$SPY on the first trading day of a new quarter

$SPY on the first trading day of a new quarter

Overnight Gap

Below the trading odds for Longs , with overnight holding ( i’e going long at the last trading day of the Quarter and exiting at open on the first trading of the new quarter ) , since 2000.

  • Winners : 38
  • Losers : 17
  • % Winners : 69%
  • Average Change % : 0.21
  • Median Change % : 0.22
  • Maximum Gain % : 1.86
  • Maximum Loss % : -2.51
  • Average Gain %if Winner : 0.53
  • Average Loss % if Loser : -0.50
  • Average Gain % / Average Loss % : 1.07
  • Average Absolute Change% : 0.52
  • Profit Factor : 2.77

Change from Open to Close , on the first trading day of the quarter, since 2000.

  • Winners : 30
  • Losers : 25
  • % Winners : 55%
  • Average Change % : 0.28
  • Median Change % : 0.07
  • Maximum Gain % : 4.00
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 1.14
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 1.41
  • Average Absolute Change% : 0.96
  • Profit Factor : 1.66

Change from Open to Close , if $SPY opens with a gap up, on the first trading day of the quarter, since 2000.

  • Winners : 21
  • Losers : 17
  • % Winners : 55%
  • Average Change % : 0.33
  • Median Change % : 0.07
  • Maximum Gain % : 4.00
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 1.18
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 1.46
  • Average Absolute Change% : 0.97
  • Profit Factor : 1.84

Change from Open to Close , if $SPY opens with a gap down, on the first trading day of the quarter, since 2000.

  • Winners : 9
  • Losers : 8
  • % Winners : 53%
  • Average Change % : 0.17
  • Median Change % : 0.30
  • Maximum Gain % : 3.23
  • Maximum Loss % : -2.27
  • Average Gain %if Winner : 1.06
  • Average Loss % if Loser : -0.83
  • Average Gain % / Average Loss % : 1.29
  • Average Absolute Change% : 0.95
  • Profit Factor : 1.31

Full day change , on the first trading day of the quarter, since 2000.

ps: this trading strategy is  from the page 51 of  “{Free to download}Anatomy of $SPY on First Trading Day of the Month : e-book

  • Winners : 37
  • Losers : 18
  • % Winners : 67%
  • Average Change % : 0.50
  • Median Change % : 0.42
  • Maximum Gain % : 4.80
  • Maximum Loss % : -2.85
  • Average Gain %if Winner : 1.22
  • Average Loss % if Loser : -0.97
  • Average Gain % / Average Loss % : 1.26
  • Average Absolute Change% : 1.13
  • Profit Factor : 2.53

Below the table with the details of first trading day of the Quarter, since 2000.

$SPY on the first trading day of the Quarter since 2000
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