it seems we had 19 new all time closing high’s thus far in the year – which is bullish for the rest of the year

it seems we had 19 all time closing high’s thus far in the year

cini

hey , it’s birthday of mine , instead of buying me a drink , you might want to donate to one of the causes that I support – > Child- Malnutrition 

h/t @RyanDetrick

$SPX with 19 new all time closing highs in ’14. Just passed 18 from ’92. $SPYhttp://stks.co/g0hff

— Ryan Detrick (@RyanDetrick) Jun. 10 at 07:25 PM

as on 10th June 2014 , we completed 110 trading days , so below the study considering number of new all time  closing high’s ( we had 19 new ATH in this year , thus far)  as on 110th trading day , data since 1950 on $SPX .

rest of year returns : returns from 110th trading day’s close to the end of year close in percentage

1)  $SPX rest of year returns , when there is not a single reading of ATH , since 1950 

Winners : 20
Losers : 11
% Winners : 65%
Average Change % : 3.15
Median Change % : 6.04
Maximum Gain % : 29.04
Maximum Loss % : -33.67
Average Gain %if Winner : 11.13
Average Loss % if Loser : -11.35
Payoff Ratio 0.98

2)  $SPX rest of year returns , when there is at-least one reading of ATH , since 1950 

Winners : 27
Losers : 6
% Winners : 82%
Average Change % : 5.43
Median Change % : 6.07
Maximum Gain % : 27.82
Maximum Loss % : -16.89
Average Gain %if Winner : 8.59
Average Loss % if Loser : -8.77
Payoff Ratio 0.98
Average Absolute Change% : 11.10

3)  $SPX rest of year returns , when there were 10 or more readings of ATH , since 1950 

Winners : 20
Losers : 1
% Winners : 95%
Average Change % : 8.73
Median Change % : 9.93
Maximum Gain % : 27.82
Maximum Loss % : -16.89
Average Gain %if Winner : 10.02
Average Loss % if Loser : -16.89
Payoff Ratio 0.59

we normally don’t do year end targets , and leave to the analysts , but if average 8.73% rest of year returns are realized in this year , that would take $SPX to 2120.51 !!

below the table with the rest of year returns , when $SPX had 10 or more ATH readings , since 1950

Date $SPX YTD % EOY ROY % # ATH’s
10-Jun-14 1950.79 5.25 ?? ?? 19
10-Jun-13 1642.81 13.19 1848.36 12.51 17
10-Jun-99 1302.82 5.65 1469.25 12.77 19
10-Jun-98 1112.28 12.75 1229.23 10.51 32
09-Jun-97 862.91 14.16 970.43 12.46 22
06-Jun-96 673.03 8.48 740.74 10.06 16
08-Jun-95 532.35 13.73 615.93 15.70 38
07-Jun-91 379.43 12.97 417.09 9.93 11
09-Jun-87 297.28 18.54 247.08 -16.89 27
09-Jun-86 239.96 11.95 242.17 0.92 22
07-Jun-85 189.68 11.83 211.28 11.39 22
08-Jun-83 161.36 12.84 164.93 2.21 25
07-Jun-72 107.65 5.16 118.05 9.66 11
10-Jun-68 101.41 4.87 103.86 2.42 11
09-Jun-65 85.04 0.34 92.43 8.69 25
08-Jun-64 78.64 4.6 84.75 7.77 39
09-Jun-61 66.66 12.83 71.55 7.34 23
08-Jun-59 56.76 2.73 59.89 5.51 19
08-Jun-55 39.22 8.26 45.48 15.96 18
09-Jun-54 28.15 11.87 35.98 27.82 29
08-Jun-51 21.49 4.93 23.77 10.61 19
09-Jun-50 19.26 13.5 20.43 6.07 40

 

appealing once more -> instead of buying me a drink , you might want to donate to one of the causes that I support – > Child- Malnutrition 

when $SPX posts five monthly higher highs at the end of may – it’s bullish

when $SPX posts five monthly higher highs at the end of may

with $SPX ( S&P 500 Index ) posting five consecutive higher high’s on monthly bar at the end of May 2014 , below trading strategy

  • $SPX posts five consecutive higher highs on monthly time frames at the end of May ,
  • entry at May End &
  • exit at the end of Dec or at the  end of year , data since 1950

below the trading odds for $SPX longs , from May end till Year end

  • Winners : 12
  • Losers : 2
  • % Winners : 86%
  • Average Change % : 9.75
  • Median Change % : 8.54
  • Maximum Gain % : 25.22
  • Maximum Loss % : -2.09
  • Average Gain %if Winner : 11.64
  • Average Loss % if Loser : -1.57
  • Payoff Ratio 7.40

just for apple to apple comparison sake , below the trading odds for $SPX longs from May end till Year end , if $SPX doesn’t post five consecutive higher highs at the end of May , data since 1950

  • Winners : 34
  • Losers : 16
  • % Winners : 68%
  • Average Change % : 3.09
  • Median Change % : 4.83
  • Maximum Gain % : 25.71
  • Maximum Loss % : -35.50
  • Average Gain %if Winner : 9.67
  • Average Loss % if Loser : -10.90
  • Payoff Ratio 0.89

that’s about 666 basis points difference in the performance !! 

below the historical instances of $SPX posting five higher highs at the end of May , along with the details of End of Year returns , from end of May

five higher highs at the end of may on $spx

 

the above table for your editable purposes

Date $SPX Year End # higher highs Change % Max DD %
May-14 ~ 1920 ?? 11 ?? ??
May-13 1630.74 1848.36 6 13.34 -4.32
May-06 1270.09 1418.3 7 11.67 -4
May-99 1301.84 1469.25 8 12.86 -5.23
May-95 533.4 615.93 5 15.47 -1.39
May-86 247.35 242.17 8 -2.09 -7.79
May-83 162.39 164.93 5 1.56 -2.4
May-75 91.15 90.19 5 -1.05 -10.51
May-72 109.53 118.05 6 7.78 -4.66
May-67 89.08 96.47 8 8.3 -2.12
May-64 80.37 84.75 6 5.45 -2.76
May-63 70.8 75.02 7 5.96 -4.6
May-58 44.09 55.21 5 25.22 0.5
May-54 29.19 35.98 8 23.26 -3.56
May-50 18.78 20.43 5 8.79 -11.18

ps: the Max DD ( an average of -4.6% , and a median of -4.2% )  is calculated from the end of May closing to the lowest intra-monthly-low till June. Except in 1958 , $SPX has dipped from the May end till Dec end in all the 13 instances !

but we must say it is difficult for us ( except for Demark 🙂 etc. ) to time where and when and how much the lowest point would be from May end till Dec end.

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

we are reluctant to make it open source , but anyway , higher highs and more dizzy highs on $SPX

ten higher highs on $SPX monthly chart

ten higher highs on monthly $SPX chart

below the trading odds , for the next 1/2/3/4/5/6/12 months , when $SPX makes ten ore more higher highs in row , data since 1950

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 22 16 72.7 1.87 1.78 3.49 -2.43 1.44 -8.54
t+2 22 18 81.8 4.08 4.31 5.31 -1.43 3.71 -3.54
t+3 22 21 95.5 6.57 5.19 6.95 -1.47 4.73 -1.47
t+4 22 21 95.5 8.20 6.42 8.79 -4.25 2.07 -4.25
t+5 22 20 90.9 9.90 9.19 11.09 -2.05 5.42 -4.02
t+6 22 22 100.0 12.33 12.28 12.33 NA INF brokerage
t+12 22 22 100.0 24.88 24.33 24.88 NA INF brokerage

below the prior instances of $SPX making ten or more higher highs in row , since 1950 

Date $SPX Higher Highs Sequence t+3 t+6 t+12
Apr-14 1869.43 10 ?? ?? ??
Jan-10 1073.87 10 10.51 2.58 19.76
Feb-96 640.43 14 4.48 1.81 23.48
Jan-96 636.02 13 2.85 0.62 23.61
Dec-95 615.93 12 4.8 8.88 20.26
Nov-95 605.37 11 5.79 10.53 25.05
Oct-95 581.5 10 9.38 12.5 21.28
Aug-86 252.93 11 -1.47 12.36 30.39
Jul-86 236.12 10 3.33 16.08 34.96
Jan-59 55.45 13 3.86 9.13 0.29
Dec-58 55.21 12 0.42 5.9 8.48
Nov-58 52.48 11 5.58 11.81 11.05
Oct-58 51.33 10 8.03 12.2 12.06
Apr-55 37.96 19 14.65 11.54 27.45
Mar-55 36.58 18 12.17 19.38 32.53
Feb-55 36.76 17 3.13 17.46 23.34
Jan-55 36.63 16 3.63 18.81 19.63
Dec-54 35.98 15 1.67 14.04 26.4
Nov-54 34.24 14 7.36 10.72 32.91
Oct-54 31.68 13 15.63 19.82 33.65
Sep-54 32.31 12 11.36 13.22 35.16
Aug-54 29.83 11 14.78 23.23 44.75
Jul-54 30.88 10 2.59 18.62 40.93

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades