$SPY post Feb Opex , is both bullish and bearish

$SPY post Feb Opex

 $SPY post Feb Opex , since $SPY inception

below the $SPY trading odds for longs , from the close of Feb Opex day , to next 1/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 11 47.8 -0.28 -0.01 0.68 -1.16 0.58 -3.58 0.35 -1.05
t+2 23 13 56.5 -0.10 0.17 0.67 -1.10 0.61 -3.67 0.45 -0.38
t+3 23 11 47.8 -0.33 -0.01 0.67 -1.25 0.53 -3.52 0.28 -1.22
t+4 23 11 47.8 -0.22 -0.13 0.83 -1.17 0.71 -4.17 0.40 -0.77
t+5 23 12 52.2 -0.18 0.10 0.77 -1.20 0.64 -4.51 0.50 -0.61
t+10 23 15 65.2 -0.11 0.53 1.76 -3.63 0.49 -10.98 0.69 -0.16
t+20 23 15 65.2 1.08 1.64 3.53 -3.52 1.00 -9.77 1.31 1.25
1st +’ve in 5 days 23 20 87.0 0.35 0.36 0.57 -1.16 0.49 -2.13 2.15 1.97
1st -‘ve in 5 days 23 21 91.3 0.68 -0.39 -0.90 1.63 0.55 1.94 4.72 2.96

how do you trade this below information

20/23 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 35 basis points at the 1st positive close within in the next five trading days.

21/23 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 68 basis points at the 1st negative close within in the next five trading days.

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

for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days

below the $SPY next 1/2/3/4/5 trading day returns , post Feb Opex , since 93

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
19-Feb-16 192.00 ?? ?? ?? ?? ?? ?? ??
20-Feb-15 206.97 -0.01 0.27 0.18 0.07 -0.27 0.27 -0.01
21-Feb-14 176.72 0.55 0.52 0.52 1.05 1.31 0.55 1.31
15-Feb-13 143.28 0.75 -0.51 -1.11 -0.14 -2.04 0.75 -0.51
17-Feb-12 125.71 0.04 -0.28 0.16 0.38 0.55 0.04 -0.28
18-Feb-11 121.43 -2.01 -2.61 -2.68 -1.64 -1.03 -1.03 -2.01
19-Feb-10 98.38 0.02 -1.20 -0.29 -0.42 -0.36 0.02 -1.20
20-Feb-09 66.98 -3.58 0.08 -0.71 -2.32 -4.51 0.08 -3.58
15-Feb-08 114.18 0.28 0.58 -0.26 0.36 1.62 0.28 -0.26
16-Feb-07 120.89 0.21 0.17 0.10 -0.30 -0.38 0.21 -0.30
17-Feb-06 104.92 -0.25 0.36 0.21 0.47 0.50 0.36 -0.25
18-Feb-05 96.36 -1.49 -0.78 -0.12 0.86 0.20 0.86 -1.49
20-Feb-04 90.22 -0.25 -0.43 -0.01 0.05 0.12 0.05 -0.25
21-Feb-03 65.82 -1.62 -0.83 -2.28 -0.99 -0.33 -0.33 -1.62
15-Feb-02 84.35 -1.92 -0.27 -2.34 -1.13 0.51 0.51 -1.92
16-Feb-01 97.94 -1.54 -3.67 -3.52 -4.17 -2.13 -2.13 -1.54
18-Feb-00 100.57 -0.25 0.92 -1.11 -1.47 0.60 0.92 -0.25
19-Feb-99 91.37 2.67 2.62 0.80 -0.15 -0.55 2.67 -0.15
20-Feb-98 75.25 0.39 -0.39 0.84 1.42 1.42 0.39 -0.39
21-Feb-97 57.46 1.19 1.26 0.27 -1.22 -1.52 1.19 -1.22
16-Feb-96 45.51 -0.99 0.24 1.83 1.54 0.10 0.24 -0.99
17-Feb-95 33.20 -0.03 0.71 0.87 1.13 0.32 0.71 -0.03
18-Feb-94 31.28 1.00 0.73 -0.60 -0.13 -0.13 1.00 -0.60
19-Feb-93 28.36 0.36 0.29 1.58 1.79 1.94 0.36 1.94

highlighted in the red under 1st +’ve in 5 days were the loss making trades for bulls , and under 1st -‘ve in 5 days were the loss making trades for bears !!

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