revisiting that down first trading day of the October

revisiting that down first trading day of the October 

mid term election 2014

should /could/would have been revisited when $SPX was trading at 1870’ish , not after 4% rise , but any way , this is the year-end bet , and as SPX is trading below ~ 1946 ( 1st Oct 2014 , close )

1) Below the trading odds for longs , till the last trading day of the year , from the close of first trading day October , when it was down by more than 1% , data since 1950 

Date $SPX Loss % End Of Year Returns %
01-Oct-14 1946.16 -1.32 ?? ??
03-Oct-11 1099.23 -2.85 1257.6 14.41
01-Oct-09 1029.85 -2.58 1115.1 8.28
01-Oct-98 986.39 -3.01 1229.23 24.62
01-Oct-84 164.62 -0.89 167.24 1.59
01-Oct-79 108.56 -0.7 107.94 -0.57
01-Oct-76 104.17 -1.02 107.46 3.16
01-Oct-75 82.93 -1.12 90.19 8.75
01-Oct-69 92.52 -0.64 92.06 -0.50
03-Oct-66 74.9 -2.17 80.33 7.25
01-Oct-62 55.49 -1.39 63.1 13.71
01-Oct-56 44.7 -1.43 46.67 4.41
03-Oct-55 42.49 -2.7 45.48 7.04
avg 7.68
med 7.14
%wins 100
std 6.92
t-test 3.85

12/12 times $SPX closed higher than the close of first trading of October’s close , by the end of the year , with an average gains of 7.7% 

2) Below the trading odds for longs , till the last trading day of the year , from the close of first trading day October , when it was down , during the mid term presidential cycle , data since 1950 

Date $SPX Loss % End Of Year Returns %
01-Oct-14 1946.16 -1.32 ?? ??
02-Oct-06 1331.32 -0.34 1418.3 6.53
01-Oct-98 986.39 -3.01 1229.23 24.62
03-Oct-94 461.74 -0.21 459.27 -0.53
01-Oct-74 63.39 -0.24 68.56 8.16
03-Oct-66 74.9 -2.17 80.33 7.25
01-Oct-62 55.49 -1.39 63.1 13.71
01-Oct-58 49.98 -0.16 55.21 10.46
01-Oct-54 32.29 -0.06 35.98 11.43
avg 10.20
med 9.31
%wins 88
std 6.74
t-test 4.28

conclusion -> if any close below 1946 is presented , it is buy and hold till year end , for medium gains of ranging from 7 to 9 % !

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$SPY on first trading day of July

$SPY on first trading day of July 

Anatomy of $SPY on First Trading Day of the Month

1) below the trading odds for $SPY longs on the first day of the July ,since Feb 1993

  • Winners : 17
  • Losers : 4
  • % Winners : 81%
  • Average Change % : 0.43
  • Median Change % : 0.42
  • Maximum Gain % : 1.83
  • Maximum Loss % : -1.52
  • Average Gain %if Winner : 0.73
  • Average Loss % if Loser : -0.83
  • Payoff Ratio 0.88
  • Average Absolute Change% : 0.82
  • Profit Factor : 3.15
  • Outlier Adjusted Profit Factor : 2.79

2) besides , there is another data mined ( as the sample size is too low ) first day of the quarter pattern

trading strategy rules

  1. tomorrow the first trading day of the quarter &
  2. is Tuesday

below the trading strategy performance , since 1993 , for going long the last day the quarter , when the next quarter starting on Tuesday

  • Winners : 14
  • Losers : 1
  • % Winners : 93%
  • Average Change % : 1.05
  • Median Change % : 0.76
  • Maximum Gain % : 4.06
  • Maximum Loss % : -1.84
  • Average Gain %if Winner : 1.26
  • Average Loss % if Loser : -1.84
  • Payoff Ratio 0.68
  • Average Absolute Change% : 1.77
  • Profit Factor : 10.92
  • Outlier Adjusted Profit Factor : 8.27

1) below the historical instance of July 1st Day returns , since 1993

Date $SPY Change Change%
01-Jul-14 ?? ?? ??
01-Jul-13 158.25 0.92 0.58
02-Jul-12 130.95 0.39 0.3
01-Jul-11 125.79 1.83 1.48
01-Jul-10 94.63 -0.42 -0.44
01-Jul-09 83.42 0.34 0.41
01-Jul-08 112.95 0.35 0.31
02-Jul-07 130.91 1.18 0.91
03-Jul-06 108.23 0.44 0.41
01-Jul-05 99.43 0.29 0.29
01-Jul-04 92.11 -1.29 -1.38
01-Jul-03 79.1 0.72 0.92
01-Jul-02 76.59 -1.52 -1.95
02-Jul-01 96.66 1.19 1.25
03-Jul-00 113.42 1.54 1.38
01-Jul-99 105.22 0.78 0.75
01-Jul-98 86.32 0.99 1.16
01-Jul-97 66.36 0.76 1.16
01-Jul-96 49.39 0.42 0.86
03-Jul-95 39.01 0.14 0.36
01-Jul-94 31.04 0.06 0.19
01-Jul-93 30.52 -0.08 -0.26

2) below the $SPY returns on the first day of the new quarter , which falls on Tuesday , since 1993

Date $SPY Change Change%
01-Jul-14 ?? ?? ??
01-Apr-14 187.35 1.23 0.66
01-Oct-13 166.89 1.31 0.79
03-Jan-12 121.15 1.9 1.59
01-Jul-08 112.95 0.35 0.31
01-Apr-08 119.59 4.06 3.51
03-Jan-06 106.4 1.84 1.76
01-Jul-03 79.1 0.72 0.92
01-Apr-03 68.83 1.04 1.53
01-Oct-02 67.96 3.11 4.8
02-Jan-01 99.75 -1.84 -1.81
01-Jul-97 66.36 0.76 1.16
01-Apr-97 56.13 0.36 0.65
01-Oct-96 50.61 0.27 0.54
02-Jan-96 44.91 0.48 1.08
03-Jan-95 32.34 0.15 0.47

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Anatomy of $SPY on First Trading Day of the Month : e-book

Anatomy of $SPY on First Trading Day of the Month : e-book

Anatomy of $SPY on First Trading Day of the Month

 

Anatomy of $SPY on First Trading Day of the Month : e-book Table of Contents

  • Disclaimer…………….4
  • Feedback…………….4
  • Data Sources And Data Normalization…………….5
  • Introduction To Backtesting Metrics Used In This Book…………….6
  • Introduction…………….11
  • First Trading Day Of The Month…………….12
  • Previous Trading Day – Down Vs. Up…………….13
  • Previous Trading Day – Gain Vs. Loss (%)…………….15
  • Moving Averages…………….19
  • N Day High / Low…………….27
  • Volume…………….31
  • Narrow Range And Wide Range…………….35
  • Previous Month Returns…………….39
  • Seasonality – Day Of The Week…………….41
  • Seasonality – Month…………….46
  • Seasonality – By Quarter…………….47
  • Start Of The Quarter…………….51
  • 67% Win Rate Collection…………….54
  • Self – Promo’S/ Coupon Codes…………….55
  • Sayonara…………….59
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$SPY on the first trading day of a new quarter

$SPY on the first trading day of a new quarter

Overnight Gap

Below the trading odds for Longs , with overnight holding ( i’e going long at the last trading day of the Quarter and exiting at open on the first trading of the new quarter ) , since 2000.

  • Winners : 38
  • Losers : 17
  • % Winners : 69%
  • Average Change % : 0.21
  • Median Change % : 0.22
  • Maximum Gain % : 1.86
  • Maximum Loss % : -2.51
  • Average Gain %if Winner : 0.53
  • Average Loss % if Loser : -0.50
  • Average Gain % / Average Loss % : 1.07
  • Average Absolute Change% : 0.52
  • Profit Factor : 2.77

Change from Open to Close , on the first trading day of the quarter, since 2000.

  • Winners : 30
  • Losers : 25
  • % Winners : 55%
  • Average Change % : 0.28
  • Median Change % : 0.07
  • Maximum Gain % : 4.00
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 1.14
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 1.41
  • Average Absolute Change% : 0.96
  • Profit Factor : 1.66

Change from Open to Close , if $SPY opens with a gap up, on the first trading day of the quarter, since 2000.

  • Winners : 21
  • Losers : 17
  • % Winners : 55%
  • Average Change % : 0.33
  • Median Change % : 0.07
  • Maximum Gain % : 4.00
  • Maximum Loss % : -2.42
  • Average Gain %if Winner : 1.18
  • Average Loss % if Loser : -0.81
  • Average Gain % / Average Loss % : 1.46
  • Average Absolute Change% : 0.97
  • Profit Factor : 1.84

Change from Open to Close , if $SPY opens with a gap down, on the first trading day of the quarter, since 2000.

  • Winners : 9
  • Losers : 8
  • % Winners : 53%
  • Average Change % : 0.17
  • Median Change % : 0.30
  • Maximum Gain % : 3.23
  • Maximum Loss % : -2.27
  • Average Gain %if Winner : 1.06
  • Average Loss % if Loser : -0.83
  • Average Gain % / Average Loss % : 1.29
  • Average Absolute Change% : 0.95
  • Profit Factor : 1.31

Full day change , on the first trading day of the quarter, since 2000.

ps: this trading strategy is  from the page 51 of  “{Free to download}Anatomy of $SPY on First Trading Day of the Month : e-book

  • Winners : 37
  • Losers : 18
  • % Winners : 67%
  • Average Change % : 0.50
  • Median Change % : 0.42
  • Maximum Gain % : 4.80
  • Maximum Loss % : -2.85
  • Average Gain %if Winner : 1.22
  • Average Loss % if Loser : -0.97
  • Average Gain % / Average Loss % : 1.26
  • Average Absolute Change% : 1.13
  • Profit Factor : 2.53

Below the table with the details of first trading day of the Quarter, since 2000.

$SPY on the first trading day of the Quarter since 2000
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$SPY historical performance on first trading day of July – bullish

$SPY historical performance on first trading day of July 

assuming one goes long on close of the last trading day of June and exits on the close of the first trading day of July

below the backtest performance summary of  “$SPY on first trading day of July  since 1993

$SPY on first trading day of July , backtest performance summary since 1993

below the table with July first trading day change, change% details , since 1993

Entry $SPY Close Exit $SPY Close Change Change%
28-Jun-13 160.42 01-Jul-13 ?? ?? ??
29-Jun-12 133.12 02-Jul-12 133.53 0.41 0.31
30-Jun-11 126.4 01-Jul-11 128.27 1.87 1.48
30-Jun-10 96.92 01-Jul-10 96.49 -0.43 -0.44
30-Jun-09 84.71 01-Jul-09 85.06 0.35 0.41
30-Jun-08 114.81 01-Jul-08 115.17 0.36 0.31
29-Jun-07 132.28 02-Jul-07 133.48 1.2 0.91
30-Jun-06 109.91 03-Jul-06 110.36 0.45 0.41
30-Jun-05 101.09 01-Jul-05 101.38 0.29 0.29
30-Jun-04 95.24 01-Jul-04 93.92 -1.32 -1.39
30-Jun-03 79.92 01-Jul-03 80.66 0.74 0.93
28-Jun-02 79.65 01-Jul-02 78.09 -1.56 -1.96
29-Jun-01 97.34 02-Jul-01 98.56 1.22 1.25
30-Jun-00 114.12 03-Jul-00 115.69 1.57 1.38
30-Jun-99 106.54 01-Jul-99 107.35 0.81 0.76
30-Jun-98 87.1 01-Jul-98 88.1 1 1.15
30-Jun-97 66.96 01-Jul-97 67.74 0.78 1.16
28-Jun-96 50.26 01-Jul-96 50.69 0.43 0.86
30-Jun-95 39.93 03-Jul-95 40.07 0.14 0.35
30-Jun-94 31.64 01-Jul-94 31.7 0.06 0.19
30-Jun-93 31.28 01-Jul-93 31.2 -0.08 -0.26

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