such a biggest fade from full gap up opening on $SPY

such a biggest fade from full gap up opening on $SPY

$SPY full gap up fade stock chart

as on close 13 Mar 2014 , with $SPY facing a massive sell off after the full gap opening , below bullish ( yes not again !) pattern triggered

here are the trading strategy rules ,

1) $SPY opens with a full gap up opening ( Open > Prev high ) &&

2)  $SPY lost the most on closing basis in a month ( , current day’s loss is the worst in the 20 trading days including that of current trading day) #FYI $SPY loss of -1.12% is the worst one day loss after 3rd Feb 2014 .

below the trading odds for the $SPY longs as on 13 Mar 2014 close , for the next 1/2/3/4/5/10/20 trading days , since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % Standard Deviation T-Test
t+1 17 11 64.7 0.10 0.23 0.71 -1.03 0.69 -3.91 1.23 0.32
t+2 17 10 58.8 0.47 0.39 1.47 -0.96 1.54 -3.74 1.62 1.19
t+3 17 10 58.8 0.42 0.42 1.52 -1.14 1.33 -5.29 1.88 0.93
t+4 17 14 82.4 0.85 0.81 1.21 -0.81 1.49 -1.07 1.09 3.21
t+5 17 14 82.4 1.01 0.55 1.40 -0.82 1.71 -1.20 1.32 3.14
t+10 17 16 94.1 1.50 1.34 1.95 -5.57 0.35 -5.57 2.37 2.62
t+20 17 10 58.8 1.17 1.50 3.18 -1.71 1.87 -3.61 2.75 1.76
1st +’ve exit in 5 days 17 17 100.0 0.55 0.37 0.55 NA NA NA 0.49 4.58

below the historical instances of the biggest fade from full gap up opening on $SPY, since 1993

 

Date Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
13-Mar-14 185.18 ?? ?? ?? ?? ?? ?? ??
07-Nov-13 173.99 1.34 1.36 1.16 1.97 2.48 2.84 3.43
25-Feb-13 146.05 0.68 1.95 1.75 2.09 2.63 4.72 4.46
19-Dec-12 140.44 0.58 -0.34 -0.65 -1.07 -1.2 2.16 3.52
06-Aug-09 91.09 1.31 1.1 -0.16 0.91 1.68 1.1 0.76
19-Mar-08 114.57 1.85 3.89 3.99 2.71 2.39 5.68 5.68
27-Dec-05 106.34 0.23 -0.23 -0.76 0.98 1.46 3.07 1.5
28-Nov-05 106.42 -0.11 -0.65 0.37 0.49 0.28 0.18 -0.08
20-Apr-04 91.78 0.68 2.08 2.18 2.04 2.12 0.13 -2.03
03-Jan-00 112.53 -3.91 -3.74 -5.29 0.21 0.55 0.25 -3.09
26-May-98 83.02 0.14 0.6 -0.4 0.06 0.14 2.52 2.55
06-Apr-98 84.71 -0.67 -1.24 -0.45 -0.74 0.11 0.97 -0.15
16-Oct-97 71.75 -1.02 0.39 2.34 1.67 -0.32 -5.57 -3.61
05-Feb-97 57.8 0.66 2.02 1.07 2.23 3.69 3.48 3.18
17-Apr-95 36.67 -0.33 -0.44 -0.27 0.22 1.39 1.34 4.39
04-Nov-94 33.04 0.3 1.06 1.24 0.54 0.15 0.3 -1.57
02-Sep-94 33.31 0.03 -0.06 0.42 -0.63 -0.93 0.75 -1.41
14-Dec-93 32.17 -0.12 0.22 0.68 0.81 0.47 1.68 2.36

highlighted in red is when $SPY lost -5.5% over the next 10 days , was due to #FYI October 1987 Asian Financial Crisis

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