When $SPY posts a Close = Low ( a.k.a Shaved Bottom)

When $SPY posts a Close = Low ( a.k.a Shaved Bottom)

$SPY Close = Low Stock Chart

 

Mind you there would be a great execution difficulty for these kind of patterns , as the market on close ( even approximate at 3.40 EST) will come no where close at the actual 4.00 p.m EST close !! but

here are the trading strategy rules ,

1) $SPY current day close is exactly equal to that of current day’s low ( in Japanese Candlestick terminology it is called Shaved Bottom – simply a candlestick with no lower shadow )

2)  below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 53 29 54.7 0.14 0.09 1.03 -0.94 1.09 -2.89 1.42 1.14 1.40 0.71
t+2 53 30 56.6 0.44 0.21 1.72 -1.24 1.39 -4.17 1.82 1.59 1.93 1.64
t+3 53 36 67.9 0.60 0.62 1.69 -1.70 1.00 -5.84 2.16 1.98 2.10 2.10
t+4 53 37 69.8 0.57 1.02 1.89 -2.46 0.77 -10.54 1.73 1.54 2.74 1.52
t+5 53 38 71.7 0.71 0.90 2.11 -2.84 0.74 -7.95 1.85 1.67 2.88 1.79
t+10 53 35 66.0 0.69 1.38 2.72 -3.26 0.84 -10.74 1.65 1.53 3.61 1.39
t+20 53 36 67.9 1.60 2.43 3.78 -3.02 1.25 -9.09 2.57 2.40 3.91 2.98
1st +’ve exit in 5 days 53 46 86.8 0.53 0.55 1.07 -3.03 0.35 -7.95 2.37 2.08 1.93 1.98

46/53 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 53 basis points at the 1st positive 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 )

with the drop on 23rd Mar 2015 , being just -0.19% , on such a day when $SPY prints Close = Low ( usually the average loss , on such days , stands at -1.43 % , which indeed includes two days where $SPY posted minor gains !!)

below a tweaked pattern of the above

When $SPY posts a Close = Low , BUT $SPY didn’t loose more than -1% 

that is

1) $SPY current day close is exactly equal to that of current day’s low

2) But $SPY’s loss is marginal , and had not lost more than -1%

3)  below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 15 11 73.3 0.77 0.46 1.22 -0.46 2.69 -0.67 7.84 5.83 1.10 2.72
t+2 15 11 73.3 1.02 1.14 1.59 -0.54 2.94 -0.78 7.52 6.15 1.23 3.20
t+3 15 13 86.7 1.22 1.19 1.51 -0.67 2.27 -1.06 14.07 11.48 1.33 3.56
t+4 15 13 86.7 1.18 0.80 1.58 -1.44 1.10 -2.35 6.65 5.05 1.82 2.51
t+5 15 13 86.7 1.05 0.74 1.51 -1.97 0.77 -2.16 4.59 3.45 1.88 2.16
t+10 15 11 73.3 1.04 0.97 2.34 -2.54 0.92 -4.71 2.27 1.67 2.99 1.34
t+20 15 11 73.3 1.25 1.16 2.74 -2.84 0.97 -4.19 2.50 1.95 3.30 1.47
1st +’ve exit in 5 days 15 15 100.0 1.07 0.80 1.07 NA NA 0.16 NA NA 0.87 4.80

in all 15/15 instances , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 107 basis points at the 1st positive close within in the next five trading days.

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