$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

$SPY , $QQQ , $DIA , $IWM from 2nd Friday of August

Four_seasons

 

1) $SPY trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 22 16 72.7 0.42 0.41 0.79 -0.57 1.38 -2.46 2.95 2.14
t+2 22 13 59.1 0.38 0.42 1.19 -0.79 1.51 -2.55 1.63 1.36
t+3 22 15 68.2 0.51 0.69 1.23 -1.01 1.21 -2.53 1.72 1.79
t+4 22 14 63.6 0.40 0.24 1.31 -1.18 1.10 -3.05 1.27 1.24
t+5 22 15 68.2 0.39 0.95 1.50 -1.98 0.76 -4.63 1.20 0.93
t+10 22 15 68.2 1.05 1.30 2.12 -1.23 1.72 -2.59 2.59 2.66
t+20 22 16 72.7 1.20 1.25 2.59 -2.51 1.04 -7.75 2.11 1.89
1st +’ve exit in 5 days 22 22 100.0 0.73 0.64 0.73 INF INF NA NA 5.97

2) $QQQ trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 16 15 93.8 0.64 0.67 0.87 -2.90 0.30 -2.90 4.38 2.36
t+2 16 12 75.0 0.65 0.80 1.42 -1.68 0.85 -3.13 2.99 1.61
t+3 16 12 75.0 1.06 0.67 2.00 -1.78 1.13 -2.93 2.80 1.86
t+4 16 10 62.5 0.96 1.03 2.91 -2.30 1.26 -4.89 1.37 1.24
t+5 16 11 68.8 1.06 1.73 3.10 -3.45 0.90 -6.61 1.45 1.15
t+10 16 12 75.0 2.68 2.09 4.12 -1.65 2.49 -2.43 6.41 3.12
t+20 16 13 81.3 2.53 2.23 5.02 -8.25 0.61 -15.34 2.49 1.50
1st +’ve exit in 5 days 16 16 100.0 0.84 0.67 0.84 INF INF NA NA 5.70

3) $DIA trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 17 11 64.7 0.32 0.18 0.77 -0.50 1.52 -1.93 2.08 1.51
t+2 17 11 64.7 0.30 0.21 1.05 -1.07 0.98 -3.03 1.33 0.90
t+3 17 8 47.1 0.39 -0.10 1.57 -0.65 2.42 -2.34 1.41 1.20
t+4 17 10 58.8 0.19 0.41 1.09 -1.10 0.99 -2.42 0.83 0.57
t+5 17 11 64.7 0.27 0.27 1.27 -1.57 0.81 -3.97 0.91 0.65
t+10 17 11 64.7 0.57 1.12 1.79 -1.67 1.07 -3.97 1.46 1.17
t+20 17 10 58.8 0.31 0.68 2.61 -2.98 0.88 -7.36 1.08 0.38
1st +’ve exit in 5 days 17 17 100.0 0.67 0.58 0.67 INF INF NA NA 5.29

4) $IWM trading odds for longs , from the close of 2nd Friday of August , since IPO

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 12 80.0 0.72 0.85 1.20 -1.17 1.02 -2.82 3.45 2.21
t+2 15 9 60.0 0.48 0.39 1.67 -1.32 1.27 -2.61 1.60 1.06
t+3 15 11 73.3 1.11 0.96 1.95 -1.20 1.62 -3.66 2.87 2.12
t+4 15 11 73.3 0.86 0.98 2.02 -2.33 0.87 -4.79 1.40 1.39
t+5 15 12 80.0 1.22 1.00 2.30 -3.12 0.74 -6.46 1.71 1.62
t+10 15 12 80.0 2.07 2.01 2.86 -1.12 2.55 -1.56 6.25 3.43
t+20 15 10 66.7 3.19 3.82 6.02 -2.48 2.43 -7.14 4.22 2.41
1st +’ve exit in 5 days 15 15 100.0 1.07 0.85 1.07 INF INF NA NA 5.88

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$IWM from Russel Re-balance Day – Sorry There is No Edge

$IWM from Russel Re-balance Day – No Edge

rebalancebelow the trading odds for $IWM for a 1/2/3/4/5/10/20 trading day holding period from the last Friday of the June ( annual Russel re-balancing date ) , data since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 8 53.3 0.12 0.26 1.02 -0.91 1.12 -2.26 1.51 0.40
t+2 15 9 60.0 -0.06 0.37 1.40 -2.26 0.62 -4.99 1.18 -0.11
t+3 15 10 66.7 -0.02 1.25 1.93 -3.93 0.49 -6.12 1.06 -0.03
t+4 15 8 53.3 -0.36 1.22 2.30 -3.41 0.67 -6.11 0.82 -0.44
t+5 15 7 46.7 -0.42 -0.10 3.08 -3.48 0.88 -7.14 0.68 -0.43
t+10 15 6 40.0 -0.39 -1.86 5.58 -4.37 1.28 -10.05 0.66 -0.28
t+20 15 7 46.7 -0.45 -0.64 5.17 -5.37 0.96 -12.24 0.63 -0.29
1st +’ve exit in 5 days 15 11 73.3 -0.81 0.63 0.95 -5.65 0.17 -7.14 0.46 -1.06
1st -‘ve exit in 5 days 15 9 60.0 -0.70 -0.21 -0.78 2.90 0.27 5.19 0.19 -1.30

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

conclusion : we don’t see any major edge to go long or short from the close of Russel  re-balancing day ,

below the historical returns of $IWM from the  Russel  re-balancing day ,  since Y2K

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20%
27-Jun-14 116.77 0.40 1.42 1.03 1.64 -0.10 -1.86 -4.12
28-Jun-13 94.44 1.63 1.56 1.76 3.20 3.62 7.25 7.05
29-Jun-12 76.28 1.16 2.48 2.36 1.22 0.83 -0.14 -0.64
24-Jun-11 75.14 0.78 2.34 2.83 3.58 5.19 4.54 4.22
25-Jun-10 60.00 -0.57 -4.33 -5.43 -6.11 -7.14 -3.40 3.17
26-Jun-09 46.98 0.00 -0.29 1.25 -2.24 -3.10 -3.51 7.91
27-Jun-08 62.88 -0.98 -0.90 -3.71 -4.23 -5.44 -4.77 0.01
29-Jun-07 74.21 1.29 1.77 1.94 2.29 2.20 1.91 -5.96
30-Jun-06 63.49 1.25 -0.22 -0.25 -1.73 -1.71 -5.98 -2.86
24-Jun-05 54.48 0.26 1.82 2.62 2.40 2.85 7.35 7.51
25-Jun-04 50.43 -0.21 0.63 1.19 -0.65 -0.34 -3.95 -8.89
27-Jun-03 38.09 -0.31 0.37 2.88 2.00 4.12 6.99 6.30
28-Jun-02 38.26 -2.04 -4.99 -6.12 -3.01 -5.02 -10.05 -12.24
29-Jun-01 42.56 -2.26 -2.85 -4.12 -5.89 -5.00 -5.64 -5.45
30-Jun-00 42.62 1.41 0.26 1.44 2.07 2.74 5.46 -2.77

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Tax Day Rally Trading odds for $SPY $QQQ $IWM $XLU $XLF $XLE $XLI $IYR $XLP $XLK

Tax Day Rally Trading odds 

Tax Day Cartoon

 

below the trading odds for various ETF’s with high volume , from the close of the Tax day ( i’e 15th Apr 2015 close , in this year’s close) till next 1/2/3/4/5 trading days , since the respective ETF’s inception

1) $SPY trading odds from Tax day’s close  (SPDR S&P 500 ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 22 14 63.6 0.51 0.44 1.28 -0.83 1.54 -1.71 3.39 2.82 1.26 1.91
t+2 22 14 63.6 0.72 0.44 1.58 -0.77 2.04 -2.38 3.97 3.10 1.63 2.09
t+3 22 11 50.0 0.68 -0.01 2.11 -0.75 2.83 -2.13 3.54 2.65 1.95 1.64
t+4 22 17 77.3 1.10 0.69 1.63 -0.73 2.25 -1.64 8.25 6.70 1.61 3.20
t+5 22 18 81.8 1.42 1.23 1.99 -1.14 1.75 -2.21 10.81 9.05 1.72 3.87
t+10 22 17 77.3 1.61 1.58 2.64 -1.88 1.41 -3.36 6.18 5.18 2.48 3.05
t+20 22 16 72.7 2.10 2.50 3.87 -2.62 1.48 -4.37 3.67 3.14 3.66 2.69
1st +’ve exit in 5 days 22 19 86.4 0.85 0.91 1.18 -1.24 0.96 -2.21 8.57 7.36 1.16 3.45

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

1st + ‘ve exit in 5 days assumes , one goes long at current close ( 15th Apr 2015 close) and exits at higher close than the entry in the next 5 trading days , otherwise exit with a loss at the end of the 5th trading day .. ( 22nd Apr 2015)

2) $QQQ trading odds from Tax day’s close ( PowerShares QQQ Trust, Ser 1 )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 10 62.5 0.93 0.97 1.99 -0.85 2.36 -2.91 3.93 3.03 1.75 2.12
t+2 16 10 62.5 1.33 1.21 3.26 -1.88 1.74 -7.47 2.10 1.29 3.98 1.34
t+3 16 8 50.0 1.50 0.22 4.78 -1.79 2.67 -5.36 1.91 1.01 5.45 1.10
t+4 16 10 62.5 2.19 0.86 4.50 -1.66 2.71 -5.44 2.54 1.49 5.42 1.62
t+5 16 14 87.5 2.19 1.20 2.77 -1.85 1.50 -3.08 7.50 5.42 3.27 2.68
t+10 16 12 75.0 2.15 1.20 3.71 -2.53 1.47 -7.90 5.85 4.19 4.64 1.85
t+20 16 11 68.8 1.87 2.00 5.03 -5.07 0.99 -8.97 2.28 1.84 5.73 1.31
1st +’ve exit in 5 days 16 15 93.8 1.43 1.64 1.73 -3.08 0.56 -3.08 5.88 4.78 1.57 3.64

 

3) $IWM trading odds from Tax day’s close (iShares Russell 2000)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.97 0.92 1.73 -0.93 1.85 -1.34 4.52 3.63 1.50 2.42
t+2 14 10 71.4 1.44 1.61 2.43 -1.06 2.30 -1.83 4.42 3.65 1.90 2.82
t+3 14 9 64.3 1.18 0.92 2.29 -0.82 2.80 -1.52 5.04 4.04 2.02 2.19
t+4 14 12 85.7 1.80 2.22 2.28 -1.07 2.13 -2.13 9.82 7.75 1.73 3.89
t+5 14 11 78.6 1.61 1.92 2.19 -0.55 3.99 -1.37 12.11 9.72 1.38 4.35
t+10 14 10 71.4 2.04 1.41 3.45 -1.49 2.32 -2.11 5.93 4.86 3.08 2.48
t+20 14 6 42.9 1.20 -0.75 5.99 -2.39 2.51 -5.91 1.50 0.97 4.86 0.93
1st +’ve exit in 5 days 14 13 92.9 1.19 0.92 1.39 -1.37 1.01 -1.37 9.93 8.04 1.28 3.47

 

4) $XLU  trading odds from Tax day’s close (Utilities Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.79 0.71 1.09 -0.50 2.20 -1.17 9.25 7.50 0.97 3.27
t+2 16 12 75.0 0.83 0.58 1.30 -0.58 2.26 -1.05 5.17 4.11 1.15 2.88
t+3 16 13 81.3 1.05 0.99 1.50 -0.87 1.71 -1.40 7.08 5.77 1.30 3.24
t+4 16 12 75.0 1.53 1.74 2.23 -0.54 4.10 -0.84 11.30 9.48 1.71 3.58
t+5 16 13 81.3 1.85 1.84 2.46 -0.79 3.13 -1.29 12.18 10.11 2.17 3.42
t+10 16 14 87.5 2.18 2.36 2.72 -1.63 1.67 -2.74 17.08 14.32 2.11 4.11
t+20 16 11 68.8 2.24 2.54 4.01 -1.67 2.40 -4.28 5.75 4.48 3.27 2.74
1st +’ve exit in 5 days 16 16 100.0 0.94 0.71 0.94 INF INF 0.04 NA NA 0.79 4.76

5) $XLF trading odds from Tax day’s close (Financial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.75 0.96 1.52 -1.56 0.98 -3.64 3.66 3.00 1.69 1.77
t+2 16 12 75.0 1.19 0.94 1.98 -1.18 1.68 -2.68 6.32 4.99 1.91 2.49
t+3 16 10 62.5 0.69 0.85 2.59 -2.47 1.05 -9.01 2.85 2.07 3.49 0.79
t+4 16 11 68.8 1.38 1.41 2.72 -1.55 1.75 -2.45 5.34 4.29 2.58 2.15
t+5 16 12 75.0 1.46 1.28 2.66 -2.15 1.24 -5.77 6.18 4.45 3.26 1.79
t+10 16 13 81.3 1.95 2.64 2.90 -2.15 1.35 -2.51 6.14 4.79 2.57 3.04
t+20 16 11 68.8 1.88 2.77 4.36 -3.57 1.22 -7.14 3.07 2.55 4.39 1.72
1st +’ve exit in 5 days 16 14 87.5 1.04 0.98 1.39 -1.42 0.98 -1.47 9.14 7.58 1.29 3.22

 

6) $XLE trading odds from Tax day’s close (Energy Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.93 0.90 1.54 -0.91 1.70 -1.69 5.65 4.07 1.39 2.66
t+2 16 11 68.8 1.59 1.89 2.74 -0.93 2.96 -1.75 4.77 3.90 2.05 3.12
t+3 16 11 68.8 1.22 1.32 2.44 -1.44 1.69 -3.28 5.02 3.71 2.26 2.17
t+4 16 11 68.8 1.85 1.59 3.13 -0.98 3.20 -1.81 8.52 6.25 2.53 2.92
t+5 16 14 87.5 2.25 2.48 2.75 -1.27 2.17 -2.41 17.10 12.96 2.26 3.98
t+10 16 13 81.3 2.71 2.13 3.49 -0.70 4.99 -1.89 37.83 32.02 2.70 4.00
t+20 16 10 62.5 2.53 3.45 6.24 -3.65 1.71 -6.10 2.22 1.78 5.51 1.83
1st +’ve exit in 5 days 16 16 100.0 1.22 0.90 1.22 INF INF NA NA NA 1.01 4.82

7) $XLI trading odds from Tax day’s close ( Industrial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.90 0.87 1.37 -1.14 1.20 -1.63 5.81 4.79 1.32 2.72
t+2 16 13 81.3 1.24 0.91 1.81 -1.24 1.46 -1.83 5.22 4.22 1.81 2.74
t+3 16 9 56.3 1.15 0.50 2.60 -0.71 3.64 -1.22 5.36 4.24 2.12 2.17
t+4 16 11 68.8 1.66 1.71 2.64 -0.49 5.42 -1.81 9.89 8.22 1.86 3.58
t+5 16 13 81.3 2.21 2.40 2.92 -0.83 3.50 -1.83 16.24 13.74 2.10 4.22
t+10 16 14 87.5 2.73 2.94 3.69 -4.03 0.92 -7.09 8.12 7.09 3.27 3.34
t+20 16 12 75.0 2.92 4.33 5.15 -3.76 1.37 -5.28 4.03 3.44 4.47 2.62
1st +’ve exit in 5 days 16 15 93.8 1.15 0.90 1.26 -0.52 2.43 -0.52 29.17 24.33 1.00 4.60

8) $IYR trading odds from Tax day’s close ( iShares US Real Estate  )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.80 0.50 1.58 -1.15 1.37 -2.09 3.67 2.50 1.78 1.68
t+2 14 10 71.4 1.11 1.23 2.19 -1.61 1.36 -2.91 3.29 2.34 2.28 1.82
t+3 14 9 64.3 0.44 0.60 1.95 -2.27 0.86 -6.13 2.57 1.75 2.71 0.61
t+4 14 11 78.6 1.35 1.59 2.21 -1.80 1.23 -2.99 6.52 5.29 1.97 2.56
t+5 14 11 78.6 1.19 1.00 2.04 -1.92 1.06 -4.12 6.97 5.51 2.15 2.07
t+10 14 11 78.6 2.34 3.19 3.94 -3.53 1.12 -5.38 4.96 4.15 3.65 2.40
t+20 14 11 78.6 1.73 3.05 3.48 -4.69 0.74 -5.66 3.35 2.74 3.65 1.77
1st +’ve exit in 5 days 14 13 92.9 1.04 0.75 1.44 -4.12 0.35 -4.12 7.89 5.82 1.92 2.03

9) $XLP trading odds from Tax day’s close ( Consumer Staples Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 0.41 0.59 0.99 -0.86 1.15 -2.90 3.69 2.69 1.15 1.44
t+2 16 9 56.3 0.26 0.71 1.16 -0.90 1.28 -3.80 2.04 1.68 1.34 0.77
t+3 16 12 75.0 0.20 0.58 0.73 -1.40 0.52 -1.95 2.27 1.81 1.07 0.74
t+4 16 12 75.0 0.79 0.49 1.16 -0.34 3.40 -0.95 8.78 6.35 1.21 2.60
t+5 16 11 68.8 0.77 0.38 1.39 -0.61 2.27 -1.07 5.24 3.78 1.35 2.26
t+10 16 10 62.5 0.86 0.79 1.94 -0.94 2.06 -2.34 4.60 3.64 1.64 2.09
t+20 16 10 62.5 1.44 0.53 2.93 -1.06 2.77 -2.02 4.96 3.99 2.49 2.30
1st +’ve exit in 5 days 16 14 87.5 0.69 0.66 0.89 -0.71 1.26 -1.07 12.58 9.63 0.76 3.66

10) $XLK trading odds from Tax day’s close (Technology Select Sector SPDR ETF )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 1.10 0.85 2.14 -1.19 1.80 -2.70 3.82 2.22 2.20 2.00
t+2 16 11 68.8 1.39 1.65 3.06 -2.28 1.34 -7.41 2.10 1.43 3.59 1.55
t+3 16 10 62.5 1.61 0.84 3.80 -2.04 1.86 -5.06 2.48 1.34 4.78 1.34
t+4 16 10 62.5 1.94 1.05 4.11 -1.66 2.48 -3.00 2.65 1.53 4.44 1.75
t+5 16 13 81.3 2.21 1.36 3.05 -1.43 2.13 -3.18 7.28 5.57 3.03 2.91
t+10 16 10 62.5 2.24 2.01 4.59 -1.69 2.72 -5.90 5.82 4.46 4.00 2.24
t+20 16 11 68.8 1.98 2.43 4.96 -4.56 1.09 -5.78 2.41 1.97 5.34 1.49
1st +’ve exit in 5 days 16 14 87.5 1.42 1.01 1.86 -1.66 1.12 -3.18 7.24 4.54 2.06 2.76

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Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish $IWM seasonal pattern as on 7th Apr 2015

Bearish Seasonal Pattern

Below the trading odds for $IWM for going long on the 4th trading of April , ( i.e 7th Apr 2015 close) and exiting after 1/2/3/4/5/10/20 trading days , since 2001( since $IWM IPO )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 4 28.6 -0.78 -0.18 0.34 -1.23 0.28 -3.55 0.10 0.04 1.21 -2.41
t+2 14 5 35.7 -0.66 -0.47 0.57 -1.34 0.42 -3.96 0.21 0.14 1.28 -1.93
t+3 14 7 50.0 -0.30 -0.03 1.20 -1.81 0.67 -3.44 0.49 0.30 1.90 -0.59
t+4 14 6 42.9 -0.16 -0.55 1.92 -1.73 1.11 -3.80 0.60 0.41 2.13 -0.29
t+5 14 6 42.9 -0.73 -1.56 1.84 -2.65 0.69 -3.66 0.43 0.29 2.38 -1.15
t+10 14 8 57.1 0.67 0.66 2.98 -2.41 1.24 -5.09 1.12 0.88 3.03 0.83
t+20 14 9 64.3 1.92 1.59 4.83 -3.32 1.46 -4.68 1.64 1.21 5.23 1.37
1st +’ve exit in 5 days 14 10 71.4 -0.13 0.44 0.99 -2.94 0.34 -3.66 0.59 0.40 2.03 -0.25
1st -‘ve exit in 5 days 14 14 100.0 1.01 -0.51 -1.01 NA NA NA NA INF 1.05 3.58

1st -‘ve exit in 5 days assumes , one goes short at current close and exits at lower close than the entry in the next 5 trading days , otherwise buy to cover with a loss at the end of the 5th trading day ..

14/14 times $IWM closed lower than the entry at some point of time in the next 5 trading days , with an average loss of 101 bps at the 1st -‘ve close ..

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

below the historical returns of $IWM from the close of  4th trading day of April 

Date $IWM t+1% t+2% t+3% t+4% t+5% t+10% t+20% 1st +’ve cls % 1st -‘ve cls%
07-Apr-15 * 125.35 ?? ?? ?? ?? ?? ?? ?? ?? ??
04-Apr-14 112.97 -1.46 -0.77 0.66 -2.20 -3.56 -0.90 -2.27 0.66 -1.46
04-Apr-13 89.48 -0.20 0.63 0.34 2.16 2.29 -2.54 1.49 0.63 -0.20
05-Apr-12 77.83 -1.64 -3.96 -2.60 -1.21 -2.51 -1.68 -3.06 -2.51 -1.64
06-Apr-11 80.26 -0.60 -1.64 -2.52 -3.80 -3.66 -1.82 -2.99 -3.66 -0.60
07-Apr-10 64.90 -0.11 0.49 0.91 1.14 3.30 3.82 0.03 0.49 -0.11
06-Apr-09 41.13 -3.55 -1.77 3.99 4.04 1.02 4.50 12.25 3.99 -3.55
04-Apr-08 64.17 -0.16 -0.26 -1.89 -0.86 -3.40 0.72 1.96 -3.40 -0.16
05-Apr-07 71.87 0.14 0.45 -0.18 0.50 1.14 2.32 2.96 0.14 -0.18
06-Apr-06 67.37 -1.60 -1.71 -3.44 -2.43 -2.20 0.59 1.69 -2.20 -1.60
06-Apr-05 53.60 0.39 -1.14 -1.62 -0.71 -2.48 -5.09 -3.58 0.39 -1.14
06-Apr-04 51.45 0.76 -0.14 0.12 -2.22 -2.51 -2.41 -4.68 0.76 -0.14
04-Apr-03 31.78 0.06 0.16 -0.41 -0.38 -0.91 3.15 9.60 0.06 -0.41
04-Apr-02 41.77 -0.14 1.10 0.74 2.68 1.03 3.76 3.14 1.10 -0.14
05-Apr-01 37.03 -2.81 -0.68 1.67 1.00 2.24 4.94 10.34 1.67 -2.81

* 125.35 – at the time of writing 

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$SPY , $IWM , $TLT, $SOCL behavior , when Janet Yellen is scheduled to talk

$SPY, $TLT, $IWM , $SOCL , when Janet Yellen is scheduled to talk 

Janet Yellen

Below $SPY , overnight gap %,  and Intra-day  %, and the day change % details , when Janet Yellen is scheduled to speak

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 188.42 189.75 187.62 188.47 1.15 0.03 1.18
18-Sep-14 200.42 200.91 200.16 200.88 0.3 0.23 0.53
17-Sep-14 199.84 200.75 198.82 199.82 0.15 -0.01 0.14
22-Aug-14 198.41 198.76 197.81 198.26 -0.08 -0.08 -0.16
2-Jul-14 196.13 196.56 196.04 196.31 0.01 0.09 0.1
18-Jun-14 193 194.53 192.58 194.42 0 0.73 0.74
21-May-14 186.32 187.44 186.29 187.35 0.29 0.55 0.84
15-May-14 186.91 186.95 184.73 185.64 -0.2 -0.68 -0.88
1-May-14 186.45 187.07 185.97 186.56 -0.05 0.06 0.01
16-Apr-14 183.73 184.39 182.91 184.38 0.69 0.36 1.05
15-Apr-14 181.6 182.6 179.81 182.47 0.21 0.48 0.69
31-Mar-14 184.91 185.54 183.77 185.25 0.63 0.18 0.82
19-Mar-14 185.1 185.35 182.92 184.09 0.01 -0.54 -0.53
avg 0.24 0.11 0.35
med 0.15 0.09 0.53
vs All Days Since Mar 2014 0.05 0 0.05
% wins 69 69 77

10/13 times $SPY closed higher on the days when Janet Yellen is scheduled to speak

below , overnight gap , intraday change % , and the day change %  , details for $IWM 

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 109.16 109.22 107.04 107.48 1.26 -1.54 -0.3
18-Sep-14 114.92 115.21 114.59 115.11 0.44 0.16 0.6
17-Sep-14 114.18 115.16 113.88 114.42 0.05 0.21 0.26
22-Aug-14 114.72 115.31 114.29 114.89 -0.14 0.15 0.01
2-Jul-14 119.23 119.63 118.56 118.77 0 -0.38 -0.39
18-Jun-14 116.14 117.04 115.74 116.99 -0.06 0.74 0.68
21-May-14 108.93 109.41 107.84 108.90 0.54 -0.03 0.51
15-May-14 108.36 108.50 106.74 108.17 -0.5 -0.17 -0.67
1-May-14 111.02 112.03 109.82 111.21 -0.21 0.17 -0.04
16-Apr-14 111.19 111.70 110.50 111.62 0.7 0.38 1.09
15-Apr-14 110.30 110.99 107.95 110.42 0.28 0.11 0.39
31-Mar-14 114.29 115.92 113.88 115.58 0.66 1.13 1.8
19-Mar-14 118.59 118.65 117.03 117.92 -0.08 -0.57 -0.65
avg 0.23 0.03 0.25
med 0.05 0.15 0.26
vs All Days Since Mar 2014 0.03 -0.03 -0.01
% wins 54 62 62

below , overnight gap , intraday change % , and the day change %  , details for $TLT

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 121.19 121.71 120.48 121.07 -0.46 -0.1 -0.56
18-Sep-14 112.90 113.20 112.57 112.88 0.34 -0.02 0.32
17-Sep-14 113.25 113.55 112.45 112.52 0.39 -0.64 -0.26
22-Aug-14 116.18 116.87 115.66 116.73 0.08 0.47 0.55
2-Jul-14 110.81 110.85 110.15 110.26 -0.58 -0.49 -1.07
18-Jun-14 110.69 111.64 110.45 111.28 0.23 0.54 0.77
21-May-14 110.82 111.00 110.47 110.86 -0.65 0.04 -0.61
15-May-14 112.36 112.98 112.18 112.44 0.73 0.07 0.8
1-May-14 109.49 110.68 109.45 110.62 0.04 1.03 1.07
16-Apr-14 108.79 109.62 108.74 109.62 -0.63 0.76 0.13
15-Apr-14 108.97 109.85 108.71 109.48 0.15 0.47 0.63
31-Mar-14 106.85 109.14 106.45 107.20 -0.58 0.33 -0.25
19-Mar-14 106.04 106.10 104.95 105.39 -0.17 -0.61 -0.78
avg -0.09 0.14 0.06
med 0.04 0.07 0.13
vs All Days Since Mar 2014 0.04 0.04 0.08
% wins 54 62 54

 

below , overnight gap , intraday change % , and the day change %  , details for $SOCL

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 18.79 18.80 18.49 18.56 2.29 -1.22 1.03
18-Sep-14 20.25 20.30 20.18 20.26 0.7 0.05 0.75
17-Sep-14 20.30 20.30 20.07 20.11 0.4 -0.94 -0.54
22-Aug-14 20.31 20.41 20.14 20.39 -0.05 0.39 0.34
2-Jul-14 19.83 20.10 19.76 19.84 0.25 0.05 0.3
18-Jun-14 19.12 19.29 18.93 19.18 0.68 0.31 1
21-May-14 17.22 17.46 17.18 17.38 0.06 0.93 0.99
15-May-14 17.23 17.23 16.75 17.01 0.94 -1.28 -0.35
1-May-14 17.38 17.92 17.38 17.61 1.16 1.32 2.5
16-Apr-14 18.54 18.59 18.08 18.50 2.71 -0.22 2.49
15-Apr-14 17.95 18.15 17.32 18.05 0.22 0.56 0.78
31-Mar-14 19.81 19.92 19.43 19.49 1.69 -1.62 0.05
19-Mar-14 21.46 21.46 20.95 21.11 -0.05 -1.63 -1.68
avg 0.85 -0.25 0.59
med 0.68 0.05 0.75
vs All Days Since Mar 2014 0.13 -0.22 -0.1
% wins 85 54 77

 

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$IWM posts the best day in a year next what ?

$IWM posts the best day in a year next what ?

$IWM best gainer in a year

 

with $IWM posting a one day gain of  2.85% , which is the highest one day percentage gainer in a year ( i.e 250 trading days ) , below the $IWM trading odds for the longs , for the next 1/2/3/4/5/10/20 trading days , data since  Jan 2002 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 6 40.0 -0.50 -0.24 1.43 -1.78 0.80 -4.88 0.56 0.27
t+2 15 8 53.3 -0.72 0.19 1.07 -2.76 0.39 -11.53 0.50 0.27
t+3 15 7 46.7 -0.21 -0.03 1.73 -1.91 0.91 -5.75 0.69 0.49
t+4 15 6 40.0 -0.61 -0.45 2.16 -2.46 0.88 -8.40 0.49 0.33
t+5 15 7 46.7 -0.45 -0.63 1.52 -2.16 0.70 -5.44 0.48 0.35
t+10 15 8 53.3 -2.01 0.13 2.13 -6.73 0.32 -21.27 0.38 0.28
t+20 15 7 46.7 -1.98 -0.63 4.38 -7.54 0.58 -25.03 0.44 0.34
1st +’ve exit in 5 days 14 11 78.6 0.48 0.70 1.29 -2.51 0.52 -4.02 1.75 1.18
1st -‘ve exit in 5 days 14 13 92.9 1.20 -1.09 -1.37 0.96 1.43 0.96 17.13 11.94

 

13/14 times $IWM closed lower than the entry at some point of time , over the next five trading days , after $IWM posts the biggest one day percentage gains , in a Year , as of current trading day .

Below the table with the $IWM returns , after $IWM posts its biggest percentage gainer in a year , over next 1/2/3/4/5/10 trading days , since Jan 2002

Date $IWM t% t+1% t+2% t+3% t+4% t+5% t+10% t+20% Max DD -t+10 % Max DD -t+20 %
28-Oct-14 114.17 2.85 ?? ?? ?? ?? ?? ?? ?? ?? ??
04-Mar-14 118.74 2.52 -0.06 -0.08 -0.11 -0.45 -1.48 -0.04 -1.38 -2.32 -4.38
02-Jan-13 84.84 2.94 -0.24 0.51 0.13 0.06 0.54 0.81 3.21 -0.24 -0.24
09-Aug-11 65.93 6.67 -4.88 -0.14 0.49 3.32 1.41 -1.82 2.00 -6.34 -6.34
10-May-10 64.52 5.61 0.67 3.77 2.76 0.77 0.96 -6.99 -10.34 -7.11 -10.34
13-Oct-08 52.04 8.64 -2.81 -11.53 -5.75 -8.40 -4.02 -21.27 -13.22 -21.27 -21.27
18-Sep-08 65.43 5.89 4.46 0.21 -1.12 -2.38 -1.88 -11.25 -25.03 -11.25 -30.23
18-Mar-08 61.69 4.61 -2.51 -0.84 3.02 3.36 2.50 4.44 4.80 -2.51 -2.51
11-Mar-08 61.01 4.34 -1.16 0.80 -1.74 -3.34 1.11 3.64 3.88 -3.34 -3.34
18-Sep-07 72.57 4.27 1.34 0.33 0.54 -0.23 -0.63 2.78 1.96 -0.63 -0.63
08-Aug-07 71.67 3.00 -2.30 -1.84 -2.37 -4.05 -5.44 0.13 -0.63 -5.44 -5.44
29-Jun-06 63.49 3.86 0.68 1.94 0.46 0.43 -1.06 -5.21 -2.21 -5.21 -6.32
15-Jun-06 62.07 3.42 -1.30 -3.24 -3.35 -1.66 -2.03 2.29 -3.04 -3.35 -3.35
18-Apr-06 68.25 2.80 0.72 0.19 -0.03 -0.82 -0.76 -0.54 -4.45 -1.89 -4.60
11-Dec-03 46.79 2.79 0.73 -1.62 -0.77 -0.77 0.75 2.35 7.86 -1.62 -1.62
24-Jul-02 32.29 5.90 -0.77 0.81 4.68 4.99 3.34 0.59 6.94 -4.00 -4.00
avg -0.50 -0.72 -0.21 -0.61 -0.45 -2.01 -1.98 -5.10 -6.97
med -0.24 0.19 -0.03 -0.45 -0.63 0.13 -0.63 -3.35 -4.38
% wins 40.00 53.33 46.67 40.00 46.67 53.33 46.67 0.00 0.00

Max DD – t+10 % , is the Maximum Drawdown calculated from the current close to the next 10 trading days’s lowest close ( don’t ask me when , and on how many trading day’s after ,  it is going to come , as only Chuck Norris know it ) , but for the longs it is good to know figure

as can be seen a median maximum draw down of -3.3% over the next 10 days , and -4.3% over the next 20 trading days , did occur in the past , after $IWM posted it’s biggest percentage rally in year

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Extending Doc Brett’s post of When Small Cap Stocks Underperform

When Small Cap Stocks Underperform

'That's insubordination! How dare you type in all caps to me!'

 

extending the post by @steenbab (needless to say a must #FF), When Small Cap Stocks Underperform

below the trading strategy rules ,

$IWM ( dividend adjusted returns ) returns over the last 50 days are negative ( that is ROC(50) <0) as on current trading day, while $SPY 50 day returns are positive , as on current trading day

for ex: as on 26th Mar 2014 , the $IWM 50 day returns were , -0.32% while SPY returns were 1.15% .

below the $IWM returns going forward for next 1/2/3/4/5/10/20 trading days , when $IWM ROC(50) is negative while $SPY ROC(50) is positive , data since Jan 2001 ( since $IWM IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 330 204 61.8 0.45 0.46 1.38 -1.06 1.30 -5.16
t+2 329 216 65.7 0.90 0.90 2.00 -1.20 1.66 -4.38
t+3 329 239 72.6 1.27 1.19 2.29 -1.43 1.59 -6.40
t+4 329 240 72.9 1.63 1.65 2.72 -1.30 2.09 -6.35
t+5 329 251 76.3 1.82 1.77 2.87 -1.56 1.85 -9.62
t+10 329 283 86.0 3.17 3.14 4.02 -2.06 1.95 -6.19
t+20 329 266 80.9 3.63 4.27 5.70 -5.12 1.11 -21.84
1st +’ve exit in 5 days 329 298 90.6 1.00 0.93 1.30 -1.97 0.66 -9.62

as there are too many trades generated with quite a few interleaving trade samples , but still if you can pay attention to the rows like t+10/t+20 etc ..

lets do with 20-day non- interleaving trade sample size , that is when $IWM ROC(50) is negative while $SPY ROC(50) is positive , for the first time in 20 trading days , data since Jan 2001 ( since $IWM IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 33 17 51.5 0.03 0.03 1.43 -1.45 0.99 -5.16
t+2 32 19 59.4 0.40 0.63 1.64 -1.41 1.16 -3.22
t+3 32 24 75.0 0.81 1.38 2.06 -2.94 0.70 -5.83
t+4 32 23 71.9 1.68 1.74 3.02 -1.75 1.72 -6.35
t+5 32 21 65.6 1.55 1.73 3.31 -1.82 1.82 -5.72
t+10 32 30 93.8 4.24 3.97 4.71 -2.70 1.74 -4.63
t+20 32 28 87.5 4.84 4.29 6.19 -4.60 1.35 -7.15

lets do with 50-day non interleaving trade sample size to sound all fifties , that is when when $IWM ROC(50) is negative while $SPY ROC(50) is positive , for the first time in 50 trading days

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 21 9 42.9 -0.52 -0.21 0.97 -1.64 0.59 -5.16
t+2 20 11 55 0.06 0.23 1.29 -1.45 0.89 -3.22
t+3 20 15 75 0.69 1.42 2.01 -3.27 0.61 -5.83
t+4 20 15 75 1.52 1.74 2.81 -2.37 1.19 -6.35
t+5 20 14 70 1.71 2.09 3.36 -2.15 1.56 -5.72
t+10 20 18 90 4.15 3.97 4.91 -2.7 1.82 -4.63
t+20 20 18 90 4.56 4.13 5.75 -6.13 0.94 -7.15
t+50 20 19 95 8.28 8.3 9.45 -13.88 0.68 -13.88

I’ll leave the above exercise to be done on $SPY , to the readers , as a weekend exercise and post your results below in the comments section 🙂 ,

in return I’ll send a 80% discount coupon for  Anatomy of $SPY on First Trading Day of the Month  , 

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$SPY Closes Down the day before FOMC meeting – bit bullish

$SPY Closes Down the day before FOMC meeting

firstly the trading odds for $SPY longs on the FOMC meeting day , since Jan 2000

  • Winners : 70
  • Losers : 46
  • % Winners : 60%
  • Average Change % : 0.34
  • Median Change % : 0.30
  • Maximum Gain % : 4.80
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 1.19
  • Average Loss % if Loser : -0.96
  • Payoff Ratio 1.24
  • Average Absolute Change% : 0.68
  • Profit Factor : 1.84
  • Outlier Adjusted Profit Factor : 1.74

Trading odds for $SPY longs if $SPY closes down the day before Fed day , since Jan 2000

  • Winners : 31
  • Losers : 21
  • % Winners : 60%
  • Average Change % : 0.52
  • Median Change % : 0.36
  • Maximum Gain % : 4.80
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.49
  • Average Loss % if Loser : -0.91
  • Payoff Ratio 1.64
  • Profit Factor : 2.47
  • Outlier Adjusted Profit Factor : 2.21

for some reason ( we are not aware off why ??) , the FOMC drift in $DIA is a bit low ( about 12 basis points lower than $SPY)

the trading odds for $DIA longs on the FOMC meeting day , since Jan 2000

  • Winners : 69
  • Losers : 47
  • % Winners : 59%
  • Average Change % : 0.22
  • Median Change % : 0.21
  • Maximum Gain % : 4.17
  • Maximum Loss % : -7.62
  • Average Gain %if Winner : 1.04
  • Average Loss % if Loser : -1.03
  • Payoff Ratio 1.02
  • Profit Factor : 1.57
  • Outlier Adjusted Profit Factor : 1.47

the trading odds for $QQQ longs on the FOMC meeting day , since Jan 2000

$QQQ outperforms $SPY by about 15 basis points 

  • Winners : 71
  • Losers : 45
  • % Winners : 61%
  • Average Change % : 0.49
  • Median Change % : 0.44
  • Maximum Gain % : 16.84
  • Maximum Loss % : -8.50
  • Average Gain %if Winner : 1.71
  • Average Loss % if Loser : -1.48
  • Payoff Ratio 1.16
  • Profit Factor : 1.87
  • Outlier Adjusted Profit Factor : 1.58

the trading odds for $IWM longs on the FOMC meeting day , since Jun 2000

$IWM outperforms $SPY by 10 basis points

  • Winners : 68
  • Losers : 45
  • % Winners : 60%
  • Average Change % : 0.44
  • Median Change % : 0.55
  • Maximum Gain % : 6.68
  • Maximum Loss % : -4.94
  • Average Gain %if Winner : 1.56
  • Average Loss % if Loser : -1.27
  • Payoff Ratio 1.24
  • Profit Factor : 1.69
  • Outlier Adjusted Profit Factor : 1.57

Below the Change, Change% details for $SPY on the Fed days since Jan 2000 , for your editable purposes

Fed Date Change Change % Prev Day Change % Fed Date Change Change % Prev Day Change %
18-Dec-13 ?? ?? -0.32 12-Dec-06 -0.09 -0.07 0.29
30-Oct-13 -0.88 -0.50 0.53 25-Oct-06 0.41 0.34 0.29
18-Sep-13 1.97 1.16 0.45 20-Sep-06 0.6 0.53 -0.25
31-Jul-13 0.12 0.07 0.00 08-Aug-06 -0.42 -0.38 -0.23
19-Jun-13 -2.27 -1.38 0.79 29-Jun-06 2.17 2.02 0.68
01-May-13 -1.39 -0.88 0.24 10-May-06 -0.06 -0.05 0.19
20-Mar-13 1.07 0.70 -0.23 28-Mar-06 -0.69 -0.62 -0.14
30-Jan-13 -0.58 -0.39 0.39 31-Jan-06 -0.8 -0.73 -0.08
12-Dec-12 0.07 0.05 0.68 13-Dec-05 0.73 0.68 0.10
24-Oct-12 -0.39 -0.28 -1.39 01-Nov-05 0.3 0.29 0.28
13-Sep-12 2.14 1.52 0.34 20-Sep-05 -0.88 -0.84 -0.33
01-Aug-12 -0.12 -0.09 -0.70 09-Aug-05 0.63 0.61 -0.19
20-Jun-12 -0.21 -0.16 0.97 30-Jun-05 -0.54 -0.53 -0.27
25-Apr-12 1.82 1.37 0.39 03-May-05 0.17 0.17 0.55
13-Mar-12 2.39 1.80 0.01 22-Mar-05 -1.01 -1.02 -0.37
25-Jan-12 1.06 0.84 -0.11 02-Feb-05 0.3 0.30 0.63
13-Dec-11 -1.11 -0.93 -1.47 14-Dec-04 0.35 0.35 0.87
02-Nov-11 1.91 1.63 -2.79 10-Nov-04 0.07 0.07 -0.20
21-Sep-11 -3.39 -2.94 -0.12 21-Sep-04 0.41 0.44 -0.61
09-Aug-11 4.98 4.65 -6.51 10-Aug-04 1.14 1.29 0.15
22-Jun-11 -0.74 -0.60 1.36 30-Jun-04 0.51 0.54 0.42
27-Apr-11 0.83 0.65 0.86 04-May-04 -0.07 -0.08 1.07
15-Mar-11 -1.41 -1.15 -0.61 16-Mar-04 0.48 0.53 -1.22
26-Jan-11 0.47 0.39 0.06 28-Jan-04 -1.08 -1.15 -1.02
14-Dec-10 0.1 0.09 0.06 09-Dec-03 -0.68 -0.77 0.68
03-Nov-10 0.45 0.40 0.79 28-Oct-03 1.15 1.36 0.05
21-Sep-10 -0.22 -0.21 1.53 16-Sep-03 1.21 1.45 -0.35
10-Aug-10 -0.57 -0.54 0.53 12-Aug-03 0.73 0.91 0.39
23-Jun-10 -0.32 -0.31 -1.65 25-Jun-03 -0.81 -1.01 0.10
28-Apr-10 0.84 0.76 -2.37 06-May-03 0.72 0.95 -0.20
16-Mar-10 0.85 0.79 0.03 18-Mar-03 0.41 0.58 3.15
27-Jan-10 0.48 0.47 -0.41 29-Jan-03 0.53 0.76 0.74
16-Dec-09 0.15 0.15 -0.46 10-Dec-02 0.97 1.35 -2.76
04-Nov-09 0.25 0.26 0.31 06-Nov-02 0.96 1.30 0.78
23-Sep-09 -0.82 -0.83 0.58 24-Sep-02 -1.09 -1.62 -0.81
12-Aug-09 0.98 1.07 -1.24 13-Aug-02 -1.32 -1.82 -0.74
24-Jun-09 0.7 0.85 0.09 26-Jun-02 0.13 0.17 -2.24
29-Apr-09 1.66 2.13 -0.32 07-May-02 -0.3 -0.36 -1.96
18-Mar-09 1.58 2.23 3.06 19-Mar-02 0.62 0.67 0.02
28-Jan-09 2.59 3.38 1.02 30-Jan-02 1.26 1.44 -3.15
16-Dec-08 3.71 4.71 -1.40 11-Dec-01 -0.19 -0.21 -1.87
29-Oct-08 -0.61 -0.72 11.69 06-Nov-01 1.37 1.56 1.30
08-Oct-08 -2.26 -2.52 -4.48 02-Oct-01 1.04 1.26 -0.16
16-Sep-08 1.79 1.67 -4.76 17-Sep-01 -4.55 -5.23 1.23
05-Aug-08 3.01 2.70 -0.93 21-Aug-01 -1.59 -1.71 0.92
25-Jun-08 0.55 0.47 -0.20 27-Jun-01 -0.05 -0.05 -0.15
30-Apr-08 -0.72 -0.58 -0.40 15-May-01 0.46 0.47 0.19
18-Mar-08 4.71 4.15 -1.01 18-Apr-01 3.73 3.97 1.41
30-Jan-08 -0.88 -0.73 0.49 20-Mar-01 -2.48 -2.68 2.03
22-Jan-08 -1.18 -1.01 -1.03 31-Jan-01 -0.61 -0.56 0.88
11-Dec-07 -3.67 -2.74 0.78 03-Jan-01 4.86 4.80 -1.81
31-Oct-07 1.4 1.04 -0.69 19-Dec-00 -2.12 -2.03 1.34
18-Sep-07 3.82 2.95 -0.54 15-Nov-00 0.34 0.31 2.63
07-Aug-07 1.36 1.06 1.68 03-Oct-00 -1.05 -0.93 0.15
28-Jun-07 -0.02 -0.02 1.43 22-Aug-00 -0.2 -0.17 0.54
09-May-07 0.35 0.27 -0.13 28-Jun-00 0.32 0.28 -0.73
21-Mar-07 2.03 1.65 0.55 16-May-00 1.1 0.97 1.72
31-Jan-07 0.83 0.67 0.52 21-Mar-00 2.34 2.05 -0.51
02-Feb-00 0.09 0.08 0.99

you might want to read various Fed day studies collection from Quantifiable edges 

& @Gambulator tells Day before FOMC announcement 2 VIX up closes 96% win triggered 

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$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on Employment Report

$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on Employment Report

New Job Statistics

image courtesy :http://www.cagle.com/members/news/unemployment-down/

With the Non Farm Payrolls (NFP) report releasing in few hours , and ignoring the what economists are exceptions of the job growth for the month of August, using price action and bit of brute force here we go

NFP  Background :

Non Farm Payrolls (NFP) measures the change in the number of people employed during the previous month, excluding the farming industry. Job creation is the foremost indicator of consumer spending, which accounts for the majority of economic activity.

Source Of Report: Bureau of Labor Statistics (Release URL)

a look at how $SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV fared, overnight , from open to close , and full day change for the longs, on NFP Data Release day since Nov 2008.

$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on NFP Data Release day since Nov 2008

  • # total : total number of NFP releases from Nov 2008 to Aug 2013 ( it just that  while running the macro , we mis-typed Nov 2008 instead of Jan 2009 , as there were two trading holidays days on 06-Apr-12 02-Apr-10, when the NFP data was released )
  • Wins: Number of  win trades  for the longs
  • Losses: Number of loss trades for the longs
  • %Wins: Number of wins divided by number of losses
  • Avg Change % : Average Change %
  • Median Change % : Median Change %
  • Avg Win % : Average Change % for the winners
  • Avg Loss % : Average Change % for the losers
  • Avg Win / Avg Loss (%) : pay off ratio , if more than 1.25  better for longs , if less than 0.75 , flip it and go short, provided %win rate is in your favor
  • Max % : Maximum win% ( not going to happen when one starts real trading based on the back tested data)
  • Min % : Maximum loss % ( more than likely to happen , when one starts real trading based on the back tested data)

various trading strategies explanation :

  • Over Night Gap  : assuming one had entered the trade at close on the day before NFP data release and exit at open on NFP data release release day.
  • Change From Open : assuming one had entered the trade at open on the day of NFP data release and exit at close on NFP data release release day.
  • Full Day Change : assuming one had entered the trade at close on the previous day of NFP data release and exit at close on NFP data release release day.

Ticker Details:

Ticker Company Sector Industry
DIA SPDR Dow Jones Industrial Average Financial ETF
GDX Market Vectors Gold Miners ETF Financial ETF
GLD SPDR Gold Shares Financial ETF
IWM iShares Russell 2000 Index Financial ETF
QQQ PowerShares QQQ Financial ETF
SLV iShares Silver Trust Financial ETF
SPY SPDR S&P 500 Financial ETF
TLT iShares Barclays 20+ Year Treas Bond Financial ETF
USO United States Oil Financial ETF
VXX iPath S&P 500 VIX Short-Term Futures ETN Financial ETF

you might want to download the NFP Data Excel file for your offline analysis purposes from (paststat’s google drive , no login required here NFP Data ) , and lets us know if you have found any good trading strategy

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