$SPY , $IWM , $TLT, $SOCL behavior , when Janet Yellen is scheduled to talk

$SPY, $TLT, $IWM , $SOCL , when Janet Yellen is scheduled to talk 

Janet Yellen

Below $SPY , overnight gap %,  and Intra-day  %, and the day change % details , when Janet Yellen is scheduled to speak

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 188.42 189.75 187.62 188.47 1.15 0.03 1.18
18-Sep-14 200.42 200.91 200.16 200.88 0.3 0.23 0.53
17-Sep-14 199.84 200.75 198.82 199.82 0.15 -0.01 0.14
22-Aug-14 198.41 198.76 197.81 198.26 -0.08 -0.08 -0.16
2-Jul-14 196.13 196.56 196.04 196.31 0.01 0.09 0.1
18-Jun-14 193 194.53 192.58 194.42 0 0.73 0.74
21-May-14 186.32 187.44 186.29 187.35 0.29 0.55 0.84
15-May-14 186.91 186.95 184.73 185.64 -0.2 -0.68 -0.88
1-May-14 186.45 187.07 185.97 186.56 -0.05 0.06 0.01
16-Apr-14 183.73 184.39 182.91 184.38 0.69 0.36 1.05
15-Apr-14 181.6 182.6 179.81 182.47 0.21 0.48 0.69
31-Mar-14 184.91 185.54 183.77 185.25 0.63 0.18 0.82
19-Mar-14 185.1 185.35 182.92 184.09 0.01 -0.54 -0.53
avg 0.24 0.11 0.35
med 0.15 0.09 0.53
vs All Days Since Mar 2014 0.05 0 0.05
% wins 69 69 77

10/13 times $SPY closed higher on the days when Janet Yellen is scheduled to speak

below , overnight gap , intraday change % , and the day change %  , details for $IWM 

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 109.16 109.22 107.04 107.48 1.26 -1.54 -0.3
18-Sep-14 114.92 115.21 114.59 115.11 0.44 0.16 0.6
17-Sep-14 114.18 115.16 113.88 114.42 0.05 0.21 0.26
22-Aug-14 114.72 115.31 114.29 114.89 -0.14 0.15 0.01
2-Jul-14 119.23 119.63 118.56 118.77 0 -0.38 -0.39
18-Jun-14 116.14 117.04 115.74 116.99 -0.06 0.74 0.68
21-May-14 108.93 109.41 107.84 108.90 0.54 -0.03 0.51
15-May-14 108.36 108.50 106.74 108.17 -0.5 -0.17 -0.67
1-May-14 111.02 112.03 109.82 111.21 -0.21 0.17 -0.04
16-Apr-14 111.19 111.70 110.50 111.62 0.7 0.38 1.09
15-Apr-14 110.30 110.99 107.95 110.42 0.28 0.11 0.39
31-Mar-14 114.29 115.92 113.88 115.58 0.66 1.13 1.8
19-Mar-14 118.59 118.65 117.03 117.92 -0.08 -0.57 -0.65
avg 0.23 0.03 0.25
med 0.05 0.15 0.26
vs All Days Since Mar 2014 0.03 -0.03 -0.01
% wins 54 62 62

below , overnight gap , intraday change % , and the day change %  , details for $TLT

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 121.19 121.71 120.48 121.07 -0.46 -0.1 -0.56
18-Sep-14 112.90 113.20 112.57 112.88 0.34 -0.02 0.32
17-Sep-14 113.25 113.55 112.45 112.52 0.39 -0.64 -0.26
22-Aug-14 116.18 116.87 115.66 116.73 0.08 0.47 0.55
2-Jul-14 110.81 110.85 110.15 110.26 -0.58 -0.49 -1.07
18-Jun-14 110.69 111.64 110.45 111.28 0.23 0.54 0.77
21-May-14 110.82 111.00 110.47 110.86 -0.65 0.04 -0.61
15-May-14 112.36 112.98 112.18 112.44 0.73 0.07 0.8
1-May-14 109.49 110.68 109.45 110.62 0.04 1.03 1.07
16-Apr-14 108.79 109.62 108.74 109.62 -0.63 0.76 0.13
15-Apr-14 108.97 109.85 108.71 109.48 0.15 0.47 0.63
31-Mar-14 106.85 109.14 106.45 107.20 -0.58 0.33 -0.25
19-Mar-14 106.04 106.10 104.95 105.39 -0.17 -0.61 -0.78
avg -0.09 0.14 0.06
med 0.04 0.07 0.13
vs All Days Since Mar 2014 0.04 0.04 0.08
% wins 54 62 54

 

below , overnight gap , intraday change % , and the day change %  , details for $SOCL

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 18.79 18.80 18.49 18.56 2.29 -1.22 1.03
18-Sep-14 20.25 20.30 20.18 20.26 0.7 0.05 0.75
17-Sep-14 20.30 20.30 20.07 20.11 0.4 -0.94 -0.54
22-Aug-14 20.31 20.41 20.14 20.39 -0.05 0.39 0.34
2-Jul-14 19.83 20.10 19.76 19.84 0.25 0.05 0.3
18-Jun-14 19.12 19.29 18.93 19.18 0.68 0.31 1
21-May-14 17.22 17.46 17.18 17.38 0.06 0.93 0.99
15-May-14 17.23 17.23 16.75 17.01 0.94 -1.28 -0.35
1-May-14 17.38 17.92 17.38 17.61 1.16 1.32 2.5
16-Apr-14 18.54 18.59 18.08 18.50 2.71 -0.22 2.49
15-Apr-14 17.95 18.15 17.32 18.05 0.22 0.56 0.78
31-Mar-14 19.81 19.92 19.43 19.49 1.69 -1.62 0.05
19-Mar-14 21.46 21.46 20.95 21.11 -0.05 -1.63 -1.68
avg 0.85 -0.25 0.59
med 0.68 0.05 0.75
vs All Days Since Mar 2014 0.13 -0.22 -0.1
% wins 85 54 77

 

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trade

Leave a Reply