$SPY on Jan Fed meetings

$SPY on Jan Fed meetings

Yellen_data_dependent_cartoon_11.18.2015_normal

below $SPY trading odds from the the prior day to January Fed meeting , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 8 50.0 0.37 0.00 1.60 -0.85 1.87 -1.28 0.76 0.91
t+2% 16 10 62.5 0.42 0.09 1.12 -0.74 1.52 -1.63 1.81 1.29
t+3% 16 8 50.0 -0.11 -0.12 1.21 -1.43 0.85 -2.18 0.56 -0.29
t+4% 16 5 31.3 -0.37 -0.39 1.03 -1.00 1.02 -2.74 0.29 -1.23
t+5% 16 7 43.8 -0.11 -0.32 1.17 -1.10 1.06 -2.06 0.66 -0.34
t+10% 16 10 62.5 0.45 0.82 1.99 -2.11 0.94 -4.02 1.74 0.78
t+20% 16 11 68.8 0.20 1.31 2.44 -4.72 0.52 -10.05 1.26 0.19
1st +’ve in 5 days% 16 14 87.5 0.91 0.72 1.20 -1.11 1.09 -1.43 5.66 2.57
1st -‘ve in 5 days% 16 14 87.5 0.65 -0.74 -0.91 1.14 0.80 1.47 0.05 3.15

14/16 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 91 basis points at the 1st positive close within in the next five trading days.

also tricky to note is

14/16 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 65 basis points at the 1st negative close within in the next five trading days.

whats your pick ?? 🙂

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

below the historical returns of $SPY from the day before Jan Fed meeting , and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
28-Jan-14 172.09 -0.96 0.09 -0.50 -2.74 -2.06 0.09 -0.96
29-Jan-13 141.92 -0.39 -0.64 0.38 -0.74 0.26 0.38 -0.39
24-Jan-12 121.15 0.84 0.32 0.27 -0.07 -0.11 0.84 -0.07
25-Jan-11 116.59 0.39 0.63 -1.12 -0.38 1.22 0.39 -1.12
26-Jan-10 96.76 0.48 -0.68 -1.76 -0.23 0.98 0.48 -0.68
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
29-Jan-08 114.83 -0.74 1.07 2.70 1.41 -1.31 1.07 -0.74
18-Jan-08 111.57 -1.01 1.36 2.22 0.74 2.41 1.36 -1.01
30-Jan-07 118.45 0.67 1.27 1.41 1.44 1.47 0.67 1.47
30-Jan-06 104.61 -0.73 -0.04 -1.20 -1.69 -1.43 -1.43 -0.73
27-Jan-04 90.06 -1.14 -1.05 -1.05 -0.62 -0.78 -0.78 -1.14
28-Jan-03 66.32 0.76 -1.63 0.27 0.47 -0.52 0.76 -1.63
29-Jan-02 83.89 1.44 2.63 2.15 -0.39 -1.01 1.44 -0.39
30-Jan-01 103.50 -0.57 0.09 -2.18 -1.46 -1.75 0.09 -0.57
2-Jan-01 96.75 4.80 3.68 0.29 1.07 0.80 4.80 0.80

highlighted in the red were the loss making long trades

highlighted in the green were the loss making short trades !! 

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