next what ? -> when $SPY posts 10 or more higher lows

when $SPY posts 10 or more higher lows 

10 or higher lows on $SPY stock chart

 

ok we are not sure of the data feed that we received at the time of writing 🙂 , but anyway looks like $SPY posted 11 consecutive higher lows’s which triggers below trading strategies

1) $SPY posts 10 or more consecutive higher low’s in row

below the trading odds , for $SPY longs , for the next 1/2/3/4/5 trading days , data since Feb 1993 , minus today’s instance

Date $SPY t+1 % t+2% t+3% t+4% t+5% 1st +’ve %
29-Oct-14 198.11 ?? ?? ?? ?? ?? ??
20-May-13 162.09 0.15 -0.6 -0.88 -0.97 -0.38 0.15
17-May-13 162.1 -0.01 0.14 -0.6 -0.89 -0.97 0.14
16-May-13 160.55 0.97 0.96 1.11 0.36 0.07 0.97
15-May-13 161.31 -0.47 0.49 0.48 0.63 -0.12 0.49
15-Mar-13 151.32 -0.56 -0.79 -0.09 -0.95 -0.15 -0.15
30-Jan-13 145.08 -0.25 0.78 -0.36 0.65 0.72 0.78
27-Jul-09 88.45 -0.46 -0.71 0.33 0.46 2.13 0.33
24-Jul-09 88.19 0.29 -0.17 -0.42 0.62 0.76 0.29
15-Nov-04 97.07 -0.72 -0.13 0.01 -1.1 -0.64 0.01
12-Nov-04 96.83 0.25 -0.48 0.11 0.26 -0.86 0.25
11-Nov-04 96.07 0.79 1.04 0.31 0.91 1.05 0.79
10-Nov-04 95.35 0.76 1.55 1.8 1.07 1.67 0.76
9-Nov-04 95.27 0.08 0.84 1.64 1.89 1.15 0.08
8-Nov-04 95.46 -0.2 -0.12 0.64 1.44 1.69 0.64
30-Dec-03 89.61 0.09 0.04 1.13 1.23 1.57 0.09
29-Dec-03 89.59 0.02 0.11 0.07 1.15 1.25 0.02
26-Dec-03 88.42 1.32 1.35 1.44 1.39 2.49 1.32
24-Dec-03 88.35 0.08 1.4 1.43 1.52 1.47 0.08
8-Mar-02 91.33 0.22 0.15 -0.81 -0.95 0 0.22
29-Nov-96 55.5 0.04 -1.68 -1.41 -1.68 -2.25 0.04
27-Nov-96 55.29 0.38 0.42 -1.3 -1.03 -1.3 0.38
23-Jun-95 39.12 -1.2 -1.38 -0.87 -1.05 -1.1 -1.1
avg 0.07 0.15 0.17 0.23 0.38 0.30
med 0.08 0.13 0.09 0.54 0.40 0.24
vs all days since 1993 0.04 0.08 0.12 0.16 0.2 0.16
%wins 64 59 59 64 55 91

ps: t+1 to t+5 are the percentage changes , and the 1st +’ve is when the entry is set to current close and exit at the first higher close than the entry , with-in the next five trading days , else with a loss at the end of the fifth trading day.

2) $SPY posts 11 or more consecutive higher low’s in row

Date $SPY #Higher Lows t+1% t+2% t+3% t+4% t+5% 1st +’ve%
30-Oct-14 ~199.57 11.00 ?? ?? ?? ?? ?? ??
20-May-13 162.09 13 0.15 -0.6 -0.88 -0.97 -0.38 0.15
17-May-13 162.1 12 -0.01 0.14 -0.6 -0.89 -0.97 0.14
16-May-13 160.55 11 0.97 0.96 1.11 0.36 0.07 0.97
27-Jul-09 88.45 11 -0.46 -0.71 0.33 0.46 2.13 0.33
15-Nov-04 97.07 15 -0.72 -0.13 0.01 -1.1 -0.64 0.01
12-Nov-04 96.83 14 0.25 -0.48 0.11 0.26 -0.86 0.25
11-Nov-04 96.07 13 0.79 1.04 0.31 0.91 1.05 0.79
10-Nov-04 95.35 12 0.76 1.55 1.8 1.07 1.67 0.76
9-Nov-04 95.27 11 0.08 0.84 1.64 1.89 1.15 0.08
30-Dec-03 89.61 13 0.09 0.04 1.13 1.23 1.57 0.09
29-Dec-03 89.59 12 0.02 0.11 0.07 1.15 1.25 0.02
26-Dec-03 88.42 11 1.32 1.35 1.44 1.39 2.49 1.32
29-Nov-96 55.5 11 0.04 -1.68 -1.41 -1.68 -2.25 0.04
avg 0.25 0.19 0.39 0.31 0.48 0.38
med 0.09 0.11 0.31 0.46 1.05 0.15
vs all days since 1993 0.04 0.08 0.12 0.16 0.2 0.16
%wins 77 62 77 69 62 100

point is 13/13 times , $SPY posted a higher close than the current close over the next 5 trading days , at some point of time 

 

$SPY posts a lower low after 3 higher lows – a dip buy opportunity ?

$SPY posts a lower low after 3 higher lows

Below a dip buy trading strategy that triggered today at close ,

Here are the trading strategy rules that we employed

  • $SPY posts three higher lows , during the previous three trading days
  • During the current trading session , $SPY posts a lower low , and the low is below the low of previous three day’s low
  • go Long at close ( i.e as on 6th Aug 2013 close)
  • exit after five trading days at close ( i.e 13th Aug 2013)

Below the easy language code that can be used , to implement the above trading strategy.

Low[0]<Low[3] & Low[1]>Low[2]  & Low[2]>Low[3]  & Low[3]>Low[4]

OHLC table for the last five trading days can make things easier ,

Date Open High Low Close Comment
06-Aug-13 170.37 170.74 169.35 169.73 lower low & current low is below three days ago low
05-Aug-13 170.57 170.96 170.35 170.7 higher low
02-Aug-13 170.28 170.97 170.05 170.95 higher low
01-Aug-13 169.99 170.81 169.9 170.66 higher low
31-Jul-13 168.94 169.85 168.49 168.71

Below the backtest perfromance summary of “$SPY posts a  lower low after 3 higher lows” trading strategy performance , since 2000.

go long on $SPY trading strategy , when $SPY posts a lower low after three higher lows, backtest performance summary , since 2000

comments : not high win percentage rate trade ( at 64%) , but the median trade at 1.16% , for a five trading days period is worth looking at $SPY  longs , if any dip is provided in the new few sessions

Below the historical trade details , generated by “$SPY posts a  lower low after 3 higher lows” trading strategy , and the next five day’s change , change% details( for the users to replicate the trading strategy in their backtesting platforms )

Date Close Change after 5 Days Change % after 5 Days  Date Close Change after 5 Days Change % after 5 Days 
06-Aug-13 169.73 ?? ??
24-Jul-13 168.52 0.19 0.11 11-Apr-07 126.1 2.85 2.26
18-Mar-13 154.15 -0.02 -0.01 13-Mar-07 120.57 2.86 2.37
28-Nov-12 139.11 0.04 0.03 02-Oct-06 115.42 1.74 1.51
04-Apr-12 136.1 -1.04 -0.76 06-Sep-06 112.7 1.47 1.3
24-Jan-12 127.36 -0.13 -0.1 28-Mar-06 111.09 1.15 1.04
09-Nov-11 118.57 0.89 0.75 06-Mar-06 109.75 0.57 0.52
01-Jun-11 125.68 -3.29 -2.62 27-Dec-05 107.44 1.57 1.46
07-Apr-11 127.06 -1.68 -1.32 27-Oct-05 100.6 3.55 3.53
22-Feb-11 125.1 -0.86 -0.69 20-Jan-05 98.87 -0.06 -0.06
19-Jan-11 121.7 1.35 1.11 06-May-04 92.64 -1.51 -1.63
07-Jan-11 120.65 2.05 1.7 04-Feb-04 93.17 2.66 2.85
23-Feb-10 102.2 2.22 2.17 22-Sep-03 84.27 -1.33 -1.58
04-Feb-10 99.06 1.57 1.58 22-Aug-03 81.67 1.37 1.68
19-Nov-09 101.66 -0.23 -0.23 13-Dec-02 72.23 0.88 1.22
29-Dec-08 79.05 5.97 7.55 20-Mar-02 92.42 -0.53 -0.57
11-Dec-08 79.35 1.22 1.54 31-Dec-01 91.41 1.77 1.94
01-Dec-08 74.09 8.02 10.82 23-Jul-01 94.45 1.5 1.59
22-Oct-08 81.78 2.2 2.69 05-Jul-01 96.61 -0.39 -0.4
11-Dec-07 130.68 -1.79 -1.37 09-Mar-01 97.41 -6.35 -6.52
11-Oct-07 137.36 -1.57 -1.14 25-Oct-00 107.34 4.86 4.53
28-Aug-07 126.38 3.58 2.83 29-Jun-00 113.27 3.06 2.7
18-Jul-07 135.84 -2.52 -1.86 09-May-00 110.74 4.22 3.81

 

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S&P 500 ($SPX) 13 Consecutive Higher Lows, Bullish or Bearish?

$SPX after 13 Consecutive Higher Lows

this pattern of $SPX  making 10 or more consecutive higher lows ( interleaving instances ) suggest some more up-leg to the current rally, with 21/23 winners and with a pay off ratio ( avg win% / avg loss%) of more than 9 ..

here are the trading system rules we employed

  • $SPX makes 10 consecutive higher lows ( that is current session’s low is greater than previous trading session’s low , in other words the intraday trailing stop loss at prev lows never triggered for bulls for 10 or more days in row )

trading odds for going long at close and exit after 1 trading day 

  • Winners : 12
  • Losers : 14
  • % Winners : 46%
  • Average Change % : 0.12
  • Median Change % : -0.04
  • Maximum Gain % : 1.24
  • Maximum Loss % : -1.02
  • Average Gain %if Winner : 0.58
  • Average Loss % if Loser : -0.27
  • Average Gain % / Average Loss % : 2.11

trading odds for going long at close and exit after 5 trading days

  • Winners : 17
  • Losers : 6
  • % Winners : 74%
  • Average Change % : 0.82
  • Median Change % : 0.98
  • Maximum Gain % : 2.40
  • Maximum Loss % : -1.17
  • Average Gain %if Winner : 1.30
  • Average Loss % if Loser : -0.54
  • Average Gain % / Average Loss % : 2.39

trading odds for going long at close and exit after 10 trading days

  • Winners : 21
  • Losers : 2
  • % Winners : 91%
  • Average Change % : 1.43
  • Median Change % : 1.62
  • Maximum Gain % : 3.19
  • Maximum Loss % : -0.84
  • Average Gain %if Winner : 1.63
  • Average Loss % if Loser : -0.66
  • Average Gain % / Average Loss % : 2.48

trading odds for going long at close and exit after 20 trading days

  • Winners : 21
  • Losers : 2
  • % Winners : 91%
  • Average Change % : 2.54
  • Median Change % : 2.21
  • Maximum Gain % : 5.61
  • Maximum Loss % : -0.53
  • Average Gain %if Winner : 2.81
  • Average Loss % if Loser : -0.31
  • Average Gain % / Average Loss % : 9.03

Below the table with historical $SPX next day , 5 days, 10 days , 20 days change% when $SPX makes 10 or more consecutive higher lows 

$SPX 10 more consecutive higher lows streaks since 1990

talking about other mostly watched streaks …

Longest Dow Jones Winning Streaks For Each Weekday Ever

& Wood’s 12 Consecutive Closes Above the Upper Bollinger Band

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