a bearish $GLD outside day pattern as on 15th Jul 2014

a bearish $GLD outside day pattern

$GLD Outside Day Patternsorry @zerohedge !

below the trading strategy rules ,

  • $GLD ( SPDR Gold ETF ) closed at 10 day lowest closing as of today
  • $GLD formed an outside day ( a lower low and higher high )

below the trading odds for the @zerohedge fan club ! , a.k.a $GLD bulls , for the next 1/2/3/4/5/10/20 trading days , data since jan 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 18 8 44.4 -0.94 -0.13 0.64 -2.20 0.29 -5.35 0.17 0.12
t+2 18 8 44.4 -0.86 -0.76 0.93 -2.28 0.41 -4.24 0.26 0.17
t+3 18 4 22.2 -1.64 -1.68 1.15 -2.44 0.47 -5.10 0.12 0.07
t+4 18 5 27.8 -1.72 -1.40 1.54 -2.98 0.52 -10.21 0.20 0.13
t+5 18 4 22.2 -2.52 -1.33 1.31 -3.62 0.36 -10.69 0.10 0.05
t+10 18 7 38.9 -0.81 -0.86 2.80 -3.11 0.90 -7.54 0.42 0.24
t+20 18 11 61.1 1.41 1.21 4.00 -2.66 1.51 -5.04 1.84 1.43
1st +’ve exit in 5 days 18 11 61.1 -1.32 0.33 0.71 -4.50 0.16 -10.69 0.22 0.17
1st -‘ve exit in 5 days 18 16 88.9 1.54 -1.67 -1.92 1.44 1.33 2.57 14.23 11.24

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

the 1st -‘ve exit in 5 days column is calculated with the assumption that , if shorting has an edge , and the positive returns favour bears ..

16/18 times $GLD closed lower than the entry price , at some point of time in the next 5 trading days , with an average loss of 1.54%

below the historical instances of $GLD forming an outside day and a 10 day lower closing , since Jan 2005

 

Date $GLD t+1% t+2% t+3% t+4% t+5%
15-Jul-14 124.53 ?? ?? ?? ?? ??
18-Dec-13 117.61 -2.37 -1.42 -1.73 -1.28 -0.74
27-Nov-13 119.46 1.04 -1.57 -1.26 0.42 -0.97
19-Jun-13 130.59 -5.35 -4.24 -5.1 -5.45 -9.43
14-May-13 137.81 -2.31 -2.7 -4.89 -1.95 -3.58
14-Feb-13 158.35 -1.64 -1.91 -4.36 -3.62 -3.4
13-Dec-11 158.45 -3.51 -3.86 -2.03 -2.26 -0.93
24-Jan-11 130.36 -0.2 0.61 -1.86 -0.06 -0.38
12-Mar-10 107.95 0.38 2.27 1.52 2.21 0.31
27-Jan-10 106.53 -0.05 -0.54 1.71 2.44 2.04
03-Apr-09 87.59 -2.65 -0.97 -1.12 -1.46 0.33
30-Mar-09 89.98 0.33 1.17 -1.31 -2.66 -5.23
04-Sep-08 78.39 0.75 0.6 -2.42 -5.32 -6.77
24-Apr-08 87.22 0.06 0.54 -1.62 -0.65 -3.7
17-Dec-07 78.13 1.43 1.42 0.69 2.52 2.57
08-Dec-06 62.05 0.84 0.76 0.69 0.11 -1.69
07-Jun-06 62.28 -2.2 -2.94 -3.61 -10.21 -10.69
24-Aug-05 43.59 0.32 0.05 -0.05 -1.33 -0.44
30-Jun-05 43.44 -1.7 -2.67 -2.74 -2.49 -2.72

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