a one day holding period, test period since Jan 2000.

  • Winners : 7
  • Losers : 13
  • % Winners : 35%
  • Average Change % : -0.44
  • Median Change % : -0.28
  • Maximum Gain % : 1.23
  • Maximum Loss % : -4.42
  • Average Gain %if Winner : 0.79
  • Average Loss % if Loser : -1.09
  • Average Gain % / Average Loss % : 0.72
  • Average Absolute Change% : 1.00
  • Profit Factor : 0.42

below the trading odds for the longs , with a two trading day’s holding period, test period since Jan 2000.

  • Winners : 8
  • Losers : 12
  • % Winners : 40%
  • Average Change % : -0.85
  • Median Change % : -0.39
  • Maximum Gain % : 4.53
  • Maximum Loss % : -12.52
  • Average Gain %if Winner : 1.41
  • Average Loss % if Loser : -2.36
  • Average Gain % / Average Loss % : 0.60
  • Average Absolute Change% : 2.03
  • Profit Factor : 0.47

in other words expect a bit softness in $SPY for the day or two.

below the prior instances $SPY close crossing above lower bollinger band after closing below the lower bollinger band for three days in row , since Jan 2000.

Date Close Lower Bband # closes below Lower Bband prev day Next Day Change Next Day Change % Next 2 Days Change Next 2 Days Change %
20-Aug-13 165.58 165.3 3 ?? ?? ?? ??
25-Jun-13 158.57 157.64 3 1.57 0.99 2.51 1.59
28-Nov-11 115.25 112.23 4 0.33 0.29 5.08 4.53
09-Aug-11 112.52 111.31 5 -4.97 -4.42 -0.14 -0.13
09-Jun-11 123.33 122.22 4 -1.72 -1.39 -1.62 -1.33
10-May-10 108.55 106.03 4 -0.31 -0.29 1.21 1.14
27-Jan-10 102.22 101.45 3 -1.18 -1.15 -2.28 -2.25
24-Feb-09 70.48 68.63 5 -0.56 -0.79 -1.7 -2.48
13-Oct-08 91.45 81.69 7 -1.36 -1.49 -10.23 -12.52
11-Mar-08 117.78 114.82 3 -1.1 -0.93 -0.84 -0.73
23-Jan-08 118.9 115.44 3 1 0.84 -0.73 -0.63
09-Jan-08 124.68 124.01 3 0.82 0.66 -0.19 -0.15
13-Nov-07 130.84 127.94 4 -0.37 -0.28 -2.25 -1.76
06-Mar-07 121.84 120.27 5 -0.12 -0.1 0.9 0.75
19-Apr-05 97.49 96.77 3 -1.36 -1.4 0.51 0.53
10-Aug-04 90.13 89.1 3 -0.19 -0.21 -1.17 -1.31
24-Jul-02 68.18 65.1 4 -0.57 -0.84 0.71 1.09
08-Feb-02 88.04 86.44 4 1.08 1.23 0.8 0.93
24-Sep-01 80.26 77.15 5 0.83 1.03 0.55 0.71
26-Feb-01 100.77 98.25 5 -0.93 -0.92 -2.9 -2.95
13-Oct-00 108.33 106.65 3 0.5 0.46 -2.21 -2.07

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