$SPY posts a red candle and a down day for 4 or more days in row

$SPY posts a red candle and a down day for 4 or more days in row

 

as on 18 dec 2018 , with $SPY close at 255.08 , below the trading strategy rules

  • $SPY closes below the open and previous day’s close for 4 or more days in row

below the trading odds for $SPY , for the next 1/2/3/4/5 trading days , since 1993

 

 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up%
t+1 102 68 67 0.33 0.41 1.10 -1.20 0.91 -6.98 1.59 -0.78 -7.85 1.22
t+2 102 70 69 0.53 0.43 1.56 -1.73 0.90 -9.33 1.73 -1.19 -14.29 1.84
t+3 102 70 69 0.83 0.81 1.96 -1.64 1.19 -11.53 2.40 -1.53 -16.45 2.21
t+4 102 71 70 1.03 0.75 2.18 -1.61 1.35 -4.54 2.58 -1.70 -16.45 2.62
t+5 102 75 74 1.28 1.12 2.48 -2.07 1.20 -7.68 2.72 -1.96 -16.45 3.18
1st +’ve exit in 5 days % 102 96 94 0.91 0.67 1.11 -2.34 0.48 -3.83 7.14 -1.17 -16.45 1.52

 

96/102 times $SPY closed at higher close than the current close at some point of time in the next five trading days , with an average gain of 91 basis points and a median gain of 67 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 along with a red candle for 4 or more days , since 1993 ,

 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
18-Dec-18 255.08 ?? ?? ?? ?? ?? ?? ??
14-Nov-18 270.20 1.04 1.31 -0.41 -2.25 -1.92 1.04 1
26-Sep-18 289.88 0.28 0.29 0.64 0.58 0.63 0.28 1
24-Apr-18 260.63 0.25 1.27 1.36 0.58 0.76 0.25 1
15-Mar-18 271.45 0.11 -1.25 -1.08 -1.27 -3.74 0.11 1
21-Mar-17 227.31 0.24 0.13 0.06 -0.05 0.68 0.24 1
04-Nov-16 200.76 2.21 2.67 3.75 4.01 3.77 2.21 1
21-Aug-15 185.42 -4.21 -5.34 -1.70 0.73 0.73 0.73 4
29-Jun-15 192.53 0.21 1.01 0.92 0.63 1.27 0.21 1
06-Jan-15 185.55 1.25 3.04 2.22 1.42 1.13 1.25 1
05-Jan-15 187.32 -0.94 0.29 2.07 1.25 0.46 0.29 2
13-Dec-13 161.35 0.62 0.30 2.02 1.90 2.49 0.62 1
25-Sep-13 153.14 0.38 -0.08 -0.61 0.18 0.08 0.38 1
24-Sep-13 153.58 -0.29 0.09 -0.37 -0.90 -0.11 0.09 2
19-Aug-13 148.54 0.49 -0.13 0.78 1.12 0.75 0.49 1
28-Dec-12 125.02 1.70 4.31 4.07 4.53 4.24 1.70 1
04-Jun-12 112.37 0.76 3.02 3.08 3.90 2.58 0.76 1
18-May-12 113.81 1.72 1.90 1.95 2.15 1.82 1.72 1
17-May-12 114.80 -0.86 0.85 1.02 1.08 1.28 0.85 2
25-Nov-11 100.97 2.90 3.19 7.44 7.42 7.32 2.90 1
23-Nov-11 101.17 -0.19 2.70 2.99 7.23 7.22 2.70 2
22-Nov-11 103.45 -2.21 -2.39 0.44 0.72 4.87 0.44 3
21-Nov-11 103.86 -0.39 -2.59 -2.77 0.04 0.33 0.04 4
05-May-11 114.80 0.44 0.83 1.69 0.62 1.10 0.44 1
13-Apr-11 112.95 0.08 0.44 -0.68 -0.11 1.25 0.08 1
12-Apr-11 112.96 -0.01 0.07 0.43 -0.69 -0.12 0.07 2
24-Aug-10 89.33 0.39 -0.28 1.26 -0.21 -0.21 0.39 1
02-Jul-10 86.52 0.66 3.83 4.85 5.64 5.70 0.66 1
01-Jul-10 86.99 -0.54 0.11 3.26 4.28 5.06 0.11 2
24-Jun-10 90.93 0.42 0.10 -2.99 -3.91 -4.34 0.42 1
28-Oct-09 87.14 2.15 -0.81 -0.09 0.23 0.49 2.15 1
22-May-09 73.53 2.56 0.73 2.13 3.94 6.46 2.56 1
03-Mar-09 57.46 2.37 -1.81 -1.64 -2.80 3.00 2.37 1
02-Mar-09 57.89 -0.75 1.60 -2.55 -2.38 -3.53 1.60 2
19-Feb-09 64.11 -0.97 -4.52 -0.90 -1.68 -3.27 -3.27 5
23-Dec-08 70.65 0.58 1.16 0.87 3.26 4.74 0.58 1
09-Oct-08 73.77 -2.43 11.74 10.09 -0.75 3.38 11.74 2
08-Oct-08 79.31 -6.98 -9.24 3.94 2.40 -7.68 3.94 3
07-Oct-08 81.36 -2.52 -9.33 -11.53 1.32 -0.18 1.32 4
18-Jan-08 105.76 -1.01 1.36 2.22 0.74 2.41 1.36 2
08-Jan-08 111.25 1.05 1.71 0.89 1.71 -0.53 1.05 1
07-Jan-08 113.07 -1.61 -0.58 0.07 -0.74 0.06 0.07 3
04-Jan-08 113.17 -0.08 -1.70 -0.67 -0.01 -0.82 -0.82 5
03-Jan-08 116.01 -2.45 -2.53 -4.11 -3.10 -2.46 -2.46 5
02-Jan-08 116.07 -0.05 -2.50 -2.58 -4.15 -3.15 -3.15 5
12-Nov-07 114.49 3.05 2.76 1.28 1.45 0.04 3.05 1
27-Feb-07 109.71 1.03 0.72 -0.59 -1.54 0.14 1.03 1
17-Jul-06 96.04 0.51 1.91 1.21 0.49 2.33 0.51 1
13-Oct-05 90.19 1.06 1.43 0.33 2.00 0.20 1.06 1
06-Oct-05 91.55 0.34 -0.50 -0.65 -1.43 -1.48 0.34 1
15-Sep-05 94.19 0.71 0.37 -0.47 -1.40 -1.05 0.71 1
24-Jan-05 88.43 0.28 0.58 0.76 0.76 1.38 0.28 1
05-Jan-05 89.54 0.51 0.36 0.84 0.14 0.47 0.51 1
04-Jan-05 90.16 -0.69 -0.19 -0.33 0.14 -0.55 0.14 4
11-Mar-04 82.73 1.31 0.07 0.60 1.73 1.75 1.31 1
23-Feb-04 85.31 -0.17 0.24 0.31 0.38 1.37 0.24 2
22-Jan-03 64.59 0.61 -2.03 -3.37 -2.65 -1.92 0.61 1
21-Jan-03 65.38 -1.21 -0.61 -3.22 -4.54 -3.83 -3.83 5
07-Oct-02 57.69 1.57 -1.30 1.90 6.36 6.95 1.57 1
23-Jul-02 58.03 5.97 5.07 7.07 12.28 13.75 5.97 1
07-May-02 76.01 3.72 2.52 0.59 2.64 4.87 3.72 1
07-Feb-02 77.90 1.92 3.17 2.84 3.93 3.74 1.92 1
06-Feb-02 78.39 -0.63 1.28 2.52 2.20 3.28 1.28 2
30-Aug-01 81.14 0.73 0.09 0.34 -2.25 -4.06 0.73 1
15-Dec-00 93.25 1.34 -0.73 -3.60 -2.93 -0.02 1.34 1
01-Dec-00 93.85 0.85 4.16 2.49 1.09 1.32 0.85 1
12-Oct-00 94.49 3.33 3.80 1.22 0.85 4.65 3.33 1
11-Oct-00 96.91 -2.49 0.76 1.21 -1.30 -1.67 0.76 2
23-May-00 97.47 1.63 -0.11 0.00 3.26 3.49 1.63 1
22-May-00 98.92 -1.47 0.13 -1.58 -1.47 1.74 0.13 2
22-Feb-00 95.09 1.18 -0.86 -1.22 0.86 1.83 1.18 1
15-Oct-99 87.76 0.73 1.70 2.70 3.30 4.18 0.73 1
23-Sep-99 89.87 -0.10 0.56 0.37 -0.83 0.68 0.56 2
31-Aug-99 92.55 1.23 0.04 2.96 2.58 2.08 1.23 1
26-Jul-99 94.44 0.83 1.16 -0.26 -1.48 -1.25 0.83 1
23-Jul-99 95.14 -0.74 0.09 0.41 -0.99 -2.21 0.09 2
22-Jul-99 95.33 -0.20 -0.93 -0.10 0.22 -1.18 0.22 4
11-Jun-99 90.70 0.10 0.77 2.70 3.66 3.78 0.10 1
25-May-99 90.14 1.11 -0.34 0.93 0.58 0.68 1.11 1
19-Apr-99 90.49 1.25 4.15 5.14 4.87 5.48 1.25 1
16-Apr-99 91.91 -1.54 -0.31 2.54 3.52 3.25 2.54 3
26-Feb-99 86.12 0.28 -0.61 -0.08 1.19 3.22 0.28 1
07-May-98 75.46 1.63 1.29 2.37 2.63 2.11 1.63 1
28-Apr-98 74.92 0.69 2.56 3.71 3.45 2.73 0.69 1
26-Jan-98 65.97 1.01 1.92 2.48 2.54 4.24 1.01 1
11-Dec-97 65.50 0.20 1.21 1.83 1.31 0.33 0.20 1
08-Jul-96 43.82 0.41 0.81 -1.22 -1.15 -4.07 0.41 1
07-May-96 42.70 1.25 1.17 2.17 3.71 4.35 1.25 1
29-Feb-96 42.44 1.59 2.18 3.13 2.23 2.74 1.59 1
28-Feb-96 42.86 -0.97 0.61 1.19 2.13 1.24 0.61 2
20-Feb-96 42.72 1.24 2.84 2.55 1.09 0.78 1.24 1
02-Aug-95 36.74 -0.03 0.08 0.31 0.31 0.28 0.08 2
09-Jun-95 34.65 0.56 1.65 1.56 2.00 2.30 0.56 1
22-Nov-94 29.00 0.56 1.04 1.49 1.46 1.32 0.56 1
04-Oct-94 29.24 0.03 -0.28 0.17 1.24 2.75 0.03 1
09-May-94 28.22 0.78 -0.14 0.35 0.35 0.39 0.78 1
06-May-94 28.47 -0.87 -0.10 -1.01 -0.52 -0.52 -0.52 5
03-Jan-94 29.40 0.40 0.61 0.61 1.21 2.42 0.40 1
21-Sep-93 28.45 0.83 1.38 1.10 2.21 2.00 0.83 1
08-Jun-93 27.72 0.35 0.42 0.84 0.70 0.49 0.35 1
26-Apr-93 26.91 1.08 0.86 1.30 1.44 2.09 1.08 1
23-Apr-93 27.12 -0.79 0.29 0.07 0.50 0.64 0.29 2
22-Apr-93 27.24 -0.43 -1.21 -0.14 -0.36 0.07 0.07 5

highlighted in red are the prior 6 instances where $SPY failed to close above the entry price over the next 5 trading days

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