when $DIA closes below lower bollinger band for 4 day in row ?

when $DIA closes below lower bollinger band for 4 day in row ?

$DIA stock chart 11 Jan 2016

with $DIA closing below the lower bollinger band ( based on 20 day moving average and 2 standard deviations ) for 4 days in row , below

trading strategy rules

1) $DIA closes below the lower bollinger band for 4 or more days in row

below the trading odds for $DIA longs , 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 34 20 58.8 0.48 0.32 2.47 -2.37 1.04 -6.40 1.16 0.78
t+2 34 17 50.0 0.63 0.38 3.66 -2.41 1.52 -8.37 1.21 0.87
t+3 34 23 67.6 0.72 0.87 2.70 -3.41 0.79 -9.03 1.44 1.07
t+4 34 20 58.8 0.68 0.49 3.11 -2.79 1.12 -8.77 1.36 0.97
t+5 34 18 52.9 0.62 0.56 3.66 -2.81 1.31 -9.79 1.30 0.84
t+10 34 20 58.8 0.89 0.58 3.70 -3.13 1.18 -9.81 1.71 1.14
t+20 34 28 82.4 4.07 3.79 5.57 -2.93 1.90 -6.69 9.20 5.14
1st +’ve in 5 days  34 29 85.3 1.58 0.95 2.51 -3.81 0.66 -9.79 3.02 2.40
1st -‘ve in 5 days 34 26 76.5 0.26 -0.70 -1.87 4.97 0.38 12.80 1.14 0.40

29/34 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 158 basis points at the 1st positive close within in the next five trading days.

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 $DIA closing below lower bollinger bands for 4 or more days in row , since Y2K

Date $DIA # closes below LBB t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 dyas %
11-Jan-16 163.83 4 ?? ?? ?? ?? ?? ??
25-Aug-15 155.24 4 3.94 6.36 6.29 5.55 2.54 3.94
16-Oct-14 156.58 6 1.53 1.66 2.99 2.11 3.40 1.53
15-Oct-14 156.87 5 -0.19 1.35 1.47 2.80 1.92 1.35
14-Oct-14 158.58 4 -1.07 -1.26 0.26 0.38 1.70 0.26
05-Aug-14 158.78 4 0.17 -0.23 0.87 0.99 0.96 0.17
21-Aug-13 141.27 6 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 5 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 4 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Nov-11 102.00 4 2.64 3.05 7.18 7.13 7.06 2.64
08-Aug-11 97.35 8 3.98 -0.83 2.94 4.38 6.24 3.98
05-Aug-11 102.92 7 -5.41 -1.65 -6.20 -2.63 -1.27 -1.27
04-Aug-11 102.43 6 0.47 -4.96 -1.18 -5.75 -2.16 0.47
03-Aug-11 107.01 5 -4.28 -3.83 -9.03 -5.41 -9.79 -9.79
02-Aug-11 106.71 4 0.29 -4.01 -3.55 -8.77 -5.14 0.29
26-Jan-10 88.33 4 0.41 -0.67 -1.31 -0.04 0.98 0.41
23-Feb-09 60.16 5 3.13 2.14 0.97 -0.55 -4.67 3.13
20-Feb-09 62.34 4 -3.50 -0.47 -1.44 -2.56 -4.03 -4.03
10-Oct-08 69.69 6 13.47 11.84 1.34 7.31 4.71 13.47
09-Oct-08 71.19 5 -2.10 11.08 9.49 -0.79 5.05 11.08
08-Oct-08 76.06 4 -6.40 -8.37 3.97 2.48 -7.14 3.97
12-Nov-07 105.49 4 2.60 2.27 1.31 1.58 0.16 2.60
05-Mar-07 96.51 5 1.46 1.41 2.08 2.24 2.37 1.46
02-Mar-07 97.04 4 -0.55 0.91 0.86 1.52 1.68 0.91
15-Mar-04 76.36 6 0.68 1.78 1.83 0.60 -0.61 0.68
12-Mar-04 77.15 5 -1.02 -0.35 0.74 0.79 -0.43 0.74
11-Mar-04 76.40 4 0.99 -0.05 0.63 1.73 1.78 0.99
23-Jul-02 56.14 4 6.39 5.97 7.36 12.38 12.80 6.39
21-Sep-01 59.39 8 4.11 4.95 3.93 4.77 6.70 4.11
20-Sep-01 59.86 7 -0.79 3.28 4.12 3.10 3.94 3.28
19-Sep-01 62.60 6 -4.37 -5.12 -1.23 -0.43 -1.40 -1.40
18-Sep-01 63.98 5 -2.16 -6.43 -7.17 -3.36 -2.58 -2.58
17-Sep-01 63.76 4 0.34 -1.83 -6.12 -6.86 -3.03 0.34
21-Sep-00 75.02 5 2.35 1.74 -0.09 0.25 1.97 2.35
20-Sep-00 75.51 4 -0.64 1.69 1.08 -0.73 -0.39 1.69

highlighted in the red were the loss making trades !! 

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check out the new look of the paststat

$TLT below Lower Bollinger Band – what next

$TLT below Lower Bollinger Band – what next

$TLT closes below Lower Bollinger Band Stock Chart

h/t @ukarlewitz

below the two trading strategies around $TLT and the lower bollinger band

1) $TLT closes below lower bollinger band 

Below the trading odds for the $TLT  longs over the next 1/2/3/4/5 trading days period when ever $TLT  closes below the Lower Bollinger Band ( 20 Moving average , 2 standard deviations ) over next week ( five trading days).

assuming one goes long at close on 11 Nov 2013 and exits , at the close next trading day ( t+1) , and t+5 is over at the  fifth trading close , back test period is over the last four years.

Exit # % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 61 59 0.08 0.15 0.61 -0.7 0.87 -2.52
t+2 60 50 0.14 0.01 0.92 -0.63 1.46 -2.37
t+3 60 60 0.33 0.38 1.15 -0.9 1.28 -2.67
t+4 60 65 0.57 0.59 1.41 -0.99 1.42 -3.35
t+5 60 73 0.87 1.11 1.63 -1.22 1.34 -2.96

2) $TLT closes below lower bollinger band , $TLT close is below 200-SMA

Below the trading odds for the $TLT  longs over the next 1/2/3/4/5 trading days period when ever $TLT  closes below the Lower Bollinger Band ( 20 Moving average , 2 standard deviations ) , and the $TLT close is below 200-SMA, over next week ( five trading days).

Exit # % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 41 63 0.18 0.33 0.68 -0.69 0.99 -1.7
t+2 40 53 0.29 0.11 1.06 -0.56 1.89 -1.85
t+3 40 70 0.58 0.61 1.2 -0.87 1.38 -2.17
t+4 40 70 0.9 1.19 1.6 -0.74 2.16 -1.55
t+5 40 80 1.12 1.37 1.67 -1.06 1.58 -2.49

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