$SPY on first trading day of July

$SPY on first trading day of July 

Anatomy of $SPY on First Trading Day of the Month

1) below the trading odds for $SPY longs on the first day of the July ,since Feb 1993

  • Winners : 17
  • Losers : 4
  • % Winners : 81%
  • Average Change % : 0.43
  • Median Change % : 0.42
  • Maximum Gain % : 1.83
  • Maximum Loss % : -1.52
  • Average Gain %if Winner : 0.73
  • Average Loss % if Loser : -0.83
  • Payoff Ratio 0.88
  • Average Absolute Change% : 0.82
  • Profit Factor : 3.15
  • Outlier Adjusted Profit Factor : 2.79

2) besides , there is another data mined ( as the sample size is too low ) first day of the quarter pattern

trading strategy rules

  1. tomorrow the first trading day of the quarter &
  2. is Tuesday

below the trading strategy performance , since 1993 , for going long the last day the quarter , when the next quarter starting on Tuesday

  • Winners : 14
  • Losers : 1
  • % Winners : 93%
  • Average Change % : 1.05
  • Median Change % : 0.76
  • Maximum Gain % : 4.06
  • Maximum Loss % : -1.84
  • Average Gain %if Winner : 1.26
  • Average Loss % if Loser : -1.84
  • Payoff Ratio 0.68
  • Average Absolute Change% : 1.77
  • Profit Factor : 10.92
  • Outlier Adjusted Profit Factor : 8.27

1) below the historical instance of July 1st Day returns , since 1993

Date $SPY Change Change%
01-Jul-14 ?? ?? ??
01-Jul-13 158.25 0.92 0.58
02-Jul-12 130.95 0.39 0.3
01-Jul-11 125.79 1.83 1.48
01-Jul-10 94.63 -0.42 -0.44
01-Jul-09 83.42 0.34 0.41
01-Jul-08 112.95 0.35 0.31
02-Jul-07 130.91 1.18 0.91
03-Jul-06 108.23 0.44 0.41
01-Jul-05 99.43 0.29 0.29
01-Jul-04 92.11 -1.29 -1.38
01-Jul-03 79.1 0.72 0.92
01-Jul-02 76.59 -1.52 -1.95
02-Jul-01 96.66 1.19 1.25
03-Jul-00 113.42 1.54 1.38
01-Jul-99 105.22 0.78 0.75
01-Jul-98 86.32 0.99 1.16
01-Jul-97 66.36 0.76 1.16
01-Jul-96 49.39 0.42 0.86
03-Jul-95 39.01 0.14 0.36
01-Jul-94 31.04 0.06 0.19
01-Jul-93 30.52 -0.08 -0.26

2) below the $SPY returns on the first day of the new quarter , which falls on Tuesday , since 1993

Date $SPY Change Change%
01-Jul-14 ?? ?? ??
01-Apr-14 187.35 1.23 0.66
01-Oct-13 166.89 1.31 0.79
03-Jan-12 121.15 1.9 1.59
01-Jul-08 112.95 0.35 0.31
01-Apr-08 119.59 4.06 3.51
03-Jan-06 106.4 1.84 1.76
01-Jul-03 79.1 0.72 0.92
01-Apr-03 68.83 1.04 1.53
01-Oct-02 67.96 3.11 4.8
02-Jan-01 99.75 -1.84 -1.81
01-Jul-97 66.36 0.76 1.16
01-Apr-97 56.13 0.36 0.65
01-Oct-96 50.61 0.27 0.54
02-Jan-96 44.91 0.48 1.08
03-Jan-95 32.34 0.15 0.47

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Mutual Fund Monday Statistics on $SPY

 Mutual Fund Monday Statistics on $SPY

Mutual Fund Mondayh/t @Couzin_Vinny 

for the purpose of this article , lets define Mutual Fund Monday as the last Monday of the quarter , and if Monday is a holiday , lets include the next trading day which is Tuesday ( usually happens in the December month , when the X-mas falls on Monday )

below the trading odds for the $SPY bulls on Mutual Fund Monday , ( i.e going long on the previous trading day’s close  and exiting on the close of Mutual Fund Monday , since Jan 2000 .

  • Total : 57
  • Winners : 28
  • Losers : 29
  • % Winners : 49%
  • Average Change % : -0.06
  • Median Change % : -0.02
  • Maximum Gain % : 3.51
  • Maximum Loss % : -7.84
  • Average Gain %if Winner : 0.93
  • Average Loss % if Loser : -1.01
  • Payoff Ratio 0.92
  • Average Absolute Change% : 0.81
  • Profit Factor : 0.89
  • Outlier Adjusted Profit Factor : 0.80

We don’t see any edge in the Mutual Fund Monday pattern and that term “Mutual Fund Monday Effect “is a myth

as today is an interesting Mutual Fund Monday , as in it is falling on the last trading of the month , below the trading odds for the $SPY longs at close, for the next 1/2/3/4/5 trading days, since Feb 1993 , if the current day is both Mutual Fund Monday and the last trading day of the month as well ( valid from the close of 30th Jun 2014 )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 13 12 92.3 1.36 0.92 1.54 -0.88 1.75 -0.88 15.81 12.19
t+2 13 10 76.9 1.40 1.67 2.17 -1.17 1.85 -1.41 5.94 4.73
t+3 13 9 69.2 1.19 1.13 2.34 -1.38 1.69 -3.35 3.01 2.33
t+4 13 9 69.2 1.17 2.18 2.50 -1.83 1.37 -3.44 2.33 1.81
t+5 13 8 61.5 0.98 1.94 2.91 -2.12 1.37 -4.99 1.56 1.21
t+10 13 9 69.2 0.83 1.74 2.80 -3.62 0.77 -5.50 1.18 0.93
t+20 13 10 76.9 2.80 2.53 4.76 -3.73 1.28 -7.73 3.26 2.65
1st +’ve exit in 5 days 13 12 92.3 1.04 0.92 1.54 -4.99 0.31 -4.99 2.78 2.15

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

12/13 times since Feb 1993 , $SPY closed higher than the entry price at some point in the next five trading days ! but that one loss- making trade was a bummer with a loss of -5% ..

below the historical instances of $SPY Mutual Fund Monday + last trading of the month , since Feb 1993 

Date $SPY t+1% t+2% t+3% t+4% t+5%
30-Jun-14 ?? ?? ?? ?? ?? ??
31-Mar-14 186.12 0.66 1 0.87 -0.33 -1.43
30-Sep-13 165.58 0.79 0.69 -0.24 0.52 -0.35
31-Dec-12 138.32 2.56 2.33 2.78 2.49 2.2
30-Jun-08 112.6 0.31 -1.41 -1.31 -2.32 -0.58
31-Mar-08 115.53 3.51 3.58 3.84 3.73 3.78
31-Dec-07 127.37 -0.88 -0.93 -3.35 -3.44 -4.99
30-Jun-03 78.38 0.92 2.19 1.14 3.15 3.61
31-Mar-03 67.79 1.53 3.98 3.5 4.1 3.91
30-Sep-02 64.85 4.8 1.67 0.63 -1.22 -3.25
31-Dec-01 89.65 1.07 2.22 2.9 2.18 1.94
30-Jun-97 65.6 1.16 2.82 4.24 3.19 4.25
31-Mar-97 55.77 0.65 -1.17 -0.63 0.63 1.02
30-Sep-96 50.34 0.54 1.21 1.13 2.5 2.6

highlighted in red was that huge loss making trade 

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$VXO weekly single digit closings

$VXO weekly single digit closings 

h/t @todd_harrison

with the $VXO (CBOEO EX implied Volatility Index) closing at 9.14 ( at the time of writing ) below the prior weekly closings below 10 and the next week trading odds for $VXO cash index ..

ps: you really can’t trade $VXO, as there is no derivative for it , and we don’t have a simple relationship , like y= a*x+b or something like that 🙂 to tell the likely odds for any other tradable derivative , but good to know

  • Winners : 8
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 17.87
  • Median Change % : 10.85
  • Maximum Gain % : 51.30
  • Maximum Loss % : 5.59
  • Average Gain %if Winner : 17.87

below the trading odds for $SPY longs , from fri weekly close to next fri weekly close , when ever $VXO closes in single digit , since 1993

  • Winners : 0
  • Losers : 8
  • % Winners : 0%
  • Average Change % : -0.82
  • Median Change % : -0.54
  • Maximum Gain % : -0.05
  • Maximum Loss % : -1.90

below the table with the historical details of $VXO weekly sing digit closings , since 1993 

Week  VXO SPY SPY (t+1 %) VXO
16-Jun-14 ~9.14 ~195.85 ?? ??
12-Feb-07 9.66 125.24 -0.29 9.73
29-Jan-07 9.79 124.45 -0.59 11.85
16-Jan-07 9.75 122.74 -0.48 9.85
11-Dec-06 9.97 122.33 -1.12 8.63
13-Nov-06 9.84 120.01 -0.05 5.59
19-Dec-05 9.87 106.96 -1.78 19.25
24-Jan-94 9.59 33.1 -1.90 51.30
20-Dec-93 9.04 32.32 -0.34 26.77

$VXO single digit weekly closings , since 1993 

$VXO weekly single digit closings

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$SPY rallies on Fed Day – what next ?

$SPY rallies on Fed Day – what next ?

Fed Day Carton

Few trading patterns after the $SPY rallying on the Fed day .

1) $SPY is up for 4 or more days as on Fed Day

the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Jan 2000

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 15 6 40.0 -0.32 -0.14 0.65 -0.97 0.67 -3.24 0.52 0.24
t+2 15 7 46.7 -0.69 -0.25 0.66 -1.88 0.35 -5.21 0.33 0.15
t+3 15 8 53.3 -0.73 0.03 0.83 -2.51 0.33 -5.50 0.37 0.23
t+4 15 7 46.7 -0.65 -0.29 0.92 -2.04 0.45 -4.51 0.48 0.36
t+5 15 10 66.7 -0.51 0.63 1.01 -3.56 0.28 -5.93 0.58 0.47
t+10 15 8 53.3 -0.17 0.41 1.26 -1.80 0.70 -4.33 0.83 0.65
t+20 15 10 66.7 0.59 1.86 2.73 -3.68 0.74 -13.47 1.81 1.50
1st +’ve exit in 5 days 15 11 73.3 -0.79 0.17 0.45 -4.18 0.11 -5.93 0.32 0.19
1st -‘ve exit in 5 days 15 13 86.7 0.56 -0.46 0.88 -1.53 0.58 -1.79 3.25 2.50

13/15 times $SPY closed lower than the Fed day’s close in the next five trading days ..

ps: 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 negative exit in 5 days , the negative of forward $SPY daily changes are considered , so as to see if shorting ( to help the bears ) has a positive expectation ..

2) $SPY posts the biggest in 10 trading days , as on Fed Day

i.e current day’s gain is the largest gain the 10 trading day’s .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 20 8 40.0 -0.36 -0.11 0.74 -1.08 0.68 -4.42 0.40 0.27
t+2 20 10 50.0 -0.27 0.01 0.63 -1.18 0.54 -4.31 0.51 0.38
t+3 20 10 50.0 -0.07 0.05 1.20 -1.34 0.89 -3.57 0.87 0.64
t+4 20 10 50.0 -0.07 0.05 1.52 -1.65 0.92 -4.47 1.00 0.81
t+5 20 10 50.0 -0.11 -0.03 1.46 -1.68 0.87 -5.46 0.90 0.64
t+10 20 11 55.0 -0.24 0.11 1.21 -2.02 0.60 -5.06 0.88 0.69
t+20 20 13 65.0 1.16 1.48 2.84 -1.96 1.45 -7.39 2.89 2.35
1st +’ve exit in 5 days 20 16 80.0 -0.04 0.46 0.66 -2.83 0.23 -5.46 0.99 0.83
1st -‘ve exit in 5 days 20 17 85.0 0.45 -0.20 -1.03 2.85 0.36 5.44 2.65 1.94

3) $SPY closes at 52 week high closing , as on Fed Day

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 14 8 57.1 0.04 0.16 0.37 -0.40 0.94 -1.05 1.14 0.92
t+2 14 9 64.3 0.07 0.10 0.52 -0.74 0.71 -1.51 1.21 0.65
t+3 14 7 50.0 0.10 -0.01 0.74 -0.54 1.37 -1.33 1.34 0.68
t+4 14 9 64.3 0.22 0.27 0.76 -0.74 1.02 -1.56 1.76 1.32
t+5 14 10 71.4 0.28 0.46 0.82 -1.04 0.78 -1.84 1.80 1.27
t+10 14 10 71.4 0.55 0.89 1.19 -1.05 1.14 -1.76 2.43 2.02
t+20 14 7 50.0 0.40 0.44 2.49 -1.69 1.47 -3.16 1.40 1.08
1st +’ve exit in 5 days 14 13 92.9 0.24 0.36 0.40 -1.84 0.21 -1.84 2.05 1.75
1st -‘ve exit in 5 days 14 11 78.6 0.22 -0.27 -0.52 0.87 0.59 1.27 2.38 1.75

 

conclusion : putting all the patterns in perspective , expect $SPY to soften a bit over the next few days ! ( no ! we are not saying it’s bearish 🙂 )  

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momentum continuation fed day setup

momentum continuation fed day setup 

Fed Day Cartona bullish Fed day setup that triggered

below the trading strategy rules

  • $SPY closed up at-least for 3 days in row &
  • tomorrow is Fed Day &
  • go long at close current day &
  • exit on the close of Fed Day

$SPY closes up for at least 3 days in row , the day before Fed day , trading setup , trading strategy performance since Jan 2000

  • Winners : 15
  • Losers : 3
  • % Winners : 83%
  • Average Change % : 0.71
  • Median Change % : 0.50
  • Maximum Gain % : 3.38
  • Maximum Loss % : -0.61
  • Average Gain %if Winner : 0.94
  • Average Loss % if Loser : -0.42
  • Payoff Ratio 2.23
  • Average Absolute Change% : 0.60
  • Profit Factor : 7.74
  • Outlier Adjusted Profit Factor : 6.34

Below the historical instances of $SPY closes up for at least 3 days in row , the day before Fed day , along with the change and change$ details on the Fed day, since Jan 2000

Fed Day $SPY Prv Day $SPY Change Change % Up Sequence as on prv day
18-Jun-14 ?? 194.83 ?? ?? ??
30-Oct-13 174.57 175.44 -0.87 -0.5 4
18-Sep-13 170.53 168.58 1.95 1.16 3
12-Dec-12 139.06 139 0.06 0.04 5
20-Jun-12 130.59 130.8 -0.21 -0.16 4
13-Mar-12 133.72 131.35 2.37 1.8 4
22-Jun-11 121.44 122.18 -0.74 -0.61 4
26-Jan-11 121.26 120.79 0.47 0.39 3
14-Dec-10 115.97 115.87 0.1 0.09 5
03-Nov-10 111.58 111.13 0.45 0.4 4
16-Mar-10 106.76 105.92 0.84 0.79 12
28-Jan-09 78.33 75.77 2.56 3.38 3
25-Oct-06 118.24 117.84 0.4 0.34 5
14-Dec-04 99.69 99.34 0.35 0.35 4
12-Aug-03 80.31 79.58 0.73 0.92 4
18-Mar-03 69.88 69.47 0.41 0.59 4
06-Nov-02 74.12 73.17 0.95 1.3 3
06-Nov-01 88.28 86.92 1.36 1.56 3
16-May-00 113.24 112.15 1.09 0.97 3

and a colorful table

momentum continuation fed day setup on $SPY

 

May we recommend The Quantifiable Edges Guide To Fed Days by @QuantEdges ??

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$spy posts a dip after two trend days in a row – what next ?

$spy posts a dip after two trend days in a row

$SPY two trend days in row stock chart

 

with $SPY posting a small loss of -0.07% , nevertheless a dip , below trading strategy triggered

trading strategy rules

1) $SPY posts two trend days in row &

2) $SPY closes in red as on the current trading day ( as on close of 28th May 2014 )

trend day is defined as the day when the open is in the bottom 20% range of the day and the close is in the top 20% range of the day , i’e (Open-Low)*100/(High-low) < 20 && (High-Low)*100/(High-Low) < 20%

below the trading odds for the $SPY longs 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 % PF OAPF
t+1 24 17 70.8 0.49 0.18 0.90 -0.53 1.70 -1.27 3.62 2.95
t+2 24 15 62.5 0.43 0.23 1.42 -1.22 1.16 -2.89 1.88 1.46
t+3 24 16 66.7 0.80 0.46 1.77 -1.14 1.54 -3.69 2.62 2.16
t+4 24 15 62.5 0.80 0.56 2.31 -1.73 1.34 -4.51 2.03 1.70
t+5 24 13 54.2 0.84 0.45 2.74 -1.40 1.96 -4.34 2.05 1.59
t+10 24 15 62.5 0.04 0.47 2.00 -3.23 0.62 -6.75 1.03 0.79
t+20 24 14 58.3 -0.39 0.59 3.31 -5.57 0.59 -15.12 0.88 0.75
1st +’ve exit in 5 days 24 20 83.3 0.41 0.47 0.87 -1.94 0.45 -4.34 2.16 1.82

expecting a small bounce for the day , with 71% probability and profit expectation of 0.5% !!

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 of “$SPY posting a dip after two trend days in row ” since Jan 2000

Date Close t+1% t+2% t+3% t+4% t+5%
28-May-14 191.38 ?? ?? ?? ?? ??
27-Dec-13 183.04 -0.02 0.46 -0.5 -0.52 -0.81
25-Nov-13 178.87 0.02 0.27 0.2 -0.06 -0.49
15-Oct-13 168.04 1.4 2.08 2.77 2.77 3.37
19-Sep-13 170.24 -0.7 -1.16 -1.39 -1.67 -1.3
19-Dec-12 139.82 0.58 -0.34 -0.64 -1.07 -1.19
25-Aug-11 109.75 1.45 4.36 4.65 5.1 4.01
23-Dec-10 117.45 0.04 0.18 0.26 0.09 0.12
06-Dec-10 114.19 0.06 0.43 0.81 1.4 1.47
24-Aug-09 93.47 0.2 0.21 0.43 0.42 -0.48
01-Dec-08 73.01 3.85 6.34 3.88 7.08 10.82
15-Sep-08 106.16 1.68 -2.89 -0.02 3.96 1.6
29-Aug-08 113.85 -0.61 -0.7 -3.69 -3.39 -1.4
22-Mar-07 123.54 0.15 0.02 -0.22 -0.95 -0.84
28-Dec-06 122.22 -0.42 -0.59 -0.38 -1.18 -0.72
28-Feb-05 100.03 0.49 0.44 0.49 1.74 1.79
13-May-03 76.13 -0.21 0.42 0.17 -2.18 -2.38
22-Nov-02 74.42 0.07 -1.84 0.93 0.6 0.77
16-Oct-02 68.95 1.99 2.42 4.18 3.44 4.22
19-Jun-02 81.02 -1.27 -2.81 -2.31 -4.51 -4.34
05-Mar-02 90.93 1.19 0.97 1.4 1.61 1.55
16-Jul-01 94.45 0.93 0.24 1.12 0.52 -1.46
09-Aug-00 113.45 -0.49 -0.03 1.24 1.16 0.8
05-Jul-00 111.28 0.78 2.4 2.23 2.44 3.11
19-Apr-00 109.87 0.48 -0.61 3.51 2.35 2.01

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$SPY trading notes on 22 Apr 2014

$SPY notes on 22 Apr 2014

$SPY stock chartsame old bullish studies , with the current data refresh ..

1) $SPY up for 6 or more days in row , since 2009  

the trading odds for $SPY longs , 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 %
t+1 33 17 51.5 -0.05 0.01 0.30 -0.43 0.71 -1.58
t+2 33 19 57.6 0.09 0.04 0.46 -0.42 1.11 -1.22
t+3 33 24 72.7 0.19 0.19 0.52 -0.67 0.77 -2.73
t+4 33 26 78.8 0.50 0.68 0.83 -0.73 1.14 -2.16
t+5 33 28 84.8 0.76 0.85 1.04 -0.82 1.28 -2.06
t+10 33 26 78.8 0.68 0.96 1.27 -1.51 0.84 -4.72
t+20 33 27 81.8 1.31 1.26 2.25 -2.94 0.77 -6.55
1st +’ve exit in 5 days 33 31 93.9 0.28 0.37 0.37 -1.14 0.33 -2.06

2) $SPY up for 5 or more days in row , and current trading day is Tuesday, since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 29 17 58.6 0.03 0.08 0.37 -0.46 0.81 -1.31
t+2 29 16 55.2 -0.04 0.02 0.43 -0.62 0.69 -1.55
t+3 29 16 55.2 -0.13 0.02 0.54 -0.96 0.56 -2.73
t+4 29 16 55.2 0.03 0.37 0.84 -0.96 0.87 -3.02
t+5 29 19 65.5 0.44 0.62 1.00 -0.62 1.62 -1.09
t+10 29 22 75.9 0.68 0.76 1.24 -1.09 1.14 -1.74
t+20 29 18 62.1 0.87 1.43 2.44 -1.69 1.44 -3.93
1st +’ve exit in 5 days 29 29 100.0 0.34 0.31 0.34 INF INF NA

3) $SPY up for 6 or more days in row , and $VIX cash index is down for 6 or more days in row , since Feb 1993 ( i.e $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 13 9 69.2 0.00 0.04 0.22 -0.48 0.45 -0.93
t+2 13 7 53.8 0.12 0.01 0.48 -0.29 1.63 -0.54
t+3 13 11 84.6 0.16 0.15 0.38 -1.04 0.36 -1.58
t+4 13 10 76.9 0.45 0.60 0.81 -0.72 1.11 -1.15
t+5 13 12 92.3 1.01 0.99 1.11 -0.12 9.50 -0.12
t+10 13 11 84.6 0.70 0.96 1.32 -2.72 0.48 -4.72
t+20 13 12 92.3 1.20 1.26 1.85 -6.55 0.28 -6.55
1st +’ve exit in 5 days 13 13 100.0 0.32 0.17 0.32 INF INF NA

conclusion : that pre-open dip might be bought for five day holding period , with an average profit expectation ranging from 0.76 ^ to 1.01 % , besides this no turnaround Tuesday  might continue the winning streak into straight 30 winners ??

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have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?

updating the back-to-back outside days study on $SPY

 back-to-back outside days study on $SPY

back to back outside days $SPY stock chart

with $SPY posting two outside days in row , just updating the previous back to back outside days study 

below the trading odds for $SPY longs with various exit periods of 1/2/3/4/5/10/20 trading days , after $SPY posts two outside days ( that a higher high and lower low combination ) in row , data since Feb 1993 ( or since $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 20 11 55.0 0.24 0.12 0.78 -0.41 1.90 -1.22
t+2 20 11 55.0 0.25 0.14 1.06 -0.74 1.44 -1.90
t+3 20 15 75.0 0.84 0.94 1.36 -0.72 1.89 -1.40
t+4 20 16 80.0 0.91 1.11 1.31 -0.66 1.97 -1.54
t+5 20 16 80.0 1.10 1.27 1.53 -0.64 2.40 -1.08
t+10 20 11 55.0 0.62 0.67 1.95 -1.00 1.95 -2.59
t+20 20 13 65.0 0.88 1.53 2.53 -2.19 1.16 -4.27
1st +’ve exit in 5 days 20 19 95.0 0.56 0.38 0.64 -1.08 0.59 -1.08

below the prior instances of $SPY back to back outside days since Feb 1993

Date $SPY t+1 t+2 t+3 t+4 t+5 t+10 t+20
04-Apr-14 186.40
09-Jan-14 182.83 0.27 -1.06 0.02 0.56 0.43 -2.59 -2.16
22-May-13 162.65 -0.29 -0.38 0.22 -0.42 -0.06 -1.93 -3.93
25-Oct-12 137.05 -0.06 -0.06 0.99 0.09 0.3 -2.23 -0.78
04-Dec-09 101.26 -0.15 -1.25 -0.89 -0.33 0.09 -0.19 2.91
06-Aug-09 90.69 1.31 1.1 -0.17 0.9 1.68 1.1 0.76
12-Apr-07 124.82 0.46 1.41 1.67 1.8 1.78 3.44 3.4
30-Mar-07 122.52 0.11 1.19 1.31 1.58 1.72 3.31 4.43
01-Nov-06 116.97 -0.06 -0.23 0.89 1.28 1.5 2.31 2.68
09-Aug-06 108.05 0.31 0.03 0.1 1.3 2.14 2.19 2.3
17-Apr-06 109.00 1.59 1.78 1.92 1.94 1.74 1.35 0.65
03-Jan-05 99.75 -1.22 -1.9 -1.4 -1.54 -1.08 -0.69 -1.15
11-Feb-04 94.44 -0.36 -0.82 0.08 -0.36 -0.73 -0.97 -4.27
02-Jan-04 90.50 1.08 1.18 1.52 1.93 1.04 2.7 2.46
01-Nov-02 71.91 0.96 1.75 3.07 0.54 -0.68 1.25 4.28
14-Aug-02 73.14 1.38 1.08 3.45 2.35 3.83 -0.14 -3.01
12-Aug-96 48.63 -0.78 -0.43 -0.62 0.23 0.27 -0.25 -0.02
05-Feb-96 46.32 0.95 1.55 2.63 2.61 3.39 0.24 2.7
06-Mar-95 34.45 -0.75 -0.49 -0.52 0.93 0.84 2.09 3.48
11-Jul-94 30.95 0.13 0.32 1.39 1.42 1.62 1.45 2.55
24-Jan-94 32.24 0 0.25 1.18 1.46 2.17 0 0.31

highlighted in the  red is the only instance of $SPY not able to post a higher close , in the next five trading days

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when $SPY full gap up open faded below previous day’s low – what next ?

$SPY full gap up open faded below previous day’s low

$SPY full gap up fade stock chartwith $SPY closing below previous day’s low after opening above previous previous day’s high , below trading strategies

1) $SPY opens above prev high && $SPY closes below prev low

trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , since Jan 2000 .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 40 21 52.5 -0.08 0.09 0.71 -0.96 0.74 -3.91
t+2 40 21 52.5 0.15 0.02 1.43 -1.25 1.14 -3.74
t+3 40 28 70.0 0.30 0.51 1.39 -2.24 0.62 -5.30
t+4 40 27 67.5 0.51 0.77 1.75 -2.07 0.84 -5.26
t+5 40 28 70.0 0.57 0.84 1.90 -2.54 0.75 -7.01
t+10 39 27 69.2 0.80 0.96 2.30 -2.56 0.90 -6.07
t+20 39 27 69.2 1.78 2.31 3.68 -2.51 1.47 -4.91
1st +’ve exit in 5 days 40 34 85.0 0.08 0.42 0.79 -3.95 0.20 -7.01

but when

2) $SPY opens above prev high && $SPY closes below prev low  && $SPY close is above 200-DMA ( long term uptrend)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 26 18 69.2 0.20 0.22 0.64 -0.77 0.82 -3.91
t+2 26 15 57.7 0.35 0.19 1.11 -0.70 1.59 -3.74
t+3 26 20 76.9 0.56 0.65 1.18 -1.51 0.78 -5.29
t+4 26 21 80.8 0.87 0.88 1.44 -1.54 0.94 -3.18
t+5 26 21 80.8 1.04 1.32 1.64 -1.47 1.11 -2.83
t+10 25 20 80.0 1.33 1.46 2.10 -1.72 1.22 -2.80
t+20 25 17 68.0 1.60 2.31 3.39 -2.20 1.54 -3.82
1st +’ve exit in 5 days 26 25 96.2 0.48 0.44 0.59 -2.32 0.25 -2.32

below the historical details of $SPY opens above prev high && $SPY closes below prev low  && $SPY close is above 200-DMA ( long term uptrend) , since Jan 2000 .

Date $SPY Close t+1 t+2 t+3 t+4 t+5 t+10 t+20
26-Mar-14 184.97
13-Mar-14 184.37 -0.28 0.62 1.34 0.80 1.39
07-Nov-13 173.99 1.34 1.36 1.16 1.97 2.48 2.84 3.43
30-Oct-13 175.34 -0.29 -0.05 0.31 -0.01 0.50 1.19 2.74
25-Feb-13 146.05 0.68 1.95 1.75 2.09 2.63 4.72 4.46
26-Dec-12 138.94 -0.13 -1.21 0.47 3.04 2.81 3.76 6.00
03-Dec-12 137.67 -0.14 0.04 0.38 0.68 0.73 1.64 4.00
10-Jul-12 129.87 0.02 -0.47 1.19 0.95 1.65 -0.16 4.60
01-Mar-11 122.97 0.22 1.94 1.18 0.38 1.26 -1.81 1.15
09-Nov-10 113.62 0.40 0.03 -1.15 -1.29 -2.83 -2.60 1.37
19-Mar-10 107.27 0.53 1.24 0.75 0.59 0.52 2.41 3.31
31-Dec-09 102.65 1.70 1.97 2.04 2.47 2.82 1.98 -2.13
20-Jun-07 131.55 0.55 -0.39 -0.87 -1.89 -0.49 0.68 2.60
23-May-06 106.51 0.80 2.05 2.56 0.74 1.87 0.55 0.31
27-Dec-05 106.34 0.23 -0.23 -0.76 0.98 1.46 3.07 1.50
28-Nov-05 106.42 -0.11 -0.65 0.37 0.49 0.28 0.18 -0.08
01-Apr-05 98.19 0.16 0.64 1.00 1.54 0.48 -2.80 -1.44
15-Mar-05 100.06 -0.85 -0.65 -0.94 -1.31 -2.32 -1.25 -1.98
19-May-04 89.61 0.32 0.49 0.92 2.37 2.72 2.58 4.37
20-Apr-04 91.78 0.68 2.08 2.18 2.04 2.12 0.13 -2.03
13-Apr-04 92.84 0.16 -0.22 0.55 0.55 -1.14 0.96 -3.06
18-Nov-03 84.46 0.85 -0.06 0.36 1.68 2.07 3.20 4.49
22-Aug-03 80.84 0.16 0.33 0.37 0.99 1.67 3.92 3.18
16-Apr-03 71.25 1.49 1.59 3.49 4.45 3.52 4.13 7.78
09-Aug-00 114.63 -0.49 -0.02 1.26 1.17 0.81 2.31 2.31
24-Jan-00 108.58 1.14 0.34 -0.06 -3.18 -0.55 1.46 -3.82
03-Jan-00 112.53 -3.91 -3.74 -5.29 0.21 0.55 0.25 -3.09

highlighted in red is when $SPY not able to close higher over the next five trading days

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Fed Day and Opex Week Confluence on $SPY

Fed Day and Opex Week Confluence on $SPY

Janet  Fed meeting cartoon

below the trading odds for the longs taken on 18 Mar 2014 ( the day before at close on the Fed day ) ,

if Fed day falls in the week of the Opex , since Jan 2000.

  • Winners : 21
  • Losers : 6
  • % Winners : 78%
  • Average Change % : 0.78
  • Median Change % : 0.68
  • Maximum Gain % : 4.70
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 1.51
  • Average Loss % if Loser : -1.77
  • Payoff Ratio 0.85
  • Average Absolute Change% : 1.56
  • Profit Factor : 3.13
  • Outlier Adjusted Profit Factor : 2.70

Below the historical instances of Fed Day falling on the Opex Week since 2000.

Date $SPY Change $SPY Change %
19-Mar-14 ?? ??
18-Dec-13 3.03 1.71
18-Sep-13 1.96 1.16
19-Jun-13 -2.25 -1.38
13-Mar-12 2.38 1.80
13-Dec-11 -1.11 -0.94
15-Mar-11 -1.4 -1.15
14-Dec-10 0.1 0.09
16-Mar-10 0.85 0.80
16-Dec-09 0.16 0.16
18-Mar-09 1.57 2.23
16-Dec-08 3.68 4.70
16-Sep-08 1.79 1.68
18-Mar-08 4.68 4.15
18-Sep-07 3.8 2.95
12-Dec-06 -0.09 -0.07
13-Dec-05 0.72 0.68
14-Dec-04 0.35 0.35
16-Mar-04 0.49 0.54
16-Sep-03 1.21 1.46
12-Aug-03 0.73 0.91
18-Mar-03 0.41 0.59
13-Aug-02 -1.32 -1.83
17-Sep-01* -4.52 -5.23
15-May-01 0.45 0.46
18-Apr-01 3.71 3.97
15-Nov-00 0.33 0.30
16-May-00 1.09 0.97

* better forget that day

for apple to apple conversion , trading odds for the fed days which won’t fall in the Opex week , since Jan 2000.

  • Winners : 50
  • Losers : 41
  • % Winners : 55%
  • Average Change % : 0.21
  • Median Change % : 0.15
  • Maximum Gain % : 4.81
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -0.84
  • Payoff Ratio 1.28

coclusion -> we are looking at 57 bps of out-performance on Fed days that fall during the Opex week vs that won’t fall on Opex Weeks  on an average

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