$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

Four_seasons

 

1) $SPY trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 16 72.7 0.42 0.41 0.79 -0.57 1.38 -2.46 2.95 2.14
t+2 22 13 59.1 0.38 0.42 1.19 -0.79 1.51 -2.55 1.63 1.36
t+3 22 15 68.2 0.51 0.69 1.23 -1.01 1.21 -2.53 1.72 1.79
t+4 22 14 63.6 0.40 0.24 1.31 -1.18 1.10 -3.05 1.27 1.24
t+5 22 15 68.2 0.39 0.95 1.50 -1.98 0.76 -4.63 1.20 0.93
t+10 22 15 68.2 1.05 1.30 2.12 -1.23 1.72 -2.59 2.59 2.66
t+20 22 16 72.7 1.20 1.25 2.59 -2.51 1.04 -7.75 2.11 1.89
1st +’ve exit in 5 days 22 22 100.0 0.73 0.64 0.73 INF INF NA NA 5.97

2) $QQQ trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 15 93.8 0.64 0.67 0.87 -2.90 0.30 -2.90 4.38 2.36
t+2 16 12 75.0 0.65 0.80 1.42 -1.68 0.85 -3.13 2.99 1.61
t+3 16 12 75.0 1.06 0.67 2.00 -1.78 1.13 -2.93 2.80 1.86
t+4 16 10 62.5 0.96 1.03 2.91 -2.30 1.26 -4.89 1.37 1.24
t+5 16 11 68.8 1.06 1.73 3.10 -3.45 0.90 -6.61 1.45 1.15
t+10 16 12 75.0 2.68 2.09 4.12 -1.65 2.49 -2.43 6.41 3.12
t+20 16 13 81.3 2.53 2.23 5.02 -8.25 0.61 -15.34 2.49 1.50
1st +’ve exit in 5 days 16 16 100.0 0.84 0.67 0.84 INF INF NA NA 5.70

3) $DIA trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 11 64.7 0.32 0.18 0.77 -0.50 1.52 -1.93 2.08 1.51
t+2 17 11 64.7 0.30 0.21 1.05 -1.07 0.98 -3.03 1.33 0.90
t+3 17 8 47.1 0.39 -0.10 1.57 -0.65 2.42 -2.34 1.41 1.20
t+4 17 10 58.8 0.19 0.41 1.09 -1.10 0.99 -2.42 0.83 0.57
t+5 17 11 64.7 0.27 0.27 1.27 -1.57 0.81 -3.97 0.91 0.65
t+10 17 11 64.7 0.57 1.12 1.79 -1.67 1.07 -3.97 1.46 1.17
t+20 17 10 58.8 0.31 0.68 2.61 -2.98 0.88 -7.36 1.08 0.38
1st +’ve exit in 5 days 17 17 100.0 0.67 0.58 0.67 INF INF NA NA 5.29

4) $IWM trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 12 80.0 0.72 0.85 1.20 -1.17 1.02 -2.82 3.45 2.21
t+2 15 9 60.0 0.48 0.39 1.67 -1.32 1.27 -2.61 1.60 1.06
t+3 15 11 73.3 1.11 0.96 1.95 -1.20 1.62 -3.66 2.87 2.12
t+4 15 11 73.3 0.86 0.98 2.02 -2.33 0.87 -4.79 1.40 1.39
t+5 15 12 80.0 1.22 1.00 2.30 -3.12 0.74 -6.46 1.71 1.62
t+10 15 12 80.0 2.07 2.01 2.86 -1.12 2.55 -1.56 6.25 3.43
t+20 15 10 66.7 3.19 3.82 6.02 -2.48 2.43 -7.14 4.22 2.41
1st +’ve exit in 5 days 15 15 100.0 1.07 0.85 1.07 INF INF NA NA 5.88

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