$SPY returns during the prior week of memorial day

$SPY returns during the prior week of memorial day

 

below the $SPY returns on the Mon to Fri , during week prior to Memorial Day , since Feb 1993 ,

Date Mon Tue Wed Thu Fri
28-May-13 -0.07 0.17 -0.83 -0.29 -0.06
29-May-12 1.6 0.05 0.17 0.14 -0.22
31-May-11 -1.19 -0.08 0.32 0.4 0.41
25-May-10 -1.42 -0.51 -3.9 1.5 -1.29
26-May-09 3.04 -0.17 -0.51 -1.68 -0.15
27-May-08 0.09 -0.93 -1.61 0.26 -1.32
29-May-07 0.15 -0.06 -0.12 -0.97 0.55
30-May-06 -0.39 -0.43 0.16 1.14 0.57
31-May-05 0.39 0.02 -0.34 0.64 0.1
25-May-04 0.68 -0.26 0.05 0.4 0.17
27-May-03 -2.49 -0.11 0.4 0.92 0.14
28-May-02 -1.33 -1.1 0.57 1.02 -1.21
29-May-01 1.62 -0.26 -1.55 0.32 -1.18
30-May-00 -0.44 -1.92 1.83 -1.25 -0.25
25-May-99 -0.46 0.82 -0.4 -0.64 -1.78
26-May-98 -0.26 0.33 0.86 -0.39 -0.37
27-May-97 0.42 1.01 -0.27 -0.44 1.36
28-May-96 0.63 -0.06 0.84 -0.36 0.37
30-May-95 0.86 0.94 0 0 -0.93
31-May-94 -0.38 0.36 0.34 0.16 0.06
25-May-93 -0.01 1.65 0.67 -1.05 0.48
# 21 21 21 21 21
Wins 10 9 12 11 10
%Wins 47.60% 42.90% 57.10% 52.40% 47.60%
Avg  0.05 -0.03 -0.16 -0.01 -0.22
avg win 0.95 0.59 0.52 0.63 0.42
avg loss -0.77 -0.49 -1.06 -0.71 -0.8
payoff 1.23 1.21 0.49 0.88 0.53

as you can see there is no major edge , if seasonality alone is used to trade the $SPY , prior to memorial day

$SPY average returns during the week prior to Memorial holiday , since 1993 

 

$SPY returns during the prior week to Memorial Day , since 1993

 

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 “$SPY returns during the prior week of memorial day

  1. Pingback: Daily Wrap for 5/20/2014 | The Whole Street

Leave a Reply