When $SPY posts four consecutive closes above previous day high – bit bearish

$SPY posts four consecutive closes above previous day high

$SPY stock chart , four closes above previous highfirstly good news for bears !

with $SPY closing above previous day’s high for four days in row , below the trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , data since Jan 2000

1) $SPY closes above previous day’s high for four or more days in row 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 44 15 34.1 -0.11 -0.14 0.44 -0.40 1.10 -1.31 0.49 0.38
t+2 44 19 43.2 -0.15 -0.10 0.74 -0.84 0.89 -2.56 0.48 0.41
t+3 44 20 45.5 -0.21 -0.06 0.91 -1.14 0.80 -4.02 0.52 0.41
t+4 44 16 36.4 -0.56 -0.32 0.85 -1.37 0.62 -7.13 0.29 0.24
t+5 44 18 40.9 -0.46 -0.16 0.98 -1.46 0.67 -6.57 0.38 0.31
t+10 44 24 54.5 -0.10 0.10 1.54 -2.07 0.74 -6.89 0.80 0.69
t+20 44 30 68.2 0.52 0.93 2.49 -3.71 0.67 -7.58 1.31 1.15
1st +’ve exit in 5 days 44 32 72.7 -0.32 0.13 0.43 -2.30 0.19 -6.57 0.40 0.34
1st -‘ve exit in 5 days 44 41 93.2 0.39 -0.31 -0.52 1.52 0.35 3.46 5.00 4.42

41/43 times ( 93%) $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average drop of 0.39% !

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

2) $SPY closes above previous day’s high for four or more days in row , and the current close is highest in 250 trading days , ( i.e $SPY closed at 52 week high ) , data since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 5 33.3 -0.23 -0.14 0.24 -0.47 0.51 -1.06 0.22 0.11
t+2 15 2 13.3 -0.58 -0.52 0.57 -0.75 0.76 -2.56 0.09 0.04
t+3 15 5 33.3 -0.56 -0.54 0.20 -0.95 0.21 -2.40 0.10 0.04
t+4 15 4 26.7 -0.91 -0.51 0.23 -1.33 0.17 -3.17 0.05 0.03
t+5 15 3 20.0 -0.81 -0.70 0.43 -1.12 0.38 -3.17 0.07 0.03
t+10 15 4 26.7 -1.16 -0.43 0.59 -1.80 0.33 -4.72 0.12 0.05
t+20 15 7 46.7 -1.70 -0.29 1.29 -4.32 0.30 -7.58 0.31 0.22
1st +’ve exit in 5 days 15 9 60.0 -0.52 0.05 0.22 -1.63 0.13 -3.17 0.17 0.11
1st -‘ve exit in 5 days 15 15 100.0 0.48 -0.50 -0.48 NA NA NA NA NA

conclusion : 15/15 times $SPY has fallen than the current entry at some point of time over the next five trading days ..

below the historical trade details , of $SPY continuous closes above previous day for four or more days in row and $SPY closing at 52 week high

Date Close t+1% t+2% t+3% t+4% t+5%
27-May-14 191.52 ?? ?? ?? ?? ??
02-Apr-14 188.88 -0.13 -1.31 -2.40 -2.00 -0.95
26-Dec-13 183.05 -0.01 -0.02 0.45 -0.51 -0.52
29-Oct-13 175.44 -0.50 -0.78 -0.54 -0.19 -0.51
11-Apr-13 156.04 -0.24 -2.56 -1.12 -2.56 -3.17
29-Apr-11 128.13 -0.16 -0.52 -1.17 -2.07 -1.63
22-Dec-10 117.62 -0.14 -0.10 0.03 0.11 -0.05
11-Jan-10 105.22 -0.93 -0.10 0.17 -0.95 0.29
08-Jan-10 105.07 0.14 -0.79 0.05 0.31 -0.81
07-Jan-10 104.72 0.33 0.48 -0.46 0.38 0.65
26-Oct-06 118.61 -0.62 -0.70 -0.72 -1.38 -1.44
23-Nov-05 106.63 0.08 -0.64 -0.74 -1.28 -0.27
22-Nov-05 106.01 0.58 0.66 -0.06 -0.16 -0.70
08-Jan-04 92.25 -0.88 -0.14 -0.73 0.11 0.35
03-Sep-03 83.38 0.05 -0.52 0.31 -0.35 -1.36
24-Mar-00 117.88 -1.06 -1.63 -1.53 -3.17 -2.08

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

One thought on “When $SPY posts four consecutive closes above previous day high – bit bearish

  1. Pingback: Daily Wrap for 5/28/2014 | The Whole Street

Leave a Reply