when $SPY posts , down friday and down monday for twice in row

when $SPY posts , down friday and down monday for twice in row 

down friday and down monday

 

This pattern triggered on $SPY on Monday ( 3rd Aug 2014 ) at close , below the trading strategy rules

  • current day is Monday and $SPY closed down
  • Previous trading day was Friday and $SPY closed down
  • five trading days ago it was Monday and $SPY closed down
  • six trading days ago , it was Friday and $SPY closed down too !!

in-short lets call it as a down fri/mon for twice in row , below the trading odds for $SPY for the next 1/2/3/4/5/10/20 trading days , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 28 18 64.3 0.81 0.58 1.59 -0.59 2.68 -1.49 4.25 2.81
t+2 27 18 66.7 0.66 0.55 1.40 -0.83 1.69 -1.89 2.95 2.37
t+3 27 17 63.0 0.65 0.78 1.85 -1.40 1.32 -2.56 1.98 1.82
t+4 27 20 74.1 1.30 1.00 2.12 -1.05 2.03 -2.38 5.75 3.16
t+5 27 19 70.4 1.57 0.97 2.65 -0.97 2.72 -3.53 5.96 3.28
t+10 27 19 70.4 2.27 2.25 3.72 -1.16 3.20 -2.35 4.82 3.36
t+20 27 22 81.5 2.91 2.39 4.23 -2.88 1.47 -4.47 4.40 3.44
1st +’ve exit in 5 days 27 24 88.9 1.21 0.70 1.45 -0.69 2.11 -1.70 14.02 4.38

24/27 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 121 basis points at the 1st positive close within in the next five trading days.

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

below the historical instances of $SPY posting down fri/mon for twice in row , and the next 1/2/3/4/5 trading day returns , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
03-Aug-15 209.73 -0.20 ?? ?? ?? ?? ??
15-Jun-15 208.09 0.55 0.71 1.73 1.31 1.83 0.55
12-Jan-15 200.77 -0.28 -0.88 -1.79 -0.50 -0.29 -0.29
22-Sep-14 196.22 -0.57 0.21 -1.41 -0.63 -0.81 0.21
03-Feb-14 169.25 0.70 0.57 1.90 3.16 3.35 0.70
30-Sep-13 162.38 0.79 0.70 -0.23 0.52 -0.34 0.79
19-Aug-13 158.48 0.49 -0.13 0.78 1.12 0.74 0.49
08-Aug-11 103.42 4.64 0.02 4.52 5.21 7.45 4.64
23-May-11 121.05 -0.08 0.26 0.72 1.10 2.16 0.26
23-Aug-10 96.74 -1.49 -1.11 -1.77 -0.25 -1.70 -1.70
02-Mar-09 61.77 -0.76 1.59 -2.56 -2.38 -3.53 1.59
04-Aug-08 107.85 2.69 3.15 1.61 3.50 4.57 2.69
17-Mar-08 109.61 4.15 1.57 3.46 5.52 5.62 4.15
10-Mar-08 109.35 3.59 2.62 2.85 1.26 0.24 3.59
17-Sep-07 125.26 2.95 3.55 2.83 3.10 2.91 2.95
05-Mar-07 115.21 1.72 1.61 2.47 2.50 2.66 1.72
19-Jun-06 102.71 0.34 1.08 0.64 0.62 1.07 0.34
08-Aug-05 100.06 0.60 0.55 0.95 0.33 0.95 0.60
06-Dec-04 96.03 -0.94 -0.35 0.00 0.09 0.97 0.09
26-Jul-04 86.98 0.94 1.24 1.68 1.92 2.14 0.94
17-Nov-03 82.94 -1.05 -0.20 -1.10 -0.69 0.63 0.63
30-Jun-03 76.87 0.92 2.20 1.13 3.15 3.60 0.92
07-Oct-02 61.53 1.56 -1.30 1.89 6.35 6.94 1.56
06-May-02 81.36 -0.36 3.36 2.16 0.23 2.27 3.36
10-Dec-01 87.68 -0.21 -0.09 -2.03 -1.09 -0.07 -0.07
15-Oct-01 83.78 0.63 -1.50 -1.72 -1.78 0.16 0.63
20-Nov-00 101.98 0.51 -1.89 0.12 1.00 -0.75 0.51
18-Sep-00 109.53 0.90 0.16 -1.36 0.43 -0.28 0.90

highlighted in red were those 3 instances , where $SPY failed to close higher over the next five trading days ..

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