when $SPY fails to close above prev low in 17 days ?

when $SPY fails to close above prev low in 17 days ?

$SPY pullback stock chartwith $SPY not able to close above previous day’s low by one tick at the least , below trading strategy

  • $SPY closed above previous day’s low for 17 or more trading days in row ( 17 being the current sequence we took that number , no other special reason ) during the previous 17 trading sessions &
  • as on current trading day $SPY failed to close above previous day’s low

the rationale of considering previous low is , well quite a few bulls puts a stop loss there on intra-day or closing basis !

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 17 10 58.8 0.16 0.04 0.65 -0.54 1.20 -1.46 3.14 2.45
t+2 17 8 47.1 0.13 -0.10 0.93 -0.58 1.62 -1.38 2.34 1.80
t+3 17 10 58.8 0.24 0.25 0.91 -0.73 1.26 -1.99 2.54 2.14
t+4 17 10 58.8 0.28 0.59 1.01 -0.76 1.34 -1.42 2.10 1.76
t+5 17 13 76.5 0.60 0.66 1.06 -0.88 1.20 -2.19 3.63 3.00
t+10 17 12 70.6 1.07 1.73 2.38 -2.06 1.15 -3.26 3.21 2.68
t+20 17 13 76.5 1.61 2.26 3.35 -4.05 0.83 -7.46 2.45 2.09
1st +’ve exit in 5 days 17 17 100.0 0.68 0.73 0.68 INF INF 0.02 NA NA

17 /17 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.68 % , there you go the pullback or the dip that every one is waiting for !!! 

ps: PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

Below the historical instances of $SPY not able to close above previous low for the first time in 17 trading days ,  since 1993

Date $SPY # close above prv low sequence t+1% t+2% t+3% t+4% t+5%
11-Jun-14 194.92 17 ?? ?? ?? ?? ??
31-Jan-13 146.09 23 1.03 -0.1 0.9 0.98 0.84
10-Feb-12 128.28 29 0.74 0.62 0.15 1.26 1.52
12-Apr-11 123.47 18 -0.01 0.07 0.44 -0.69 -0.12
16-Apr-10 109.92 18 0.37 1.27 1.08 1.39 2.05
19-Mar-10 106.79 17 0.54 1.25 0.76 0.59 0.53
11-Aug-09 90.54 23 1.07 1.84 1.06 -1.42 -0.64
06-Sep-06 111.05 24 -0.46 -0.17 -0.07 0.91 1.31
09-Jan-04 91.44 22 0.74 0.15 1 1.24 1.64
20-Mar-02 91.08 20 0.04 -0.18 -1.42 -0.85 -0.58
17-Oct-01 84.55 17 -0.22 -0.28 1.68 1.16 0.9
02-Feb-01 104.89 18 0.73 0.44 -0.09 -1.25 -2.19
09-Nov-98 86.04 18 -0.28 -0.94 -1.05 -0.08 0.66
24-Feb-98 77.65 21 1.24 1.82 1.82 1.61 2.18
08-Oct-96 51.69 22 -0.77 -0.97 0.25 0.39 0.25
14-Feb-96 47.64 24 -0.61 -1.03 -1.99 -0.78 0.8
21-Sep-95 42.07 21 0.02 -0.14 -0.17 -0.24 0.52
17-May-95 37.7 20 -1.46 -1.38 -0.29 0.61 0.56

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