when $SPY posts worst loss in a 5 days on the last trading day of the month

when $SPY posts worst loss in a 5 days on the last trading day of the month

Anatomy of $SPY on First Trading Day of the Month

 

below the trading strategy rules

1) $SPY posts largest decline in 5 trading days , as of the current trading day &&

2) current trading day is the last trading day of the month

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 37 23 62.2 0.23 0.55 0.91 -0.90 1.02 -2.85 1.58 1.41 1.15 1.21
t+2 37 24 64.9 0.39 0.32 1.20 -1.10 1.09 -2.58 1.76 1.55 1.51 1.58
t+3 37 23 62.2 0.39 0.51 1.28 -1.06 1.20 -2.78 1.53 1.36 1.48 1.62
t+4 37 20 54.1 0.42 0.22 1.73 -1.12 1.55 -4.23 1.54 1.35 1.86 1.38
t+5 37 23 62.2 0.43 0.39 1.58 -1.46 1.08 -4.30 1.53 1.36 1.90 1.37
t+10 37 25 67.6 0.82 1.38 2.33 -2.33 1.00 -5.08 1.57 1.34 2.80 1.78
t+20 37 25 67.6 1.34 1.47 3.62 -3.40 1.06 -9.06 1.97 1.68 4.22 1.93
1st +’ve exit in 5 days 37 36 97.3 0.76 0.66 0.84 -2.01 0.42 -2.01 16.72 15.25 0.76 6.10

36/37 times  $SPY closed higher , than the current close at some point of time in the next five trading days .. with an average gain of 76 basis points at the 1st positive close within in the next five trading days, when $SPY posted worst decline in 5 trading days on the last trading day of the month , 

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 worst decline in 5 trading days on the last trading day of the month  and the next 1/2/3/4/5 trading days returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days  %
30-Apr-15 ~ 207.9 ?? ?? ?? ?? ?? ??
27-Feb-15 209.72 0.63 0.22 -0.20 -0.09 -1.50 0.63
31-Dec-14 204.63 -0.05 -1.86 -2.78 -1.57 0.18 0.18
28-Nov-14 205.15 -0.69 -0.05 0.33 0.22 0.39 0.33
31-Jul-14 190.29 -0.31 0.41 -0.56 -0.53 -1.07 0.41
30-Sep-13 163.17 0.79 0.70 -0.23 0.52 -0.35 0.79
31-May-13 157.14 0.55 0.07 -1.33 -0.44 0.83 0.55
31-Jul-12 130.19 -0.09 -0.78 1.19 1.39 1.90 1.19
30-Apr-12 131.55 0.62 0.32 -0.44 -2.05 -1.98 0.62
29-Feb-12 128.30 0.52 0.21 -0.20 -1.66 -0.97 0.52
31-Oct-11 116.78 -2.79 -1.20 0.60 -0.02 0.61 0.60
30-Sep-11 105.28 -2.85 -0.72 1.12 2.95 2.26 1.12
31-Mar-10 105.67 0.68 1.50 1.74 1.16 1.51 0.68
31-Dec-09 100.24 1.70 1.97 2.04 2.47 2.81 1.70
30-Oct-09 92.65 0.73 1.05 1.31 3.18 3.45 0.73
31-Aug-09 91.23 -2.21 -2.58 -1.77 -0.39 0.47 0.47
30-Jun-09 81.87 0.41 -2.33 -2.34 -4.23 -4.30 0.41
30-Apr-08 119.28 2.07 2.35 1.86 2.74 0.91 2.07
29-Feb-08 114.88 -0.24 -0.62 0.01 -2.06 -3.07 0.01
28-Sep-07 130.29 1.13 0.99 0.79 0.94 2.14 1.13
30-Apr-07 125.49 0.26 0.84 1.39 1.77 1.79 0.26
29-Sep-06 111.97 -0.37 -0.16 1.00 1.20 1.07 1.00
31-Aug-06 109.03 0.60 0.79 -0.10 -0.56 -0.28 0.60
31-Jul-06 106.70 -0.49 0.18 0.45 0.27 0.04 0.18
28-Feb-06 106.12 0.89 0.88 0.41 -0.05 -0.20 0.89
31-Jan-06 105.52 0.70 -0.47 -0.96 -0.71 -1.58 0.70
29-Jul-05 101.44 -0.07 0.53 0.79 -0.02 -0.70 0.53
31-May-05 97.55 0.85 1.07 0.56 0.47 0.54 0.85
31-Dec-04 98.30 -0.47 -1.69 -2.37 -1.87 -2.01 -2.01
28-May-04 90.38 -0.13 0.24 -0.68 0.11 1.63 0.24
28-Nov-03 84.55 1.08 0.83 0.67 1.08 0.38 1.08
31-Oct-03 83.63 0.66 0.44 0.51 1.04 0.29 0.66
31-Mar-03 66.80 1.53 3.99 3.49 4.11 3.91 1.53
28-Feb-02 85.91 2.33 4.14 3.81 5.04 4.81 2.33
31-Dec-01 88.35 1.08 2.22 2.90 2.18 1.94 1.08
28-Feb-01 94.59 0.52 -0.27 0.64 1.72 2.44 0.52
31-Jan-01 104.57 0.66 -1.62 -0.90 -1.19 -1.70 0.66
29-Dec-00 100.12 -1.81 2.91 1.80 -1.52 -0.76 2.91

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