counter attack candle pattern on $SPY

counter attack candle pattern on $SPY

counter attack

h/t @gtlackey

@paststat: $SPY bear hook pattern formation on Wednesday’s are bit bullish http://stks.co/s05p7$STUDY” <also counterattack candle patten

— G. Thomas Lackey Jr. (@gtlackey) Mar. 13 at 04:33 PM

Firstly once he made that statement , I have no ideas how and what counterattack candle pattern and was searching mindlessly till this post by Rob @QuantEdges , What The Gap & Reverse Pattern Of The Last Two Days Is Suggesting  gave a further inspiration .

here is the definition of counter attack candle pattern am using

1) Current Open > Prev High  && Current Close <Prev Close ( as on 11 Mar 2014 close) , followed by

2) Current Open < Prev Low && Current Close > Prev Close ( as on 12 Mar 2014 close)

below the trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , since Feb 2013.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 17 13 76.5 0.35 0.37 0.70 -0.76 0.91 -1.55
t+2 17 10 58.8 0.14 0.21 0.96 -1.03 0.94 -2.54
t+3 17 13 76.5 0.60 0.42 1.03 -0.79 1.30 -2.69
t+4 17 11 64.7 0.74 1.04 1.62 -0.87 1.86 -2.60
t+5 17 12 70.6 0.90 0.96 1.69 -1.01 1.67 -2.52
t+10 17 12 70.6 0.96 1.47 2.12 -1.84 1.15 -3.84
t+20 17 14 82.4 2.05 2.68 2.78 -1.32 2.10 -2.59
1st +’ve exit in 5 days 17 16 94.1 0.64 0.42 0.69 -0.22 3.17 -0.22

16/17 times ( or 95% ) $SPY closed at higher close than the current close at some point of time than the current close over the next five trading days with an average gains of 0.64% .

below the historical instances of counter attack candle pattern on $SPY , since Feb 1993

Date Close t+1 t+2 t+3 t+4 t+5
12-Mar-14 187.28 ?? ?? ?? ?? ??
05-Nov-12 138.06 0.78 -1.5 -2.69 -2.6 -2.52
22-Aug-12 137.3 -0.82 -0.22 -0.2 -0.3 -0.22
26-Aug-11 111.83 2.88 3.15 3.6 2.52 -0.1
14-Apr-11 124.1 0.37 -0.76 -0.19 1.18 1.69
02-Mar-11 123.24 1.72 0.96 0.16 1.04 0.9
22-Mar-10 107.84 0.7 0.21 0.06 -0.01 0.62
14-Sep-09 96 0.42 1.94 1.79 1.85 1.59
13-Mar-08 115.74 -1.55 -2.54 1.5 -1.01 0.82
14-Apr-04 92.99 -0.38 0.39 0.39 -1.3 -0.63
25-Aug-03 80.97 0.17 0.21 0.83 1.51 2.87
10-Jan-01 103.27 0.09 -0.11 0.53 1 2
10-Nov-99 106.29 0.57 1.48 1.72 2.57 2.84
01-Jun-98 83.07 0.08 -1.52 0.31 2.25 2.13
27-May-98 83.14 0.46 -0.54 -0.08 0 -1.6
01-Nov-95 42.92 0.65 0.77 0.42 0.05 0.96
05-Oct-94 32.37 -0.31 0.12 1.2 2.72 2.84
30-Nov-93 32.04 0.16 0.41 0.81 1.15 1.06

highlighted in red was the only instance $SPY unable to close higher in the next five days .

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