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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unusual Outside day pattern on $SPY – what next ??

unusual Outside day pattern on $SPY

$SPY Outside day Chartan outside is when current high is higher than previous high and current low is lower than previous low, with $SPY first opening lower than the low previous day and closing higher than the previous high , we looked at the “unusual outside day pattern ” on $SPY.

here are the trading strategy rules that we employed  for the unusual outside day pattern on $SPY

  • $SPY opens lower than previous low &
  • $SPY closes above previous high

 below a look at how $SPY fares over the next 1/2/3/4/5/10/20 trading days , after $SPY forming that unusual outside day pattern , since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 24 12 50.0 -0.17 0.00 0.63 -0.96 0.66 -1.79
t+2 24 13 54.2 -0.10 0.35 1.01 -1.42 0.71 -4.32
t+3 24 13 54.2 0.18 0.15 1.68 -1.59 1.06 -3.99
t+4 24 13 54.2 0.17 0.35 2.10 -2.10 1.00 -7.10
t+5 24 15 62.5 0.58 0.50 1.90 -1.63 1.17 -4.34
Swing High 24 20 83.3 0.23 0.47 0.67 -1.99 0.34 -3.26
Swing Low 24 5 20.8 -0.52 -0.48 1.39 -1.02 1.36 -4.32

Swing High column , is calculated with the assumption , that one exits the longs at the first profitable close over the next five tradings days , otherwise with a loss at the end of the fifth trading day for a loss.

Swing Low column , is calculated with the assumption , that one exits the shorts at the first profitable close over the next five tradings days , otherwise with a loss at the end of the fifth trading day for a loss.

conclusion : tough call to make ! , though inclination is towards , to short $SPY and buy cover at the first profitable close ( i.e a lower close than the current close , in the next five trading days , other wise exit with a loss , at the end of the fifth trading close) .

below the prior instances of $unusual outside day pattern on $SPY , since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
13-Nov-13 178.38 ?? ?? ?? ?? ??
15-Jan-13 144.94 -0.01 0.63 0.86 1.40 1.57
31-Dec-12 140.35 2.57 2.33 2.78 2.50 2.20
28-Nov-12 138.43 0.47 0.49 -0.01 -0.14 0.03
24-Aug-12 137.74 0.02 -0.07 0.00 -0.72 -0.25
20-Jul-10 101.36 -1.29 0.91 1.79 2.84 2.83
19-Aug-09 91.65 1.03 3.01 3.00 3.20 3.21
26-May-09 83.24 -1.79 -0.42 1.35 3.80 3.88
11-Sep-08 112.05 0.46 -4.32 -2.72 -7.10 -4.34
22-Jul-08 113.81 0.54 -1.55 -1.57 -3.01 -0.94
06-May-08 126.18 -1.78 -2.03 -2.22 -1.12 -1.10
02-Nov-05 103.2 0.43 0.30 0.40 0.40 0.52
19-Oct-05 101.53 -1.76 -1.38 0.15 -0.05 -0.34
29-Aug-05 102.71 -0.53 0.74 0.66 0.48 1.66
18-Aug-04 91.05 -0.29 0.42 0.15 0.30 0.98
05-Mar-04 95.62 -1.21 -1.61 -3.26 -4.52 -3.26
09-Sep-02 72.61 1.14 0.52 -1.34 -1.09 -0.85
24-Jul-02 67.85 -0.84 1.05 5.97 7.35 7.61
19-Dec-01 91.84 -0.99 -0.39 -0.58 -0.03 0.58
25-Oct-01 87.7 -0.23 -2.83 -3.99 -4.32 -1.87
16-May-01 101.6 0.16 0.61 2.10 1.96 0.24
04-May-01 100.33 -0.86 -0.91 -1.33 -1.04 -1.71
10-Jan-01 103.83 0.09 -0.11 0.53 0.99 2.00
03-Aug-00 113.81 0.54 1.75 2.13 1.27 0.77
13-Jun-00 115.1 0.17 0.39 -0.44 0.83 0.48

highlighted in the green are , when $SPY failed to close lower than current close , and highlighted in the red are when $PSY failed to close higher the current close .

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