$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

$SPY gaps up but posts a red candle for 3 or more days in row in 4th quarter

this $study is a tweak from the study posted by Rob of Quantifiable Edges

on twitter 

“SPY gaps up and closes below the open 3 days in a row. Close < 200ma. (Results above the 200ma were less consistent, fyi.) Could happen today. Hat-tip for the idea.”

below the trading strategy rules

  1. $SPY gaps up ( that is current day’s open is above previous day’s close ) and posts a red candle ( that is current day’s close is below current day’s open) , for 3 or more days in row
  2. current quarter is 4th quarter of the year

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

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 33 26 79 0.51 0.49 0.83 -0.69 1.20 -1.89 3.74 -0.17 -1.95 0.90
t+2 33 25 76 0.80 0.68 1.25 -0.60 2.08 -0.99 5.43 -0.24 -1.95 1.23
t+3 33 25 76 0.70 0.48 1.24 -0.97 1.28 -2.69 3.41 -0.39 -2.80 1.39
t+4 33 25 76 0.93 0.87 1.54 -0.99 1.56 -1.97 3.68 -0.47 -3.14 1.65
t+5 33 24 73 1.14 1.01 1.95 -1.00 1.94 -3.38 3.61 -0.79 -3.38 2.01
1st +’ve exit in 5 days % 33 32 97 0.65 0.49 0.70 -0.79 0.88 -0.79 24.63 -0.26 -2.28 0.93

 

32/33 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 65 basis points and a median gain of 49 bps

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

below the prior instances of $SPY posting a gap up and a red candle for 3 days in row , in the 4th quarter , since 1993

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
13-Dec-18 265.37 ?? ?? ?? ?? ?? ?? ??
29-Dec-17 263.42 0.72 1.35 1.78 2.46 2.65 0.72 1
22-Dec-17 264.06 -0.12 -0.07 0.13 -0.24 0.47 0.13 3
21-Dec-17 264.13 -0.03 -0.15 -0.10 0.11 -0.27 0.11 4
30-Dec-16 216.45 0.77 1.36 1.28 1.65 1.31 0.77 1
19-Dec-11 105.06 3.03 3.23 4.14 5.07 5.15 3.03 1
27-Oct-09 88.82 -1.89 0.22 -2.69 -1.97 -1.66 0.22 2
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
22-Dec-08 71.39 -1.03 -0.46 0.11 -0.17 2.19 0.11 3
20-Dec-07 116.96 1.43 2.19 2.41 1.12 0.87 1.43 1
22-Dec-06 110.69 0.59 1.25 1.04 0.62 0.44 0.59 1
21-Dec-05 97.31 0.52 0.58 -0.44 -0.22 -0.67 0.52 1
20-Dec-05 97.16 0.16 0.68 0.74 -0.29 -0.06 0.16 1
19-Dec-05 97.07 0.10 0.25 0.78 0.84 -0.19 0.10 1
30-Nov-05 96.32 1.02 1.15 0.93 1.12 0.53 1.02 1
11-Oct-05 90.96 -0.79 -0.84 0.20 0.57 -0.52 0.20 3
10-Oct-05 91.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 4
07-Oct-05 91.87 -0.84 -0.99 -1.76 -1.82 -0.79 -0.79 5
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
30-Nov-04 89.03 1.14 1.22 1.15 1.12 0.18 1.14 1
03-Nov-04 86.57 1.37 2.00 1.85 1.65 1.73 1.37 1
03-Oct-00 101.14 0.83 1.18 -1.01 -1.75 -3.38 0.83 1
05-Nov-99 96.90 0.09 -0.85 -0.11 0.45 1.36 0.09 1
04-Nov-99 95.95 0.98 1.08 0.13 0.87 1.44 0.98 1
26-Dec-97 64.53 1.97 3.57 3.50 4.03 4.27 1.97 1
24-Dec-97 64.27 0.40 2.38 3.98 3.91 4.45 0.40 1
28-Nov-97 65.54 2.58 1.96 2.25 2.16 3.46 2.58 1
22-Dec-95 40.66 0.49 0.43 0.33 0.46 1.53 0.49 1
26-Oct-95 38.13 0.76 1.41 0.97 1.79 2.43 0.76 1
30-Dec-94 29.59 0.48 0.96 0.96 1.06 1.17 0.48 1
16-Dec-93 29.29 0.55 0.68 0.34 1.02 0.95 0.55 1
22-Oct-93 29.14 0.27 0.20 0.27 1.01 1.01 0.27 1
08-Oct-93 28.94 0.20 0.34 0.34 1.63 2.17 0.20 1
07-Oct-93 28.90 0.14 0.34 0.48 0.48 1.77 0.14 1

high lighted in the red is the only one instance when $SPY failed to close higher than entry price over the next 5 trading days

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