$SPY down for 2nd and 3rd trading day after up on 1st trading day – bit bearish

$SPY down for 2nd & 3rd trading day after up on 1st trading day

$SPY Stock Chart

With $SPY down for both the 2nd and 3rd trading day , while the first trading day was , below few studies ..

pattern 1) $SPY down for 2nd & 3rd trading day after being up on 1st trading day

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 25 10 40.0 -0.70 -0.46 0.68 -1.62 0.42
t+2 25 8 32.0 -0.99 -0.61 1.23 -2.04 0.61
t+3 25 11 44.0 -0.93 -0.40 0.89 -2.36 0.38
t+4 25 9 36.0 -1.39 -0.70 0.79 -2.62 0.30
t+5 25 11 44.0 -1.22 -0.40 0.75 -2.77 0.27
t+10 25 14 56.0 -0.07 0.32 2.61 -3.48 0.75
t+20 25 14 56.0 -0.02 0.57 3.14 -4.04 0.78

as you can see in the above table the trading odds for longs are not encouraging !!

{ Free to Download } Anatomy of $SPY on First Trading Day of the Month 

pattern 2) $SPY down for 2nd & 3rd trading day after being up on 1st trading day , and on the 3rd trading day $SPY erased all the gains made on the 1st trading day

an easy language code would look like ,

trade_day[0]=3 && Close[0]<Close[1] && Close[1]<Close[2] && Close[2]>Close[3]&& Close[0]<Close[3]

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 20 7 35.0 -0.82 -0.64 0.81 -1.69 0.48
t+2 20 6 30.0 -1.09 -0.70 1.35 -2.14 0.63
t+3 20 9 45.0 -1.05 -0.37 0.95 -2.70 0.35
t+4 20 8 40.0 -1.49 -0.77 0.67 -2.92 0.23
t+5 20 9 45.0 -1.48 -0.42 0.72 -3.29 0.22
t+10 20 10 50.0 -0.61 0.08 2.59 -3.82 0.68
t+20 20 9 45.0 -0.86 -0.33 3.01 -4.04 0.75

again the odds for longs are not that favorable !!

Below the historical instances of $SPY gaining on 1st trading day , while the 2nd and 3rd tradings were down. since 2000

Date Close 3rd Trading Day 2nd Trading Day 1st Trading Day t+1 t+2 t+3 t+4 t+5
03-Oct-13 167.62 -0.92 -0.09 0.79 ?? ?? ?? ?? ??
05-Jun-13 159.64 -1.4 -0.48 0.55 0.91 2.19 2.19 1.13 0.3
03-May-12 134.85 -0.76 -0.3 0.62 -1.62 -1.55 -1.94 -2.52 -2.32
04-Apr-12 135.44 -0.99 -0.41 0.73 -0.05 -1.17 -2.84 -2.05 -0.77
05-Mar-12 131.85 -0.41 -0.3 0.51 -1.46 -0.77 0.21 0.6 0.61
05-May-10 108.64 -0.59 -2.35 1.29 -3.32 -4.76 -0.56 -0.85 0.53
03-Dec-09 101.68 -0.78 -0.05 1.23 0.57 0.42 -0.7 -0.32 0.24
06-Jul-09 82.33 -0.01 -2.73 0.42 -1.93 -2 -1.81 -2.05 0.34
03-Oct-08 99.08 -1.34 -3.63 0.06 -5.1 -9.35 -11.63 -17.8 -19.79
05-Feb-08 118.56 -2.68 -1.26 1.61 -0.8 -0.15 -0.79 -0.29 0.64
03-Oct-07 135.21 -0.2 -0.14 1.13 0.16 1.35 0.81 1.76 1.59
03-Mar-06 109.72 -0.46 -0.01 0.89 -0.46 -0.61 -0.4 -1.07 -0.13
03-Feb-06 107.6 -0.5 -1.16 0.7 0.26 -0.62 0.28 0.11 0.3
04-Aug-04 91.19 -0.01 -0.77 0.21 -1.62 -3.04 -2.9 -1.64 -1.84
04-Feb-04 92.72 -0.82 -0.16 0.43 0.29 1.42 1.45 1.78 2.86
03-Dec-03 87.63 -0.16 -0.25 1.08 0.41 -0.29 0.39 -0.39 -0.4
05-Feb-03 68.6 -0.62 -0.98 0.19 -0.48 -1.69 -0.99 -1.68 -3.25
04-Dec-02 74.38 -0.44 -1.35 0.16 -1.1 -0.46 -3.2 -1.9 -1.82
03-Oct-02 66.22 -1.02 -2.99 4.8 -1.84 -3.87 -2.36 -5.12 -2.04
03-May-02 85.86 -1.08 -0.39 1.22 -1.96 -2.31 1.33 0.16 -1.72
03-Apr-02 90.3 -0.7 -0.55 0.04 -0.42 -0.4 -0.19 -0.89 0.24
05-Jul-01 96.14 -1.96 -0.02 1.25 -2.15 -1.62 -2.81 -2.7 -0.4
03-May-01 98.65 -1.27 -0.18 0.3 1.7 0.83 0.78 0.35 0.65
06-Sep-00 116.91 -1.14 -0.8 0.1 0.86 0.17 0.03 -0.7 -0.44
03-May-00 109.77 -2.34 -2 1.36 0.76 1.98 1.2 0.4 -1.86
05-Apr-00 116.35 -0.62 -0.75 0.58 0.87 1.51 1.11 0.82 -1.95

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