there is something about $SPY 1% drops in the month of March

$SPY 1% drops in the month of March

$SPY 6th March 2015 stock chart

with $SPY dropping by more than 1% as on 6th Mar 2015 , below trading strategy

1) $SPY lost more than 1%

2) Current month is March

3) below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 25 15 60.0 0.63 0.22 1.93 -1.31 1.47 -3.46 2.04 1.65 2.38 1.33
t+2 25 19 76.0 1.49 1.60 2.39 -1.37 1.75 -2.56 5.32 4.75 2.23 3.35
t+3 25 20 80.0 1.98 1.26 2.74 -1.08 2.53 -2.55 10.28 8.88 2.79 3.55
t+4 25 20 80.0 2.29 1.82 3.29 -1.70 1.93 -2.90 7.55 6.62 3.29 3.48
t+5 25 20 80.0 2.66 2.38 3.72 -1.61 2.31 -3.51 9.77 8.74 3.44 3.86
t+10 25 23 92.0 4.70 4.37 5.32 -2.36 2.25 -2.90 20.38 17.81 5.06 4.65
t+20 25 22 88.0 6.06 4.90 7.09 -1.45 4.89 -2.65 27.43 24.45 6.01 5.05
1st +’ve exit in 5 days 25 25 100.0 1.98 1.32 1.98 INF INF 0.08 NA NA 1.85 5.35

25/25 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 1.98 % at the 1st positive close.

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

vs

for $SPY drops for any other month than March since 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 314 173 55.1 0.14 0.13 1.28 -1.27 1.01 -9.84 1.23 1.16 2.07 1.16
t+2 314 167 53.2 0.22 0.16 1.97 -1.77 1.12 -9.34 1.27 1.23 2.75 1.44
t+3 314 181 57.6 0.27 0.39 2.10 -2.23 0.94 -13.39 1.30 1.26 3.13 1.51
t+4 314 173 55.1 0.19 0.48 2.51 -2.65 0.95 -17.80 1.18 1.15 3.63 0.94
t+5 314 180 57.3 0.27 0.45 2.58 -2.84 0.91 -19.79 1.28 1.24 3.83 1.25
t+10 314 189 60.2 0.45 0.90 3.16 -3.64 0.87 -16.96 1.41 1.39 4.51 1.78
t+20 314 198 63.1 0.73 1.58 4.20 -5.18 0.81 -24.62 1.50 1.47 5.95 2.18
1st +’ve exit in 5 days 314 258 82.2 0.31 0.56 1.22 -3.89 0.31 -19.79 1.47 1.42 2.96 1.84

below the historical instances of $SPY drops of more than 1% in March , since 2005

Date $SPY t t+1% t+2% t+3% t+4% t+5% 1st +’ve %
06-Mar-15 207.50 -1.41 ?? ?? ?? ?? ?? ??
13-Mar-14 181.63 -1.12 -0.28 0.62 1.34 0.80 1.39 0.62
06-Mar-12 126.74 -1.46 0.70 1.70 2.09 2.10 3.95 0.70
16-Mar-11 116.24 -1.85 1.32 1.69 3.27 2.91 3.21 1.32
15-Mar-11 118.43 -1.15 -1.85 -0.55 -0.19 1.36 1.00 1.36
10-Mar-11 119.71 -1.84 0.68 0.08 -1.07 -2.90 -1.61 0.68
01-Mar-11 120.62 -1.66 0.22 1.94 1.18 0.38 1.26 0.22
30-Mar-09 70.07 -3.46 0.93 2.88 5.89 6.95 6.11 0.93
27-Mar-09 72.58 -1.81 -3.46 -2.56 -0.68 2.23 3.25 2.23
24-Mar-09 71.68 -1.97 1.06 3.12 1.26 -2.25 -1.34 1.06
20-Mar-09 68.22 -2.14 7.18 5.07 6.19 8.36 6.39 7.18
19-Mar-09 69.71 -1.23 -2.14 4.89 2.83 3.92 6.04 4.89
09-Mar-09 60.15 -1.17 5.95 6.65 10.84 11.70 11.37 5.95
05-Mar-09 60.75 -4.09 0.18 -0.99 4.91 5.60 9.74 0.18
02-Mar-09 62.34 -4.50 -0.74 1.60 -2.55 -2.37 -3.51 1.60
26-Mar-08 115.43 -1.22 -0.32 -1.27 -0.93 2.56 2.62 2.56
19-Mar-08 112.38 -2.47 1.85 3.88 3.99 2.71 2.38 1.85
17-Mar-08 110.63 -1.01 4.16 1.58 3.46 5.52 5.63 4.16
14-Mar-08 111.76 -1.55 -1.01 3.10 0.55 2.42 4.46 3.10
10-Mar-08 110.37 -1.32 3.60 2.63 2.85 1.26 0.24 3.60
07-Mar-08 111.85 -1.03 -1.32 2.23 1.27 1.49 -0.08 2.23
06-Mar-08 113.01 -2.07 -1.03 -2.34 1.18 0.23 0.45 1.18
13-Mar-07 117.05 -1.94 0.75 0.89 0.61 1.82 2.38 0.75
02-Mar-07 117.41 -1.31 -0.95 0.74 0.64 1.49 1.52 0.74
22-Mar-05 95.87 -1.01 0.08 0.21 0.35 -0.31 1.10 0.08
09-Mar-05 98.82 -1.11 0.22 -0.48 0.14 -0.69 -1.53 0.22

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$SPY dips after gaining for 4 or more weeks in row

$SPY dips after gaining for 4 or more weeks in row

With SPDR S&P 500 ETF ( $SPY) falling by -0.04% during the week ending on 26 July 2013 , after gaining for four weeks in row, this below study triggers .

“go long on  when $SPY lost in the week , after gaining for 4 or more weeks in row”

Winning odds for $SPY Longs for the next week  after $SPY dips and  after gaining for 4 or more  weeks in row since 2000.

  • Winners : 19
  • Losers : 8
  • % Winners : 70%
  • Average Change % : 0.82
  • Median Change % : 0.94
  • Maximum Gain % : 3.66
  • Maximum Loss % : -2.29
  • Average Gain %if Winner : 1.53
  • Average Loss % if Loser : -0.87
  • Average Gain % / Average Loss % : 1.76
  • Profit Factor : 3.73

Average change for any random one week holding period stands at 0.09% , since 2000.

even though sample size is very low , tweaking the above pattern a bit , $SPY looses less than -0.5% in the week , after gaining for more then 4 weeks in row , here are the trading odds for the longs for the next week , since 2000.

  • Winners : 8
  • Losers : 2
  • % Winners : 80%
  • Average Change % : 1.04
  • Median Change % : 1.29
  • Maximum Gain % : 2.16
  • Maximum Loss % : -0.41
  • Average Gain %if Winner : 1.38
  • Average Loss % if Loser : -0.33
  • Average Gain % / Average Loss % : 4.18
  • Profit Factor : 14.51

Below the table with $SPY change, change % details after for the next week , after $SPY dips , after gaining for 4 or more  week in row

$SPY dips after 4 or more weeks of gains since 2000

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$SPX dips after gaining for 6 or more months – mega bullish for next 6 months

$SPX dips after gaining for 6 or more months

With S&P 500 Index ( $SPX) falling by -1.5% for the first time in this month of June 2013, after gaining for 7 months  in row , below the details with how $SPX fared over the next 1 month , 1 quarter , 6 months , when ever $SPX falls in a month after gaining for 6 or more months in row

Winning odds for the next month  after $SPX falls after gaining for 6 or more  months in row

  • Winners : 15
  • Losers : 3
  • % Winners : 83%
  • Average Change % : 2.46
  • Median Change % : 3.05
  • Maximum Gain % : 8.31
  • Maximum Loss % : -4.57
  • Average Gain %if Winner : 3.46
  • Average Loss % if Loser : -2.54
  • Average Gain % / Average Loss % : 1.36

Average change for any random one month holding period stands at 0.69% , since 1950

Winning odds for the next Quarter ( i.e 3 month holding period) after $SPX falls after gaining for 6 or more  months in row

  • Winners : 16
  • Losers : 2
  • % Winners : 89%
  • Average Change % : 3.76
  • Median Change % : 3.21
  • Maximum Gain % : 14.78
  • Maximum Loss % : -12.24
  • Average Gain %if Winner : 5.04
  • Average Loss % if Loser : -6.42
  • Average Gain % / Average Loss % : 0.78

Average change for any random three month holding period stands at 2.01%

 Winning odds for the next Half Year  ( i.e 6 month holding period) after $SPX falls after gaining for 6 or more  months in row

  • Winners : 16
  • Losers : 2
  • % Winners : 89%
  • Average Change % : 9.10
  • Median Change % : 8.87
  • Maximum Gain % : 23.23
  • Maximum Loss % : -5.66
  • Average Gain %if Winner : 10.80
  • Average Loss % if Loser : -4.51
  • Average Gain % / Average Loss % : 2.40

Average change for any random six month holding period stands at 4.23% , since 1950

Below the table with $SPX change % details after 1 Month, 1 Quarter , Half Year after $SPX falls after gaining for 6 or more  months in row

$SPX dips after gaining for 6 or more months in row, since 1950

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