$SPY , $TLT during the last five days of August

$SPY , $TLT during the last five days of August

August last 5 trading days $SPY Seasonality

below the trading odds for the next 1/2/3/4/5 trading days , for the longs for going long at close on 5 trading days before the last trading day of August ( 22nd Aug 2014 in this year’s case)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 12 57.1 -0.10 0.06 0.37 -0.73 0.51 -2.03 0.55 0.40
t+2 21 8 38.1 -0.43 -0.12 0.45 -0.97 0.46 -3.10 0.18 0.14
t+3 21 11 52.4 -0.39 0.06 0.81 -1.71 0.47 -5.03 0.49 0.30
t+4 21 9 42.9 -0.78 -0.22 0.92 -2.05 0.45 -5.38 0.30 0.15
t+5 21 9 42.9 -0.97 -0.25 1.23 -2.61 0.47 -12.13 0.34 0.20

slightly bearish !

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

$SPY historical instances from 5 trading day’s before the last trading day of August , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
22-Aug-14 199.19 ?? ?? ?? ?? ??
23-Aug-13 163.41 -0.37 -1.98 -1.63 -1.47 -1.78
24-Aug-12 135.75 0.02 -0.08 0 -0.72 -0.25
24-Aug-11 110.92 -1.52 -0.1 2.78 3.05 3.5
24-Aug-10 97.18 0.39 -0.29 1.26 -0.22 -0.22
24-Aug-09 93.03 0.19 0.2 0.43 0.41 -0.48
22-Aug-08 114.07 -2.03 -1.74 -0.79 0.41 -0.67
24-Aug-07 127.92 -0.93 -3.1 -1.2 -1.47 -0.49
24-Aug-06 109.8 0.12 0.6 0.71 0.77 0.76
24-Aug-05 100.78 0.36 -0.33 0.45 -0.09 1.18
24-Aug-04 90 0.68 0.68 0.99 0.16 0.69
22-Aug-03 80.1 0.16 0.34 0.37 1 1.67
23-Aug-02 74.67 0.7 -0.47 -2.64 -2.6 -2.99
24-Aug-01 92.68 -0.59 -2.05 -2.92 -4.79 -4.09
24-Aug-00 116.53 -0.04 0.3 0.32 -0.64 0.68
24-Aug-99 104.41 1.03 -0.18 -1.39 -3.21 -3.58
24-Aug-98 82.27 0.23 -0.34 -5.03 -5.38 -12.13
22-Aug-97 68.75 -0.36 -1.83 -1.24 -2.75 -2.36
23-Aug-96 48.79 -0.49 -0.12 -0.29 -1.27 -2.3
24-Aug-95 40 0.55 0.18 0.43 0.65 0.75
24-Aug-94 32.84 -0.27 1.16 1.1 1.34 1.1
24-Aug-93 31.39 0.06 0.13 0.06 0.48 0.73

$TLT trading odds for longs for the next 1/2/3/4/5 trading days , for going long on 5 trading days before the last trading day of August ( 22nd Aug 2014 in this year’s case) 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 12 10 83.3 0.34 0.42 0.52 -0.56 0.93 -0.78 6.01 4.56
t+2 12 10 83.3 0.75 0.77 0.95 -0.27 3.60 -0.53 29.93 22.68
t+3 12 9 75.0 0.27 0.43 0.66 -0.91 0.73 -2.24 2.03 1.63
t+4 12 11 91.7 1.03 1.07 1.16 -0.36 3.22 -0.36 30.15 23.59
t+5 12 12 100.0 1.25 1.18 1.25 NA NA NA NA NA

$TLT historical instances from 5 trading day’s before the last trading day of August , since 1993

Date $TLT t+1% t+2% t+3% t+4% t+5%
22-Aug-14 117.29 ?? ?? ?? ?? ??
23-Aug-13 101.01 0.5 1.76 0.94 1.75 1.63
24-Aug-12 117.99 0.58 0.83 0.39 0.91 2.33
24-Aug-11 97.52 1.09 2.08 0.67 2.29 0.71
24-Aug-10 94.78 -0.33 0.61 -2.24 -0.36 0.75
24-Aug-09 80.69 0.57 1.03 0.63 1.09 1.19
22-Aug-08 75.69 1 1.1 1.27 1.27 0.82
24-Aug-07 68.21 0.53 0.7 0.43 1.1 1.17
24-Aug-06 64.76 0.14 0.23 0.37 0.63 0.88
24-Aug-05 66.66 0.32 0.29 0.42 1.05 1.91
24-Aug-04 58.24 0.34 0.91 0.84 1.32 1.94
22-Aug-03 53.64 -0.78 0 -0.45 0.58 0.34
23-Aug-02 52.49 0.1 -0.53 -0.04 0.76 1.37

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

contact us for your quant trading programming needs in python and or R 

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

Leave a Reply