$SPY gained for 3 or more days in row on a Friday during the medium term downtrend – very bearish

$SPY gained for 3 or more days in row on a Friday during the medium term downtrend

Here are the “$SPY gained for 3 or more days in row on a Friday during the medium term downtrend”  rules we employed.

  • $SPY gains for three or more trading days in row
  • today is Friday
  • $SPY close is below 50-DMA
  • go short at close ( 6 Sep 2013)
  • buy to cover at next day at close

Below the backtest performance summary of “$SPY gained for 3 or more day in row on a Friday during the medium term downtrend trading strategy , since Jan 2000.

$SPY gained for 3+ days in row on a Friday during the medium term downtrend , trading strategy , backtest performance summary since 2000

Below the historical trades generated by “$SPY gained for 3 or more day in row on a Friday during the medium term downtrend” since Jan 2000, along with P/L details.

Date Close # cons gains Cls/50 DMA Next Day Change Next Day Change%
06-Sep-13 166.04 4 0.997 ?? ??
30-Nov-12 139.78 3 0.999 -0.68 -0.49
23-Nov-12 139 5 0.990 -0.3 -0.22
08-Jun-12 129.52 4 0.979 -1.65 -1.27
16-Sep-11 116.99 5 0.992 -1.16 -0.99
09-Jul-10 101.37 4 0.982 0.06 0.06
13-Mar-09 69.21 4 0.935 -0.21 -0.3
28-Nov-08 81.29 5 0.927 -7.2 -8.86
26-Sep-08 109.04 3 0.965 -8.54 -7.83
12-Sep-08 113.11 3 0.995 -5.38 -4.76
18-Jul-08 113.02 3 0.944 0.06 0.05
30-Nov-07 131.35 4 0.987 -0.87 -0.66
02-Jun-06 110.9 3 0.995 -1.61 -1.45
26-May-06 110.37 3 0.989 -1.96 -1.78
30-Jul-04 92.17 4 0.990 0.19 0.21
26-Mar-04 91.99 3 0.978 1.3 1.41
08-Aug-03 80.45 3 0.992 0.31 0.39
14-Mar-03 68.35 3 0.975 2.15 3.15
09-Aug-02 73.47 4 0.961 -0.54 -0.73
27-Jul-01 95.92 3 0.977 0.03 0.03
13-Jul-01 97.06 3 0.980 -1.22 -1.26
03-Mar-00 110.32 5 0.997 -1.08 -0.98

ps: in addition to the above there is another bearish pattern triggered by Rob Hana’s on Thursday “A Big SPY Up Day Follow By A Low-Volume Tight Range Has Often Led To Trouble” which is equally bit scary looking at the trading odds.

you might want to flip to longs on Monday,

here are the trading odds for the longs taken after one day when the above trading pattern triggers and exiting four days later ( i.e on Friday the 13th Sep 2013🙂 )

  • Winners : 15
  • Losers : 6
  • % Winners : 71%
  • Average Change % : 0.84
  • Median Change % : 0.81
  • Maximum Gain % : 7.09
  • Maximum Loss % : -5.63
  • Average Gain %if Winner : 2.07
  • Average Loss % if Loser : -2.25
  • Average Gain % / Average Loss % : 0.92
  • Average Absolute Change% : 1.98
  • Profit Factor : 2.01

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One thought on “$SPY gained for 3 or more days in row on a Friday during the medium term downtrend – very bearish

  1. Pingback: pastStat.com’s idea: 3 up days today is Friday and C less than 50 days with an extra filter yields 100% winning trades | Gambulator@twitter

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