few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 bps

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 forward 1/2/3/4/5 trading returns , when $SPY closes in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $SPY , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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a mega bullish Fed Day $SPY Pattern

a mega bullish Fed Day $SPY Pattern

 $SPY from the 9/10/11 th trading of the month , & from the day before #FEDDAY , since Y2K

with Fed Day around the corner , later EST noon time ,

below the trading strategy rules,

1) current trading day is either 9/10/11 th trading of the month ( mid month bulge phenomenon as Yale Hirsh & co calls it )

2) tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days ,since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 20 18 90.0 1.23 0.70 1.44 -0.69 2.10 -1.15 12.75 3.61
t+2 20 12 60.0 0.71 0.83 2.06 -1.32 1.56 -2.98 1.50 1.50
t+3 20 13 65.0 0.77 0.48 1.84 -1.22 1.51 -1.86 1.58 1.89
t+4 20 12 60.0 0.78 0.42 2.29 -1.47 1.56 -3.19 1.25 1.49
t+5 20 12 60.0 0.47 0.25 1.77 -1.47 1.21 -3.59 0.99 0.95
t+10 20 12 60.0 0.54 1.15 2.65 -2.63 1.01 -6.72 1.00 0.74
t+20 20 13 65.0 0.24 1.88 2.96 -4.83 0.61 -15.12 0.71 0.22
1st +’ve in 5 days 20 19 95.0 1.17 0.70 1.37 -2.78 0.49 -2.78 4.18 3.13
1st -‘ve in 5 days 20 12 60.0 -0.46 -0.14 -0.74 2.25 0.33 5.63 0.36 -1.02

18/20 times  $SPY closed higher on the Fed day , when it comes after 9/10/11 the trading of the month ,

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

below the prior historical returns of $SPY on 9/10/11 th trading day of the month , and before the fed day , since Y2K 

Date $SPY # TDOM t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
15-Mar-16 202.17 11 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 11 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
16-Sep-15 197.97 11 -0.22 -1.86 -1.35 -2.63 -2.78 -2.78 -0.22
16-Sep-14 194.44 11 0.13 0.67 0.58 -0.20 -0.77 0.13 -0.20
17-Sep-13 162.72 11 1.16 0.99 0.28 -0.18 -0.42 1.16 -0.18
14-Mar-11 117.38 10 -1.15 -2.98 -1.69 -1.33 0.20 0.20 -1.15
13-Dec-10 111.84 9 0.09 -0.37 0.21 0.32 0.56 0.09 -0.37
15-Mar-10 102.24 11 0.80 1.39 1.34 0.83 1.37 0.80 1.37
15-Dec-09 98.04 11 0.15 -1.05 -0.49 0.52 0.88 0.15 -1.05
15-Dec-08 75.31 11 4.71 3.69 1.75 1.32 0.02 4.71 0.02
15-Sep-08 102.47 10 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
17-Mar-08 108.40 11 4.15 1.57 3.46 5.52 5.63 4.15 5.63
17-Sep-07 123.88 10 2.94 3.55 2.82 3.10 2.91 2.94 2.91
13-Dec-04 95.89 9 0.35 0.42 0.37 -0.30 -0.28 0.35 -0.30
15-Mar-04 87.33 11 0.53 1.65 1.68 0.22 -1.05 0.53 -1.05
15-Sep-03 79.49 10 1.46 1.26 2.46 1.94 0.84 1.46 0.84
17-Mar-03 67.06 11 0.59 1.36 1.58 3.75 0.30 0.59 0.30
14-May-01 94.44 10 0.46 2.83 2.99 3.46 4.98 0.46 4.98
17-Apr-01 89.81 11 3.97 5.36 4.39 2.50 1.95 3.97 1.95
14-Nov-00 104.17 10 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 11 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

highlighted in the red were the loss making trades !!

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check out the new look of the paststat

a bullish #FedDay $SPY pattern

a bullish #FedDay $SPY pattern

The Quantifiable Edges Guide To Fed Days

below the trading odd for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $PY closes in the top 10% of the day’s range ( i.e high-cls/high-low <0.1 ) , irrespective whether $SPY closes up or not .. since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 25 16 64.0 0.33 0.35 0.88 -0.64 1.38 -1.70 1.87 1.81
t+2 25 20 80.0 0.76 0.65 1.14 -0.75 1.53 -1.41 3.78 3.45
t+3 25 18 72.0 0.67 0.76 1.35 -1.10 1.23 -2.18 2.78 2.36
t+4 25 16 64.0 1.10 1.01 2.06 -0.62 3.34 -2.87 4.61 3.05
t+5 25 17 68.0 1.01 1.22 1.96 -0.99 1.97 -3.60 2.81 2.43
t+10 25 15 60.0 0.52 1.14 2.17 -1.94 1.12 -4.25 1.51 1.10
t+20 25 18 72.0 0.67 1.59 3.01 -5.35 0.56 -14.21 1.43 0.67
1st +’ve exit in 5 days 25 23 92.0 0.68 0.49 0.81 -0.86 0.95 -1.20 5.02 4.11

23/25 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 68 basis points at the 1st positive close within in the next five trading days, when $SPY closed at the top 10% of the day’s range , before the Fed Day

20/25 times $SPY closed higher two day’s later , with an average gains of 76 bps , with a max loss of 141 bps 

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

below the prior instances of $SPY closing at the top 10% of the day’s range before the Fed day and the next 1/2/3/4/5 trading days returns

Date $SPY Close Range % t+1% t+2% t+3% t+4% t+5% 1st +’ve exit % in 5 days
28-Jul-15 209.31 7.04 ?? ?? ?? ?? ?? ??
16-Jun-15 209.23 6.17 0.16 1.17 0.76 1.27 1.35 0.16
28-Apr-15 210.42 2.78 -0.41 -1.41 -0.34 -0.06 -1.20 -1.20
28-Oct-14 195.49 0.60 -0.15 0.49 1.64 1.69 1.34 0.49
29-Oct-13 171.23 8.43 -0.50 -0.78 -0.54 -0.19 -0.51 -0.51
17-Sep-13 164.54 6.35 1.15 0.98 0.28 -0.18 -0.42 1.15
30-Apr-13 152.77 3.77 -0.88 0.05 1.06 1.32 1.83 0.05
24-Jan-12 122.50 4.76 0.84 0.32 0.28 -0.07 -0.11 0.84
25-Jan-11 117.89 9.43 0.39 0.64 -1.12 -0.37 1.22 0.39
15-Mar-10 103.38 8.05 0.79 1.39 1.34 0.83 1.36 0.79
17-Mar-09 68.40 6.27 2.24 0.96 -1.18 5.92 3.83 2.24
28-Oct-08 81.37 4.87 -0.73 2.70 3.27 3.58 7.09 2.70
27-Jun-07 127.21 6.60 -0.02 0.02 0.92 1.29 1.18 0.02
20-Mar-07 118.72 7.61 1.64 1.57 1.72 1.58 1.34 1.64
30-Jan-07 119.78 8.82 0.67 1.27 1.41 1.44 1.47 0.67
24-Oct-06 115.02 6.78 0.34 0.65 0.02 -0.05 -0.07 0.34
28-Jun-06 103.61 2.15 2.02 2.03 2.44 1.86 2.15 2.02
02-May-05 94.58 0.00 0.17 0.94 0.91 0.59 1.22 0.17
13-Dec-04 96.96 3.53 0.35 0.42 0.37 -0.30 -0.28 0.35
08-Dec-03 85.02 7.89 -0.76 -0.78 0.34 0.53 0.04 0.34
17-Mar-03 67.81 4.47 0.59 1.36 1.58 3.75 0.29 0.59
01-Oct-01 79.93 3.48 1.25 2.95 3.04 2.84 2.16 1.25
20-Aug-01 89.98 5.83 -1.70 -0.68 -1.03 1.01 0.41 1.01
14-May-01 95.49 4.05 0.47 2.84 3.00 3.47 4.98 0.47
30-Jan-01 104.66 5.56 -0.57 0.09 -2.18 -1.46 -1.75 0.09
15-May-00 109.47 8.82 0.97 -0.09 -1.32 -2.87 -3.60 0.97

highlighted in red were those 2  instances , where $SPY failed to close higher over the , next five trading days 

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when $SPY posts a 1% rise on pre #Fedday ?

when $SPY posts a 1% rise on pre #Fedday ?

Fed Day Carton

with $SPY gaining more the 1% , the day before #Fedday , below the trading odds for $SPY longs , for the next 1/2/3/4/5 trading days since 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 8 53.3 0.52 0.32 1.76 -0.91 1.94 -2.69 1.99 1.39
t+2 15 9 60.0 0.18 0.02 1.66 -2.02 0.82 -4.88 1.12 0.72
t+3 15 5 33.3 -0.55 -1.18 2.38 -2.02 1.18 -5.31 0.53 0.33
t+4 15 7 46.7 0.21 -1.03 2.77 -2.04 1.36 -3.19 0.96 0.71
t+5 15 8 53.3 0.23 0.06 1.97 -1.76 1.12 -3.59 1.07 0.60
t+10 15 6 40.0 0.04 -1.08 3.57 -2.31 1.55 -4.25 1.09 0.78
t+20 15 11 73.3 0.96 1.62 3.25 -5.36 0.61 -9.06 1.76 1.38
1st +’ve exit in 5 days 15 13 86.7 1.10 0.58 1.39 -0.74 1.87 -1.20 11.41 8.75

13/15 times $SPY closed higher than the entry at some point of time , over the next five trading days , after $SPY posts more than 1% rise , the day before #Fedday 

below the historical instances of $SPY gaining more than 1% , the day before #fedday , since Jan 2000

Date $SPY t% t+1% t+2% t+3% t+4% t+5%
28-Oct-14 198.41 1.15 ?? ?? ?? ?? ??
21-Jun-11 121.03 1.37 -0.6 -0.88 -2.04 -1.17 0.12
20-Sep-10 105.24 1.52 -0.2 -0.69 -1.49 0.53 0.06
17-Mar-09 69.42 3.06 2.23 0.97 -1.18 5.92 3.83
27-Jan-09 75.06 1.02 3.38 0.01 -2.01 -2.3 -0.93
28-Oct-08 82.58 11.69 -0.73 2.71 3.28 3.57 7.1
06-Aug-07 125.51 1.68 1.07 2.48 -0.57 -1.03 -0.67
27-Jun-07 129.11 1.43 -0.02 0.02 0.92 1.29 1.18
03-May-04 90.71 1.08 -0.09 0.56 -0.31 -1.95 -2.97
17-Mar-03 68.82 3.15 0.58 1.37 1.58 3.75 0.31
05-Nov-01 86.11 1.31 1.56 1.42 1.73 1.83 1.22
10-Sep-01 * 85.3 1.22 -5.23 -5.45 -7.36 -10.3 -11.28
17-Apr-01 92.17 1.41 3.98 5.36 4.39 2.51 1.95
19-Mar-01 90.7 2.04 -2.69 -4.34 -5.31 -2.45 -1.2
18-Dec-00 102.30 1.34 -2.03 -4.88 -4.21 -1.34 -0.28
14-Nov-00 106.91 2.63 0.32 -1.25 -1.79 -3.19 -2.69
15-May-00 111.10 1.73 0.97 -0.09 -1.31 -2.86 -3.59

ps: 10-Sep-2001 , is not considered in the above calculations , as you know !! what happened the next day

pps highlighted in the red were the only two instances where $SPY not able to close above the entry price , in the next five trading days ..

May we recommend @QuantEdges , The Quantifiable Edges Guide To Fed Days 

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$SPY rallies on Fed Day – what next ?

$SPY rallies on Fed Day – what next ?

Fed Day Carton

Few trading patterns after the $SPY rallying on the Fed day .

1) $SPY is up for 4 or more days as on Fed Day

the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 6 40.0 -0.32 -0.14 0.65 -0.97 0.67 -3.24 0.52 0.24
t+2 15 7 46.7 -0.69 -0.25 0.66 -1.88 0.35 -5.21 0.33 0.15
t+3 15 8 53.3 -0.73 0.03 0.83 -2.51 0.33 -5.50 0.37 0.23
t+4 15 7 46.7 -0.65 -0.29 0.92 -2.04 0.45 -4.51 0.48 0.36
t+5 15 10 66.7 -0.51 0.63 1.01 -3.56 0.28 -5.93 0.58 0.47
t+10 15 8 53.3 -0.17 0.41 1.26 -1.80 0.70 -4.33 0.83 0.65
t+20 15 10 66.7 0.59 1.86 2.73 -3.68 0.74 -13.47 1.81 1.50
1st +’ve exit in 5 days 15 11 73.3 -0.79 0.17 0.45 -4.18 0.11 -5.93 0.32 0.19
1st -‘ve exit in 5 days 15 13 86.7 0.56 -0.46 0.88 -1.53 0.58 -1.79 3.25 2.50

13/15 times $SPY closed lower than the Fed day’s close in the next five trading days ..

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

for the 1st -‘ve negative exit in 5 days , the negative of forward $SPY daily changes are considered , so as to see if shorting ( to help the bears ) has a positive expectation ..

2) $SPY posts the biggest in 10 trading days , as on Fed Day

i.e current day’s gain is the largest gain the 10 trading day’s .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 20 8 40.0 -0.36 -0.11 0.74 -1.08 0.68 -4.42 0.40 0.27
t+2 20 10 50.0 -0.27 0.01 0.63 -1.18 0.54 -4.31 0.51 0.38
t+3 20 10 50.0 -0.07 0.05 1.20 -1.34 0.89 -3.57 0.87 0.64
t+4 20 10 50.0 -0.07 0.05 1.52 -1.65 0.92 -4.47 1.00 0.81
t+5 20 10 50.0 -0.11 -0.03 1.46 -1.68 0.87 -5.46 0.90 0.64
t+10 20 11 55.0 -0.24 0.11 1.21 -2.02 0.60 -5.06 0.88 0.69
t+20 20 13 65.0 1.16 1.48 2.84 -1.96 1.45 -7.39 2.89 2.35
1st +’ve exit in 5 days 20 16 80.0 -0.04 0.46 0.66 -2.83 0.23 -5.46 0.99 0.83
1st -‘ve exit in 5 days 20 17 85.0 0.45 -0.20 -1.03 2.85 0.36 5.44 2.65 1.94

3) $SPY closes at 52 week high closing , as on Fed Day

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 14 8 57.1 0.04 0.16 0.37 -0.40 0.94 -1.05 1.14 0.92
t+2 14 9 64.3 0.07 0.10 0.52 -0.74 0.71 -1.51 1.21 0.65
t+3 14 7 50.0 0.10 -0.01 0.74 -0.54 1.37 -1.33 1.34 0.68
t+4 14 9 64.3 0.22 0.27 0.76 -0.74 1.02 -1.56 1.76 1.32
t+5 14 10 71.4 0.28 0.46 0.82 -1.04 0.78 -1.84 1.80 1.27
t+10 14 10 71.4 0.55 0.89 1.19 -1.05 1.14 -1.76 2.43 2.02
t+20 14 7 50.0 0.40 0.44 2.49 -1.69 1.47 -3.16 1.40 1.08
1st +’ve exit in 5 days 14 13 92.9 0.24 0.36 0.40 -1.84 0.21 -1.84 2.05 1.75
1st -‘ve exit in 5 days 14 11 78.6 0.22 -0.27 -0.52 0.87 0.59 1.27 2.38 1.75

 

conclusion : putting all the patterns in perspective , expect $SPY to soften a bit over the next few days ! ( no ! we are not saying it’s bearish 🙂 )  

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momentum continuation fed day setup

momentum continuation fed day setup 

Fed Day Cartona bullish Fed day setup that triggered

below the trading strategy rules

  • $SPY closed up at-least for 3 days in row &
  • tomorrow is Fed Day &
  • go long at close current day &
  • exit on the close of Fed Day

$SPY closes up for at least 3 days in row , the day before Fed day , trading setup , trading strategy performance since Jan 2000

  • Winners : 15
  • Losers : 3
  • % Winners : 83%
  • Average Change % : 0.71
  • Median Change % : 0.50
  • Maximum Gain % : 3.38
  • Maximum Loss % : -0.61
  • Average Gain %if Winner : 0.94
  • Average Loss % if Loser : -0.42
  • Payoff Ratio 2.23
  • Average Absolute Change% : 0.60
  • Profit Factor : 7.74
  • Outlier Adjusted Profit Factor : 6.34

Below the historical instances of $SPY closes up for at least 3 days in row , the day before Fed day , along with the change and change$ details on the Fed day, since Jan 2000

Fed Day $SPY Prv Day $SPY Change Change % Up Sequence as on prv day
18-Jun-14 ?? 194.83 ?? ?? ??
30-Oct-13 174.57 175.44 -0.87 -0.5 4
18-Sep-13 170.53 168.58 1.95 1.16 3
12-Dec-12 139.06 139 0.06 0.04 5
20-Jun-12 130.59 130.8 -0.21 -0.16 4
13-Mar-12 133.72 131.35 2.37 1.8 4
22-Jun-11 121.44 122.18 -0.74 -0.61 4
26-Jan-11 121.26 120.79 0.47 0.39 3
14-Dec-10 115.97 115.87 0.1 0.09 5
03-Nov-10 111.58 111.13 0.45 0.4 4
16-Mar-10 106.76 105.92 0.84 0.79 12
28-Jan-09 78.33 75.77 2.56 3.38 3
25-Oct-06 118.24 117.84 0.4 0.34 5
14-Dec-04 99.69 99.34 0.35 0.35 4
12-Aug-03 80.31 79.58 0.73 0.92 4
18-Mar-03 69.88 69.47 0.41 0.59 4
06-Nov-02 74.12 73.17 0.95 1.3 3
06-Nov-01 88.28 86.92 1.36 1.56 3
16-May-00 113.24 112.15 1.09 0.97 3

and a colorful table

momentum continuation fed day setup on $SPY

 

May we recommend The Quantifiable Edges Guide To Fed Days by @QuantEdges ??

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have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?

 

Fed Day and Opex Week Confluence on $SPY

Fed Day and Opex Week Confluence on $SPY

Janet  Fed meeting cartoon

below the trading odds for the longs taken on 18 Mar 2014 ( the day before at close on the Fed day ) ,

if Fed day falls in the week of the Opex , since Jan 2000.

  • Winners : 21
  • Losers : 6
  • % Winners : 78%
  • Average Change % : 0.78
  • Median Change % : 0.68
  • Maximum Gain % : 4.70
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 1.51
  • Average Loss % if Loser : -1.77
  • Payoff Ratio 0.85
  • Average Absolute Change% : 1.56
  • Profit Factor : 3.13
  • Outlier Adjusted Profit Factor : 2.70

Below the historical instances of Fed Day falling on the Opex Week since 2000.

Date $SPY Change $SPY Change %
19-Mar-14 ?? ??
18-Dec-13 3.03 1.71
18-Sep-13 1.96 1.16
19-Jun-13 -2.25 -1.38
13-Mar-12 2.38 1.80
13-Dec-11 -1.11 -0.94
15-Mar-11 -1.4 -1.15
14-Dec-10 0.1 0.09
16-Mar-10 0.85 0.80
16-Dec-09 0.16 0.16
18-Mar-09 1.57 2.23
16-Dec-08 3.68 4.70
16-Sep-08 1.79 1.68
18-Mar-08 4.68 4.15
18-Sep-07 3.8 2.95
12-Dec-06 -0.09 -0.07
13-Dec-05 0.72 0.68
14-Dec-04 0.35 0.35
16-Mar-04 0.49 0.54
16-Sep-03 1.21 1.46
12-Aug-03 0.73 0.91
18-Mar-03 0.41 0.59
13-Aug-02 -1.32 -1.83
17-Sep-01* -4.52 -5.23
15-May-01 0.45 0.46
18-Apr-01 3.71 3.97
15-Nov-00 0.33 0.30
16-May-00 1.09 0.97

* better forget that day

for apple to apple conversion , trading odds for the fed days which won’t fall in the Opex week , since Jan 2000.

  • Winners : 50
  • Losers : 41
  • % Winners : 55%
  • Average Change % : 0.21
  • Median Change % : 0.15
  • Maximum Gain % : 4.81
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -0.84
  • Payoff Ratio 1.28

coclusion -> we are looking at 57 bps of out-performance on Fed days that fall during the Opex week vs that won’t fall on Opex Weeks  on an average

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