when $SPY posts a 1% rise on pre #Fedday ?

when $SPY posts a 1% rise on pre #Fedday ?

Fed Day Carton

with $SPY gaining more the 1% , the day before #Fedday , below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days since 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 8 53.3 0.52 0.32 1.76 -0.91 1.94 -2.69 1.99 1.39
t+2 15 9 60.0 0.18 0.02 1.66 -2.02 0.82 -4.88 1.12 0.72
t+3 15 5 33.3 -0.55 -1.18 2.38 -2.02 1.18 -5.31 0.53 0.33
t+4 15 7 46.7 0.21 -1.03 2.77 -2.04 1.36 -3.19 0.96 0.71
t+5 15 8 53.3 0.23 0.06 1.97 -1.76 1.12 -3.59 1.07 0.60
t+10 15 6 40.0 0.04 -1.08 3.57 -2.31 1.55 -4.25 1.09 0.78
t+20 15 11 73.3 0.96 1.62 3.25 -5.36 0.61 -9.06 1.76 1.38
1st +’ve exit in 5 days 15 13 86.7 1.10 0.58 1.39 -0.74 1.87 -1.20 11.41 8.75

13/15 times $SPY closed higher than the entry at some point of time , over the next five trading days , after $SPY posts more than 1% rise , the day before #Fedday 

below the historical instances of $SPY gaining more than 1% , the day before #fedday , since Jan 2000

Date $SPY t% t+1% t+2% t+3% t+4% t+5%
28-Oct-14 198.41 1.15 ?? ?? ?? ?? ??
21-Jun-11 121.03 1.37 -0.6 -0.88 -2.04 -1.17 0.12
20-Sep-10 105.24 1.52 -0.2 -0.69 -1.49 0.53 0.06
17-Mar-09 69.42 3.06 2.23 0.97 -1.18 5.92 3.83
27-Jan-09 75.06 1.02 3.38 0.01 -2.01 -2.3 -0.93
28-Oct-08 82.58 11.69 -0.73 2.71 3.28 3.57 7.1
06-Aug-07 125.51 1.68 1.07 2.48 -0.57 -1.03 -0.67
27-Jun-07 129.11 1.43 -0.02 0.02 0.92 1.29 1.18
03-May-04 90.71 1.08 -0.09 0.56 -0.31 -1.95 -2.97
17-Mar-03 68.82 3.15 0.58 1.37 1.58 3.75 0.31
05-Nov-01 86.11 1.31 1.56 1.42 1.73 1.83 1.22
10-Sep-01 * 85.3 1.22 -5.23 -5.45 -7.36 -10.3 -11.28
17-Apr-01 92.17 1.41 3.98 5.36 4.39 2.51 1.95
19-Mar-01 90.7 2.04 -2.69 -4.34 -5.31 -2.45 -1.2
18-Dec-00 102.30 1.34 -2.03 -4.88 -4.21 -1.34 -0.28
14-Nov-00 106.91 2.63 0.32 -1.25 -1.79 -3.19 -2.69
15-May-00 111.10 1.73 0.97 -0.09 -1.31 -2.86 -3.59

ps: 10-Sep-2001 , is not considered in the above calculations , as you know !! what happened the next day

pps highlighted in the red were the only two instances where $SPY not able to close above the entry price , in the next five trading days ..

May we recommend @QuantEdges , The Quantifiable Edges Guide To Fed Days 

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