$SPY $TLT $GLD the week after Jackson Hole Economic Symposium

the week after Jackson Hole Economic Symposium

Visual comment of the weekBelow the $SPY trading odds for the longs , assuming one goes long at the close of Friday during the Jackson Hole Economic Symposium and exiting at the end of the next Friday at close ( the week after Jackson Hole Economic Symposium)

Data since 1993 ( or since when $SPY started trading ) , Jackson Hole Economic Symposium dates are from ECONOMIC SYMPOSIUM CONFERENCE PROCEEDINGS

  • Winners : 13
  • Losers : 8
  • % Winners : 62%
  • Average Change % : 0.11
  • Median Change % : 0.67
  • Maximum Gain % : 3.77
  • Maximum Loss % : -5.43
  • Average Gain %if Winner : 1.45
  • Average Loss % if Loser : -2.07
  • Payoff Ratio 0.70
  • Average Absolute Change% : 1.20
  • Profit Factor : 1.08
  • Outlier Adjusted Profit Factor : 0.84

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

Even Stevens !

$TLT during the week after Jackson Hole Economic Symposium 

  • Winners : 10
  • Losers : 2
  • % Winners : 83%
  • Average Change % : 0.94
  • Median Change % : 0.91
  • Maximum Gain % : 4.02
  • Maximum Loss % : -2.68
  • Average Gain %if Winner : 1.53
  • Average Loss % if Loser : -2.03
  • Payoff Ratio 0.75
  • Average Absolute Change% : 2.36
  • Profit Factor : 2.72
  • Outlier Adjusted Profit Factor : 1.84

Slight advantage to the bulls ( i said slight because of the maximum loss which stands at -2.7% )

$GLD during the week after Jackson Hole Economic Symposium 

  • Winners : 8
  • Losers : 1
  • % Winners : 89%
  • Average Change % : 1.52
  • Median Change % : 0.78
  • Maximum Gain % : 4.31
  • Maximum Loss % : -0.21
  • Average Gain %if Winner : 1.74
  • Average Loss % if Loser : -0.21
  • Payoff Ratio 8.28
  • Average Absolute Change% : 1.51
  • Profit Factor : 55.61
  • Outlier Adjusted Profit Factor : 35.00

below the historical dates of Jackson Hole Economic Symposium , and the returns of $SPY, $TLT , $GLD

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium
Jackson Hole Meeting End Next Week $SPY $TLT $GLD
23-Aug-14 25-Aug-14 ?? ?? ??
24-Aug-13 26-Aug-13 -1.78 1.63 -0.21
01-Sep-12 04-Sep-12 2.25 -2.68 2.57
27-Aug-11 29-Aug-11 -0.1 4.02 3.25
28-Aug-10 30-Aug-10 3.77 -1.38 0.7
22-Aug-09 24-Aug-09 0.4 2.91 0.23
23-Aug-08 25-Aug-08 -0.67 0.82 0.78
01-Sep-07 04-Sep-07 -1.04 2.01 4.31
26-Aug-06 28-Aug-06 1.25 0.77 0.6
27-Aug-05 29-Aug-05 1.25 1.09 1.47
28-Aug-04 30-Aug-04 0.61 0.22
30-Aug-03 02-Sep-03 1.38 0.95
31-Aug-02 03-Sep-02 -1.93 0.86
01-Sep-01 04-Sep-01 -4.76
26-Aug-00 28-Aug-00 0.82
28-Aug-99 30-Aug-99 0.67
29-Aug-98 31-Aug-98 -5.43
30-Aug-97 02-Sep-97 3.05
31-Aug-96 03-Sep-96 0.94
02-Sep-95 05-Sep-95 1.56
27-Aug-94 29-Aug-94 -0.81
21-Aug-93 23-Aug-93 0.96
avg % 0.11 0.94 1.52
med % 0.67 0.91 0.78

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium

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One thought on “$SPY $TLT $GLD the week after Jackson Hole Economic Symposium

  1. Pingback: The Whole Street’s Daily Wrap for 8/24/2014 | The Whole Street

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