$SPY pattern with 43/44 wins since 2009

$SPY pattern with 43/44 wins

$SPY trading pattern

below the trading strategy rules

1) $SPY is down for the day

2) $SPY close is above 200-DMA

3) current month is Feb

trading odds for $SPY longs since 2009 , for the next 1/2/3/4/5 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 44 36 81.8 0.39 0.54 0.64 -0.72 0.89 -3.09 4.30
t+2 44 38 86.4 0.55 0.60 0.79 -1.00 0.79 -2.89 5.51
t+3 44 36 81.8 0.72 0.76 1.07 -0.88 1.22 -3.59 5.89
t+4 44 33 75.0 0.86 0.97 1.37 -0.66 2.08 -2.38 6.25
t+5 44 36 81.8 1.06 1.25 1.59 -1.29 1.23 -2.57 5.25
1st +’ve exit in 5 days % 44 43 97.7 0.54 0.60 0.61 -2.57 0.24 -2.57 14.30

43/44 times since last 2009, $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average gains of 54 bps and a median gains of 60 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 down day in Feb , while close is above 200-DMA , since 2009 , for the next 1/2/3/4/5 trading days

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
01-Feb-18 281.58 ?? ?? ?? ?? ?? ?? ??
28-Feb-17 231.97 1.40 0.76 0.82 0.52 0.22 1.40 1
22-Feb-17 231.78 0.07 0.19 0.35 0.08 1.48 0.07 1
16-Feb-17 230.25 0.16 0.75 0.66 0.73 0.86 0.16 1
06-Feb-17 224.57 0.00 0.14 0.73 1.13 1.68 0.00 1
27-Feb-15 198.18 0.63 0.22 -0.20 -0.09 -1.50 0.63 1
26-Feb-15 198.85 -0.34 0.29 -0.12 -0.54 -0.44 0.29 2
25-Feb-15 199.09 -0.12 -0.46 0.17 -0.24 -0.66 0.17 3
23-Feb-15 198.69 0.28 0.20 0.08 -0.26 0.37 0.28 1
19-Feb-15 197.54 0.60 0.59 0.87 0.79 0.67 0.60 1
09-Feb-15 192.50 1.07 1.12 2.10 2.52 2.68 1.07 1
06-Feb-15 193.37 -0.45 0.61 0.67 1.64 2.06 0.61 2
04-Feb-15 191.97 1.01 0.73 0.28 1.35 1.41 1.01 1
25-Feb-14 170.56 0.01 0.53 0.78 0.08 1.48 0.01 1
21-Feb-14 169.68 0.55 0.52 0.52 1.05 1.31 0.55 1
19-Feb-14 168.88 0.59 0.48 1.03 0.99 1.00 0.59 1
05-Feb-14 161.63 1.32 2.57 2.76 3.89 3.94 1.32 1
03-Feb-14 160.71 0.70 0.57 1.90 3.16 3.35 0.70 1
28-Feb-13 137.13 0.33 0.86 1.77 1.91 2.09 0.33 1
25-Feb-13 134.76 0.68 1.95 1.75 2.09 2.63 0.68 1
21-Feb-13 136.05 0.98 -0.94 -0.27 0.99 0.79 0.98 1
20-Feb-13 136.88 -0.61 0.36 -1.55 -0.87 0.38 0.36 2
15-Feb-13 137.58 0.75 -0.51 -1.11 -0.14 -2.04 0.75 1
11-Feb-13 137.27 0.16 0.25 0.34 0.22 0.98 0.16 1
07-Feb-13 136.54 0.56 0.54 0.70 0.79 0.88 0.56 1
04-Feb-13 135.25 1.01 1.08 0.95 1.51 1.49 1.01 1
29-Feb-12 121.24 0.52 0.21 -0.20 -1.66 -0.97 0.52 1
22-Feb-12 120.36 0.44 0.66 0.83 1.12 0.73 0.44 1
15-Feb-12 119.06 1.11 1.37 1.42 1.09 1.54 1.11 1
14-Feb-12 119.62 -0.47 0.64 0.90 0.95 0.62 0.64 2
10-Feb-12 118.89 0.74 0.62 0.15 1.26 1.53 0.74 1
06-Feb-12 118.97 0.25 0.55 0.68 -0.07 0.68 0.25 1
24-Feb-11 113.48 1.07 1.70 0.00 0.21 1.94 1.07 1
23-Feb-11 113.56 -0.07 1.00 1.63 -0.07 0.15 1.00 2
22-Feb-11 114.26 -0.61 -0.68 0.38 1.00 -0.68 0.38 3
15-Feb-11 115.28 0.63 0.93 1.14 -0.89 -1.50 0.63 1
09-Feb-11 114.64 0.04 0.64 0.88 0.56 1.19 0.04 1
02-Feb-11 113.10 0.22 0.51 1.13 1.59 1.36 0.22 1
25-Feb-10 94.07 0.06 1.10 1.38 1.47 1.78 0.06 1
23-Feb-10 93.34 0.92 0.78 0.85 1.89 2.18 0.92 1
12-Feb-10 91.84 1.57 2.05 2.66 2.87 2.89 1.57 1
10-Feb-10 90.96 1.05 0.96 2.55 3.04 3.64 1.05 1
08-Feb-10 90.01 1.26 1.06 2.12 2.03 3.64 1.26 1
04-Feb-10 90.48 0.21 -0.52 0.73 0.54 1.59 0.21 1
03-Feb-10 93.36 -3.09 -2.89 -3.59 -2.38 -2.57 -2.57 5

highlighted in red is the only instance as on 3rd Feb , when $SPY failed to close higher at the end of the fifth trading day , and lost big by 257 bps

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