it seems most of the $SPX Q3 gains have come in first five trading days

a look at $SPX gains in Q3 since 1950

this might come across as fun with the averages, but good to know

Trading odds for Longs on the first trading day of Q3 , since 1950

  • Winners : 44
  • Losers : 19
  • % Winners : 70%
  • Average Change % : 0.26
  • Median Change % : 0.38
  • Maximum Gain % : 2.03
  • Maximum Loss % : -2.14
  • Average Gain %if Winner : 0.65
  • Average Loss % if Loser : -0.67
  • Average Gain % / Average Loss % : 0.96
  • Average Absolute Change% : 0.83

Trading odds for Longs on the first five trading days of Q3 , since 1950

  • Winners : 40
  • Losers : 23
  • % Winners : 63%
  • Average Change % : 0.67
  • Median Change % : 0.91
  • Maximum Gain % : 3.92
  • Maximum Loss % : -5.71
  • Average Gain %if Winner : 1.96
  • Average Loss % if Loser : -1.63
  • Average Gain % / Average Loss % : 1.20
  • Average Absolute Change% : 2.12

Trading odds for Longs for the whole Q3 , since 1950

  • Winners : 37
  • Losers : 26
  • % Winners : 59%
  • Average Change % : 0.50
  • Median Change % : 2.49
  • Maximum Gain % : 15.92
  • Maximum Loss % : -26.12
  • Average Gain %if Winner : 6.28
  • Average Loss % if Loser : -7.72
  • Average Gain % / Average Loss % : 0.81
  • Average Absolute Change% : 8.14

on the surface of it the whole Q3 gains seems to have come in the first five trading days !!

below the table with the details first trading days , first five trading days , and for the whole Q3 for $SPX since 1950

$SPX in Q3 since 1950

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$SPX gains by more than 10% in the first half , how does second half fare ?

$SPX gains by more than 10% in the first half year

With S&P 500 Index ( $SPX) gaining by 12.63% for the first half of the year , below the details with how $SPX fared over the next 1 month , 1 quarter , and for the rest of the year , since 1950

this is the 20th instance of $SPX gaining more than 10% in the first half of the year , since 1950. The last $SPX gained more than 10% was in 2003 !

Winning odds for the next month  after $SPX gains by more than 10% in the first HY

  • Winners : 11
  • Losers : 8
  • % Winners : 58%
  • Average Change % : 1.73
  • Median Change % : 3.18
  • Maximum Gain % : 8.84
  • Maximum Loss % : -6.77
  • Average Gain %if Winner : 4.97
  • Average Loss % if Loser : -2.73
  • Average Gain % / Average Loss % : 1.82

Average change for any random one month holding period stands at 0.69% , since 1950

Winning odds for the next Quarter ( i.e 3 month holding period) after $SPX gains by more than 10% in the first HY

  • Winners : 12
  • Losers : 7
  • % Winners : 63%
  • Average Change % : 1.69
  • Median Change % : 3.23
  • Maximum Gain % : 10.65
  • Maximum Loss % : -11.89
  • Average Gain %if Winner : 6.27
  • Average Loss % if Loser : -6.16
  • Average Gain % / Average Loss % : 1.02

Average change for any random three month holding period stands at 2.01%

 Winning odds for the next Half Year  ( i.e 6 month holding period) after $SPX gains by more than 10% in first HY

  • Winners : 15
  • Losers : 4
  • % Winners : 79%
  • Average Change % : 7.09
  • Median Change % : 9.64
  • Maximum Gain % : 23.18
  • Maximum Loss % : -18.72
  • Average Gain %if Winner : 10.91
  • Average Loss % if Loser : -7.26
  • Average Gain % / Average Loss % : 1.50

Average change for any random six month holding period stands at 4.23% , since 1950

Below the table with $SPX change % details for the next 1 Month, 1 Quarter , and rest of the year  after $SPX gains by more than 10% in the first HY

$SPX gains of more than 10% in 1st HY, since 1950

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$SPX dips after gaining for 6 or more months – mega bullish for next 6 months

$SPX dips after gaining for 6 or more months

With S&P 500 Index ( $SPX) falling by -1.5% for the first time in this month of June 2013, after gaining for 7 months  in row , below the details with how $SPX fared over the next 1 month , 1 quarter , 6 months , when ever $SPX falls in a month after gaining for 6 or more months in row

Winning odds for the next month  after $SPX falls after gaining for 6 or more  months in row

  • Winners : 15
  • Losers : 3
  • % Winners : 83%
  • Average Change % : 2.46
  • Median Change % : 3.05
  • Maximum Gain % : 8.31
  • Maximum Loss % : -4.57
  • Average Gain %if Winner : 3.46
  • Average Loss % if Loser : -2.54
  • Average Gain % / Average Loss % : 1.36

Average change for any random one month holding period stands at 0.69% , since 1950

Winning odds for the next Quarter ( i.e 3 month holding period) after $SPX falls after gaining for 6 or more  months in row

  • Winners : 16
  • Losers : 2
  • % Winners : 89%
  • Average Change % : 3.76
  • Median Change % : 3.21
  • Maximum Gain % : 14.78
  • Maximum Loss % : -12.24
  • Average Gain %if Winner : 5.04
  • Average Loss % if Loser : -6.42
  • Average Gain % / Average Loss % : 0.78

Average change for any random three month holding period stands at 2.01%

 Winning odds for the next Half Year  ( i.e 6 month holding period) after $SPX falls after gaining for 6 or more  months in row

  • Winners : 16
  • Losers : 2
  • % Winners : 89%
  • Average Change % : 9.10
  • Median Change % : 8.87
  • Maximum Gain % : 23.23
  • Maximum Loss % : -5.66
  • Average Gain %if Winner : 10.80
  • Average Loss % if Loser : -4.51
  • Average Gain % / Average Loss % : 2.40

Average change for any random six month holding period stands at 4.23% , since 1950

Below the table with $SPX change % details after 1 Month, 1 Quarter , Half Year after $SPX falls after gaining for 6 or more  months in row

$SPX dips after gaining for 6 or more months in row, since 1950

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$SPX Returns in June Option Expiry Week Since 1984 – anything but flat

$SPX Returns in June Option Expiry Week Since 1984

A look at historical returns for $SPX ( S&P 500 Index) during the June Option Expiry Week since 1984,
Here are the trading odds assuming one stays long on $SPX during June Option Expiry Week ,
  • Winners : 16
  • Losers : 13
  • % Winners : 55%
  • Average Change % : -0.03
  • Median Change % : 0.15
  • Maximum Gain % : 3.80
  • Maximum Loss % : -4.00
  • Average Gain %if Winner : 1.26
  • Average Loss % if Loser : -1.62
  • Average Gain % / Average Loss % : 0.78
  • Average Absolute Change% : 1.29

Average absolute change% information might be useful for Option Strangle/Straddle  sellers/buyers ..

below the details of $SPX Change , Change% details during June Option Expiry Week since 1990

$SPX Change , Change% in June Option Expiry Week since 1984

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When $SPX Intraday-Low Crossed Above Lower Bollinger Band

 $SPX Intraday-Low Crossed Above Lower Bollinger Band

$SPX intraday low crosses Lower Bollinger Band Stock Chart

S&P 500 Index ($SPX) –  intraday low croses above lower bollinger band trading system rules

  • $SPX intrday low is above lower bollinger band during todays trading session, while
  • $SPX intrday low is below lower bollinger band during previous trading session
  • Go long at close
  • Exit at next trading day’s close

Below the backtest performance summary results when $SPX intraday low croses above lower bollinger band, since last 4 years

Go Long when $SPX intraday low croses above lower bollinger band trading system backtest performance during last 4 years
Total # of Trades 36 Percent Profitable Trades 67%
Number of Win Trades 24 Number of Loss Trades 12
Avg Profit Trade % 0.73 Median Trade % 0.5
Profit Factor 3.93 Outlier Adjusted Profit Factor 3.43
Avg Win Trade % 1.45% Avg Loss Trade % -0.72%
Max Win Trade % 4.33% Max Loss Trade % 2.07%
Max Consecutive Wins 7 Max Consecutive Losses 2
Ratio Avg Win / Avg Loss % 2.01 T-Test 3.11

Below the details of next day change, change% of $SPX price, when  $SPX intraday low croses above lower bollinger band , during last 4 years.

Date Next Day Change Next Day Change % Date Next Day Change Next Day Change %
14-Jun-13 ?? ??
07-Jun-13 -0.57 -0.03 27-Sep-11 -24.32 -2.07
19-Apr-13 7.25 0.47 11-Aug-11 6.17 0.53
08-Apr-13 5.54 0.35 13-Jun-11 16.04 1.26
27-Feb-13 -1.31 -0.09 09-Jun-11 -18.02 -1.4
02-Jan-13 -3.05 -0.21 26-May-11 5.41 0.41
19-Nov-12 0.92 0.07 19-Apr-11 17.74 1.35
12-Nov-12 -5.5 -0.4 18-Mar-11 19.17 1.5
31-Oct-12 15.43 1.09 26-Aug-10 17.37 1.66
15-Oct-12 14.79 1.03 23-Aug-10 -15.49 -1.45
11-Oct-12 -4.25 -0.3 06-Jul-10 32.21 3.13
05-Sep-12 28.68 2.04 26-May-10 35.11 3.29
05-Jun-12 29.63 2.3 24-May-10 0.38 0.04
21-May-12 0.64 0.05 11-May-10 15.88 1.37
10-May-12 -4.6 -0.34 08-Feb-10 13.78 1.3
13-Apr-12 -0.69 -0.05 01-Feb-10 14.13 1.3
29-Nov-11 51.77 4.33 04-Nov-09 20.13 1.92
18-Nov-11 -22.67 -1.86 09-Jul-09 -3.55 -0.4
05-Oct-11 20.94 1.83 24-Jun-09 19.32 2.14

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$SPX 7 or more months winning streaks since 1950

$SPX 7 or more months winning streaks since 1950

With S&P 500 Index ( $SPX) gaining for 7 months  in row , below the details with how $SPX fared over the next 1 month , 1 quarter , 6 months and over the next one year since 1950.

#FYI , this is the 62nd time that $SPX gaining for 7 months in row (interleaving instances , if $SPX gains for 8 months , it is included as well under 7 months of consecutive gains ) in row since 1950,

Winning odds for the next month  after $SPX gains for 7 months in row

  • Winners : 15
  • Losers : 12
  • % Winners : 56%
  • Average Change % : 0.87
  • Median Change % : 0.23
  • Maximum Gain % : 10.24
  • Maximum Loss % : -4.79
  • Average Gain %if Winner : 3.47
  • Average Loss % if Loser : -2.39
  • Average Gain % / Average Loss % : 1.45

Winning odds for the next Quarter ( i.e 3 month holding period) $SPX gains for 7 months in row

  • Winners : 23
  • Losers : 4
  • % Winners : 85%
  • Average Change % : 3.79
  • Median Change % : 3.05
  • Maximum Gain % : 10.61
  • Maximum Loss % : -6.58
  • Average Gain %if Winner : 4.91
  • Average Loss % if Loser : -2.63
  • Average Gain % / Average Loss % : 1.87

 Winning odds for the next Half Year  ( i.e 6 month holding period) $SPX gains for 7 months in row

  • Winners : 24
  • Losers : 3
  • % Winners : 89%
  • Average Change % : 8.90
  • Median Change % : 10.45
  • Maximum Gain % : 23.18
  • Maximum Loss % : -5.64
  • Average Gain %if Winner : 10.42
  • Average Loss % if Loser : -3.31
  • Average Gain % / Average Loss % : 3.15

 Winning odds for the next One Year  ( i.e 12 month holding period) $SPX gains for 7 months in row

  • Winners : 21
  • Losers : 6
  • % Winners : 78%
  • Average Change % : 11.97
  • Median Change % : 7.96
  • Maximum Gain % : 40.93
  • Maximum Loss % : -10.41
  • Average Gain %if Winner : 16.96
  • Average Loss % if Loser : -5.50
  • Average Gain % / Average Loss % : 3.09

Below the table with $SPX change % details after 1 Month, 1 Quarter , Half Year , 1 year , after S&P 500 Index winning streaks of 7 or more

$SPX 7 Months Winning Streaks 1950

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$SPX Returns at Month’s End for Each Month since 1990

$SPX Returns at Month’s End for Each Month Since 1990

A look at historical returns for %SPX ( S&P 500 Index) during the last but one trading day of the month for the month of May , since 1990 are
  • average returns are 0.27% over the last 23 years ( 5th best )
  • while the average $SPX returns for any month during the last but one trading day of the month stands at 0.11%

For the last trading day of the month for May

  • average returns are 0.27% over the last 23 years ( 2nd best after the Month of January)
  • while the average $SPX returns for any month during the last trading day of the month stands at a mere 0.01%

the combined returns for the  last two trading days of the month for May are

  • average returns are 0.54% over the last 23 years ( 2nd best after the Month of October !!)
  • while the average $SPX returns for any month during the last two trading day of the month stands at 0.09%

Below the table with the $SPX average returns over the last but one trading day , last trading day , and for the last two trading days of the month since 1990 for all the months along with ranked returns in ascending order.

$SPX Average returns over the last 2 trading days of the month since 1990

$SPX returns for the last 2 trading days of the month for May since 1990 

as can be in seen the table below for the $SPX returns for the last two trading days are

  • average : 0.54
  • median : 0.18
  • max  : 3.09
  • min  :-1.66
  • % times up  :61%
  • avg % if up : 1.25
  • avg  % if down : -0.57
  • avg win/ avg loss : 2.19

Below the table with  $SPX average returns over the last but one trading day , last trading day , and for the last two trading days of the May month since 1990 for each year individually .

$SPX returns over the last 2 trading days for May since 1990

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S&P 500 ($SPX) 13 Consecutive Higher Lows, Bullish or Bearish?

$SPX after 13 Consecutive Higher Lows

this pattern of $SPX  making 10 or more consecutive higher lows ( interleaving instances ) suggest some more up-leg to the current rally, with 21/23 winners and with a pay off ratio ( avg win% / avg loss%) of more than 9 ..

here are the trading system rules we employed

  • $SPX makes 10 consecutive higher lows ( that is current session’s low is greater than previous trading session’s low , in other words the intraday trailing stop loss at prev lows never triggered for bulls for 10 or more days in row )

trading odds for going long at close and exit after 1 trading day 

  • Winners : 12
  • Losers : 14
  • % Winners : 46%
  • Average Change % : 0.12
  • Median Change % : -0.04
  • Maximum Gain % : 1.24
  • Maximum Loss % : -1.02
  • Average Gain %if Winner : 0.58
  • Average Loss % if Loser : -0.27
  • Average Gain % / Average Loss % : 2.11

trading odds for going long at close and exit after 5 trading days

  • Winners : 17
  • Losers : 6
  • % Winners : 74%
  • Average Change % : 0.82
  • Median Change % : 0.98
  • Maximum Gain % : 2.40
  • Maximum Loss % : -1.17
  • Average Gain %if Winner : 1.30
  • Average Loss % if Loser : -0.54
  • Average Gain % / Average Loss % : 2.39

trading odds for going long at close and exit after 10 trading days

  • Winners : 21
  • Losers : 2
  • % Winners : 91%
  • Average Change % : 1.43
  • Median Change % : 1.62
  • Maximum Gain % : 3.19
  • Maximum Loss % : -0.84
  • Average Gain %if Winner : 1.63
  • Average Loss % if Loser : -0.66
  • Average Gain % / Average Loss % : 2.48

trading odds for going long at close and exit after 20 trading days

  • Winners : 21
  • Losers : 2
  • % Winners : 91%
  • Average Change % : 2.54
  • Median Change % : 2.21
  • Maximum Gain % : 5.61
  • Maximum Loss % : -0.53
  • Average Gain %if Winner : 2.81
  • Average Loss % if Loser : -0.31
  • Average Gain % / Average Loss % : 9.03

Below the table with historical $SPX next day , 5 days, 10 days , 20 days change% when $SPX makes 10 or more consecutive higher lows 

$SPX 10 more consecutive higher lows streaks since 1990

talking about other mostly watched streaks …

Longest Dow Jones Winning Streaks For Each Weekday Ever

& Wood’s 12 Consecutive Closes Above the Upper Bollinger Band

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$SPX after closing on year high on an option expiry day

$SPX after closing on year high on an option expiry day

this pattern of $SPX ( S&P 500 Index) closing on new year high on option expiry days suggest bit bearishness for the next trading session

here are the trading system rules we employed

  • today is option expiry day
  • $SPX closed at 250 trading high

assuming one is holding on $SPX longs and exiting the next trading day below the trading odds

  • Winners : 5
  • Losers : 8
  • % Winners : 38%
  • Average Change % : -0.32
  • Median Change % : -0.09
  • Maximum Gain % : 0.53
  • Maximum Loss % : -2.05
  • Average Gain %if Winner : 0.36
  • Average Loss % if Loser : -0.74
  • Average Gain % / Average Loss % : 0.48
  • Average Absolute Change% : 0.24
  • Profit Factor : 0.32

beware that the sample size is low at only 13 instances since Jan 2000

Below the table with historical $SPX next day change and change% when $SPX closes at year highs on an option expiry day

$SPX next day returns after closing at year high closings on option expiry day since Jan 2000

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$SPY $SPX $VIX Returns on Option Expiry Days Month Wise

$SPY $SPX $VIX Returns on Option Expiry Days Month Wise

A look at historical returns for the Option Expiry Days , month wise

$SPY Option Expiration Seasonalities

for $SPY since 1993 , May Option Expiry days are

  • profitable 45% (9/20) of the times
  • average returns are -0.17% (against any month options expiry returns which are -0.08%)
  • average win% if $SPY goes up on May option expiry day , stands at 0.54%  vs avg loss % if $SPY goes down on May option Expiry day which is -0.74%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for SPDR S&P 500 ETF ($SPY) since Feb 1993

$SPY Returns on Option Expiry Days Since 1993

$SPX Option Expiration Seasonalities 

for $SPX since 1983  ( when the CBOE $SPX options were available for trading, source: http://www.cboe.com/micro/spx/introduction.aspx ) , May option expiry days are

  • profitable 47% ( 14/30) of the times
  • average returns are -0.22% (against any month options expiry returns which are -0.02%)
  • average win% if $SPX goes up on May option expiry day , stands at 0.51%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for S&P 500 Index  ($SPX) since 1983

$SPX Returns on Option Expiry Days Since 1983

$VIX Option Expiration Seasonalities 

for $VIX since 1990 ( When the historical VIX data is available  ) , May Option expiry days are

  • profitable 43% ( 10/23) of the times
  • average returns are 0.41% (against any month options expiry returns which are -0.49%)
  • average win% if $VIX goes up on May option expiry day , stands at 5.42%

Below the table with the details of % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for each Option Expiry Day of the month for S&P 500 Index  ($SPX) since 1983

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