$QQQ trade-idea with 45/46 wins since Y2K

$QQQ trade-idea with 45/46 wins

$QQQ trade idea

with $QQQ , posting a 1 standard deviation ( 20) down move on monday , as on 3rd July 2017 , after posting one such move on last thursday , as on 29th Jun 2017,

below the trading strategy rules

  1. current trading day is monday
  2. $QQQ posted more than 1 standard deviation ( 20) down move , calculated on daily percent changes , over the last 20 trading days , including current trading day
  3. $QQQ posted atleast one more 1 std(20) down move over the last two trading day’s as well

below the trading odds for $QQQ 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 46 27 58.7 0.70 0.30 1.92 -1.03 1.86 -6.34 1.83 2.14
t+2 46 32 69.6 1.16 1.12 2.40 -1.66 1.45 -7.10 2.51 2.79
t+3 46 37 80.4 1.85 1.18 2.74 -1.80 1.53 -9.58 5.96 3.74
t+4 46 36 78.3 1.81 1.12 2.88 -2.06 1.40 -10.18 4.71 3.48
t+5 46 35 76.1 2.04 1.60 3.28 -1.87 1.75 -6.31 3.97 4.02
t+10 46 35 76.1 3.73 2.80 5.71 -2.58 2.22 -5.12 4.84 4.56
t+20 46 32 69.6 2.45 3.39 5.97 -5.62 1.06 -15.36 2.04 2.33
1st +’ve exit in 5 days % 46 45 97.8 1.71 0.86 1.81 -2.63 0.69 -2.63 20.41 5.53

 

45/46 times , since Y2K, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 171 bps 

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

below the historical $QQQ returns , over the next 1/2/3/4/5 trading days , when on monday , down by 1 stdev(20) and posts atleast one more 1 stdev(20) over the last 2 trading days , , since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls in 5 days
3-Jul-17 136.19 ?? ?? ?? ?? ?? ?? ??
14-Nov-16 113.74 1.39 2.00 2.73 2.35 3.41 1.39 1
27-Jun-16 101.18 2.18 4.00 5.20 5.73 5.08 2.18 1
13-Jun-16 106.64 0.00 -0.28 0.01 -1.16 -0.53 0.01 3
24-Aug-15 96.38 -0.37 4.64 7.29 7.27 5.95 4.64 2
29-Jun-15 104.44 0.35 1.15 1.18 0.94 1.20 0.35 1
8-Jun-15 105.66 -0.16 1.20 1.35 0.52 0.02 1.20 2
5-Jan-15 98.83 -1.34 -0.07 1.84 1.17 0.12 1.84 3
15-Dec-14 98.64 -1.60 0.18 2.60 3.05 3.30 0.18 2
13-Oct-14 90.24 0.01 -0.63 -1.25 0.04 1.54 0.01 1
15-Sep-14 95.41 0.88 1.03 1.79 1.73 0.78 0.88 1
24-Mar-14 85.21 0.33 -0.96 -1.53 -1.33 -0.62 0.33 1
27-Jan-14 82.44 -0.06 -1.13 0.69 0.42 -1.88 0.69 3
7-Oct-13 75.33 -1.94 -2.24 -0.17 0.61 1.33 0.61 4
24-Jun-13 66.51 0.72 1.62 2.06 2.21 2.84 0.72 1
25-Feb-13 62.90 0.38 1.40 1.19 1.61 2.07 0.38 1
23-Jul-12 59.69 -0.79 -1.44 -0.13 2.23 2.14 2.23 4
25-Jun-12 58.44 0.63 1.25 0.12 3.27 3.58 0.63 1
16-Apr-12 61.42 2.04 1.77 0.63 0.36 -0.55 2.04 1
9-Apr-12 63.08 -1.62 -1.14 0.00 -1.52 -2.63 -2.63 5
21-Nov-11 50.72 0.32 -1.93 -2.70 0.69 0.06 0.32 1
3-Oct-11 47.73 2.05 4.67 6.43 5.72 9.39 2.05 1
8-Aug-11 47.13 4.82 0.53 4.96 5.90 7.45 4.82 1
23-May-11 52.91 -0.62 -0.23 0.38 0.89 2.53 0.38 3
16-May-11 53.35 0.28 1.12 1.42 0.66 -0.82 0.28 1
17-Aug-09 35.30 1.42 2.12 3.31 4.70 4.59 1.42 1
9-Mar-09 23.54 6.20 7.82 11.38 11.68 9.81 6.20 1
2-Mar-09 24.36 -0.04 2.63 -0.45 -1.27 -3.37 2.63 2
6-Oct-08 31.84 -6.34 -7.10 -9.58 -10.18 0.75 0.75 5
17-Mar-08 37.80 4.47 1.88 3.97 7.57 8.17 4.47 1
10-Mar-08 37.60 3.80 3.51 4.31 2.39 0.53 3.80 1
12-Nov-07 44.36 4.13 2.80 2.23 3.18 1.98 4.13 1
22-Jan-07 39.70 -0.25 1.39 0.08 -0.28 -0.20 1.39 2
1-May-06 37.56 0.27 0.13 0.93 1.73 1.84 0.27 1
19-Dec-05 37.06 0.08 0.51 1.19 1.19 0.30 0.08 1
8-Aug-05 35.41 0.68 -0.20 0.62 0.06 0.68 0.68 1
24-Jan-05 32.98 0.49 1.70 1.55 1.06 2.37 0.49 1
14-Jun-04 32.48 1.29 1.11 0.18 0.31 -0.49 1.29 1
22-Mar-04 30.68 -0.81 0.33 3.00 2.64 4.30 0.33 2
23-Feb-04 32.59 -0.25 0.37 0.61 0.34 1.66 0.37 2
23-Jun-03 26.73 -0.75 -1.27 1.05 -0.26 0.15 1.05 3
11-Nov-02 21.73 2.53 3.77 7.36 8.74 7.13 2.53 1
5-Aug-02 19.16 4.96 6.37 9.97 8.82 9.13 4.96 1
6-May-02 25.89 -0.93 9.69 6.84 2.05 6.18 9.69 2
12-Mar-01 37.81 5.08 3.41 -0.37 -2.62 2.27 5.08 1
20-Nov-00 62.44 -0.16 -4.63 0.83 -0.42 -6.31 0.83 3
11-Sep-00 82.96 -1.55 0.74 0.19 -1.62 -3.17 0.74 2

highlighted in red is the only one time when $QQQ was not able to close higher over the next 5 trading days , from 9th Apr 2012 

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$QQQ monday momentum pattern on 19th jun 2017

$QQQ monday momentum pattern

$QQQ monday momentum trading pattern

with $QQQ , at the time of writing , trading at 140.45 , and posting best one day percentage gain in a month ,

below trading strategy rules ,

1) $QQQ posts best one day percentage gain in a month ( i.e 20 trading days) as on current trading at close

2) current trading day is monday

3) $QQQ close is above 200 DMA

below the trading odds for $QQQ 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% 21 15 71.4 0.53 0.32 0.85 -0.28 3.07 -0.89 3.74 2.63
t+2% 21 16 76.2 0.44 0.48 0.80 -0.73 1.10 -1.27 2.56 2.24
t+3% 21 12 57.1 0.18 0.23 1.18 -1.14 1.03 -2.65 1.38 0.63
t+4% 21 12 57.1 0.16 0.82 1.55 -1.69 0.92 -5.44 1.19 0.36
t+5% 21 17 81.0 0.89 0.95 1.43 -1.45 0.99 -2.16 3.12 2.81
t+10% 21 16 76.2 1.11 1.51 2.43 -3.12 0.78 -6.51 2.56 1.71
t+20% 21 17 81.0 1.76 2.29 2.90 -3.07 0.94 -7.49 5.44 2.60
1st +’ve in 5 days 21 20 95.2 0.68 0.49 0.82 -2.16 0.38 -2.16 3.55 3.02

20/21 times , since Y2K, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 68 bps 

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

below the historical $QQQ returns , over the next 1/2/3/4/5 trading days , when on monday posts , biggest one day percentage gainer in a month , during close > 200 dma , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
19-Jun-17 ~140.45 ?? ?? ?? ?? ?? ?? ??
24-Apr-17 133.80 0.72 0.58 1.19 1.36 2.27 0.72 1
17-Apr-17 131.12 -0.15 0.01 0.84 0.82 2.04 0.01 2
7-Nov-16 115.45 0.65 1.12 -0.52 -0.47 -1.48 0.65 1
24-Oct-16 118.65 -0.32 -1.00 -1.45 -2.07 -2.16 -2.16 5
12-Sep-16 115.14 -0.89 -0.42 1.13 1.08 0.64 1.13 3
13-Jul-15 107.23 0.66 0.77 2.19 3.70 4.05 0.66 1
20-Apr-15 105.08 0.43 0.98 1.36 2.73 2.47 0.43 1
16-Mar-15 103.97 0.16 1.14 1.29 1.95 1.75 0.16 1
12-May-14 85.22 0.07 -0.45 -1.24 -0.59 0.10 0.07 1
9-Sep-13 74.23 0.49 0.30 0.23 0.30 0.03 0.49 1
31-Dec-12 61.78 3.18 2.64 2.30 2.33 2.13 3.18 1
21-May-12 58.66 -0.11 0.08 -0.58 -0.70 0.56 0.08 2
3-Jan-11 51.34 -0.07 0.78 1.10 1.01 1.39 0.78 2
10-May-10 43.98 -0.10 1.78 0.17 -1.76 -1.44 1.78 2
5-Apr-10 44.75 0.29 0.04 0.27 0.86 0.95 0.29 1
18-May-09 31.37 0.47 0.12 -1.72 -2.04 1.61 0.47 1
31-Jan-05 33.76 0.32 0.48 -0.67 0.94 0.72 0.32 1
7-Jun-04 33.13 0.13 -1.27 -0.57 -1.97 -0.70 0.13 1
18-Aug-03 28.57 1.25 1.00 2.10 1.47 1.69 1.25 1
7-Jul-03 28.50 1.22 0.97 -0.91 -0.16 1.03 1.22 1
17-Apr-00 80.11 2.65 -0.49 -2.65 -5.44 0.94 2.65 1
  • highlighted in red were those instances when $QQQ failed to close higher in the next five days

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$QQQ trade-idea with 51/55 wins since 2007

$QQQ trade-idea with 51/55 wins

$QQQ when down on 11th trading day , since 2007

with $QQQ underwater ( by about ~80 bps) ,after the trade idea presented  yesterday , we looked at the logical extension of that trade , and , below are the trading strategy rules

1) current trading day is 11th trading day of the month
2) and $QQQ is down for the day

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2007 ( last 10 years reference period)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 55 34 61.8 0.47 0.30 1.25 -0.78 1.60 -2.41 1.84 2.33
t+2% 55 31 56.4 0.38 0.30 1.45 -1.00 1.45 -5.32 1.77 1.62
t+3% 55 39 70.9 0.66 0.76 1.74 -1.99 0.88 -9.90 2.42 1.96
t+4% 55 41 74.5 1.00 0.93 2.01 -1.97 1.02 -5.99 3.78 3.11
t+5% 55 40 72.7 1.41 1.27 2.43 -1.31 1.86 -3.32 5.03 4.27
t+10% 55 38 69.1 1.63 1.66 3.25 -1.99 1.63 -8.90 3.56 3.65
t+20% 55 37 67.3 1.53 1.77 4.43 -4.43 1.00 -12.62 1.98 2.17
1st +’ve in 5 days 55 51 92.7 0.88 0.65 1.06 -1.40 0.76 -2.48 9.59 4.90

51/55 times , since 2007, $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 88 bps 

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

below the historical $QQQ returns , over the next 1/2/3/4/5 trading days , when on 11th trading day it closed down , since 2007

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
15-Jun-17 ~138.81 ?? ?? ?? ?? ?? ?? ??
18-Apr-17 131.28 0.16 1.00 0.98 2.19 2.93 0.16 1
17-Oct-16 116.23 0.89 0.88 0.76 1.14 2.35 0.89 1
16-Sep-16 116.70 -0.43 -0.25 0.73 1.53 0.89 0.73 3
15-Jun-16 106.63 0.30 -0.88 -0.25 0.06 -0.18 0.30 1
15-Apr-16 109.52 0.53 -0.08 0.00 0.01 -1.50 0.53 1
15-Mar-16 105.24 0.89 0.83 0.99 1.39 1.70 0.89 1
15-Jun-15 105.97 0.55 0.82 2.29 1.79 2.54 0.55 1
16-Apr-15 105.46 -1.56 -0.08 0.34 0.89 1.27 0.34 3
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
17-Nov-14 100.17 0.75 0.29 0.74 0.93 1.72 0.75 1
15-Oct-14 89.91 -0.63 0.68 2.19 4.87 4.33 0.68 2
15-May-14 84.39 0.65 1.35 0.99 1.95 2.40 0.65 1
15-Oct-13 76.24 1.13 1.71 3.36 3.59 3.74 1.13 1
15-Aug-13 72.22 -0.04 -0.21 0.23 -0.12 0.86 0.23 3
16-Jul-13 72.08 0.25 0.00 -1.03 -0.74 -1.47 0.25 1
15-Apr-13 65.36 1.33 -0.66 -2.03 -0.69 0.34 1.33 1
15-Mar-13 65.31 -0.22 -0.41 0.29 -0.85 0.12 0.29 3
15-Feb-13 64.44 0.72 -0.83 -1.89 -0.90 -2.13 0.72 1
15-Nov-12 58.67 0.44 2.82 2.85 3.06 4.63 0.44 1
15-May-12 59.63 -0.68 -2.78 -4.04 -1.36 -1.47 -1.47 5
15-Feb-12 58.97 1.37 1.05 1.34 0.88 1.55 1.37 1
15-Dec-11 51.23 0.51 -0.47 2.48 1.01 1.87 0.51 1
17-Oct-11 53.61 1.24 -0.72 -1.20 0.03 2.11 1.24 1
18-Jul-11 53.75 2.28 1.84 2.52 3.58 3.37 2.28 1
15-Jun-11 50.60 -0.39 -0.70 -0.18 1.96 1.22 1.96 4
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
15-Apr-11 52.80 -0.71 -0.09 2.17 2.98 3.25 2.17 3
15-Mar-11 51.65 -2.41 -1.51 -1.74 0.16 -0.02 0.16 4
15-Feb-11 54.45 0.65 0.62 0.39 -2.51 -3.32 0.65 1
15-Dec-10 50.31 0.78 0.86 0.94 1.55 1.53 0.78 1
15-Nov-10 48.59 -1.64 -1.36 0.23 0.31 1.15 0.23 3
16-Jul-10 41.09 0.86 2.07 0.68 3.23 3.88 0.86 1
16-Apr-10 45.72 -0.06 0.44 1.01 1.57 2.00 0.44 2
15-Mar-10 43.56 0.64 0.91 1.25 0.64 1.55 0.64 1
15-Dec-09 40.78 0.14 -1.08 0.53 1.66 2.27 0.14 1
15-Oct-09 39.64 -0.65 0.35 0.37 0.19 0.58 0.35 2
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
15-Jun-09 32.98 -0.97 -0.03 -0.22 0.85 -2.16 0.85 4
15-May-09 30.65 2.61 3.09 2.73 0.84 0.51 2.61 1
16-Mar-09 25.92 3.79 5.10 5.02 3.43 9.52 3.79 1
17-Feb-09 26.80 0.07 -1.47 -1.20 -4.65 -1.51 0.07 1
15-Dec-08 26.70 4.80 3.53 1.71 2.55 0.32 4.80 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
15-Oct-08 28.02 5.42 5.56 8.50 2.88 0.03 5.42 1
15-Aug-08 44.07 -1.16 -2.39 -2.22 -2.68 -1.39 -1.39 5
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
15-Feb-08 40.04 -0.18 0.27 -0.68 -0.32 0.18 0.27 2
16-Jan-08 42.08 -1.39 -1.52 -4.06 -4.43 -2.48 -2.48 5
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
15-Nov-07 45.48 0.92 -0.24 0.16 -1.02 0.04 0.92 1
15-Oct-07 48.49 -0.47 0.81 1.24 -1.28 -0.09 0.81 2
15-Aug-07 41.88 -0.98 0.89 1.37 2.44 3.83 0.89 2
15-May-07 42.03 0.98 0.50 1.32 1.97 2.06 0.98 1
15-Mar-07 39.08 -0.08 0.95 1.67 3.63 3.26 0.95 2
18-Jan-07 40.16 0.20 -0.88 -1.13 0.50 -0.79 0.20 1

40/41 times , since 2009 ,  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 79 bps 

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$QQQ from 10th trading day close since 2014

$QQQ  from 10th trading day close

$QQQ from 10th trading day close , since 2014

with 14th Jun 2017 , being 10th trading day of the month , below trading strategy rules

 1)  current day is 10th trading day of the month

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since 2014

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 41 28 68.3 0.40 0.33 0.74 -0.34 2.16 -1.03 4.37 3.64
t+2% 41 29 70.7 0.55 0.32 1.07 -0.70 1.53 -2.62 3.33 2.82
t+3% 41 32 78.0 0.78 0.56 1.18 -0.65 1.81 -1.83 5.19 4.07
t+4% 41 34 82.9 1.03 0.69 1.45 -0.98 1.47 -3.10 5.97 4.63
t+5% 41 34 82.9 1.16 1.15 1.74 -1.64 1.06 -7.34 4.34 3.70
t+10% 41 32 78.0 1.39 1.46 2.48 -2.47 1.00 -6.36 3.23 3.18
t+20% 41 26 63.4 1.37 0.96 3.48 -2.29 1.52 -8.44 2.38 2.30
1st +’ve in 5 days 41 41 100.0 0.64 0.56 0.64 INF INF 0.01 NA 7.83

41/41 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 64bps

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

below the returns of $QQQ from 10th trading day at close , since 2014

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days % # days to 1st +’ve cls in 5 days
14-Jun-17 ?? ?? ?? ?? ?? ?? ?? ??
12-May-17 138.60 0.32 0.74 -1.83 -0.97 -0.55 0.32 1
17-Apr-17 131.48 -0.15 0.01 0.84 0.82 2.04 0.01 2
14-Mar-17 131.02 0.62 0.55 0.51 0.60 -0.92 0.62 1
14-Feb-17 128.26 0.59 0.56 1.00 1.49 1.53 0.59 1
17-Jan-17 122.54 0.20 0.15 0.37 0.46 1.13 0.20 1
14-Dec-16 119.61 0.16 -0.21 0.20 0.58 0.50 0.16 1
14-Nov-16 114.05 1.39 1.99 2.73 2.35 3.41 1.39 1
14-Oct-16 116.55 -0.27 0.61 0.61 0.49 0.86 0.61 2
15-Sep-16 116.76 -0.05 -0.48 -0.29 0.69 1.49 0.69 4
12-Aug-16 116.32 0.43 -0.13 0.05 0.08 0.05 0.43 1
15-Jul-16 110.96 0.66 0.30 1.47 1.23 1.65 0.66 1
14-Jun-16 106.93 -0.29 0.01 -1.16 -0.54 -0.23 0.01 2
13-May-16 104.43 1.25 -0.02 0.34 -0.18 0.92 1.25 1
14-Apr-16 109.80 -0.25 0.28 -0.33 -0.25 -0.24 0.28 2
14-Mar-16 105.28 -0.04 0.85 0.80 0.95 1.35 0.85 2
12-Feb-16 96.74 2.25 4.57 3.38 3.68 5.37 2.25 1
15-Jan-16 99.52 0.22 -0.09 0.01 2.91 1.38 0.22 1
14-Dec-15 109.84 0.61 2.11 0.62 -1.31 -0.22 0.61 1
13-Nov-15 108.07 1.44 1.50 3.45 3.52 4.22 1.44 1
14-Oct-15 104.23 1.64 2.07 2.65 2.12 1.50 1.64 1
15-Sep-15 104.52 0.56 0.60 -0.83 -0.52 -2.01 0.56 1
14-Aug-15 108.47 0.83 0.32 -0.34 -3.10 -7.34 0.83 1
15-Jul-15 108.34 1.41 2.91 3.26 3.20 2.03 1.41 1
12-Jun-15 106.50 -0.50 0.05 0.32 1.78 1.28 0.05 2
14-May-15 107.31 0.00 0.44 0.33 0.39 0.91 0.44 2
15-Apr-15 105.61 -0.14 -1.70 -0.22 0.20 0.75 0.20 4
13-Mar-15 102.92 1.29 1.45 2.45 2.60 3.27 1.29 1
13-Feb-15 104.46 0.09 0.23 0.73 1.40 1.51 0.09 1
15-Jan-15 97.36 1.17 1.98 2.50 4.40 4.63 1.17 1
12-Dec-14 99.94 -1.03 -2.62 -0.85 1.54 1.99 1.54 4
14-Nov-14 100.48 -0.30 0.45 -0.01 0.44 0.63 0.45 2
14-Oct-14 90.50 -0.65 -1.27 0.03 1.53 4.19 0.03 3
15-Sep-14 95.67 0.87 1.03 1.79 1.72 0.78 0.87 1
14-Aug-14 94.13 0.48 1.26 1.83 1.83 2.03 0.48 1
15-Jul-14 92.75 0.40 -0.93 0.64 0.51 1.15 0.40 1
13-Jun-14 89.41 0.09 0.14 0.70 0.64 0.76 0.09 1
14-May-14 85.06 -0.79 -0.14 0.56 0.19 1.15 0.56 3
14-Apr-14 82.10 0.33 1.66 1.69 2.44 3.26 0.33 1
14-Mar-14 85.68 0.88 2.10 1.55 1.83 0.60 0.88 1
14-Feb-14 86.42 0.49 -0.20 0.27 0.13 0.67 0.49 1
15-Jan-14 85.04 0.01 -0.55 0.20 0.46 0.12 0.01 1

will it be a straight 46th winner ? ( this never losing streak started from 16th Sep 2013 #FYI)

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when $QQQ down by more than 1% on a fri and mon

$QQQ down by more than 1% on fri & mon ?

$QQQ down by more than 1% on fri & mon ?

at the time of writing with $QQQ down by more than 1% at 138.44 , as on 12th Jun 2017 close

below trading strategy rules

1)  $QQQ posts back to back 1% or more down days

2) current trading day is monday and previous trading days is friday

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $QQQ posts  2 down days of more than 1% loss ,on a friday followed by monday

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 44 27 61.4 0.90 0.68 2.47 -1.58 1.56 -6.34 1.82 2.08
t+2% 44 30 68.2 1.25 1.25 2.99 -2.46 1.21 -7.09 2.53 2.40
t+3% 44 25 56.8 1.05 0.66 4.10 -2.96 1.39 -9.90 1.57 1.48
t+4% 44 26 59.1 1.10 1.11 4.44 -3.71 1.20 -10.15 1.50 1.45
t+5% 44 28 63.6 1.77 2.07 4.81 -3.56 1.35 -8.73 1.93 2.34
t+10% 44 27 61.4 2.56 2.73 6.69 -4.01 1.67 -9.93 2.30 2.65
t+20% 44 26 59.1 0.66 1.17 7.00 -8.50 0.82 -24.14 0.96 0.47
1st +’ve in 5 days 44 40 90.9 1.76 1.37 2.36 -4.26 0.55 -8.73 3.85 3.73

40/44 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 176 bps

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

below the prior instances of $QQQ posting back to back 1% losses on a friday followed by monday since since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
12-Jun-17 ~138.44 ?? ?? ?? ?? ?? ?? ??
27-Jun-16 101.45 2.19 4.00 5.20 5.73 5.09 2.19 1
8-Feb-16 95.36 -0.31 0.07 -0.07 1.45 3.74 0.07 2
24-Aug-15 96.64 -0.38 4.64 7.29 7.27 5.94 4.64 2
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
13-Oct-14 90.49 0.01 -0.63 -1.26 0.04 1.54 0.01 1
23-Jul-12 59.86 -0.79 -1.45 -0.14 2.22 2.14 2.22 4
16-Apr-12 61.59 2.03 1.77 0.63 0.35 -0.57 2.03 1
3-Oct-11 47.86 2.05 4.67 6.43 5.73 9.39 2.05 1
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
7-Jun-10 40.87 -0.18 -1.02 1.81 2.78 2.76 1.81 3
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
30-Mar-09 27.61 0.86 2.36 5.66 7.62 7.35 0.86 1
12-Jan-09 27.07 0.03 -3.01 -1.42 -0.34 -5.28 0.03 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
27-Oct-08 26.27 11.05 10.77 14.46 14.64 14.40 11.05 1
6-Oct-08 31.92 -6.34 -7.09 -9.58 -10.15 0.77 0.77 5
29-Sep-08 34.63 2.88 1.80 -2.83 -4.34 -7.83 2.88 1
4-Aug-08 40.66 3.38 4.95 4.14 6.50 7.47 3.38 1
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
12-Nov-07 44.48 4.12 2.79 2.24 3.18 1.99 4.12 1
22-Mar-04 30.76 -0.82 0.32 3.00 2.65 4.31 0.32 2
17-Nov-03 31.08 -2.31 -1.36 -2.31 -1.30 1.44 1.44 5
9-Jun-03 26.65 1.51 2.66 3.09 0.77 3.87 1.51 1
31-Mar-03 22.63 0.79 3.56 4.87 3.17 3.33 0.79 1
27-Jan-03 21.98 1.02 2.53 -0.12 -0.37 -0.16 1.02 1
11-Nov-02 21.79 2.55 3.78 7.36 8.76 7.16 2.55 1
30-Sep-02 18.57 6.08 2.56 0.10 -1.79 -2.70 6.08 1
5-Aug-02 19.22 4.94 6.34 9.93 8.82 9.14 4.94 1
22-Jul-02 20.97 -4.27 0.94 -4.91 -3.12 1.84 0.94 2
3-Jun-02 25.97 1.31 2.35 -0.35 -2.35 -2.52 1.31 1
6-May-02 25.96 -0.93 9.67 6.83 2.04 6.18 9.67 2
14-Jan-02 35.81 0.95 -2.95 -0.78 -3.43 -6.41 0.95 1
10-Dec-01 36.75 0.56 1.37 -3.02 -2.17 -0.49 0.56 1
29-Oct-01 30.51 -1.94 -0.41 3.82 4.58 7.99 3.82 3
6-Aug-01 38.09 -0.52 -4.71 -4.31 -5.22 -3.29 -3.29 5
23-Jul-01 36.40 -1.13 -0.27 1.21 3.30 2.68 1.21 3
16-Jul-01 37.96 2.24 -1.65 0.68 -1.65 -4.11 2.24 1
11-Jun-01 41.27 -0.54 -3.26 -8.25 -7.49 -8.73 -8.73 5
12-Mar-01 37.91 5.08 3.43 -0.35 -2.60 2.27 5.08 1
2-Oct-00 77.75 -3.17 -1.30 -1.01 -4.32 -4.76 -4.76 5
18-Sep-00 80.55 3.69 5.29 -2.36 3.41 0.66 3.69 1
11-Sep-00 83.18 -1.55 0.74 0.20 -1.62 -3.16 0.74 2
24-Jul-00 85.14 0.79 0.66 -3.29 -8.55 -5.86 0.79 1
  • 32/33 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 231 , since 2002 
  • highlighted in red were those 4 losses when $QQQ failed to close higher in the next five days

—–

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when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

when $QQQ closes below lower bollinger band for 2 days in row

with the help of Quant-Ideas mining tool  we were able to find the below trading strategy on $QQQ ,

trading strategy rules

1) $QQQ closes below lower bollinger band for two trading days in row  ( bollinger bands are calculated on 20 day moving averages , with 2 standard deviations )

below the trading odds for longs for $QQQ , for the next 1/2/3/4/5/10/20 trading days , when $QQQ closes below lower bollinger bands for , 2 consecutive days in row , since 2010

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 35 22 62.9 0.45 0.33 1.67 -1.62 1.03 -6.02 1.47 1.16
t+2% 35 23 65.7 1.03 0.91 2.41 -1.62 1.49 -4.21 2.39 2.48
t+3% 35 25 71.4 1.59 2.05 3.11 -2.20 1.41 -5.52 3.83 2.94
t+4% 35 26 74.3 2.03 2.20 3.51 -2.26 1.56 -4.55 4.43 3.73
t+5% 35 26 74.3 2.16 2.13 3.44 -1.54 2.23 -3.13 5.53 4.45
t+10% 35 20 57.1 1.79 2.31 5.10 -2.61 1.95 -7.06 2.86 2.44
t+20% 34 23 67.6 2.90 3.34 5.85 -3.28 1.79 -7.11 3.47 3.18
1st +’ve in 5 days 35 33 94.3 1.40 0.78 1.53 -0.86 1.79 -1.23 34.58 5.21
1st -‘ve in 5 days 35 22 62.9 -0.57 -0.53 -1.51 4.10 0.37 7.45 0.48 -1.08

33/35 times  $QQQ closed higher than the current close at some point of time in the next five trading days .. with an average gain of 140 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, and $QQQ forward 1/2/3/4/5 trading day returns , when $QQQ closes below lower bollinger band for 2 days in row , since 2010.

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
8-Feb-16 96.62 ?? ?? ?? ?? ?? ?? ??
11-Jan-16 104.33 1.16 -2.33 -0.25 -3.35 -3.13 1.16 -2.33
8-Jan-16 104.01 0.31 1.47 -2.03 0.06 -3.05 0.31 -2.03
7-Jan-16 104.87 -0.82 -0.51 0.64 -2.83 -0.76 0.64 -0.82
29-Sep-15 99.17 2.30 2.76 4.56 6.06 5.56 2.30 5.56
25-Aug-15 97.55 5.04 7.70 7.68 6.34 3.02 5.04 3.02
24-Aug-15 97.92 -0.38 4.64 7.29 7.27 5.94 4.64 -0.38
21-Aug-15 101.84 -3.85 -4.21 0.62 3.16 3.14 0.62 -3.85
16-Dec-14 98.61 1.82 4.27 4.73 4.99 4.62 1.82 4.62
16-Oct-14 90.53 1.32 2.83 5.53 4.99 6.57 1.32 6.57
15-Oct-14 91.10 -0.63 0.68 2.19 4.87 4.33 0.68 -0.63
14-Oct-14 91.70 -0.65 -1.27 0.03 1.53 4.19 0.03 -0.65
13-Oct-14 91.69 0.01 -0.63 -1.26 0.04 1.54 0.01 -0.63
2-Oct-14 95.88 0.99 0.77 -0.66 1.28 -0.36 0.99 -0.66
11-Apr-14 82.54 0.78 1.12 2.46 2.48 3.25 0.78 3.25
7-Apr-14 83.95 0.92 2.65 -0.53 -1.68 -0.91 0.92 -0.53
27-Mar-14 85.26 0.20 0.91 2.68 2.95 2.13 0.20 2.13
9-Oct-13 74.82 2.12 2.92 3.65 3.25 4.42 2.12 4.42
24-Jun-13 67.57 0.73 1.63 2.07 2.21 2.84 0.73 2.84
21-Jun-13 68.25 -0.99 -0.27 0.62 1.05 1.19 0.62 -0.99
11-Oct-12 63.94 -0.04 0.69 2.11 2.05 0.87 0.69 -0.04
10-Oct-12 64.14 -0.31 -0.36 0.37 1.79 1.73 0.37 -0.31
18-May-12 57.98 2.80 2.68 2.88 2.20 2.07 2.80 2.07
25-Nov-11 50.14 3.48 2.84 6.64 7.38 7.07 3.48 7.07
23-Nov-11 50.53 -0.77 2.68 2.05 5.82 6.55 2.68 -0.77
22-Nov-11 51.70 -2.26 -3.01 0.37 -0.26 3.43 0.37 -2.26
21-Nov-11 51.53 0.33 -1.93 -2.69 0.70 0.07 0.33 -1.93
18-Nov-11 52.53 -1.91 -1.59 -3.81 -4.55 -1.23 -1.23 -1.91
8-Aug-11 47.88 4.82 0.53 4.96 5.89 7.45 4.82 7.45
5-Aug-11 50.95 -6.02 -1.49 -5.52 -1.36 -0.48 -0.48 -6.02
24-May-11 53.42 0.39 1.01 1.52 3.16 0.92 0.39 0.92
7-May-10 42.48 5.20 5.09 7.07 5.37 3.35 5.20 3.35
6-May-10 43.56 -2.49 2.58 2.47 4.40 2.75 2.58 -2.49
29-Jan-10 39.98 1.10 2.01 2.57 -0.40 0.44 1.10 -0.40
26-Jan-10 41.44 0.79 -1.80 -3.52 -2.46 -1.58 0.79 -1.80
25-Jan-10 41.40 0.09 0.88 -1.72 -3.43 -2.37 0.09 -1.72

highlighted in the red were the loss making trades !!

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$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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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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bullish $QQQ volume breakout trading pattern

bullish $QQQ volume breakout trading pattern

QQQ volume breakout stock charthttp://stockcharts.com/h-sc/ui?s=QQQ&p=D&yr=0&mn=3&dy=0&id=p59326854596

 

Below the trading strategy rules

  • $QQQ closes in the green for the day
  • $QQQ volume is 1.5 times more than the average 20 trading volume ( 20 day average volume is inclusive of current trading day volume)

below the trading odds for the next 1/2/3/4/5 trading for $QQQ longs, data since 14th Aug 2010 ( i.e exactly four years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 20 7 35.0 -0.20 -0.28 1.21 -0.95 1.27 -4.10 0.74 0.55
t+2 20 10 50.0 0.24 0.06 1.27 -0.79 1.61 -2.55 1.43 1.03
t+3 20 13 65.0 0.41 0.47 1.18 -1.03 1.14 -2.08 1.78 1.43
t+4 20 15 75.0 0.94 0.72 1.60 -1.04 1.54 -2.10 3.63 2.70
t+5 20 16 80.0 1.40 1.14 2.05 -1.18 1.73 -2.72 5.84 4.64
1st +’ve exit in 5 days 20 17 85.0 0.49 0.59 0.82 -1.40 0.58 -2.72 2.73 2.30

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

16/20 ( 80%)  times $QQQ closed higher with an average gains of 1.4 % ( including the loss making trades ) , and the median gains stands at 1.14 %

blow the historical instances of $QQQ 1.5X volume gaining days since 14 Aug 2010

Date $QQQ Vol/20 Avg Vol t+1% t+2% t+3% t+4% t+5%
15-Aug-14 97.4 1.6 ?? ?? ?? ?? ??
16-May-14 87.47 1.6 0.7 0.33 1.29 1.74 2.48
30-Jan-14 85.72 1.67 -0.27 -2.55 -1.84 -2.1 -0.85
18-Dec-13 85.09 2.2 -0.28 0.74 1.8 1.85 2.17
10-Oct-13 77.65 1.59 0.79 1.51 1.11 2.25 2.83
11-Jul-13 73.83 1.51 0.45 0.68 0.54 0.79 0.54
06-Jun-13 71.08 1.76 1.36 1.41 0.39 -0.76 0.49
03-Jun-13 72.04 1.5 -0.51 -1.82 -1.33 0.01 0.06
10-Apr-13 68.74 1.76 -0.04 -0.12 -2.08 -0.79 -2.72
01-Feb-13 66.27 1.57 -1.75 -0.3 -0.62 -0.53 0.48
02-Jan-13 65.82 1.64 -0.52 -0.85 -0.82 -1.02 -0.64
16-Feb-12 61.56 1.71 -0.32 -0.03 -0.49 0.16 0.5
25-Jan-12 58.46 1.62 -0.34 -0.05 0.03 0.17 0.98
20-Dec-11 54.06 1.57 -1.42 -0.59 0.26 0.65 -0.52
04-Oct-11 50.3 1.58 2.56 4.27 3.6 7.18 7.91
09-Aug-11 51.01 2.04 -4.1 0.14 1.02 2.51 1.65
23-Jun-11 53.23 1.6 -1.73 -0.15 1.33 1.75 3.1
24-Feb-11 54.5 1.59 1.38 1.6 -0.04 0.48 2.48
03-Jan-11 53.01 1.97 -0.08 0.77 1.09 1.02 1.4
03-Nov-10 50.72 1.75 1.22 1.22 1.34 0.81 1.3
27-Aug-10 42.06 1.61 -1.05 -1.4 1.55 2.69 4.4

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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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