$SPY Gap up’s and down’s on a Fed Day

$SPY Gap up’s and down’s on a Fed Day

The Quantifiable Edges Guide To Fed Days

 

1) below the trading odds for the entry set at open and exit set to close on a Fed Day for $SPY.. since Y2K 

Winners : 70
Losers : 56
% Winners : 56%
Average Change % : 0.29
Median Change % : 0.13
Maximum Gain % : 5.21
Maximum Loss % : -3.14
Average Gain %if Winner : 1.11
Average Loss % if Loser : -0.75
Payoff Ratio 1.47
Average Absolute Change% : 0.60
Profit Factor : 1.78
Outlier Adjusted Profit Factor : 1.67

2) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap up opening.. since Y2K 

Winners : 40
Losers : 42
% Winners : 49%
Average Change % : 0.04
Median Change % : -0.01
Maximum Gain % : 2.99
Maximum Loss % : -3.14
Average Gain %if Winner : 0.86
Average Loss % if Loser : -0.76
Payoff Ratio 1.14
Average Absolute Change% : 0.53
Profit Factor : 1.04
Outlier Adjusted Profit Factor : 0.95

3) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap down opening.. since Y2K 

Winners : 30
Losers : 15
% Winners : 67%
Average Change % : 0.74
Median Change % : 0.46
Maximum Gain % : 5.21
Maximum Loss % : -1.85
Average Gain %if Winner : 1.43
Average Loss % if Loser : -0.70
Payoff Ratio 2.06
Average Absolute Change% : 0.75
Profit Factor : 4.20
Outlier Adjusted Profit Factor : 3.72

conclusion : it pays to fade the gap-down opening on a Fed-Day

 

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