$SPY falls by 1% after a looooong time

$SPY falls by 1% after a long time

$SPY falls by more than 1% stock chart

finally with that 60 days since without a +/- 1% daily change for $SPX getting broken ,

below the various studies on $SPY when it falls by more than 1% , data since Feb 1993

1) $SPY falls by more than 1% 

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

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 722 408 56.5 0.20 0.20 1.24 -1.16 1.07 -9.85 1.34 1.31
t+2 722 396 54.8 0.33 0.23 1.96 -1.65 1.19 -9.34 1.41 1.39
t+3 722 432 59.8 0.46 0.53 2.11 -2.01 1.05 -13.39 1.54 1.52
t+4 722 427 59.1 0.50 0.64 2.43 -2.30 1.06 -17.80 1.46 1.44
t+5 722 438 60.7 0.61 0.65 2.63 -2.49 1.05 -19.80 1.57 1.55
t+10 722 450 62.3 0.88 1.06 3.40 -3.29 1.03 -16.95 1.65 1.63
t+20 722 458 63.4 1.33 1.81 4.69 -4.50 1.04 -24.62 1.69 1.67

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

2) $SPY falls by more than 1% after not having done so , in the last 60 or more trading days 

#FYI , $SPY hasn’t fallen by more than 1% in the last 66 trading days , since 10th Apr 2014.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 7 6 85.7 0.36 0.43 0.60 -1.07 0.56 -1.07 7.03 3.79
t+2 7 5 71.4 0.57 0.53 0.91 -0.30 3.04 -0.60 18.21 9.05
t+3 7 5 71.4 0.84 0.93 1.38 -0.53 2.63 -0.58 9.79 5.98
t+4 7 6 85.7 0.98 0.96 1.22 -0.41 2.96 -0.41 37.77 24.62
t+5 7 7 100.0 1.12 1.07 1.12 NA NA 0.35 NA NA
t+10 7 5 71.4 0.91 0.48 1.79 -1.32 1.36 -2.41 4.10 2.01
t+20 7 5 71.4 1.12 0.41 1.67 -0.27 6.29 -0.47 20.43 8.43
1st +’ve exit in 5 days 7 7 100.0 0.56 0.43 0.56 NA NA NA NA NA

7/7 $SPY closed higher at some point of time , than the current price , in the next five trading days .

3) $SPY falls by more than 1% after not having done so , in the last 40 or more trading days 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 17 12 70.6 0.27 0.27 0.67 -0.70 0.96 -1.14 2.52 2.07
t+2 17 10 58.8 0.49 0.37 1.09 -0.37 2.96 -1.04 4.70 3.40
t+3 17 11 64.7 0.61 0.59 1.26 -0.58 2.19 -1.04 3.90 2.98
t+4 17 13 76.5 0.78 0.96 1.28 -0.82 1.56 -1.61 6.54 5.23
t+5 17 14 82.4 0.95 1.07 1.37 -1.01 1.36 -1.55 7.87 5.59
t+10 17 13 76.5 1.06 0.99 1.90 -1.71 1.12 -2.45 7.37 5.46
t+20 17 13 76.5 1.31 0.97 2.10 -1.27 1.65 -2.69 6.57 4.76
1st +’ve exit in 5 days 17 16 94.1 0.50 0.42 0.58 -0.79 0.73 -0.79 9.70 8.19

4) $SPY falls by more than 1% after not having done so , in the last 20 or more trading days 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 54 33 61.1 0.26 0.28 0.78 -0.55 1.42 -1.68 2.24 2.04
t+2 54 30 55.6 0.37 0.27 1.24 -0.72 1.72 -2.07 2.40 2.06
t+3 54 34 63.0 0.45 0.39 1.30 -1.00 1.30 -3.34 2.60 2.31
t+4 54 34 63.0 0.57 0.94 1.55 -1.11 1.40 -3.13 2.56 2.28
t+5 54 39 72.2 0.78 1.11 1.62 -1.41 1.15 -3.62 3.50 3.22
t+10 54 31 57.4 0.73 0.45 2.69 -1.91 1.41 -8.16 2.12 1.89
t+20 54 37 68.5 1.19 0.95 2.69 -2.07 1.30 -5.27 2.84 2.55

upward drift might come to the bulls rescue ??

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