page #234 from $SPY High Probability Trading Strategies

page #234 from $SPY High Probability Trading Strategies

below trading strategy , ctrl+c & ctrl+v ‘ed from

$SPY High Probability Trading Strategies : PDF

Trading strategy rules

  • Current trading day is 134th trading day of the year
  • Go Short at close

below the trading odds for $SPY, for the next 1/2/3/4/5/10/20 trading days , since Y2K ->

 

trading odds from 134th trading day of the year for $SPY , since IPO 
Exit # Wins %Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up% T-Test
t+1 25 9 36 -0.19 -0.08 0.51 -0.58 0.87 -2.75 0.44 -0.67 -2.94 0.43 -1.14
t+2 25 13 52 -0.13 0.04 0.64 -0.96 0.66 -2.88 0.73 -1.02 -3.15 0.68 -0.61
t+3 25 16 64 0.04 0.24 0.89 -1.47 0.61 -4.92 1.55 -1.36 -6.42 0.97 0.13
t+4 25 12 48 -0.46 -0.14 0.99 -1.79 0.55 -8.26 0.67 -1.77 -8.71 1.09 -1.10
t+5 25 12 48 -0.40 -0.12 0.97 -1.66 0.58 -10.98 0.66 -2.15 -11.79 1.29 -0.79
1st -‘ve exit in 5 days % 25 24 96 0.61 -0.24 0.65 -0.36 1.80 -0.36 14.89 -0.33 -1.34 0.94 3.69

24/25 times , since IPO, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 61 bps and median of -24 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 $SPY returns , over the next 1/2/3/4/5 trading days , from 134th trading day of the year when on last trading day , $SPY down for the month by more than 5% , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # days to 1st -‘ve cls
15-Jul-19 300.75 ?? ?? ?? ?? ?? ?? ??
13-Jul-18 274.14 -0.09 0.31 0.53 0.15 0.03 -0.09 1
14-Jul-17 236.36 -0.01 0.04 0.58 0.63 0.54 -0.01 1
14-Jul-16 203.87 -0.13 0.13 0.03 0.45 0.07 -0.13 1
15-Jul-15 194.42 0.8 0.89 0.94 0.54 0.36 0.36 5
15-Jul-14 178.56 0.37 -0.77 0.24 0.06 0.49 -0.77 2
15-Jul-13 149.3 -0.37 -0.12 0.43 0.61 0.8 -0.37 1
13-Jul-12 117.89 -0.24 0.45 1.19 1.46 0.53 -0.24 1
14-Jul-11 111.35 0.58 -0.24 1.37 1.31 2.72 -0.24 2
15-Jul-10 91.45 -2.75 -2.18 -1.09 -2.38 -0.2 -2.75 1
15-Jul-09 76.3 -0.16 0.93 2.01 2.48 2.46 -0.16 1
14-Jul-08 97.77 -1.41 1.01 2.02 2.66 2.71 -1.41 1
16-Jul-07 120.92 -0.05 -0.23 0.16 -0.86 -0.56 -0.05 1
14-Jul-06 94.73 -0.15 0.36 1.76 1.06 0.35 -0.15 1
14-Jul-05 92.59 -0.06 -0.46 0.09 0.43 -0.15 -0.06 1
15-Jul-04 81.83 -0.08 -0.51 0.76 -1.1 -0.83 -0.08 1
15-Jul-03 73.07 -0.59 -2 -0.99 -2.22 -1.33 -0.59 1
15-Jul-02 66.01 -1.93 -1.73 -4.92 -8.26 -10.98 -1.93 1
13-Jul-01 86.2 -1.25 -0.33 -1.01 -0.14 -0.74 -1.25 1
13-Jul-00 104.44 0.98 0.81 -0.01 -0.81 0.56 -0.01 3
15-Jul-99 97.36 0.54 -0.12 -2.17 -2.28 -3.57 -0.12 2
15-Jul-98 80.18 0.69 0.82 0.82 -0.93 -0.93 -0.93 4
14-Jul-97 61.92 0.51 1.83 1.32 -0.83 -0.81 -0.83 4
11-Jul-96 42.63 0.07 -2.88 -2.64 -1.48 -0.12 -2.88 2
13-Jul-95 36.29 -0.08 0.47 -0.39 -1.48 -1.11 -0.08 1
14-Jul-94 28.62 0.03 0.21 0 -0.45 -0.24 -0.45 4

highlighted in red is the only time $SPY did not close lower than the entry over the next 5 trading days you might want to consider subscribing to our daily quant rants email  !!

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when $SPY lost by more than 5% for the month

when $SPY lost by more than 5% for the month

trading odds , after $SPY lost by more than 5% in a month as last on trading day of the month, since Y2K

below the trading strategy rules

  1. current trading day is last trading day of the month
  2. $SPY lost more than 5% for the month

below the trading odds for $SPY, 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 Avg DD% Max DD% Avg Run Up% T-Test
t+1 26 11 42 -0.74 -0.23 1.21 -2.18 0.56 -8.86 0.31 -1.91 -9.14 0.75 -1.50
t+2 26 10 39 -1.08 -0.75 1.44 -2.66 0.54 -5.40 0.22 -2.70 -9.14 1.13 -2.15
t+3 26 11 42 -0.92 -0.50 1.68 -2.84 0.59 -8.11 0.39 -3.22 -9.14 1.65 -1.62
t+4 26 12 46 -1.16 -1.31 2.05 -3.91 0.52 -9.72 0.46 -4.27 -13.23 1.96 -1.66
t+5 26 10 39 -0.99 -1.34 2.78 -3.36 0.83 -13.76 0.53 -4.67 -14.09 2.53 -1.30
1st -‘ve exit in 5 days % 26 24 92 1.47 -1.31 1.90 -3.71 0.51 -3.84 3.03 -0.46 -4.50 2.37 3.20

24/26 times , since Y2K, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average of 147 bps and median of -131 bps

PF: Profit Factor, and OAPF is the outlier adjusted profit factor  as per the easy price action indicator tool ( which is profit factor recalculated after removing the maximum winner )

below the historical $SPY returns , over the next 1/2/3/4/5 trading days , when on last trading day , $SPY down for the month by more than 5% , since Y2K

Date Open High Low Close MTD% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
31-May-19 276.20 277.12 275.29 276.15 -6.08 ?? ?? ?? ?? ?? ?? ??
31-Dec-18 248.47 249.10 246.39 248.83 -8.79 0.10 -2.28 0.99 1.78 2.74 -2.28 2
31-Oct-18 267.87 270.42 267.35 267.85 -6.91 1.06 0.47 1.02 1.66 3.84 3.84 5
31-Aug-15 183.77 184.72 182.75 183.36 -6.10 -2.98 -1.14 -1.07 -2.57 -0.12 -2.98 1
31-May-12 114.35 115.00 113.16 114.15 -6.01 -2.52 -2.56 -1.83 0.38 0.44 -2.52 1
30-Sep-11 98.31 99.17 97.13 97.20 -6.94 -2.85 -0.72 1.12 2.95 2.26 -2.85 1
31-Aug-11 104.65 105.55 103.66 104.45 -5.50 -1.05 -3.58 -4.28 -1.58 -2.60 -1.05 1
30-Jun-10 87.07 87.87 86.20 86.48 -5.17 -0.45 -0.99 -0.34 2.80 3.82 -0.45 1
28-May-10 92.26 92.33 90.77 91.20 -7.95 -1.68 0.88 1.23 -2.33 -3.55 -1.68 1
27-Feb-09 60.06 61.43 59.90 60.00 -10.74 -4.50 -5.22 -2.98 -6.94 -6.78 -4.50 1
30-Jan-09 68.97 69.31 66.72 67.22 -8.21 -0.30 1.10 0.60 2.10 5.01 -0.30 1
28-Nov-08 71.35 72.55 71.23 72.52 -6.96 -8.86 -5.35 -3.07 -5.32 -2.40 -8.86 1
31-Oct-08 76.54 79.35 76.06 77.95 -16.52 0.29 3.70 -0.66 -6.17 -3.07 -0.66 3
30-Sep-08 91.37 94.02 88.98 93.37 -9.44 0.06 -3.57 -4.87 -9.72 -13.76 -3.57 2
30-Jun-08 102.38 103.20 101.91 102.45 -8.35 0.31 -1.41 -1.30 -2.31 -0.58 -1.41 2
31-Jan-08 105.74 109.81 105.58 108.88 -6.05 1.61 0.33 -2.36 -3.14 -2.50 -2.36 3
31-Dec-02 63.80 64.11 63.16 63.97 -5.66 3.22 3.54 5.36 5.10 3.58 3.58 5
30-Sep-02 59.17 59.74 58.37 59.01 -10.49 4.80 1.66 0.64 -1.21 -3.25 -1.21 4
31-Jul-02 65.00 65.76 64.11 65.48 -7.88 -2.61 -4.79 -8.11 -5.01 -3.36 -2.61 1
28-Jun-02 71.29 72.19 71.03 71.08 -7.38 -1.95 -4.03 -3.49 0.35 -0.90 -1.95 1
30-Apr-02 76.60 77.76 76.33 77.20 -5.82 1.22 0.83 -0.26 -2.22 -2.56 -0.26 3
28-Sep-01 73.25 77.97 72.91 74.29 -8.16 -0.16 1.09 2.79 2.87 2.67 -0.16 1
31-Aug-01 80.36 81.33 80.17 80.89 -5.93 -0.64 -0.39 -2.96 -4.76 -3.59 -0.64 1
30-Mar-01 81.65 82.46 80.91 82.46 -5.60 -2.13 -5.40 -5.00 -1.41 -2.91 -2.13 1
28-Feb-01 89.32 89.38 86.87 87.35 -9.54 0.52 -0.27 0.64 1.72 2.44 -0.27 2
30-Nov-00 93.08 93.78 91.15 92.92 -7.47 -0.05 0.80 4.11 2.45 1.04 -0.05 1
29-Sep-00 102.19 102.54 100.89 100.89 -5.48 0.15 -0.78 0.04 0.39 -1.78 -0.78 2

highlighted in bold are the two instances when $SPY didn’t close lower than entry over the next 5 trading days 

—–

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when $SPY gains more than 1% for three consecutive days

when $SPY gains more than 1% for three consecutive days 

when $SPY gains more than 1% for 3 days in row

with $SPY gaining by more than 1% for three consecutive days , as on 17th Feb 2016 , below trading strategy rules

1) $SPY gains more than 1% for three consecutive days in row

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains more than 1% for three consecutive days in row  , since Feb 1993 ( or since $SPY inception)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 4 26.7 -0.72 -0.63 0.42 -1.14 0.36 -2.96 0.04 -2.65
t+2 15 5 33.3 -0.82 -0.36 0.78 -1.62 0.48 -3.42 0.06 -2.05
t+3 15 2 13.3 -1.28 -1.31 2.07 -1.80 1.15 -4.56 0.05 -2.80
t+4 15 4 26.7 -1.34 -1.27 2.19 -2.63 0.83 -7.88 0.13 -1.83
t+5 15 5 33.3 -1.53 -1.23 1.77 -3.18 0.56 -6.69 0.13 -1.99
t+10 15 5 33.3 -0.17 -0.90 4.06 -2.29 1.78 -8.50 0.58 -0.18
t+20 15 10 66.7 1.51 2.67 3.97 -3.41 1.16 -11.17 1.70 1.25
1st +’ve in 5 days 15 11 73.3 -0.64 0.24 0.69 -4.28 0.16 -6.69 0.24 -0.97
1st -‘ve in 5 days 15 15 100.0 1.10 -0.92 -1.10 INF INF -0.09 INF 4.68

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 110  basis points at the 1st negative 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 $SPY forward 1/2/3/4/5 trading day returns , when $SPY gains by more than 1% for three days in row , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
17-Feb-16 192.88 ?? ?? ?? ?? ?? ?? ??
06-Oct-11 106.67 -0.67 2.65 2.76 3.66 3.45 2.65 -0.67
01-Jun-09 82.58 0.08 -1.18 -0.25 -0.23 -0.64 0.08 -1.18
02-Jan-09 80.43 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12
08-Aug-07 125.32 -2.96 -3.42 -3.07 -4.55 -5.87 -5.87 -2.96
08-Aug-02 69.63 0.37 -0.36 -2.18 1.40 2.80 0.37 -0.36
30-Jul-02 69.62 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38
19-Apr-01 94.63 -0.92 -2.71 -3.24 -1.97 -1.54 -1.54 -0.92
27-Mar-01 89.10 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09
29-Oct-99 101.58 -1.05 -1.76 -1.09 -0.34 0.64 0.64 -1.05
17-Nov-97 68.53 -0.63 -0.13 1.38 2.08 0.23 1.38 -0.63
20-Aug-97 67.90 -1.76 -1.79 -2.16 -3.60 -3.02 -3.02 -1.76
03-Jul-97 66.32 -1.02 0.02 -1.09 -0.65 -0.31 0.02 -1.02
16-Apr-97 54.90 -0.41 0.08 -0.57 1.61 1.72 0.08 -0.41
13-Feb-97 58.17 -0.23 0.61 -0.06 -1.27 -1.23 0.61 -0.23

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percentage based , curve fitted , slightly bearish $SPY pattern

percentage based , curve fitted , slightly bearish $SPY pattern

12aug2015

i don’t like to use between function ( hence i call curve fitting pattern ) & anyway here the trading rules

  • $SPY raised by more than 1.5% ( or 150 bps in short term trading terminology ) from the intra-day low to close
  • but $SPY gained for the day but not more than 25 bps ( that is t[0] % is >0 & <0.25 % )

below the $SPY trading odds for longs for the “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K , for the next 1/2/3/4/5/10/20 trading days ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 21 6 28.6 -1.12 -1.08 1.17 -2.04 0.57 -7.84 0.13 -2.42
t+2 21 8 38.1 -1.09 -1.55 2.23 -3.13 0.71 -5.30 0.31 -1.64
t+3 21 8 38.1 -1.56 -0.52 2.04 -3.77 0.54 -9.77 0.23 -1.88
t+4 21 4 19.0 -2.44 -1.48 3.90 -3.93 0.99 -13.81 0.10 -2.39
t+5 21 7 33.3 -2.32 -1.53 2.99 -4.98 0.60 -15.98 0.15 -1.98
t+10 21 8 38.1 -3.47 -1.64 3.77 -7.92 0.48 -26.77 0.17 -1.81
t+20 21 10 47.6 -3.05 -1.71 4.61 -10.01 0.46 -27.97 0.21 -1.38
1st +’ve exit in 5 days 21 14 66.7 -1.59 0.42 1.61 -8.00 0.20 -15.98 0.29 -1.42
1st -‘ve exit in 5 days 21 20 95.2 1.69 -1.36 -1.96 3.73 0.53 3.73 10.13 3.74

20/21 times  $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average loss of 169 basis points ( and a median loss of 136 bps) at the 1st positive close within in the next five trading days, from the close of , the trading strategy trigger date 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner ) , for the 1st -‘ve exit in 5 days , the assumption is one goes short at the signal trigger day , to see if any edge is there .

below the historical instances of the above “percentage based , curve fitted , slightly bearish $SPY pattern “ , since Y2K

Date $SPY t Cls-Low % t+1% t+2% t+3% t+4% t+5% 1st -‘ve % Cls in 5 days
12-Aug-15 208.83 0.08 1.69 ?? ?? ?? ?? ?? ??
23-May-12 123.80 0.06 1.76 0.19 -0.13 1.07 -0.39 -0.61 -0.13
25-May-10 96.91 0.10 3.29 -0.60 2.72 1.43 -0.27 2.33 -0.60
17-May-10 102.42 0.05 1.95 -1.36 -1.92 -5.62 -4.25 -5.48 -1.36
05-Feb-10 95.47 0.20 1.99 -0.71 0.53 0.34 1.38 1.30 -0.71
06-Mar-09 60.30 0.18 2.73 -1.18 4.71 5.39 9.54 10.40 -1.18
12-Feb-09 73.19 0.07 3.22 -1.08 -5.30 -5.53 -6.54 -7.46 -1.08
15-Jan-09 73.84 0.04 3.29 0.79 -4.54 -0.42 -1.95 -1.53 -4.54
01-Oct-08 100.72 0.06 1.85 -3.62 -4.92 -9.77 -13.81 -15.98 -3.62
26-Sep-08 104.88 0.05 1.97 -7.84 -4.02 -3.97 -7.45 -8.70 -7.84
13-Mar-08 112.47 0.22 2.38 -1.55 -2.54 1.50 -1.01 0.83 -1.55
04-Aug-03 77.56 0.00 1.56 -2.11 -1.55 -0.52 -0.23 0.14 -2.11
20-Mar-03 68.88 0.22 2.09 2.13 -1.26 -0.32 -0.81 -0.74 -1.26
13-Nov-02 69.24 0.10 1.82 1.89 2.64 1.60 1.47 3.73 3.73
16-Sep-02 69.58 0.24 1.61 -2.29 -3.26 -5.76 -5.73 -6.51 -2.29
13-Sep-02 69.41 0.25 1.61 0.24 -2.05 -3.03 -5.53 -5.50 -2.05
31-Jul-02 70.57 0.24 2.14 -2.62 -4.80 -8.11 -5.02 -3.36 -2.62
26-Jun-02 75.64 0.16 2.65 1.76 1.27 -0.70 -2.80 -2.26 -0.70
08-Apr-02 87.11 0.21 1.53 -0.70 0.42 -2.07 -1.33 -2.09 -0.70
05-Sep-01 86.83 0.24 1.57 -2.58 -4.38 -3.21 -8.27 -8.49 -2.58
22-Feb-01 95.55 0.15 2.27 -0.68 1.43 0.50 -1.48 -0.96 -0.68
05-Jan-00 105.22 0.18 2.01 -1.61 4.11 4.47 3.21 2.19 -1.61

highlighted in green is the only instances where $SPY failed to close lower in the next 5 trading days , and the shorts ran for a cover

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$SPY post June Opex – Bearish

$SPY post June Opex – Bearish

$SPY post June Opex Since Y2K

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , from the cloe of June Opex

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 5 33.3 -0.33 -0.12 0.51 -0.75 0.68 -2.99 0.17 -1.35
t+2 15 6 40.0 -0.33 -0.29 0.72 -1.03 0.70 -2.92 0.32 -1.07
t+3 15 9 60.0 -0.22 0.18 0.66 -1.55 0.43 -2.24 0.61 -0.72
t+4 15 6 40.0 -0.44 -0.26 0.79 -1.26 0.62 -3.86 0.27 -1.24
t+5 15 3 20.0 -0.87 -0.32 0.62 -1.24 0.50 -3.45 0.06 -2.66
t+10 15 7 46.7 -0.48 -0.67 2.10 -2.75 0.77 -8.52 0.52 -0.58
t+20 15 8 53.3 -0.81 0.71 2.42 -4.50 0.54 -17.21 0.52 -0.60
1st +’ve exit in 5 days 15 12 80.0 -0.06 0.18 0.37 -1.77 0.21 -3.45 0.71 -0.20
1st -‘ve exit in 5 days 15 15 100.0 0.84 -0.66 -0.84 NA NA NA INF 4.24

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 84 basis points at the 1st negative 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 returns of  ” $SPY post June Opex ” , since Y2K

Date Adj Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve (%) exit in 5 days
19-Jun-15 211.42* ?? ?? ?? ?? ?? ??
20-Jun-14 193.10 -0.03 -0.64 -0.19 -0.26 -0.06 -0.03
21-Jun-13 153.74 -1.26 -0.31 0.67 1.26 0.85 -1.26
15-Jun-12 126.81 0.20 1.17 1.00 -1.27 -0.50 -1.27
17-Jun-11 117.61 0.51 1.89 1.28 0.99 -0.19 -0.19
18-Jun-10 101.39 -0.29 -1.93 -2.24 -3.86 -3.45 -0.29
19-Jun-09 81.95 -2.99 -2.92 -2.07 0.05 -0.21 -2.99
20-Jun-08 114.08 -0.10 -0.29 0.18 -2.54 -3.08 -0.10
15-Jun-07 130.10 -0.12 0.13 -1.27 -0.71 -1.65 -0.12
16-Jun-06 104.03 -0.79 -0.45 0.29 -0.15 -0.17 -0.79
17-Jun-05 99.49 0.03 0.09 0.17 -1.24 -1.97 -1.24
18-Jun-04 91.33 -0.38 0.12 0.99 0.67 0.18 -0.38
20-Jun-03 78.68 -1.03 -0.93 -1.92 -0.65 -1.79 -1.03
21-Jun-02 77.23 0.52 -1.74 -1.58 0.14 -0.32 -1.74
15-Jun-01 93.51 -0.49 -0.05 0.47 1.61 0.82 -0.49
16-Jun-00 111.25 1.29 0.92 0.88 -0.66 -1.51 -0.66

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& the rule #34 is

& the rule #34 is 

34searching for rule #34 images is NSFW 🙂

no idea why this happens , but here are the trading rules

  • current trading day is either 34th or 134th of the year
  • below the $SPY returns for the next 1/2/3/4/5 trading days , since 1994
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 42 11 26.2 -0.50 -0.20 0.53 -0.87 0.61 -3.58 0.23 0.19 1.00 -3.24
t+2 42 18 42.9 -0.30 -0.22 0.59 -0.97 0.61 -2.88 0.44 0.38 1.03 -1.88
t+3 42 22 52.4 -0.16 0.11 0.88 -1.29 0.68 -4.92 0.77 0.68 1.46 -0.69
t+4 42 19 45.2 -0.51 -0.42 1.01 -1.76 0.57 -8.26 0.53 0.45 1.93 -1.72
t+5 42 21 50.0 -0.43 -0.05 0.90 -1.75 0.51 -10.98 0.68 0.57 2.23 -1.25
t+10 42 21 50.0 -0.26 0.01 1.90 -2.43 0.78 -10.98 0.82 0.72 2.93 -0.58
t+20 42 22 52.4 0.02 0.37 3.37 -3.65 0.92 -10.81 0.90 0.79 4.44 0.04
1st +’ve exit in 5 days 42 34 81.0 -0.12 0.40 0.51 -2.77 0.18 -10.98 0.86 0.80 1.94 -0.39
1st -‘ve exit in 5 days 42 42 100.0 0.82 -0.52 -0.82 INF INF NA INF INF 0.87 6.06

 

42/42 times $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average drop of 0.82% ! and a median drop of 0.52%

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 $SPY from the 34th trading day of the year , for the next 1/2/3/4/5 trading days , since 1994

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st -‘ve close %
20-Feb-15 211.24 ?? ?? ?? ?? ?? ??
20-Feb-14 180.57 -0.11 0.44 0.4 0.41 0.94 -0.11
20-Feb-13 145.5 -0.6 0.36 -1.55 -0.87 0.38 -0.6
21-Feb-12 128.36 -0.33 0.12 0.33 0.51 0.79 -0.33
18-Feb-11 123.93 -2 -2.61 -2.67 -1.63 -1.02 -2
22-Feb-10 100.43 -1.21 -0.3 -0.44 -0.38 0.66 -1.21
20-Feb-09 68.37 -3.58 0.07 -0.72 -2.33 -4.52 -3.58
20-Feb-08 117.2 -0.83 -0.21 1.04 1.8 1.7 -0.83
21-Feb-07 123.6 -0.08 -0.47 -0.56 -4.44 -3.46 -0.08
21-Feb-06 106.81 0.61 0.46 0.72 0.76 -0.2 -0.2
18-Feb-05 98.35 -1.49 -0.78 -0.13 0.86 0.19 -1.49
20-Feb-04 92.08 -0.25 -0.42 -0.01 0.05 0.12 -0.25
20-Feb-03 66.51 1.01 -0.63 0.17 -1.29 0.02 -0.63
20-Feb-02 85.86 -2.07 -0.86 0.78 0.57 0.96 -2.07
20-Feb-01 98.42 -2.15 -2.01 -2.67 -0.6 -1.51 -2.15
18-Feb-00 102.65 -0.25 0.93 -1.11 -1.47 0.59 -0.25
22-Feb-99 95.74 -0.05 -1.82 -2.75 -3.13 -2.87 -0.05
20-Feb-98 76.8 0.39 -0.39 0.85 1.42 1.42 -0.39
19-Feb-97 59.34 -1.21 -1.18 0 0.08 -0.91 -1.21
16-Feb-96 46.45 -0.97 0.26 1.83 1.55 0.11 -0.97
17-Feb-95 33.88 -0.03 0.71 0.89 1.12 0.32 -0.03
17-Feb-94 32.12 -0.59 0.4 0.12 -1.21 -0.75 -0.59

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expecting a pullback $SPY trade – 23 Oct 2014

expecting a pullback $SPY trade – 23 Oct 2014 

with $SPY rising by more than 0.95% ( just to include the gain of 0.95% on 20th Oct 2014 ) , below trading strategy rules , data since 1993

  • $SPY gained by more than 0.95% as of current trading day
  • $SPY gained by more than 0.95% , for four trading days , during the last five trading days

below the trading odds for $SPY longs , for the next 1/2/3/4/5/ trading odds

Date Close t t+1 t+2 t+3 t+4 t+5 1st +’ve 1st -‘ve
23-Oct-14 194.93 1.16 ?? ?? ?? ?? ?? ?? ??
27-Oct-11 120.89 3.48 -0.02 -2.44 -5.16 -3.61 -1.85 -1.85 -0.02
10-Oct-11 112.38 3.35 0.1 0.98 0.77 2.5 0.54 0.1 0.54
29-Aug-11 113.47 2.87 0.26 0.71 -0.35 -2.9 -3.6 0.26 -0.35
01-Jun-09 84.75 2.42 0.08 -1.18 -0.25 -0.24 -0.64 0.08 -1.18
08-Dec-08 80.15 3.49 -1.65 -0.97 -3.36 -2.21 -3.57 -3.57 -1.65
03-Dec-08 76.91 2.41 -2.31 0.7 4.21 2.5 3.2 0.7 -2.31
28-Nov-08 79.35 1.26 -8.86 -5.36 -3.07 -5.32 -2.39 -2.39 -8.86
30-Jul-02 71.45 1.3 0.24 -2.38 -4.56 -7.89 -4.79 0.24 -2.38
19-Apr-01 97.11 1.33 -0.92 -2.71 -3.23 -1.97 -1.53 -1.53 -0.92
16-May-00 112.18 0.97 -1.05 -2.26 -3.8 -4.52 -5.93 -5.93 -1.05
08-Jul-97 68.08 1.05 -1.1 -0.66 -0.32 -0.01 0.48 0.48 -1.1
13-Feb-97 59.7 1.08 -0.23 0.62 -0.05 -1.27 -1.22 0.62 -0.23
avg -1.29 -1.25 -1.60 -2.08 -1.78 -1.07 -1.63
med -0.58 -1.08 -1.71 -2.09 -1.69 0.09 -1.08
std 2.42 1.81 2.60 2.94 2.42 1.98 2.34
t-test -1.85 -2.39 -2.13 -2.45 -2.54 -1.87 -2.41

11/12 times $SPY closed lower than entry ( 194.93) at some point of time , during the next five trading days , with an average loss of -1.63% and a median loss of -1.08%

1st -ve Close % , assumes , one is hypothetically short at the close , at the time of the observation of the pattern , and exits if $SPY closes lower than the entry point , in the next five trading days , other wise at the end of the fifth trading day , one attends the margin call 🙂

$SPY gains by more than 0.95% , during the last 4 out of 5 days , and gained by than 0.95% as of today , since 1993 

$SPY gains by more than 0.95% , during the last 4 out of 5 days , and gained by than 0.95% as of today , since 1993

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what happens if one buys , that best Year-to-Date one day gain on $SPY

best Year-to-Date one day gain% on $SPY 

below the trading strategy rules

1) Current day gains are the best one day gains ( in percentage) , Year-To-Date

2) Current day is not in the , First Quarter (the rationale is ,  just giving room to set a benchmark for the best year-to-date gain % )

below the trading odds for $SPY longs for the next 1/2/3/4/5/ trading days , since Y2K

Date $SPY t % t+1 % t+2 % t+3 % t+4 % t+5 % 1st +’ve % 1st -‘ve %
21-Oct-14 194.07 1.98 ?? ?? ?? ?? ?? ?? ??
8-Oct-14 196.64 1.75 -1.98 -3.1 -4.69 -4.55 -5.19 -5.19 -1.98
29-Jun-12 124.08 2.49 0.3 0.96 0.51 -0.44 -0.57 0.3 -0.44
6-Jun-12 119.08 2.26 0.05 0.85 -0.42 0.72 0.07 0.05 -0.42
9-Aug-11 102.70 4.65 -4.41 -0.13 0.55 2.66 1.79 0.55 -4.41
10-May-10 96.66 4.4 -0.28 1.12 -0.14 -1.95 -1.89 1.12 -0.28
13-Oct-08 78.63 14.52 -1.48 -11.18 -7.49 -8.03 -2.51 -2.51 -1.48
19-Sep-08 96.28 4.56 -2.25 -4.48 -4.18 -2.68 -2.63 -2.63 -2.25
28-Nov-07 109.45 3.21 0.03 1.04 0.37 -0.53 1.14 0.03 -0.53
13-Nov-07 110.16 3.05 -0.29 -1.71 -1.55 -2.92 -2.33 -2.33 -0.29
18-Sep-07 112.34 2.94 0.6 -0.11 0.63 0.45 0.25 0.6 -0.11
29-Aug-07 107.98 1.96 -0.26 0.71 1.73 0.85 1.09 0.71 -0.26
17-Aug-07 106.63 1.84 -0.05 0.15 1.35 1.24 2.51 0.15 -0.05
15-Jun-06 88.82 2.12 -0.29 -1.08 -0.73 -0.01 -0.44 -0.44 -0.29
21-Apr-05 78.90 1.96 -0.39 0.27 -0.7 -0.32 -1.58 0.27 -0.39
1-Oct-04 75.51 1.69 0.16 0.21 0.91 -0.17 -1 0.16 -0.17
7-Jun-04 75.03 1.52 0.14 -0.8 -0.3 -1.3 -0.59 0.14 -0.8
25-May-04 73.16 1.42 0.36 0.92 0.91 0.78 1.15 0.36 1.15
22-Apr-04 74.74 1.41 0.08 -0.06 0.04 -1.26 -2.12 0.08 -0.06
24-Jul-02 52.29 5.97 -0.86 1.03 5.97 7.35 7.6 1.03 -0.86
5-Jul-02 61.29 3.96 -1.24 -3.72 -7.24 -6.49 -7.51 -7.51 -1.24
8-May-02 66.81 3.72 -1.14 -3 -1.04 1.12 0.71 1.12 -1.14
16-Apr-02 69.38 2.36 -0.19 -0.64 -0.28 -1.94 -2.35 -2.35 -0.19
avg -0.61 -1.03 -0.72 -0.79 -0.65 -0.74 -0.75
med -0.27 -0.09 -0.21 -0.38 -0.58 0.15 -0.41

21/22 times $SPY closed lower than the entry at some point of time , over the next five trading days , after $SPY posts the biggest one day percentage gains , Year-to-Date , as of current trading day .

$SPY posts biggest YTD one day % gains , as of today , but not in First Quarter

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When $SPY posts four consecutive closes above previous day high – bit bearish

$SPY posts four consecutive closes above previous day high

$SPY stock chart , four closes above previous highfirstly good news for bears !

with $SPY closing above previous day’s high for four days in row , below the trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , data since Jan 2000

1) $SPY closes above previous day’s high for four or more days in row 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 44 15 34.1 -0.11 -0.14 0.44 -0.40 1.10 -1.31 0.49 0.38
t+2 44 19 43.2 -0.15 -0.10 0.74 -0.84 0.89 -2.56 0.48 0.41
t+3 44 20 45.5 -0.21 -0.06 0.91 -1.14 0.80 -4.02 0.52 0.41
t+4 44 16 36.4 -0.56 -0.32 0.85 -1.37 0.62 -7.13 0.29 0.24
t+5 44 18 40.9 -0.46 -0.16 0.98 -1.46 0.67 -6.57 0.38 0.31
t+10 44 24 54.5 -0.10 0.10 1.54 -2.07 0.74 -6.89 0.80 0.69
t+20 44 30 68.2 0.52 0.93 2.49 -3.71 0.67 -7.58 1.31 1.15
1st +’ve exit in 5 days 44 32 72.7 -0.32 0.13 0.43 -2.30 0.19 -6.57 0.40 0.34
1st -‘ve exit in 5 days 44 41 93.2 0.39 -0.31 -0.52 1.52 0.35 3.46 5.00 4.42

41/43 times ( 93%) $SPY closed at lower than the current close at some point of time in the next five trading days .. with an average drop of 0.39% !

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

2) $SPY closes above previous day’s high for four or more days in row , and the current close is highest in 250 trading days , ( i.e $SPY closed at 52 week high ) , data since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 5 33.3 -0.23 -0.14 0.24 -0.47 0.51 -1.06 0.22 0.11
t+2 15 2 13.3 -0.58 -0.52 0.57 -0.75 0.76 -2.56 0.09 0.04
t+3 15 5 33.3 -0.56 -0.54 0.20 -0.95 0.21 -2.40 0.10 0.04
t+4 15 4 26.7 -0.91 -0.51 0.23 -1.33 0.17 -3.17 0.05 0.03
t+5 15 3 20.0 -0.81 -0.70 0.43 -1.12 0.38 -3.17 0.07 0.03
t+10 15 4 26.7 -1.16 -0.43 0.59 -1.80 0.33 -4.72 0.12 0.05
t+20 15 7 46.7 -1.70 -0.29 1.29 -4.32 0.30 -7.58 0.31 0.22
1st +’ve exit in 5 days 15 9 60.0 -0.52 0.05 0.22 -1.63 0.13 -3.17 0.17 0.11
1st -‘ve exit in 5 days 15 15 100.0 0.48 -0.50 -0.48 NA NA NA NA NA

conclusion : 15/15 times $SPY has fallen than the current entry at some point of time over the next five trading days ..

below the historical trade details , of $SPY continuous closes above previous day for four or more days in row and $SPY closing at 52 week high

Date Close t+1% t+2% t+3% t+4% t+5%
27-May-14 191.52 ?? ?? ?? ?? ??
02-Apr-14 188.88 -0.13 -1.31 -2.40 -2.00 -0.95
26-Dec-13 183.05 -0.01 -0.02 0.45 -0.51 -0.52
29-Oct-13 175.44 -0.50 -0.78 -0.54 -0.19 -0.51
11-Apr-13 156.04 -0.24 -2.56 -1.12 -2.56 -3.17
29-Apr-11 128.13 -0.16 -0.52 -1.17 -2.07 -1.63
22-Dec-10 117.62 -0.14 -0.10 0.03 0.11 -0.05
11-Jan-10 105.22 -0.93 -0.10 0.17 -0.95 0.29
08-Jan-10 105.07 0.14 -0.79 0.05 0.31 -0.81
07-Jan-10 104.72 0.33 0.48 -0.46 0.38 0.65
26-Oct-06 118.61 -0.62 -0.70 -0.72 -1.38 -1.44
23-Nov-05 106.63 0.08 -0.64 -0.74 -1.28 -0.27
22-Nov-05 106.01 0.58 0.66 -0.06 -0.16 -0.70
08-Jan-04 92.25 -0.88 -0.14 -0.73 0.11 0.35
03-Sep-03 83.38 0.05 -0.52 0.31 -0.35 -1.36
24-Mar-00 117.88 -1.06 -1.63 -1.53 -3.17 -2.08

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if by Monday $SPY recovers half of last week’s losses ?

if by Monday $SPY recovers half of last week’s losses ?

bit complex rules ,

  • today is Monday
  • Previous trading day was Friday and 6 trading days ago was also a Friday ( the idea here is we are tracking full working week )
  • as on previous trading which was a Friday , $SPY lost more than 1% , over the last five trading days ( for the last week ending on Friday as on 114 Mar 2014 , $SPY lost -1.91%)
  • $SPY on the current session recovers half or more of the last week’s losses

below the trading odds for the next 1/2/3/4/5/10/20 trading days ,when by Monday $SPY recovers half of last week’s losses ?, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 27 12 44.4 -0.12 -0.28 0.84 -0.88 0.95 -2.35
t+2 27 13 48.1 -0.39 -0.07 1.41 -2.06 0.68 -11.18
t+3 27 14 51.9 -0.61 0.56 1.76 -3.16 0.56 -7.48
t+4 27 11 40.7 -1.16 -1.11 1.66 -3.09 0.54 -8.03
t+5 27 13 48.1 -0.78 -0.29 1.59 -2.98 0.53 -6.54
t+10 27 16 59.3 0.28 1.57 3.29 -4.10 0.80 -7.01
t+20 27 19 70.4 0.41 1.31 3.61 -7.19 0.50 -11.45

looks a bit bearish bias towards this weekend ( but be careful to even think of shorting $SPY , most of the short patterns failed miserably in 2013 ..)

below the prior instances of by Monday $SPY recovers half of last week’s losses , since Jan 2000

Date Close Monday Gain% Prev Week Loss % t+1 t+2 t+3 t+4 t+5 t+10 t+20
17-Mar-14 ~186.57 1.03 -1.91 ?? ?? ?? ?? ?? ?? ??
19-Nov-12 135.42 2.03 -1.29 0.04 0.23 1.6 1.37 0.86 3.27 5.41
15-Aug-11 114.35 2.12 -1.63 -0.86 -0.79 -5.07 -6.62 -6.54 -0.79 -2.34
21-Mar-11 122.39 1.55 -1.93 -0.35 -0.07 0.89 1.2 0.96 2.85 0.24
10-May-10 107.44 4.4 -6.35 -0.28 1.12 -0.15 -1.95 -1.9 -6.35 -8.93
03-May-10 111.32 1.3 -2.47 -2.35 -2.94 -6.16 -7.55 -3.49 -6.23 -9.93
01-Feb-10 100.46 1.56 -1.67 1.21 0.71 -2.4 -2.2 -2.91 0.3 4.18
05-Oct-09 95.31 1.5 -1.88 1.43 1.71 2.49 3.11 3.51 5.97 0.46
28-Sep-09 97.41 1.79 -2.13 -0.3 -0.69 -3.15 -3.6 -2.16 2.34 1.7
18-May-09 82.72 2.83 -4.59 -0.12 -0.79 -2.21 -2.42 0.08 6.4 3.41
08-Dec-08 81.27 3.49 -2.4 -1.65 -0.98 -3.36 -2.21 -3.57 -2.16 3.23
24-Nov-08 75.94 6.93 -8.2 0.74 4.64 5.95 -3.44 0.28 10.72 7.63
13-Oct-08 90.51 14.51 -19.79 -1.48 -11.18 -7.48 -8.03 -2.51 -6.95 1.08
12-May-08 124.1 1.12 -1.84 0.01 0.22 1.47 1.56 1.85 -0.86 -2.44
19-Mar-07 121.5 1.2 -1.2 0.55 2.21 2.13 2.28 2.14 1.68 5.39
29-Aug-05 102.16 0.77 -1.39 -0.53 0.73 0.66 0.48 1.65 2.6 0.96
16-May-05 97.66 0.93 -1.16 0.67 1.7 2.13 1.99 2.55 3.23 4.08
24-Nov-03 85.88 1.32 -1.19 0.38 0.75 0.82 1.91 1.65 1.78 4.98
14-Apr-03 71.81 2.06 -1.21 0.93 -0.78 0.7 0.79 2.69 5.06 8.34
16-Dec-02 73.34 2.59 -2.92 -0.87 -2.03 -2.73 -1.34 -1.31 -2.37 3.01
17-Jun-02 82.65 2.68 -1.88 0.82 -1.54 -2.79 -4.31 -3.81 -4.54 -11.45
13-May-02 85.63 2.04 -1.73 2.17 1.78 2.31 2.8 1.69 1.57 -3.84
11-Feb-02 88.21 1.23 -2.28 -0.32 0.75 0.56 -0.5 -2.4 0.69 5.58
22-Oct-01 86.35 1.97 -1.97 -0.51 -0.78 1.01 0.78 -1.84 2.56 6.75
05-Mar-01 97.49 0.91 -1.08 1.08 1.8 1.91 -1.11 -5.34 -7.01 -7.84
12-Feb-01 104.22 1.15 -2.19 -0.82 -0.97 -0.01 -2.22 -3.72 -4.7 -10.76
18-Dec-00 103.73 1.34 -1.97 -2.03 -4.88 -4.22 -1.34 -0.29 -3.12 0.89
26-Jun-00 113.69 1.27 -1.5 -0.73 -0.46 -1.39 -0.64 0.72 1.57 1.31

ps : ~186.57 at the time of writing ,

pps: a close above 186.43 , triggers the above study , otherwise its void ( in which case the predictability is very very less)

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