when $SPX gets out of the gate strongly

when $SPX gets out of the gate strongly

when $SPX gains by more than 2% during the first 4 days since 1950

firstly a very happy and new prosperous new year to the readers !!

with 4 trading days gone by into the new 2018 ,

below a look at the rest of the year returns for $SPX , since 1950 , when as on 4th trading day $SPX gains by more than 1%

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
06-Jan-17 2276.98 1.70 2673.61 17.42
07-Jan-13 1461.89 2.50 1848.36 26.44
06-Jan-12 1277.81 1.61 1426.19 11.61
06-Jan-11 1273.85 1.29 1257.60 -1.28
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-04 1126.33 1.30 1211.92 7.60
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-02 1164.89 1.46 879.82 -24.47
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-97 753.23 1.69 970.43 28.84
06-Jan-89 280.67 1.06 353.40 25.91
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
07-Jan-86 213.80 1.19 242.17 13.27
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
05-Jan-73 119.87 1.54 97.55 -18.62
06-Jan-72 103.51 1.39 118.05 14.05
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-63 64.12 1.62 75.02 17.00
07-Jan-58 41.00 2.53 55.21 34.66
07-Jan-54 25.06 1.01 35.98 43.58
05-Jan-51 20.87 2.15 23.77 13.90
06-Jan-50 16.98 1.92 20.43 20.32
avg 13.21
med 13.97
std 14.08
t-test 4.97
n 28.00
wins 23.00
% wins 82.14
avg win % 18.21
avg loss % -9.76
max loss % -24.47

vs

when $SPX returns are less than 1% during the first 4 trading days of the year , since 1950

n 40
wins 25
% wins 62.5
avg 5.37
med 4.99
avg win % 15.21
avg loss % -11.04

2) when $SPX returns are more than 2% as on 4 the trading of the year ,

nothing bearish here !!

Date $SPX 4 days gain % Year End Close ROY %
05-Jan-18 2743.15 2.60 ?? ??
07-Jan-13 1461.89 2.50 1848.36 26.44
07-Jan-10 1141.69 2.38 1257.64 10.16
06-Jan-06 1285.45 2.98 1418.30 10.33
07-Jan-03 922.93 4.90 1111.92 20.48
07-Jan-99 1269.73 3.29 1469.25 15.71
07-Jan-88 261.07 5.66 277.72 6.38
07-Jan-87 255.33 5.43 247.08 -3.23
06-Jan-84 169.28 2.64 167.24 -1.21
06-Jan-83 145.27 3.29 164.93 13.53
05-Jan-79 99.13 3.14 107.94 8.89
07-Jan-76 93.95 4.17 107.46 14.38
07-Jan-75 71.02 3.59 90.19 26.99
06-Jan-67 82.18 2.30 96.47 17.39
07-Jan-58 41.00 2.53 55.21 34.66
05-Jan-51 20.87 2.15 23.77 13.90
      avg 14.32
      med 13.90
      std 9.82
      t-test 7.72
      n 15.00
      wins 13.00
      % wins 86.67
      avg win % 16.86
      avg loss % -2.22
      max loss % -3.23

$SPX closes at 50 day low after longggg time – what next

$SPX closes at 50 day low after longgg time 

$SPX closes at 50-Day low Stock Chart

h/t to Rob Hana @QuantEdges ( must #FF and his blog Quantifiable Edges  is a must bookmark )

Below the trading odds for $SPX ( S&P 500 Index) , for the next  next 1/2/3/4/5/10/20 trading days ,

1 ) when the wait period between 50-Day low closings is more than 100 trading days for $SPX  , data since 1980.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 27 17 63.0 0.42 0.37 1.13 -0.79 1.44 -1.88
t+2 27 16 59.3 0.39 0.46 1.49 -1.20 1.24 -4.85
t+3 27 16 59.3 0.55 0.44 2.06 -1.64 1.26 -4.74
t+4 27 17 63.0 0.55 0.71 2.10 -2.07 1.01 -5.62
t+5 27 16 59.3 0.75 0.66 2.48 -1.77 1.41 -3.28
t+10 27 18 66.7 1.09 0.56 2.37 -1.47 1.61 -5.43
t+20 27 22 81.5 2.23 2.09 3.48 -3.29 1.06 -9.32
Swing High 27 19 70.4 0.14 0.43 1.06 -2.05 0.52 -3.28

Swing High, column , is made with the assumption that, one goes long at close and exits at first higher close than current close in the next five trading days , or exit at the end of the fifth trading day with loss

2 ) when the wait period between 50-Day low closings for $SPX is more than 200 trading days 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 11 8 72.7 0.63 0.55 1.11 -0.64 1.73 -0.98
t+2 11 8 72.7 0.56 0.48 1.11 -0.90 1.24 -1.33
t+3 11 9 81.8 1.07 0.62 1.51 -0.95 1.59 -1.16
t+4 11 9 81.8 1.33 1.18 1.88 -1.11 1.68 -1.98
t+5 11 9 81.8 1.16 1.40 1.84 -1.88 0.98 -1.98
t+10 11 9 81.8 1.14 0.68 1.72 -1.46 1.18 -2.36
t+20 11 9 81.8 1.90 2.09 2.87 -2.47 1.16 -3.72
Swing High 11 10 90.9 0.73 0.55 0.98 -1.79 0.55 -1.79

below the prior instances of 50-day low closings with wait periods between 50 day low closings more than 100 trading days , since 1980, highlighted in the red are where $SPX failed to close higher in the next five trading days ..

Date SPX Close  days since 50 day low close t+1 t+2 t+3 t+4 t+5
29-Jan-14 1774.2 300
07-Nov-12 1394.53 108 -1.22 -1.05 -1.04 -1.43 -2.80
14-May-12 1338.35 153 -0.57 -1.01 -2.50 -3.22 -1.67
16-Mar-11 1256.88 176 1.34 1.78 3.30 2.94 3.23
28-Jan-10 1084.53 224 -0.98 0.43 1.73 1.18 -1.98
27-Feb-07 1399.04 176 0.56 0.30 -0.85 -1.78 -0.26
17-May-06 1270.32 147 -0.67 -0.26 -0.65 -1.08 -0.92
05-Oct-05 1196.39 116 -0.41 -0.04 -0.76 -0.96 -1.56
24-Jan-05 1163.75 112 0.40 0.89 0.93 0.65 1.51
11-Mar-04 1106.78 252 1.25 -0.21 0.35 1.53 1.40
06-Oct-00 1408.99 155 -0.49 -1.56 -3.15 -5.62 -2.47
10-Aug-99 1281.43 236 1.60 1.31 3.61 3.85 4.90
03-Jun-98 1082.73 149 1.12 2.88 3.05 3.30 2.73
27-Oct-97 876.99 137 5.12 4.81 3.04 4.29 7.07
31-Mar-97 757.12 171 0.33 -0.93 -0.90 0.10 0.66
11-Apr-96 631.18 337 0.88 1.79 2.19 1.65 1.97
06-Oct-94 452.36 128 0.61 1.48 2.97 2.90 3.41
03-Mar-94 463.01 352 0.37 0.84 0.62 0.87 0.19
02-Oct-92 410.47 122 -0.71 -0.80 -1.52 -0.66 -1.90
22-Nov-91 376.14 282 -0.21 0.48 0.11 -0.24 1.40
02-Aug-90 351.48 127 -1.88 -4.85 -4.74 -3.74 -3.28
13-Oct-89 333.65 228 2.76 2.25 2.43 4.04 4.05
11-May-88 253.31 108 0.21 1.37 2.13 0.82 -0.77
20-May-87 278.21 161 0.70 1.42 3.92 3.78 4.51
12-Sep-86 230.67 242 0.55 0.46 0.44 0.71 0.67
11-Sep-85 185.03 286 -0.72 -1.15 -1.16 -1.98 -1.79
04-Aug-83 161.33 247 0.25 -1.33 -0.74 0.13 0.13
02-Feb-81 126.91 213 1.22 1.32 2.14 2.91 1.86

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when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

when SL below prev month low didn’t trigger for 17 months in row for monthly $SPX bulls

$SPX not closing below prev month low for 18 months in row chart

h/t @NorthmanTrader ( must #FF , btw )

Below the trading strategy rules that we applied ,

$SPX never closed below the previous month low , for 18 or more months in row ( in other words for the monthly bulls , who put a stop loss of previous month low , on closing basis , that is on the last trading day of the month )

below the trading odds of going at the close of the month of $SPX and exiting over the next 1/2/3/6/12 months , whenever $SPX don’t close below the previous month low for 18 months or more in row !!, since 1950

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 46 28 60.9 0.57 0.74 2.37 -2.23 1.06 -9.23
t+2 45 32 71.1 1.32 2.13 3.46 -3.96 0.88 -15.06
t+3 45 33 73.3 2.58 3.13 4.72 -3.31 1.42 -8.53
t+6 45 35 77.8 5.20 5.00 7.56 -3.05 2.47 -8.10
t+12 45 36 80.0 10.20 9.09 14.18 -5.72 2.48 -12.53

the average forward 12 month returns for $SPX , for any month stands at 6.73% ! there you have an out performance of 3.47% or 347 basis points !!

below the historical details of $SPX , never closing below the previous month low , for 17 months in row , since 1950.

Date Close # non close below prev month low t+1 t+2 t+3 t+6 t+12
Oct-2013 1756.54 17 ?? ?? ?? ?? ??
Jun-2004 1140.84 17 -3.43 -3.21 -2.3 -0.93 2.89
Jan-2001 1366.01 17 -9.23 -15.06 -8.53 -8.07 -10.37
Jun-1996 670.63 27 -4.57 -2.78 2.49 10.45 31.99
May-1996 669.12 26 0.23 -4.36 -2.56 13.14 26.78
Apr-1996 654.17 25 2.29 2.52 -2.17 7.81 22.5
Mar-1996 645.5 24 1.34 3.66 3.89 6.48 17.29
Feb-1996 640.43 23 0.79 2.15 4.48 1.81 23.48
Jan-1996 636.02 22 0.69 1.49 2.85 0.62 23.61
Dec-1995 615.93 21 3.26 3.98 4.8 8.88 20.26
Nov-1995 605.37 20 1.74 5.06 5.79 10.53 25.05
Oct-1995 581.5 19 4.1 5.92 9.38 12.5 21.28
Sep-1995 584.41 18 -0.5 3.59 5.39 10.45 17.61
Aug-1995 561.88 17 4.01 3.49 7.74 13.98 16.04
Jan-1977 102.03 17 -2.17 -3.54 -3.52 -3.12 -12.53
May-1965 88.42 32 -4.86 -3.59 -1.41 3.61 -2.59
Apr-1965 89.11 31 -0.77 -5.6 -4.33 3.71 2.19
Mar-1965 86.16 30 3.42 2.62 -2.37 4.41 3.56
Feb-1965 87.43 29 -1.45 1.92 1.13 -0.3 4.33
Jan-1965 87.56 28 -0.15 -1.6 1.77 -2.64 6.08
Dec-1964 84.75 27 3.32 3.16 1.66 -0.74 9.06
Nov-1964 84.42 26 0.39 3.72 3.57 4.74 8.52
Oct-1964 84.86 25 -0.52 -0.13 3.18 5.01 8.91
Sep-1964 84.18 24 0.81 0.29 0.68 2.35 6.87
Aug-1964 81.83 23 2.87 3.7 3.17 6.84 6.53
Jul-1964 83.18 22 -1.62 1.2 2.02 5.27 2.49
Jun-1964 81.69 21 1.82 0.17 3.05 3.75 2.97
May-1964 80.37 20 1.64 3.5 1.82 5.04 10.02
Apr-1964 79.46 19 1.15 2.81 4.68 6.8 12.14
Mar-1964 78.98 18 0.61 1.76 3.43 6.58 9.09
Feb-1964 77.8 17 1.52 2.13 3.3 5.18 12.38
Aug-1959 59.6 22 -4.56 -3.49 -2.21 -5.84 -4.43
Jul-1959 60.51 21 -1.5 -6 -4.94 -8.1 -8.26
Jun-1959 58.47 20 3.49 1.93 -2.72 2.43 -2.65
May-1959 58.68 19 -0.36 3.12 1.57 -0.68 -4.86
Apr-1959 57.59 18 1.89 1.53 5.07 -0.12 -5.59
Mar-1959 55.44 17 3.88 5.84 5.47 2.6 -0.18
Sep-1955 43.67 25 -3.05 4.21 4.14 11.01 3.85
Aug-1955 43.18 24 1.13 -1.95 5.4 5 10.03
Jul-1955 43.52 23 -0.78 0.34 -2.71 0.69 13.49
Jun-1955 41.03 22 6.07 5.24 6.43 10.85 14.48
May-1955 37.91 21 8.23 14.8 13.9 20.05 19.23
Apr-1955 37.96 20 -0.13 8.09 14.65 11.54 27.45
Mar-1955 36.58 19 3.77 3.64 12.17 19.38 32.53
Feb-1955 36.76 18 -0.49 3.26 3.13 17.46 23.34
Jan-1955 36.63 17 0.35 -0.14 3.63 3.49 12.01

Below the historical details of how the sequence of 17 months in row $SPX not closing below prev month low ended

Date Close sequence ends at Loss %
Jul-2004 1101.72 17 -3.43
Feb-2001 1239.94 17 -9.23
Jul-1996 639.95 27 -4.57
Feb-1977 99.82 17 -2.17
Jun-1965 84.12 32 -4.86
Sep-1959 56.88 22 -4.56
Oct-1955 42.34 25 -3.05

The average loss for the month stands at -4.55% , when the sequence 17 or more months of $SPX not closing below prev month low ends .

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$SPX gains for 5 or more weeks – what next ?

$SPX gains for 5 or more weeks – what next  ?

With S&P 500 Index ( $SPX) gaining for five weeks in row as on the week ending 8 Nov 2013 , below the details with how $SPX fared over the next 1/2/3/4/5 weeks .

donate @ http://www.redcross.org.ph/donate  / for the victims of Philippine Typhoon

$SPX gains for 5 weeks in row stock chart

when ever $SPX gains for 5 or more weeks in row , since 1990 .

below the trading odds for the next 1/2/3/4/5 trading weeks , assuming one goes long at the close of the week ( i.e 8 Nov 2013 in this case , and exits over the next 1 week ( t+1 ) and so on ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 53 24 45.3 -0.09 -0.25 1.09 -1.07 1.02 -3.92
t+2 53 34 64.2 0.38 0.37 1.49 -1.61 0.93 -5.57
t+3 53 34 64.2 0.72 0.67 2.15 -1.85 1.17 -8.20
t+4 53 35 66.0 0.64 0.73 2.47 -2.91 0.85 -10.45
t+5 53 36 67.9 0.78 1.41 2.85 -3.58 0.79 -12.06

when ever $SPX gains for exactly 5 weeks in row , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 29 12 41.4 -0.42 -0.28 0.94 -1.38 0.68 -3.92
t+2 29 19 65.5 0.02 0.37 1.30 -2.41 0.54 -5.57
t+3 29 17 58.6 0.27 0.46 2.16 -2.40 0.90 -8.20
t+4 29 17 58.6 -0.01 0.33 2.44 -3.48 0.70 -10.45
t+5 29 17 58.6 -0.03 0.70 2.91 -4.19 0.69 -12.06

when ever $SPX gains for 5 or more weeks in row & $SPX is above 40-MA ( weekly) , since 1990 .

the idea of 40-MA is to $SPX is above 200 -DMA

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 50 23 46.0 -0.07 -0.22 1.07 -1.04 1.03 -3.92
t+2 50 32 64.0 0.46 0.34 1.52 -1.42 1.07 -5.57
t+3 50 32 64.0 0.69 0.57 2.00 -1.65 1.21 -8.20
t+4 50 33 66.0 0.68 0.70 2.31 -2.49 0.93 -10.45
t+5 50 34 68.0 0.97 1.30 2.86 -3.05 0.94 -8.89

when ever $SPX gains for 5 or more weeks in row & $SPX is above 200-MA ( weekly) , since 1990 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 44 19 43.2 -0.17 -0.28 1.02 -1.07 0.95 -3.92
t+2 44 26 59.1 0.25 0.26 1.41 -1.42 0.99 -5.57
t+3 44 27 61.4 0.44 0.38 1.78 -1.71 1.05 -8.20
t+4 44 28 63.6 0.62 0.56 2.24 -2.21 1.02 -10.45
t+5 44 30 68.2 1.03 1.00 2.78 -2.73 1.02 -8.89

just to get an apple to apple comparison , for any random week , the trading odds for the next 1/2/3/4/5 trading weeks , since 1900

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 1243 694 55.8 0.16 0.24 1.66 -1.74 0.95 -18.20
t+2 1242 727 58.5 0.31 0.59 2.22 -2.38 0.93 -25.88
t+3 1241 743 59.9 0.47 0.78 2.77 -2.95 0.94 -28.35
t+4 1240 755 60.9 0.63 1.13 3.23 -3.41 0.95 -28.16
t+5 1239 759 61.3 0.79 1.19 3.66 -3.74 0.98 -30.14

conclusion , the odds for Longs for the next trading week are less than the normal average.

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$SPX Santa Claus Rally

$SPX Santa Claus Rally 

Santa Claus Rally

 

image courtesy : http://www.forbes.com/sites/investopedia/2012/12/26/all-i-want-for-christmas-is-a-santa-claus-rally/

this is the first of the Santa Claus Rally patterns that we are aware ( more coming at appropriate times )

pattern 1) $SPX returns from October closing till December closing, since 1950

ps: assuming one goes long on the last trading day of October and exits at the last trading of the year or the last trading day of December , backtest period is from 1950 on $SPX ( S&P 500 Index)

  • Winners : 49
  • Losers : 14
  • % Winners : 78%
  • Average Change % : 3.20
  • Median Change % : 3.62
  • Maximum Gain % : 13.57
  • Maximum Loss % : -9.92
  • Average Gain %if Winner : 5.17
  • Average Loss % if Loser : -3.68
  • Average Gain % / Average Loss % : 1.40

to get an apple to apple comparison ,  since 1950 , the trading odds for longs for any two month holding period , other than going long at October end are

  • Winners : 431
  • Losers : 270
  • % Winners : 61%
  • Average Change % : 1.24
  • Median Change % : 1.62
  • Maximum Gain % : 19.01
  • Maximum Loss % : -28.44
  • Average Gain %if Winner : 4.90
  • Average Loss % if Loser : -4.61
  • Average Gain % / Average Loss % : 1.06

pattern 2) $SPX returns from October closing till December closing , when $SPX is up in October , since 1950

  • Winners : 28
  • Losers : 9
  • % Winners : 76%
  • Average Change % : 3.02
  • Median Change % : 2.93
  • Maximum Gain % : 11.88
  • Maximum Loss % : -7.23
  • Average Gain %if Winner : 4.80
  • Average Loss % if Loser : -2.52
  • Average Gain % / Average Loss % : 1.90

pattern 3) $SPX returns from October closing till December closing , when $SPX is up YTD as on October end, since 1950

  • Winners : 37
  • Losers : 7
  • % Winners : 84%
  • Average Change % : 4.13
  • Median Change % : 4.35
  • Maximum Gain % : 13.57
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 5.22
  • Average Loss % if Loser : -1.64
  • Average Gain % / Average Loss % : 3.18

pattern 4) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 10% , as on October end, since 1950

  • Winners : 24
  • Losers : 3
  • % Winners : 89%
  • Average Change % : 4.93
  • Median Change % : 4.61
  • Maximum Gain % : 13.57
  • Maximum Loss % : -0.74
  • Average Gain %if Winner : 5.60
  • Average Loss % if Loser : -0.44
  • Average Gain % / Average Loss % : 12.73

pattern 5) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 15% , as on October end, since 1950

  • Winners : 15
  • Losers : 1
  • % Winners : 94%
  • Average Change % : 4.88
  • Median Change % : 5.22
  • Maximum Gain % : 13.57
  • Maximum Loss % : -0.74
  • Average Gain %if Winner : 5.25
  • Average Loss % if Loser : -0.74
  • Average Gain % / Average Loss % : 7.08

pattern 6) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 16% ( inspired by the word  sweet 16) , as on October end, since 1950

  • Winners : 15
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 5.25
  • Median Change % : 5.83
  • Maximum Gain % : 13.57
  • Maximum Loss % : 0.84
  • Average Gain %if Winner : 5.25
  • Average Loss % if Loser : #DIV/0!
  • Average Gain % / Average Loss % : #DIV/0!

pattern 7) $SPX returns from October closing till December closing , when $SPX is up YTD , more than 20% , as on October end, since 1950

ps: this pattern will be void if we close below 1711 as on 31st Oct 2013

  • Winners : 6
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 6.38
  • Median Change % : 6.01
  • Maximum Gain % : 13.57
  • Maximum Loss % : 1.29
  • Average Gain %if Winner : 6.38
  • Average Loss % if Loser : #DIV/0!
  • Average Gain % / Average Loss % : #DIV/0!

you see how the average returns increased from pattern 1 by the end pattern 7 !!

conclusion : if those #DIV/0 errors that are thrown by excel are indeed repeated , based on the “Sweet Sixteen $SPX YTD October returns based Santa Claus Rally pattern Median Returns ” our year end closing target is 1862.61 ( we hate a give targets , as we are focused on whether it might be an up or down day tomorrow/next week / next month etc .. for $SPX , but for the sake of it , who keeps asking for year end targets ..)

below the table with the returns up to Oct End and the rest of the year returns , since 1950

Year $SPX Close Year Start YTD Returns % Returns % in Nov Returns from Oct end to Dec End
Oct-13 ~ 1759.77 1426.19 ~ 23.39 ?? ??
Oct-12 1412.16 1257.6 12.29 0.28 0.99
Oct-11 1253.3 1257.64 -0.35 -0.51 0.34
Oct-10 1183.26 1115.1 6.11 -0.23 6.29
Oct-09 1036.19 903.25 14.72 5.74 7.62
Oct-08 968.75 1468.36 -34.03 -7.48 -6.76
Oct-07 1549.38 1418.3 9.24 -4.40 -5.23
Oct-06 1377.94 1248.29 10.39 1.65 2.93
Oct-05 1207.01 1211.92 -0.41 3.52 3.42
Oct-04 1130.2 1111.92 1.64 3.86 7.23
Oct-03 1050.71 879.82 19.42 0.71 5.83
Oct-02 885.76 1148.08 -22.85 5.71 -0.67
Oct-01 1059.78 1320.28 -19.73 7.52 8.33
Oct-00 1429.4 1469.25 -2.71 -8.01 -7.63
Oct-99 1362.93 1229.23 10.88 1.91 7.80
Oct-98 1098.67 970.43 13.21 5.91 11.88
Oct-97 914.62 740.74 23.47 4.46 6.10
Oct-96 705.27 615.93 14.50 7.34 5.03
Oct-95 581.5 459.27 26.61 4.10 5.92
Oct-94 472.35 466.45 1.26 -3.95 -2.77
Oct-93 467.83 435.71 7.37 -1.29 -0.29
Oct-92 418.68 417.09 0.38 3.03 4.07
Oct-91 392.45 330.22 18.85 -4.39 6.28
Oct-90 304 353.4 -13.98 5.99 8.63
Oct-89 340.36 277.72 22.56 1.65 3.83
Oct-88 278.97 247.08 12.91 -1.89 -0.45
Oct-87 251.79 242.17 3.97 -8.53 -1.87
Oct-86 243.98 211.28 15.48 2.15 -0.74
Oct-85 189.82 167.24 13.50 6.51 11.31
Oct-84 166.09 164.93 0.70 -1.51 0.69
Oct-83 163.55 140.64 16.29 1.74 0.84
Oct-82 133.72 122.55 9.11 3.60 5.17
Oct-81 121.89 135.76 -10.22 3.66 0.54
Oct-80 127.47 107.94 18.09 10.24 6.50
Oct-79 101.82 96.11 5.94 4.26 6.01
Oct-78 93.15 95.1 -2.05 1.66 3.18
Oct-77 92.34 107.46 -14.07 2.70 2.99
Oct-76 102.9 90.19 14.09 -0.78 4.43
Oct-75 89.04 68.56 29.87 2.47 1.29
Oct-74 73.9 97.55 -24.24 -5.32 -7.23
Oct-73 108.29 118.05 -8.27 -11.39 -9.92
Oct-72 111.58 102.09 9.30 4.56 5.80
Oct-71 94.23 92.15 2.26 -0.25 8.34
Oct-70 83.25 92.06 -9.57 4.74 10.69
Oct-69 97.12 103.86 -6.49 -3.41 -5.21
Oct-68 103.41 96.47 7.19 4.80 0.44
Oct-67 93.3 80.33 16.15 0.75 3.40
Oct-66 80.2 92.43 -13.23 0.31 0.16
Oct-65 92.42 84.75 9.05 -0.88 0.01
Oct-64 84.86 75.02 13.12 -0.52 -0.13
Oct-63 74.01 63.1 17.29 -1.05 1.36
Oct-62 56.52 71.55 -21.01 10.16 11.64
Oct-61 68.62 58.11 18.09 3.93 4.27
Oct-60 53.39 59.89 -10.85 4.03 8.84
Oct-59 57.52 55.21 4.18 1.32 4.12
Oct-58 51.33 39.99 28.36 2.24 7.56
Oct-57 41.06 46.67 -12.02 1.61 -2.61
Oct-56 45.58 45.48 0.22 -1.10 2.39
Oct-55 42.34 35.98 17.68 7.49 7.42
Oct-54 31.68 24.81 27.69 8.08 13.57
Oct-53 24.54 26.57 -7.64 0.90 1.10
Oct-52 24.52 23.77 3.16 4.65 8.36
Oct-51 22.94 20.43 12.29 -0.26 3.62
Oct-50 19.53 16.66 17.23 -0.10 4.61

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witht the first trading day of the month round the corner , please feel {free to download} Anatomy of $SPY on First Trading Day of the Month : e-book

few momentum softening patterns on $SPX

few momentum softening patterns on $SPX

$SPX Stock Chart

below few studies that triggered , suggesting for a lower close , in the next few trading sessions on $SPX

1) $SPX gains for 5 days in row and today’s volume is the highest 

below the trading odds for Longs on $SPY and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000, whenever $SPX gains for 5 days in row and today’s volume is the highest “, since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 22 10 45.5 -0.25 -0.10 0.41 -0.79 0.51 -3.52
t+2 22 8 36.4 -0.24 -0.32 0.83 -0.85 0.97 -2.35
t+3 22 11 50.0 -0.14 0.07 0.70 -0.98 0.71 -4.05
t+4 22 12 54.5 -0.22 0.08 0.94 -1.60 0.59 -7.11
t+5 22 13 59.1 -0.25 0.08 1.01 -2.08 0.49 -6.54
t+10 22 13 59.1 0.07 0.43 1.54 -2.06 0.75 -6.96
t+20 22 11 50.0 -0.04 -0.04 2.23 -2.31 0.97 -4.48

besides  $SPX posted a lower close than the current close , at some point during the next five trading days ,  on closing basis, 18/21 times , that’s 86% chance . The average loss at the first lower close stands at -0.46%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 0.69%, with max gain being 1.72%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX gains for 5 days in row and today’s volume is the highest“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67 ?? ?? ?? ?? ??
10-Sep-13 1683.99 0.31 -0.03 0.24 0.81 1.23
25-Apr-13 1585.16 -0.18 0.53 0.78 -0.16 0.78
12-Dec-12 1428.48 -0.63 -1.04 0.13 1.28 0.51
13-Mar-12 1395.95 -0.12 0.48 0.59 0.99 0.69
16-Sep-11 1216.01 -0.98 -1.14 -4.05 -7.11 -6.54
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
09-Jul-07 1531.85 -1.42 -0.85 1.03 1.35 1.15
18-Apr-07 1472.5 -0.12 0.8 0.57 0.54 1.56
25-Oct-06 1382.22 0.5 -0.35 -0.31 -0.31 -1.04
24-Oct-06 1377.38 0.35 0.85 0 0.04 0.04
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
29-Sep-05 1227.68 0.09 -0.08 -1.08 -2.55 -2.95
14-Jul-05 1226.5 0.12 -0.44 0.23 0.71 0.04
17-Jun-05 1216.96 -0.07 -0.28 -0.25 -1.33 -2.09
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
03-Nov-04 1143.2 1.62 2.01 1.9 1.83 1.72
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5
02-Sep-03 1021.99 0.42 0.59 -0.06 0.94 0.12
05-Jun-03 990.14 -0.24 -1.44 -0.54 0.74 0.85
28-May-03 953.22 -0.38 1.09 1.45 1.92 3.46
21-Mar-03 895.79 -3.52 -2.35 -2.88 -3.04 -3.6

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

check out the Anatomy of $SPY 5 day gaining streaks : e-book

2) $SPX closes at year high with the highest volume in a month ( i.e 20 trading days including today)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 19 10 52.6 -0.09 0.01 0.27 -0.50 0.54 -1.61
t+2 19 7 36.8 -0.25 -0.27 0.45 -0.66 0.69 -1.53
t+3 18 8 44.4 -0.13 -0.07 0.52 -0.65 0.80 -1.37
t+4 18 7 38.9 -0.11 -0.30 0.54 -0.53 1.03 -1.63
t+5 18 9 50.0 0.07 -0.12 0.81 -0.67 1.21 -1.90
t+10 18 11 61.1 0.49 0.42 1.48 -1.06 1.40 -1.83
t+20 18 10 55.6 0.30 0.38 2.27 -2.16 1.05 -4.48

besides  $SPX posted a lower close than the current close , at some point during the next five trading days ,  on closing basis, 15/18 times , that’s 83% chance . The average loss at the first lower close stands at -0.2%,  while the average gain ( i.e exiting after 5 trading days ) , for the exits that didn’t close below the entry point stands at 1.22%, with max gain being 1.94%.

Below the historical $SPX Change , Change% details over the next 1/2/3/4/5 days , when ever “$SPX closes at year high with the highest volume in a month“, since 2000.

Date Close t+1 t+2 t+3 t+4 t+5
22-Oct-13 1754.67
18-Oct-13 1744.5 0.01 0.58
18-Sep-13 1725.52 -0.18 -0.9 -1.37 -1.63 -1.9
14-Sep-12 1465.77 -0.31 -0.44 -0.32 -0.38 -0.38
13-Sep-12 1459.99 0.4 0.08 -0.05 0.07 0.02
06-Sep-12 1432.12 0.4 -0.21 0.1 0.31 1.95
16-Mar-12 1404.17 0.4 0.1 -0.09 -0.81 -0.5
18-Jan-11 1295.02 -1.01 -1.14 -0.9 -0.32 -0.3
15-Apr-10 1211.67 -1.61 -1.17 -0.37 -0.47 -0.25
14-Apr-10 1210.65 0.08 -1.53 -1.08 -0.29 -0.39
21-May-07 1525.1 -0.06 -0.18 -1.15 -0.61 -0.46
20-Apr-07 1484.35 -0.23 -0.27 0.75 0.67 0.65
14-Nov-06 1393.22 0.24 0.47 0.57 0.52 0.69
17-Mar-06 1307.25 -0.17 -0.77 -0.17 -0.43 -0.33
04-Nov-04 1161.67 0.39 0.28 0.21 0.11 1.02
08-Jan-04 1131.92 -0.89 -0.41 -0.95 -0.12 0.01
07-Jan-04 1126.33 0.5 -0.4 0.08 -0.45 0.37
18-Dec-03 1089.18 -0.05 0.35 0.63 0.45 0.62
16-Dec-03 1075.13 0.13 1.31 1.26 1.66 1.94
03-Sep-03 1026.27 0.17 -0.48 0.52 -0.3 -1.5

highlighted in bold are the instances , where $SPX didn’t post a lower close in the next five trading days.

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check out the Earnings Historical Price Reaction Database 

$SPX now above 200 DMA for 228 days in row

$SPX now above 200 DMA for 228 days in row

$SPX above 200 DMA for 228 days in row

h/t @RyanDetrick

 http://stocktwits.com/StockTwits/message/16515478

for some that 228 number might be an arbitrary , for some it is when that 227 days streak of $SPX closing above 200 DMA ended on , 15th Oct 1987, before that scary 1987 October crash , when the $SPX lost 24.57% in next two trading days.

While the current streak might further continue unless we close below ~ 1606 tomorrow . below a look at $SPX forward returns when $SPX closed exactly for 228 day in row above the 200-DMA

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+5 17 10 58.8 -0.94 0.35 1.21 -4.02 0.30
t+10 17 8 47.1 -0.84 -0.05 2.34 -3.67 0.64
t+20 17 9 52.9 -0.36 0.61 3.39 -4.59 0.74
t+40 17 9 52.9 0.03 0.72 4.34 -4.83 0.90
t+60 17 11 64.7 1.37 1.02 4.63 -4.61 1.01
t+125 17 13 76.5 3.59 2.11 7.32 -8.52 0.86
t+250 17 10 58.8 6.10 7.63 18.62 -11.80 1.58

t+5 : holding the longs after five trading days , while t+250 is holding the longs for 250 days .

without that 15-Oct-1987 , 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+5 16 10 62.5 0.04 0.51 1.21 -1.90 0.64
t+10 16 8 50.0 0.23 0.34 2.34 -1.89 1.24
t+20 16 9 56.3 0.65 0.89 3.39 -2.87 1.18
t+40 16 9 56.3 1.35 1.37 4.34 -2.51 1.73
t+60 16 11 68.8 2.56 1.28 4.63 -1.99 2.32
t+125 16 13 81.3 4.62 2.88 7.32 -7.07 1.03
t+250 16 10 62.5 6.90 7.77 18.62 -12.64 1.47

below the $SPX streaks of continuous closings above 227 trading days , since 1950 

Date Close Days Above 200- DMA Days Above 200-DMA , prev day t+5 t+10 t+20 t+40 t+60 t+125 t+250
15-Oct-13 1698.06 228 227
12-Jul-07 1547.7 228 227 0.35 -4.2 -6.11 -6.08 0.64 -8.95 -19.58
12-Mar-04 1120.57 228 227 -0.96 -1.12 2.2 -2.99 1.93 0.30 7.91
23-Jun-97 878.62 228 227 0.74 4.57 6.3 5.39 7.33 8.73 25.27
14-Nov-95 589.29 228 227 1.86 3.11 5.5 2.12 11.38 12.95 24.02
13-Sep-93 462.06 228 227 -1.52 -0.06 -0.26 -0.4 1.02 0.40 2.40
17-Oct-89 341.16 228 227 0.74 -0.23 -0.93 3.4 -0.36 1.03 -12.06
15-Oct-87 298.08 0 227 -16.72 -17.88 -16.63 -21.05 -17.67 -12.86 -6.76
05-Sep-86 250.47 228 227 -7.91 -7.29 -6.69 -2.59 -0.57 15.99 29.12
27-Jun-85 191.23 228 227 0.67 1.08 0.61 -2.12 -3.62 8.59 30.17
15-Jul-83 164.29 228 227 2.8 -1.05 -1.3 0.72 5.09 2.11 -8.36
10-Apr-81 134.51 228 227 0.7 0.72 -3.57 -1.89 -4.60 -9.07 -14.16
20-Oct-64 85.18 228 227 -0.21 -0.05 1.22 -1.5 1.54 3.66 7.63
17-Oct-63 73.26 228 227 0.03 1.02 -1.24 2.02 4.49 9.88 15.00
01-Nov-61 68.73 228 227 2.97 4.2 4.44 3.24 -0.81 -3.20 -17.74
16-Mar-59 56.06 228 227 -0.34 -1.11 1.16 3.39 0.54 1.66 -3.98
20-Oct-54 32.17 228 227 -0.47 2.02 3.95 11.66 7.49 18.99 28.54
27-Jun-51 21.37 228 227 1.26 2.01 5.15 7.16 9.50 10.86 16.19

Below the table with $SPX largest streaks of closings above 200-DMA , since 1950

Date Close Days above 200 DMA streak t+20 t+40 t+60 t+125 t+250
15-Oct-13 1698.06 228++
03-Aug-07 1433.06 243 2.86 7.95 7.53 -2.63 -11.56
16-Jul-04 1101.39 313 -3.32 2.22 2.09 7.84 11.07
27-Aug-98 1042.59 525 0.21 2.69 11.60 18.77 32.53
15-Jul-96 629.8 394 5.71 5.4 11.25 20.59 45.09
25-Mar-94 460.58 363 -1.71 -1.25 -1.63 -0.20 7.68
22-Jan-90 330.38 293 -0.72 3.39 3.13 9.45 -0.73
15-Oct-87 298.08 227 -16.63 -21.05 -17.67 -12.86 -6.76
12-Sep-86 230.67 232 2.09 6.55 8.88 26.25 36.09
17-Sep-85 181.36 283 3.65 8.68 13.99 30.01 27.89
14-Dec-83 163.33 333 2.26 -4.3 -4.28 -6.86 -0.31
05-May-81 130.32 243 0.3 -0.42 -0.24 -6.47 -10.65
09-Jun-65 85.04 386 0.41 0.88 3.07 7.47 0.45
22-Nov-63 69.61 252 6.26 10.75 11.51 15.73 23.95
04-Apr-62 68.49 332 -2.86 -13.3 -20.06 -18.09 -2.41
15-Sep-59 56.68 355 0.85 1.43 4.13 -3.42 -1.69
23-May-56 45.02 628 3.8 9.62 8.44 -0.29 4.71
30-Apr-52 23.32 436 2.23 6.13 7.89 3.47 6.05
avg 0.32 1.49 2.92 5.22 9.49
    % up 70.6% 70.6% 70.6% 52.9% 58.8%

conclusion : nothing , but fun with some number crunching …

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bit dangerous to short this $SPX, when gained for 5 or more days in row since 2011

$SPX 5 or more consecutive winning streaks , since 2011

with $SPX ( S&P 500 Index )  gaining for 5 days in row , one might thing it might fall in the coming days, which is not the case at-least since 2011.

Here are the trading odds for $SPX longs with 5 trading days exit period after $SPX gains for 5 or more days, since 2011

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 0.35
  • Median Change % : 0.70
  • Maximum Gain % : 1.71
  • Maximum Loss % : -6.54
  • Average Gain %if Winner : 0.85
  • Average Loss % if Loser : -2.14
  • Average Gain % / Average Loss % : 0.40

Here are the trading odds for $SPX longs with 20 trading  days exit period after $SPX gains for 5 or more days.

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 1.19
  • Median Change % : 1.32
  • Maximum Gain % : 4.19
  • Maximum Loss % : -3.94
  • Average Gain %if Winner : 1.80
  • Average Loss % if Loser : -1.88
  • Average Gain % / Average Loss % : 0.96

besides the above statistics, $SPX gained at-least by 0.5% on closing basis on all the 24 occasions at some point of time in the next trading days , and 22/24 ( 92%) times gained at-least by 1% on closing basis .

below the table with the details of next 20 trading days max gains ( we have no idea what that max close in the next 20 trading days would be , ask Chuck Norris 🙂 ) , distributions ,whenever $SPX gained for 5 or more days , since 2011.

Gains # %age
 > 0% 24 100%
> 0.5 % 24 100%
> 1 % 22 92%
> 2 % 15 63%
> 3 % 7 29%
> 4 % 2 8%

below the details of those max gains of the same

Date Close #Gain Streak Next 20 Days Max Close Gain % From Current Close
09-Sep-13 1671.71 5
15-Jul-13 1682.5 8 1709.67 1.61
12-Jul-13 1680.19 7 1709.67 1.75
11-Jul-13 1675.02 6 1709.67 2.07
10-Jul-13 1652.62 5 1709.67 3.45
08-May-13 1632.69 5 1669.16 2.23
25-Apr-13 1585.16 5 1669.16 5.30
11-Mar-13 1556.22 7 1570.25 0.90
08-Mar-13 1551.18 6 1570.25 1.23
07-Mar-13 1544.26 5 1570.25 1.68
25-Jan-13 1502.96 8 1530.94 1.86
24-Jan-13 1494.82 7 1530.94 2.42
23-Jan-13 1494.81 6 1530.94 2.42
22-Jan-13 1492.56 5 1530.94 2.57
12-Dec-12 1428.48 6 1472.12 3.05
11-Dec-12 1427.84 5 1472.12 3.10
23-Nov-12 1409.15 5 1446.79 2.67
10-Aug-12 1405.87 6 1437.92 2.28
09-Aug-12 1402.8 5 1437.92 2.50
13-Mar-12 1395.95 5 1419.04 1.65
23-Jan-12 1316 5 1362.21 3.51
27-Dec-11 1265.43 5 1326.06 4.79
16-Sep-11 1216.01 5 1224.58 0.70
01-Jul-11 1339.67 5 1353.22 1.01
27-Jan-11 1299.54 5 1343.01 3.35

if you are looking for 0.5% gains from here on-wards in the next 20 trading days , for your longs, you have a 100 % chance !!

oh no !! am holding shorts what are my odds then ??

here are the odds for shorts  from current close to next 20 day lowest closing point

Max Loss # %age
 never went below  6 25%
< -0.5 % 11 46%
< -1 % 9 38%
< -2 % 3 13%
< -3 % 2 8%
< -4 % 1 4%

in other words the chance for a 4 percent correction from here till next 20 trading days ,  is about 4% ( happened during Sep 2011 )

below the details of those max losses of the same

Date Close #Gain Streak Next 20 Days Min Close Loss % From Current Close
09-Sep-13 1671.71 5
15-Jul-13 1682.5 8 1676.26 -0.37
12-Jul-13 1680.19 7 1676.26 -0.23
11-Jul-13 1675.02 6 1675.02 0.00
10-Jul-13 1652.62 5 1652.62 0.00
08-May-13 1632.69 5 1608.9 -1.46
25-Apr-13 1585.16 5 1582.24 -0.18
11-Mar-13 1556.22 7 1545.8 -0.67
08-Mar-13 1551.18 6 1545.8 -0.35
07-Mar-13 1544.26 5 1544.26 0.00
25-Jan-13 1502.96 8 1487.85 -1.01
24-Jan-13 1494.82 7 1494.82 0.00
23-Jan-13 1494.81 6 1494.81 0.00
22-Jan-13 1492.56 5 1492.56 0.00
12-Dec-12 1428.48 6 1402.43 -1.82
11-Dec-12 1427.84 5 1402.43 -1.78
23-Nov-12 1409.15 5 1398.94 -0.72
10-Aug-12 1405.87 6 1399.48 -0.45
09-Aug-12 1402.8 5 1399.48 -0.24
13-Mar-12 1395.95 5 1358.59 -2.68
23-Jan-12 1316 5 1312.41 -0.27
27-Dec-11 1265.43 5 1249.64 -1.25
16-Sep-11 1216.01 5 1099.23 -9.60
01-Jul-11 1339.67 5 1286.94 -3.94
27-Jan-11 1299.54 5 1276.34 -1.79

below the table with $SPX , 5 or more consecutive winning days in a row , since 2011.

$SPX 5 days of consecutive gains since 2011

you might want to read What the String of 5 Higher Closes Under These Circumstances is Suggesting  by @QuantEdges  which takes the study back to 1960’s

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When $SPX closes in the bottom 10% of the monthly range

When $SPX closes in the bottom 10% of the monthly range 

with the $SPX monthly OHLC for August being , 1689.42, 1709.67 ,1627.47 ,1632.97

giving us the closing price range value as , (Close-Low)/(High-Low) , (1632.97-1627.47)/(1709.67-1627.47) = 6.69%

We looked at what happens in the next month , when $SPX closes in the bottom 1o% of the monthly range

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, since 1950

  • Winners : 34
  • Losers : 14
  • % Winners : 71%
  • Average Change % : 1.69
  • Median Change % : 1.75
  • Maximum Gain % : 16.30
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 4.22
  • Average Loss % if Loser : -4.44
  • Average Gain % / Average Loss % : 0.95

Winning Odds for any random month for $SPX ,  since 1950

  • Winners : 452
  • Losers : 311
  • % Winners : 59%
  • Average Change % : 0.69
  • Median Change % : 0.91
  • Maximum Gain % : 16.30
  • Maximum Loss % : -21.76
  • Average Gain %if Winner : 3.34
  • Average Loss % if Loser : -3.18
  • Average Gain % / Average Loss % : 1.05

Lets tweak a further with the following rules.

  • $SPX closes in the bottom 10% of the monthly range
  • $SPX close is above 10-month moving average

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, since 1951

  • Winners : 20
  • Losers : 4
  • % Winners : 83%
  • Average Change % : 2.12
  • Median Change % : 2.39
  • Maximum Gain % : 8.31
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 3.45
  • Average Loss % if Loser : -4.51
  • Average Gain % / Average Loss % : 0.76
  • Average Absolute Change% : 3.18

Lets tweak a bit further with the following rules.

  • $SPX closes in the bottom 10% of the monthly range
  • $SPX close is above 10-month moving average
  • $SPX closes in red for the month

Winning odds for the next month  after $SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, and $SPX closed in red for the month since 1951

  • Winners : 19
  • Losers : 3
  • % Winners : 86%
  • Average Change % : 2.21
  • Median Change % : 2.39
  • Maximum Gain % : 8.31
  • Maximum Loss % : -14.58
  • Average Gain %if Winner : 3.43
  • Average Loss % if Loser : -5.53
  • Average Gain % / Average Loss % : 0.62
  • Average Absolute Change% : 3.18

Below the table with $SPX change % details for the next month,

$SPX closes in the bottom 10% of the monthly range, and $SPX closes above 10 month moving average, and $SPX closed in red for the month , since 1951

Date Open High Low Close Close Range % Cls/10-MA Loss% Next Month Change%
Aug-13 1689.42 1709.67 1627.47 1632.97 6.69 1.05 -3.13 ??
Jan-10 1116.56 1150.45 1071.59 1073.87 2.89 1.06 -3.70 2.85
Jul-07 1504.66 1555.9 1454.25 1455.27 1 1.01 -3.20 1.29
Dec-05 1249.48 1275.8 1246.59 1248.29 5.82 1.03 -0.10 2.55
Jun-05 1191.5 1219.59 1188.3 1191.33 9.68 1.02 -0.01 3.60
Apr-04 1126.21 1150.57 1107.23 1107.3 0.16 1.03 -1.68 1.21
Jul-99 1372.71 1420.33 1328.49 1328.72 0.25 1.05 -3.20 -0.63
Jul-98 1133.84 1190.58 1114.3 1120.67 8.35 1.07 -1.16 -14.58
Aug-97 954.29 964.17 893.34 899.47 8.65 1.09 -5.75 5.32
Mar-97 790.82 814.9 756.13 757.12 1.68 1.05 -4.26 5.84
Jan-92 417.03 421.18 408.64 408.78 1.12 1.05 -1.99 0.96
Nov-84 166.09 170.41 162.99 163.58 7.95 1.03 -1.51 2.24
Oct-83 165.99 172.65 162.86 163.55 7.05 1.02 -1.52 1.74
Jan-81 135.76 140.32 128.57 129.55 8.34 1.05 -4.57 1.33
Jul-71 99.16 101.52 95.08 95.58 7.76 1.00 -3.16 3.61
Oct-67 96.71 98.25 93.29 93.3 0.2 1.02 -3.53 0.75
May-67 94.01 95.25 88.71 89.08 5.66 1.06 -5.24 1.75
Feb-63 66.31 66.96 64.08 64.29 7.29 1.07 -2.89 3.55
Jun-61 66.56 67.08 64.47 64.64 6.51 1.06 -2.88 3.28
Oct-54 32.29 32.76 31.68 31.68 0 1.09 -1.95 8.08
Aug-54 30.99 31.21 29.83 29.83 0 1.08 -3.40 8.31
Sep-51 23.28 23.71 23.26 23.26 0 1.06 -0.09 -1.38
Jun-51 21.48 22.05 20.96 20.96 0 1.00 -2.60 6.87

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it looks like 1967

it looks like 1967

inspired by an earlier article “2013 Shaping Up Like 1995” by  Jon Markman at Forbes , and the excellent new pattern matching service  pattern positive  and not to forget Eric’s greatest chart analogue portal  Market Anthropology 

We did the following steps to arrive at how does 2013 compares with the other years since 1950

1) 23rd Aug 2013 being the 163rd trading of the year , we took daily percentage changes of $SPX up to 163rd trading day of each year

2) Calculate the correlation coefficient between the S&P 500′s daily percentage changes of 2013 and to that of every other year since 1950.

below the results in table with Correlation Co-efficient for each year with year 2013 , YTD returns, and the rest of the year returns. ( for your editing purposes we are giving the plain table rather than a color coded excel table transported into a .png file)

Year Correl With 2013 $SPX at 163rd  day Year Start Year End YTD Returns % Rest of the Year Returns %
2013 1.00 1663.5 1426.19  ?? 16.64 ??
2012 -0.11 1402.08 1257.6 1426.19 11.49 1.72
2011 0.13 1177.6 1257.64 1257.6 -6.36 6.79
2010 0.13 1055.33 1115.1 1257.64 -5.36 19.17
2009 0.09 1028 903.25 1115.1 13.81 8.47
2008 -0.12 1292.2 1468.36 903.25 -12 -30.1
2007 -0.01 1479.37 1418.3 1468.36 4.31 -0.74
2006 -0.13 1296.06 1248.29 1418.3 3.83 9.43
2005 0.02 1209.59 1211.92 1248.29 -0.19 3.2
2004 0.03 1104.96 1111.92 1211.92 -0.63 9.68
2003 -0.09 993.71 879.82 1111.92 12.94 11.9
2002 -0.05 940.86 1148.08 879.82 -18.05 -6.49
2001 -0.05 1162.09 1320.28 1148.08 -11.98 -1.21
2000 0.04 1505.97 1469.25 1320.28 2.5 -12.33
1999 0.03 1381.79 1229.23 1469.25 12.41 6.33
1998 -0.13 1092.85 970.43 1229.23 12.62 12.48
1997 0.03 923.54 740.74 970.43 24.68 5.08
1996 0.05 665.07 615.93 740.74 7.98 11.38
1995 -0.07 557.14 459.27 615.93 21.31 10.55
1994 0.02 469.03 466.45 459.27 0.55 -2.08
1993 -0.05 459.77 435.71 466.45 5.52 1.45
1992 -0.04 414.85 417.09 435.71 -0.54 5.03
1991 -0.10 391.33 330.22 417.09 18.51 6.58
1990 0.13 316.55 353.4 330.22 -10.43 4.32
1989 0.03 344.7 277.72 353.4 24.12 2.52
1988 -0.03 257.09 247.08 277.72 4.05 8.02
1987 -0.03 333.33 242.17 247.08 37.64 -25.88
1986 -0.06 250.19 211.28 242.17 18.42 -3.21
1985 0.07 187.36 167.24 211.28 12.03 12.77
1984 -0.08 167.06 164.93 167.24 1.29 0.11
1983 -0.09 162.77 140.64 164.93 15.74 1.33
1982 -0.02 115.35 122.55 140.64 -5.88 21.92
1981 -0.02 125.5 135.76 122.55 -7.56 -2.35
1980 -0.01 125.46 107.94 135.76 16.23 8.21
1979 0.11 108.99 96.11 107.94 13.4 -0.96
1978 -0.09 104.91 95.1 96.11 10.32 -8.39
1977 -0.01 97.23 107.46 95.1 -9.52 -2.19
1976 -0.06 101.96 90.19 107.46 13.05 5.39
1975 0.06 84.28 68.56 90.19 22.93 7.01
1974 -0.04 72.8 97.55 68.56 -25.37 -5.82
1973 0.00 101.91 118.05 97.55 -13.67 -4.28
1972 -0.11 112.41 102.09 118.05 10.11 5.02
1971 -0.04 100.4 92.15 102.09 8.95 1.68
1970 -0.07 79.24 92.06 92.15 -13.93 16.29
1969 0.04 94.49 103.86 92.06 -9.02 -2.57
1968 -0.10 100.52 96.47 103.86 4.2 3.32
1967 0.13 93.61 80.33 96.47 16.53 3.06
1966 -0.11 78.11 92.43 80.33 -15.49 2.84
1965 -0.09 86.71 84.75 92.43 2.31 6.6
1964 0.11 82.07 75.02 84.75 9.4 3.27
1963 -0.13 71.54 63.1 75.02 13.38 4.86
1962 0.04 59.78 71.55 63.1 -16.45 5.55
1961 -0.07 67.59 58.11 71.55 16.31 5.86
1960 0.00 57.75 59.89 58.11 -3.57 0.62
1959 -0.11 59.08 55.21 59.89 7.01 1.37
1958 0.00 47.63 39.99 55.21 19.1 15.91
1957 0.15 45.16 46.67 39.99 -3.24 -11.45
1956 -0.09 47.42 45.48 46.67 4.27 -1.58
1955 0.04 42.55 35.98 45.48 18.26 6.89
1954 -0.05 30.87 24.81 35.98 24.43 16.55
1953 0.04 24.35 26.57 24.81 -8.36 1.89
1952 0.09 24.99 23.77 26.57 5.13 6.32
1951 0.02 22.9 20.43 23.77 12.09 3.8
1950 -0.14 18.79 16.66 20.43 12.79 8.73

Below the top 10 resembling years with 2013 as per correlation of daily percentage changes up to 163 trading day .

Year Correl YTD Returns
2013 1 16.64
1957 0.147 -3.24
2010 0.133 -5.36
1990 0.131 -10.43
2011 0.129 -6.36
1967 0.126 16.53
1979 0.106 13.4
1964 0.106 9.4
2009 0.085 13.81
1952 0.085 5.13
1985 0.065 12.03

as the years 1957, 2010,1990,2011, don’t match ( within +/- 2% range) to that 2013 YTD returns , we assumed the closest match to the 2013 year is 1967 and then 1979 to certain extent.

Below chart with a comparison of 2013 ( YTD Returns) to that of 1967

$SPX 2013 vs 1967 YTD Returns Chart
$SPX 2013 vs 1967 YTD Returns Chart


blue – 2013 , red – 1967

# FYI Year 1967 went on to return 3.06% for the rest of the year , from the 163rd trading close to year ending close ..

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