Buying the First 52 Week High of the Year on $SPX – Long Term Perspective

Buying the First 52 Week High of the Year on $SPX

$SPX 52 week high stock chart

With $SPX closing at 52 week high for the first time in the year 2014 , below the trading odds for longs for buying that first 52 week high n $SPX and exiting at the year end, since 1951 .

  • Winners : 39
  • Losers : 13
  • % Winners : 75%
  • Average Change % : 8.74
  • Median Change % : 9.14
  • Maximum Gain % : 36.24
  • Maximum Loss % : -18.42
  • Average Gain %if Winner : 13.64
  • Average Loss % if Loser : -5.95
  • Payoff Ratio 2.29

The results might look like random, and might look like similar for buying any random year , but here are the trading odds for holding for a year with that above 52 week filter

  • Winners : 46
  • Losers : 17
  • % Winners : 73%
  • Average Change % : 8.82
  • Median Change % : 11.78
  • Maximum Gain % : 45.02
  • Maximum Loss % : -38.49
  • Average Gain %if Winner : 16.89
  • Average Loss % if Loser : -13.04
  • Payoff Ratio 1.30

what you get by filtering with 52 week highs is a higher pay off ratio , that is average gain divided average loss .

Rather than taking simple returns from the day of first 52 week high , if I normalize the returns to the number of trading days for the rest of the year , say if the first 52 week high is on 125 th day and we get rest of the year returns , say 5% , then we consider the normalized returns as 5%*250/125 = 10% , below the trading odds  trading odds for longs for buying that first 52 week high n $SPX and exiting at the year end, since 1951 .

  • Winners : 39
  • Losers : 13
  • % Winners : 75%
  • Average Change % : 10.24
  • Median Change % : 11.20
  • Maximum Gain % : 43.69
  • Maximum Loss % : -18.56
  • Average Gain %if Winner : 16.48
  • Average Loss % if Loser : -8.47
  • Payoff Ratio 1.95

an excess returns 142 basis points !!

Below the table with $SPX first 52 week high closings for each year and year end closing values since 1951 .

Date $SPX Close Year End Trading Day Rest of the year Gain Normalized ROY Gain %
15-Jan-14 1848.38 1848.38 10 ??  ??
04-Jan-13 1466.47 1848.36 3 26.04 26.36
24-Feb-12 1365.74 1426.19 37 4.43 5.19
03-Jan-11 1271.87 1257.6 1 -1.12 -1.13
04-Jan-10 1132.99 1257.64 1 11.00 11.05
12-Oct-09 1076.19 1115.1 196 3.62 16.27
12-Jan-07 1430.73 1468.36 8 2.63 2.72
04-Jan-06 1273.46 1418.3 2 11.37 11.46
04-Mar-05 1222.12 1248.29 43 2.14 2.58
05-Jan-04 1122.22 1211.92 2 7.99 8.06
17-Jun-03 1011.66 1111.92 115 9.91 18.23
21-Mar-00 1493.87 1320.28 55 -11.62 -14.86
05-Jan-99 1244.78 1469.25 2 18.03 18.18
29-Jan-98 985.49 1229.23 19 24.73 26.75
10-Jan-97 759.5 970.43 7 27.77 28.57
29-Jan-96 624.22 740.74 20 18.67 20.28
03-Feb-95 478.65 615.93 24 28.68 31.70
10-Jan-94 475.27 459.27 6 -3.37 -3.45
01-Feb-93 442.52 466.45 21 5.41 5.90
02-Jan-92 417.26 435.71 1 4.42 4.44
13-Feb-91 369.02 417.09 31 13.03 14.85
29-May-90 360.65 330.22 103 -8.44 -14.27
13-Jan-89 283.87 353.4 9 24.49 25.40
18-Oct-88 279.38 277.72 202 -0.59 -2.99
07-Jan-87 255.33 247.08 4 -3.23 -3.28
07-Jan-86 213.8 242.17 4 13.27 13.48
14-Jan-85 170.51 211.28 9 23.91 24.80
06-Nov-84 170.41 167.24 216 -1.86 -13.02
06-Jan-83 145.27 164.93 4 13.53 13.75
07-Oct-82 128.8 140.64 194 9.19 39.94
21-Jan-80 112.1 135.76 14 21.11 22.35
13-Aug-79 107.42 107.94 156 0.48 1.27
31-Jul-78 100.68 96.11 146 -4.54 -10.79
12-Jan-76 96.33 107.46 7 11.55 11.88
23-Jun-75 93.62 90.19 120 -3.66 -6.99
03-Jan-73 119.57 97.55 2 -18.42 -18.56
04-Feb-72 104.86 118.05 25 12.58 13.96
06-Jan-71 92.35 102.09 3 10.55 10.67
29-Apr-68 97.97 103.86 81 6.01 8.86
20-Apr-67 92.11 96.47 76 4.73 6.78
05-Jan-66 92.85 80.33 3 -13.48 -13.65
18-Jan-65 86.49 92.43 11 6.87 7.18
02-Jan-64 75.43 84.75 1 12.36 12.41
11-Apr-63 68.77 75.02 71 9.09 12.65
09-Jan-61 58.81 71.55 5 21.66 22.10
02-Jan-59 55.44 59.89 1 8.03 8.06
31-Jul-58 47.19 55.21 148 17.00 41.18
09-Mar-56 46.7 46.67 48 -0.06 -0.08
03-Jan-55 36.75 45.48 1 23.76 23.85
04-Mar-54 26.41 35.98 43 36.24 43.69
05-Jan-53 26.66 24.81 2 -6.94 -6.99
03-Jan-52 23.88 26.57 2 11.26 11.35
02-Jan-51 20.77 23.77 1 14.44 14.50

Yeah it is season for January Barometer blog posts  , so what if we buy only the Jan first 52 week highs and hold till the rest of the year , ( simple returns only)

  • Winners : 24
  • Losers : 6
  • % Winners : 80%
  • Average Change % : 10.76
  • Median Change % : 11.46
  • Maximum Gain % : 27.77
  • Maximum Loss % : -18.42
  • Average Gain %if Winner : 15.39
  • Average Loss % if Loser : -7.76
  • Payoff Ratio 1.98

202 bps excess returns than the normal years !! enough to buy a 100 ft yacht for a 1 bil USD AUM hedge fund manager 🙂

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Buying the First 52 Week High of the Year on $SPX – Short term perspective

Buying the First 52 Week High of the Year on $SPX

$SPX 52 week high stock chart

With $SPX closing at 52 week high for the first time in the year 2014 , below the trading odds for longs for the next 1/2/3/4/5/10/20 trading days , for buying the first 52 week high of the year on $SPX

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 52 30 57.7 0.03 0.09 0.44 -0.53 0.83 -2.73
t+2 52 39 75.0 0.44 0.39 0.91 -0.94 0.96 -3.60
t+3 52 39 75.0 0.48 0.53 1.08 -1.30 0.83 -4.65
t+4 52 39 75.0 0.58 0.70 1.21 -1.31 0.92 -3.86
t+5 52 39 75.0 0.68 0.80 1.39 -1.46 0.95 -3.35
t+10 52 38 73.1 0.99 1.24 2.06 -1.94 1.06 -5.90
t+20 52 33 63.5 1.23 1.22 3.01 -1.86 1.62 -4.88

Data is since 1951 from Yahoo Finance .

for an apple to apple to comparison , below the trading odds for longs for the the next 1/2/3/4/5/10/20 trading days , for buying the 52 week high of the year on $SPX , other than the first one in the year 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 1462 809 55.3 0.06 0.07 0.44 -0.42 1.05 -6.62
t+2 1462 822 56.2 0.07 0.09 0.64 -0.66 0.97 -6.12
t+3 1462 848 58.0 0.10 0.16 0.79 -0.86 0.92 -6.12
t+4 1462 856 58.5 0.12 0.22 0.93 -1.01 0.91 -7.27
t+5 1462 868 59.4 0.12 0.28 1.04 -1.22 0.85 -7.35
t+10 1462 865 59.2 0.23 0.46 1.58 -1.73 0.91 -8.74
t+20 1456 875 60.1 0.34 0.67 2.29 -2.60 0.88 -10.82

thus historically buying the first 52 week high of the year outperforms , buying the other 52 week highs , for short term holding periods

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{Re-Post } Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of S&P 500 Index 5- Day losing streaks

 hopefully the $SPX dip buyers will RT the blog post to crash the servers , lets see !!!

Anatomy of $SPX 5-Day losing streaks : e-book Table of Contents

  1. Disclaimer……6
  2. Feedback……6
  3. Introduction……9
  4. 5 Day Losing Streaks……10
  5. Moving Averages……12
  6. Current Day’s Loss %……15
  7. Magnitude Of Current Day’s Loss……18
  8. Magnitude Of Loss % Over Last 5 Trading Days……20
  9. Month Low And Year Low……23
  10. Month High And Year High……25
  11. Volume……26
  12. Narrow Range And Wide Range……28
  13. ROC……31
  14. Bollinger Bands……34
  15. Lower Highs And Lower Lows……37
  16. After Not Having Done So……39
  17. For The First Time In The Year……41
  18. Seasonality – Day Of The Week……44
  19. Seasonality – Month……46
  20. Seasonality – By # Trading Week/Day……49
  21. Seasonality – By Quarter / Half……52
  22. 20 Trading Strategies Collection with 75% Win Rate ……54
  23. Self – Promo’s/ Coupon Codes……55
  24. Sayonara……58
ps: we would publish the results of our Pay What You Want experiment , after 1000 downloads ,  please make it happen , by being social , the share buttons are right below !! 
pps: your e-mail will be shared with NSA only upon request 🙂 and will not be used for purposes other than sending an alert , when this e-book is updated or a similar e-book of any kind is published #HTH

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$SPX Returns by Quarter since 1950 – Q4 the best

$SPX Returns by Quarter since 1950

Below the table with the details of $SPX returns by quarter since 1950, as you can see S&P 500 Index , returns during the 4th Quarter are better than the other quarters .

During the 4th Quarter $SPX gained 49 out of the 63 quarters , with average gains ( including the losing quarters ) were 3.96%

$SPX Returns by Quarter , since 1950

Below the trading odds for the longs for the fourth quarter , since 1950 , ( assuming one goes long at the last trading day’s close of the 3rd quarter and exits at the last trading day of the 4th quarter)

  • Winners : 49
  • Losers : 14
  • % Winners : 78%
  • Average Change % : 3.96
  • Median Change % : 4.92
  • Maximum Gain % : 20.87 ( Q4 – 1998) 
  • Maximum Loss % : -23.23 ( Q4- 1987) 
  • Average Gain %if Winner : 6.86
  • Average Loss % if Loser : -6.16
  • Average Gain % / Average Loss % : 1.11

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{free to download}Anatomy of S&P 500 Index 5-Day losing streaks : e-book

Quantifying the bounce on $SPX that comes after after 5-day losing streak

$SPX bounces after a 5-day losing streak

$SPX Stock Chart

with $SPX bouncing a bit by gaining 0.35%, as on 27th Sep 2013,  after posting a 5-day losing streak , few studies below by quantifying that bounce

There were 56 trading days , when $SPX bounced after a 5-day losing streak , yesterday’s bounce was the 10th smallest, the lowest bounce was a mere 0.02%,  on 20 Jun 1996, and highest bounce was 11.58% , on 13 Oct 2008.

pattern 1 ) $SPX bounces after a 5-day losing streak 

below the trading odds for longs , with various exit periods ( t+1, being the exit after 1 trading days , and t+20 being the exit after 20 trading days etc.) , the backtest period is from Jan 1990.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 55 32 58.2 0.00 0.11 0.91 -1.26 0.72
t+2 55 32 58.2 0.02 0.20 1.38 -1.88 0.74
t+3 55 35 63.6 0.08 0.36 1.52 -2.44 0.62
t+4 55 36 65.5 0.24 0.47 1.68 -2.49 0.68
t+5 55 37 67.3 0.48 0.97 2.10 -2.84 0.74
t+10 55 33 60.0 0.35 0.60 2.71 -3.20 0.85
t+20 55 36 65.5 1.53 1.11 3.97 -3.10 1.28

pattern 2 ) $SPX bounces by less than 0.5% , after a 5-day losing streak since 1990 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 10 9 90.0 0.33 0.24 0.53 -1.54 0.35
t+2 10 9 90.0 1.05 0.72 1.21 -0.39 3.10
t+3 10 10 100.0 1.30 0.86 1.30
t+4 10 9 90.0 1.19 0.63 1.35 -0.27 5.00
t+5 10 9 90.0 1.45 0.81 1.69 -0.69 2.45
t+10 10 6 60.0 0.51 0.07 1.47 -0.92 1.60
t+20 10 5 50.0 -0.22 0.28 1.83 -2.27 0.80

pattern 3 ) $SPX bounces by less than 1.4% , after a 5-day losing streak since 1990 

do note that if $SPX gains after a 5-day losing streak , the average gains are 1.40% ( hence that 1.4% cutoff)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 36 23 63.9 0.06 0.25 0.85 -1.35 0.63
t+2 36 22 61.1 0.36 0.21 1.44 -1.33 1.08
t+3 36 23 63.9 0.19 0.32 1.40 -1.95 0.72
t+4 36 22 61.1 0.31 0.38 1.63 -1.76 0.93
t+5 36 23 63.9 0.35 0.56 1.99 -2.56 0.78
t+10 36 22 61.1 0.74 0.53 2.28 -1.67 1.36
t+20 36 23 63.9 1.48 0.78 3.43 -1.96 1.75

pattern 4 ) $SPX bounces and erases the previous two trading losses , after a 5-day losing streak since 1990 

as you can notice that the current close 1698.67, is greater than the close 2 trading days ago , I’m marking that as erasing two trading day losses . below the trading odds for longs on $SPX , after $SPX close is greater than that of exactly two trading days ago , but not more.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 20 14 70.0 0.15 0.24 0.73 -1.20 0.61
t+2 20 12 60.0 -0.03 0.21 0.90 -1.44 0.63
t+3 20 11 55.0 -0.23 0.23 1.02 -1.75 0.58
t+4 20 11 55.0 -0.28 0.11 1.28 -2.20 0.58
t+5 20 12 60.0 0.03 0.69 1.70 -2.46 0.69
t+10 20 12 60.0 0.72 0.30 2.83 -2.44 1.16
t+20 20 12 60.0 2.00 0.85 4.63 -1.94 2.38

pattern 5 ) $SPX bounces and erases less than 20% of the losses during the previous trading day’s 5-day losing streak since 1990. 

the loss during the 18 Sep 2013 to 25 Sep 2013 , was -1.9% , and we regained 0.35% of gains as yesterday , hence by “simple ” average wise am calling it as regaining 18.36% (0.35*100/1.9=18.36%) of the losses during the previous 5-day losing streak .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 20 14 70.0 -0.08 0.27 0.80 -2.12 0.38
t+2 20 13 65.0 0.36 0.42 1.63 -2.01 0.81
t+3 20 14 70.0 0.11 0.31 1.62 -3.40 0.48
t+4 20 13 65.0 0.58 0.38 1.92 -1.92 1.00
t+5 20 14 70.0 0.43 0.61 2.13 -3.55 0.60
t+10 20 12 60.0 0.61 0.28 2.44 -2.14 1.14
t+20 20 13 65.0 1.60 0.81 3.66 -2.21 1.65

looking at the above 5 variations, no major edge for longs , apart from that 10/10 winners ( small sample size though)  , with an exit period set to 3 trading days , when $SPX bounces by less than 0.5% , after a 5-day losing streak since 1990  

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When $SPX breaks 5-day non losing streak after a long time

$SPX breaks 5-day non losing streak after a long time

extending a similar article that we wrote earlier this year $DJIA breaks 3-day losing streaks after a long time, next what ?

with $SPX posting the first five day consecutive losing streak of the year ( after 185 trading days) , below the details of how $SPX fares over the next , 1-to-5 days after breaking the 5-day losing streak after 100 trading days (the rationale for 100 is , it is a big round number )

Here is how $SPX fares over the next 20  trading days assuming one goes long and exits after twenty trading days later , since 1950.

  • Winners : 30
  • Losers : 13
  • % Winners : 70%
  • Average Change % : 1.95
  • Median Change % : 1.52
  • Maximum Gain % : 11.55
  • Maximum Loss % : -4.40
  • Average Gain %if Winner : 3.58
  • Average Loss % if Loser : -1.82
  • Average Gain % / Average Loss % : 1.97
  • Average Absolute Change% : 3.05

if you just look at the data from 1980 , here are the trading odds for $SPX for the next 20 trading days , after $SPX ends 5-day non-losing streak after more than 100 trading days. 

  • Winners : 20
  • Losers : 3
  • % Winners : 87%
  • Average Change % : 2.96
  • Median Change % : 1.84
  • Maximum Gain % : 11.55 ( from 8 Jan 1991 to next twenty trading days )
  • Maximum Loss % : -3.96 ( from 24 Feb  2004 to next 20 trading days) 
  • Average Gain %if Winner : 3.64
  • Average Loss % if Loser : -1.61
  • Average Gain % / Average Loss % : 2.26
  • Average Absolute Change% : 3.38

comparing apples to apples, below the trading odds for the next twenty trading days , when $SPX falls for 5 or more days ( with out any filters) since 1950

  • Winners : 239
  • Losers : 177
  • % Winners : 57%
  • Average Change % : 0.80
  • Median Change % : 0.93
  • Maximum Gain % : 18.88
  • Maximum Loss % : -21.40 ( from 12th Oct 1987 over next twenty trading days , if you don’t know already , or was not born by then 🙂 )
  • Average Gain %if Winner : 4.48
  • Average Loss % if Loser : -4.17
  • Average Gain % / Average Loss % : 1.07
  • Average Absolute Change% : 4.28

ps why no next day trading odds that we usually post , because the last two bounce plays 1) When $SPY closes on a 5 day low on Monday – currently 12 winning trades in row  and 2) 3 bar decline pattern on $SPY – suggesting a bounce for tomorrow came out as losing bets !!!

below the table with how SPX index fared over the next 1/2/3/4/5/10/20 5 trading days , after falling for 5 days in row , after not having done so for 100 trading days, since 1950.

When $SPX ends 5-day non-losing streak after 100 days , since1950

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