2 unfilled gap down closings on $SPY during bull markets – what next ?

2 unfilled gap down closings on $SPY during bull markets

two unfilled gap down closings in row stock chart

 

with $SPY posting 2 unfilled gap down closings ( that is current low is less than the previous close ) , below trading strategy rules

  • $SPY posts two or more unfilled gap down closings
  • $SPY close is above the 200-DMA

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , when “$SPY posts 2 unfilled gap down closings during bull markets “, since Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 23 13 56.5 0.09 0.25 0.65 -0.63 1.03 -1.85 1.40 1.13
t+2 23 11 47.8 0.12 -0.01 0.72 -0.42 1.71 -1.70 1.67 1.31
t+3 23 13 56.5 -0.02 0.13 0.76 -1.04 0.73 -2.75 0.87 0.68
t+4 23 16 69.6 0.33 0.52 1.01 -1.23 0.82 -3.35 1.82 1.51
t+5 23 17 73.9 0.83 1.01 1.54 -1.17 1.32 -3.63 3.83 3.24
t+10 23 16 69.6 1.50 2.00 2.71 -1.27 2.14 -4.33 5.75 5.15
t+20 22 18 81.8 2.23 3.50 3.96 -5.57 0.71 -14.94 3.23 2.95
1st +’ve exit in 5 days 23 22 95.7 0.50 0.44 0.58 -1.04 0.55 -1.04 12.66 10.91

22 /23 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.50 % .

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

below the table with historical instances of “$SPY posts 2 unfilled gap down closings during bull markets ” , since Jan 2000, along with next 1/2/3/4/5 day returns

Date $SPY t+1% t+2% t+3% t+4% t+5%
12-Jun-14 193.54 ?? ?? ?? ?? ??
15-May-14 187.4 0.35 0.72 0.08 0.92 1.17
24-Jan-14 178.1 -0.49 0.1 -0.86 0.19 -0.39
03-Oct-13 165.98 0.76 -0.11 -1.28 -1.2 0.93
30-Sep-13 166.37 0.79 0.7 -0.23 0.52 -0.35
24-May-13 162.04 0.6 -0.05 0.31 -1.12 -0.58
15-Apr-13 152.05 1.48 -0.01 -0.63 0.24 0.68
08-Jan-13 142.04 0.25 1.06 1.05 0.98 1.05
24-Dec-12 138.92 -0.42 -0.55 -1.63 0.04 2.61
23-Jul-12 130.21 -0.86 -0.84 0.8 2.66 2.66
06-Mar-12 128.65 0.7 1.7 2.09 2.1 3.94
11-Jul-11 124.56 -0.43 -0.1 -0.79 -0.22 -1.04
06-Jun-11 121.19 -0.06 -0.48 0.28 -1.11 -1.04
23-May-11 124.03 -0.09 0.25 0.71 1.1 2.14
15-Mar-11 120.22 -1.85 -0.56 -0.19 1.36 1.01
23-Nov-10 110.18 1.48 0.3 0.6 0.04 2.17
12-Nov-10 111.81 -0.14 -1.7 -1.65 -0.2 0.08
06-Aug-10 103.99 0.54 -0.01 -2.75 -3.35 -3.63
06-Jun-07 131.01 -1.8 -0.53 -0.35 -1.44 0.04
28-Mar-07 122.37 0.11 0.12 0.24 1.32 1.43
27-Nov-06 118.3 0.44 1.49 1.53 1.3 2.08
01-Aug-06 108.25 0.68 0.95 0.78 0.54 0.16
22-Mar-04 89.53 -0.18 -0.1 1.23 1.25 2.68
10-Sep-03 82.25 0.29 0.49 0.13 1.59 1.4

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when $SPY fails to close above prev low in 17 days ?

when $SPY fails to close above prev low in 17 days ?

$SPY pullback stock chartwith $SPY not able to close above previous day’s low by one tick at the least , below trading strategy

  • $SPY closed above previous day’s low for 17 or more trading days in row ( 17 being the current sequence we took that number , no other special reason ) during the previous 17 trading sessions &
  • as on current trading day $SPY failed to close above previous day’s low

the rationale of considering previous low is , well quite a few bulls puts a stop loss there on intra-day or closing basis !

below the trading odds for $SPY for the next 1/2/2/3/4/5/10/20 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 17 10 58.8 0.16 0.04 0.65 -0.54 1.20 -1.46 3.14 2.45
t+2 17 8 47.1 0.13 -0.10 0.93 -0.58 1.62 -1.38 2.34 1.80
t+3 17 10 58.8 0.24 0.25 0.91 -0.73 1.26 -1.99 2.54 2.14
t+4 17 10 58.8 0.28 0.59 1.01 -0.76 1.34 -1.42 2.10 1.76
t+5 17 13 76.5 0.60 0.66 1.06 -0.88 1.20 -2.19 3.63 3.00
t+10 17 12 70.6 1.07 1.73 2.38 -2.06 1.15 -3.26 3.21 2.68
t+20 17 13 76.5 1.61 2.26 3.35 -4.05 0.83 -7.46 2.45 2.09
1st +’ve exit in 5 days 17 17 100.0 0.68 0.73 0.68 INF INF 0.02 NA NA

17 /17 times $SPY closed higher the entry point in the next five trading days , with an average expectation of 0.68 % , there you go the pullback or the dip that every one is waiting for !!! 

ps: 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 not able to close above previous low for the first time in 17 trading days ,  since 1993

Date $SPY # close above prv low sequence t+1% t+2% t+3% t+4% t+5%
11-Jun-14 194.92 17 ?? ?? ?? ?? ??
31-Jan-13 146.09 23 1.03 -0.1 0.9 0.98 0.84
10-Feb-12 128.28 29 0.74 0.62 0.15 1.26 1.52
12-Apr-11 123.47 18 -0.01 0.07 0.44 -0.69 -0.12
16-Apr-10 109.92 18 0.37 1.27 1.08 1.39 2.05
19-Mar-10 106.79 17 0.54 1.25 0.76 0.59 0.53
11-Aug-09 90.54 23 1.07 1.84 1.06 -1.42 -0.64
06-Sep-06 111.05 24 -0.46 -0.17 -0.07 0.91 1.31
09-Jan-04 91.44 22 0.74 0.15 1 1.24 1.64
20-Mar-02 91.08 20 0.04 -0.18 -1.42 -0.85 -0.58
17-Oct-01 84.55 17 -0.22 -0.28 1.68 1.16 0.9
02-Feb-01 104.89 18 0.73 0.44 -0.09 -1.25 -2.19
09-Nov-98 86.04 18 -0.28 -0.94 -1.05 -0.08 0.66
24-Feb-98 77.65 21 1.24 1.82 1.82 1.61 2.18
08-Oct-96 51.69 22 -0.77 -0.97 0.25 0.39 0.25
14-Feb-96 47.64 24 -0.61 -1.03 -1.99 -0.78 0.8
21-Sep-95 42.07 21 0.02 -0.14 -0.17 -0.24 0.52
17-May-95 37.7 20 -1.46 -1.38 -0.29 0.61 0.56

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delayed entry after Tuesday Crowd lost on $SPY

delayed entry after Tuesday Crowd lost on $SPY

$SPY without Tuesdays in 2014

following up the post on ” when the Tuesday crowd lost on $SPY “,

trading strategy rules

  • previous day was Tuesday ,
  • & $SPY closed in red on Tuesday ,
  • with entry set at close on Wednesday

below the trading odds for $SPY longs , for the next 1/2/3/4/5/ trading days , since Jan 2013 , when $SPY lost on Tuesdays , with entry set on Wednesday 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 22 15 68.2 0.32 0.44 0.75 -0.6 1.24 -1.27 2.48 2
t+2 22 17 77.3 0.61 0.57 0.91 -0.4 2.26 -1.4 7.01 5.75
t+3 22 17 77.3 0.74 0.65 1.06 -0.36 2.97 -0.61 10.04 8.27
t+4 22 19 86.4 0.89 0.75 1.06 -0.18 5.76 -0.39 38.57 33.91
t+5 22 19 86.4 0.93 0.66 1.13 -0.38 2.96 -0.56 17.62 14.5
t+10 22 18 81.8 1.15 0.92 1.74 -1.51 1.15 -2.73 5.1 4.22
t+20 21 17 81 1.93 1.69 2.7 -1.35 2.01 -2.35 8.54 7.25
1st +’ve exit in 5 days 22 22 100 0.6 0.51 0.6 INF INF 0.04 INF INF

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

vs

for $SPY longs on any day ,since Jan 2013 ( for your reference to find if there exists any edge , in the above observation and for apple to apple to comparison 🙂

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 348 203 58.3 0.08 0.14 0.54 -0.55 0.98 -2.48 1.35 1.32
t+2 347 212 61.1 0.17 0.18 0.73 -0.72 1.02 -3.82 1.56 1.53
t+3 346 217 62.7 0.25 0.31 0.93 -0.89 1.04 -3.51 1.7 1.67
t+4 345 214 62 0.33 0.41 1.14 -0.98 1.16 -4.73 1.84 1.81
t+5 344 217 63.1 0.42 0.48 1.27 -1.05 1.22 -3.98 2.01 1.98
t+10 339 238 70.2 0.84 0.8 1.8 -1.43 1.27 -5.16 2.84 2.8
t+20 329 251 76.3 1.66 1.82 2.7 -1.7 1.59 -4.77 4.84 4.79
1st +’ve exit in 5 days 348 299 85.9 0.22 0.35 0.49 -1.4 0.35 -3.82 2.07 2.04

below the historical instances , since 2013 , when $SPY lost on Tuesday , and entry is set on Wednesday at close

Date Loss on Tue ( prv day) t+1% t+2% t+3% t+4% t+5%
21-May-14 -0.63 ?? ?? ?? ?? ??
07-May-14 -0.87 -0.11 0.04 1.02 1.11 0.63
12-Mar-14 -0.49 -1.12 -1.4 -0.51 0.2 -0.33
26-Feb-14 -0.04 0.52 0.78 0.07 1.48 1.57
18-Dec-13 -0.32 -0.11 0.47 1.01 1.23 1.74
11-Dec-13 -0.36 -0.33 -0.34 0.28 -0.04 1.67
04-Dec-13 -0.44 -0.44 0.67 0.93 0.57 -0.56
20-Nov-13 -0.22 0.8 1.31 1.21 1.23 1.48
13-Nov-13 -0.21 0.5 0.93 0.58 0.36 0.05
06-Nov-13 -0.31 -1.27 0.07 0.09 -0.12 0.68
16-Oct-13 -0.73 0.67 1.35 1.36 1.94 1.45
09-Oct-13 -1.16 2.16 2.82 3.23 2.48 3.91
25-Sep-13 -0.24 0.38 -0.08 -0.61 0.18 0.08
28-Aug-13 -1.61 0.16 -0.15 0.29 1.12 1.25
07-Aug-13 -0.56 0.37 0.08 -0.04 0.26 -0.26
24-Jul-13 -0.21 0.25 0.36 0.04 0.04 0.11
17-Jul-13 -0.37 0.55 0.73 0.92 0.71 0.34
03-Jul-13 -0.09 1.08 1.65 2.38 2.42 3.82
12-Jun-13 -1.03 1.53 0.89 1.67 2.47 1.05
05-Jun-13 -0.48 0.9 2.19 2.19 1.14 0.3
20-Mar-13 -0.24 -0.85 -0.05 -0.47 0.32 0.32
13-Mar-13 -0.22 0.53 0.4 -0.15 -0.39 0.31
09-Jan-13 -0.29 0.8 0.79 0.72 0.79 0.78

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$SPY bullish reversal bar $study

bullish $SPY reversal bar $study 

$SPY reversal bar chart$SPY  bullish reversal bar definition : 

1) during the previous trading day , $SPY closed in the bottom 5% of the day’s range , and $SPY closed down

2) during the current trading day , $SPY closed in the top 5% of the day’s range , and $SPY closed up

an easy language formula for “bullish reversal bar” would be  ,

(high[0]-close[0])/(high[0]-low[0]) < 5% && close[0]>close[1] && (high[1]-close[1])/(high[1]-low[1]) > 95% && close[1]>close[2]

with $SPY forming a bullish reversal bar as on close of 7th May 2014 , below the trading odds for the next 1/2/3/4/5 trading days , since Feb 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 38 22 57.9 -0.02 0.21 0.84 -1.21 0.69 -4.49 0.70 0.58
t+2 38 25 65.8 0.54 0.48 1.25 -0.83 1.51 -1.98 2.05 1.70
t+3 38 30 78.9 0.94 0.80 1.39 -0.75 1.85 -1.85 4.82 4.14
t+4 38 30 78.9 1.31 1.00 1.81 -0.56 3.24 -1.76 7.69 6.43
t+5 38 28 73.7 1.22 1.01 2.11 -1.28 1.65 -2.82 3.69 3.14
1st +’ve exit in 5 days 38 36 94.7 0.74 0.56 0.89 -1.98 0.45 -2.82 4.78 4.31

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

ps: 36/38 times ( 95%) $SPY closed higher than current close , at some point over the next five trading days ..

below the historical instances of $SPY reversal bar pattern since Feb 1993

Date $SPY t+1% t+1 t+2% t+2 t+3% t+3 t+4% t+4 t+5% t+5
07-May-14 187.88 ?? ?? ?? ?? ?? ?? ?? ?? ?? ??
20-Dec-12 140.63 -0.91 -1.28 -1.22 -1.71 -1.64 -2.3 -1.76 -2.48 -2.82 -3.97
12-Jun-12 127.46 -0.64 -0.82 0.42 0.53 1.44 1.84 1.64 2.09 2.62 3.34
04-Oct-11 106.58 1.85 1.97 3.7 3.94 3 3.2 6.45 6.87 6.55 6.98
09-Aug-11 110.88 -4.42 -4.9 -0.13 -0.14 0.55 0.61 2.67 2.96 1.79 1.99
29-Mar-11 123.84 0.69 0.85 0.55 0.68 0.98 1.21 1.06 1.31 1.05 1.3
04-Jan-10 103.94 0.26 0.27 0.33 0.34 0.75 0.78 1.09 1.13 1.23 1.28
21-Apr-09 76.79 -0.61 -0.47 0.36 0.28 1.88 1.44 0.91 0.7 0.6 0.46
28-Oct-08 83.37 -0.73 -0.61 2.7 2.25 3.27 2.73 3.56 2.97 7.09 5.91
16-Sep-08 107.94 -4.49 -4.85 -1.67 -1.8 2.24 2.42 -0.07 -0.08 -2.34 -2.53
01-May-08 124.13 0.28 0.35 -0.2 -0.25 0.66 0.82 -1.14 -1.41 -1.39 -1.72
31-May-06 108.02 0.96 1.04 1.18 1.27 -0.31 -0.33 -0.55 -0.59 -1.29 -1.39
19-Oct-05 100.54 -1.76 -1.77 -1.37 -1.38 0.15 0.15 -0.05 -0.05 -0.34 -0.34
08-Dec-04 98.04 0.35 0.34 0.45 0.44 1.33 1.3 1.68 1.65 1.75 1.72
12-Mar-03 64.89 3.47 2.25 3.79 2.46 7.06 4.58 7.69 4.99 8.52 5.53
13-May-02 85.25 2.18 1.86 1.78 1.52 2.31 1.97 2.82 2.4 1.7 1.45
29-Nov-01 90.22 -0.72 -0.65 -1.31 -1.18 0.37 0.33 2.19 1.98 2.15 1.94
08-Jan-01 101.30 -0.27 -0.27 1.49 1.51 1.59 1.61 1.39 1.41 2.04 2.07
22-Sep-00 112.35 -0.71 -0.8 -1.98 -2.22 -1.46 -1.64 -0.2 -0.22 -1.14 -1.28
07-Jan-00 111.60 0.34 0.38 -0.86 -0.96 -1.85 -2.06 -0.51 -0.57 0.83 0.93
15-Dec-98 88.10 -0.12 -0.11 1.46 1.29 1.9 1.67 3.31 2.92 3.78 3.33
16-Jun-98 81.89 2.09 1.71 1.64 1.34 1.12 0.92 1.61 1.32 2.82 2.31
12-Jun-98 82.83 -2.63 -2.18 -1.13 -0.94 0.93 0.77 0.48 0.4 -0.02 -0.02
01-Dec-97 73.07 -0.6 -0.44 -0.31 -0.23 -0.41 -0.3 0.86 0.63 0.57 0.42
11-Feb-97 58.46 1.42 0.83 2.51 1.47 2.28 1.33 3.15 1.84 2.45 1.43
01-Mar-96 46.85 0.6 0.28 1.54 0.72 0.64 0.3 1.13 0.53 -2.13 -1
28-Nov-95 43.76 0.11 0.05 -0.11 -0.05 0 0 1.23 0.54 1.9 0.83
24-Nov-95 43.29 0.02 0.01 1.09 0.47 1.2 0.52 0.97 0.42 1.09 0.47
21-Nov-95 43.32 -0.32 -0.14 -0.07 -0.03 -0.05 -0.02 1.02 0.44 1.13 0.49
15-Nov-95 42.82 0.56 0.24 0.86 0.37 0.35 0.15 1.17 0.5 0.84 0.36
01-Nov-95 42.18 0.64 0.27 0.78 0.33 0.43 0.18 0.07 0.03 0.97 0.41
23-Nov-94 31.69 0.47 0.15 0.92 0.29 0.88 0.28 0.76 0.24 -0.25 -0.08
05-Oct-94 31.78 -0.28 -0.09 0.16 0.05 1.23 0.39 2.74 0.87 2.86 0.91
09-Jun-94 31.63 0.16 0.05 0.28 0.09 1.07 0.34 0.66 0.21 0.89 0.28
17-May-94 31.05 0.71 0.22 1.19 0.37 0.84 0.26 0.64 0.2 1.06 0.33
23-Jul-93 30.15 0.56 0.17 0.5 0.15 0.3 0.09 0.86 0.26 0.3 0.09
24-Jun-93 30.22 -0.07 -0.02 1.03 0.31 0.56 0.17 0.56 0.17 0.26 0.08
16-Jun-93 30.15 0.36 0.11 -0.46 -0.14 -0.27 -0.08 -0.2 -0.06 -1.09 -0.33
03-May-93 29.67 0.34 0.1 0.64 0.19 0.27 0.08 0.07 0.02 0.27 0.08

highlighted in red were the two instances , where $SPY failed to close higher than entry price 

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counter attack candle pattern on $SPY

counter attack candle pattern on $SPY

counter attack

h/t @gtlackey

@paststat: $SPY bear hook pattern formation on Wednesday’s are bit bullish http://stks.co/s05p7$STUDY” <also counterattack candle patten

— G. Thomas Lackey Jr. (@gtlackey) Mar. 13 at 04:33 PM

Firstly once he made that statement , I have no ideas how and what counterattack candle pattern and was searching mindlessly till this post by Rob @QuantEdges , What The Gap & Reverse Pattern Of The Last Two Days Is Suggesting  gave a further inspiration .

here is the definition of counter attack candle pattern am using

1) Current Open > Prev High  && Current Close <Prev Close ( as on 11 Mar 2014 close) , followed by

2) Current Open < Prev Low && Current Close > Prev Close ( as on 12 Mar 2014 close)

below the trading odds for $SPY longs for the next 1/2/3/4/5/10/20 trading days , since Feb 2013.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 17 13 76.5 0.35 0.37 0.70 -0.76 0.91 -1.55
t+2 17 10 58.8 0.14 0.21 0.96 -1.03 0.94 -2.54
t+3 17 13 76.5 0.60 0.42 1.03 -0.79 1.30 -2.69
t+4 17 11 64.7 0.74 1.04 1.62 -0.87 1.86 -2.60
t+5 17 12 70.6 0.90 0.96 1.69 -1.01 1.67 -2.52
t+10 17 12 70.6 0.96 1.47 2.12 -1.84 1.15 -3.84
t+20 17 14 82.4 2.05 2.68 2.78 -1.32 2.10 -2.59
1st +’ve exit in 5 days 17 16 94.1 0.64 0.42 0.69 -0.22 3.17 -0.22

16/17 times ( or 95% ) $SPY closed at higher close than the current close at some point of time than the current close over the next five trading days with an average gains of 0.64% .

below the historical instances of counter attack candle pattern on $SPY , since Feb 1993

Date Close t+1 t+2 t+3 t+4 t+5
12-Mar-14 187.28 ?? ?? ?? ?? ??
05-Nov-12 138.06 0.78 -1.5 -2.69 -2.6 -2.52
22-Aug-12 137.3 -0.82 -0.22 -0.2 -0.3 -0.22
26-Aug-11 111.83 2.88 3.15 3.6 2.52 -0.1
14-Apr-11 124.1 0.37 -0.76 -0.19 1.18 1.69
02-Mar-11 123.24 1.72 0.96 0.16 1.04 0.9
22-Mar-10 107.84 0.7 0.21 0.06 -0.01 0.62
14-Sep-09 96 0.42 1.94 1.79 1.85 1.59
13-Mar-08 115.74 -1.55 -2.54 1.5 -1.01 0.82
14-Apr-04 92.99 -0.38 0.39 0.39 -1.3 -0.63
25-Aug-03 80.97 0.17 0.21 0.83 1.51 2.87
10-Jan-01 103.27 0.09 -0.11 0.53 1 2
10-Nov-99 106.29 0.57 1.48 1.72 2.57 2.84
01-Jun-98 83.07 0.08 -1.52 0.31 2.25 2.13
27-May-98 83.14 0.46 -0.54 -0.08 0 -1.6
01-Nov-95 42.92 0.65 0.77 0.42 0.05 0.96
05-Oct-94 32.37 -0.31 0.12 1.2 2.72 2.84
30-Nov-93 32.04 0.16 0.41 0.81 1.15 1.06

highlighted in red was the only instance $SPY unable to close higher in the next five days .

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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 ?

 

When $SPY breaks the short term trend a.k.a 20-DMA ?? – its bullish

When $SPY breaks the short term trend a.k.a 20-DMA ??

$SPY bearish 20-DMA crossover stock chart

With $SPY breaking the short term trend as in 20-DMA ( 182.11) , we looked at how the next day fares

here are the trading odds for the longs , for the next day , when $SPY close crosses below 20-DMA ( i,e prev day close is above 20-DMA , while current close is below 20-DMA) , since 2000.

  • Total 210
  • Winners : 115
  • Losers : 95
  • % Winners : 55%
  • Average Change % : 0.03
  • Median Change % : 0.16
  • Maximum Gain % : 3.85
  • Maximum Loss % : -3.82
  • Average Gain %if Winner : 0.82
  • Average Loss % if Loser : -0.92
  • Payoff Ratio 0.89

ps: entry at close on the day when $SPY crosses below 20-DMA and exit on the next day at close ..

No trading edge ! , Sorry for wasting my e-ink and wasting your time thus far …but

What if today is Monday ??

( remember to be alert on Mondays like 1) be alert to big minimums on Mondays – when $SPY makes a 10 day low ??  2) $SPY Falls More Than 1% On Monday Overnight Buying Trading System  etc)

$SPY close crosses below 20-DMA ( bearish 20-DMA crossover ), and today is Monday , since 2000.

  • Total 39
  • Winners : 28
  • Losers : 11
  • % Winners : 72%
  • Average Change % : 0.51
  • Median Change % : 0.55
  • Maximum Gain % : 3.85
  • Maximum Loss % : -1.60
  • Average Gain %if Winner : 0.97
  • Average Loss % if Loser : -0.67
  • Payoff Ratio 1.44
  • Profit Factor : 4.24
  • Outlier Adjusted Profit Factor : 3.78

Below the $SPY Monday 20-DMA crossovers since 2000 , and next day change , change % , for you to replicate the trading strategy ..

Date Close Cls/20-DMA( t) Cls/20-DMA( t-1) Next Day Change Next Day Change %
13-Jan-14 181.69 0.998 1.012 ?? ??
30-Sep-13 167.1 0.997 1.004 1.33 0.8
12-Aug-13 167.38 0.999 1.001 0.5 0.3
15-Apr-13 152.73 0.993 1.017 2.25 1.47
25-Feb-13 146.05 0.986 1.005 1 0.68
23-Jul-12 130.79 1.000 1.010 -1.13 -0.86
25-Jun-12 127.14 0.996 1.012 0.63 0.5
11-Jun-12 126.57 0.998 1.009 1.45 1.15
18-Jul-11 123.82 0.997 1.006 2.01 1.62
18-Apr-11 123.16 0.990 1.001 0.71 0.58
26-Oct-09 97.95 0.999 1.010 -0.45 -0.46
17-Aug-09 89.65 0.992 1.018 0.71 0.79
22-Dec-08 78.38 0.996 1.014 -0.81 -1.03
01-Dec-08 73.33 0.930 1.012 2.82 3.85
25-Aug-08 112.78 0.991 1.013 0.33 0.29
04-Aug-08 110.98 0.996 1.006 2.99 2.69
17-Dec-07 126.87 0.988 1.002 0.7 0.55
12-Feb-07 123.83 1.000 1.003 1.04 0.84
27-Nov-06 118.83 0.997 1.011 0.51 0.43
05-Jun-06 108.17 0.990 1.002 -0.26 -0.24
19-Dec-05 106.55 0.998 1.004 0.1 0.09
08-Mar-04 93.95 0.997 1.009 -0.38 -0.4
23-Feb-04 93.64 1.000 1.003 -0.16 -0.17
17-Nov-03 85.35 0.998 1.003 -0.89 -1.04
21-Jul-03 79.63 0.990 1.002 0.72 0.9
23-Jun-03 79.75 0.999 1.012 0.08 0.1
19-May-03 74.8 0.997 1.022 -0.15 -0.2
31-Mar-03 68.41 0.998 1.022 1.05 1.53
03-Mar-03 67.62 0.998 1.006 -1.08 -1.6
24-Feb-03 67.38 0.990 1.005 0.54 0.8
09-Dec-02 71.61 0.975 1.003 0.97 1.35
11-Nov-02 70.62 0.985 1.003 0.56 0.79
25-Mar-02 90.19 0.987 1.001 0.52 0.58
31-Dec-01 90.47 0.997 1.012 0.98 1.08
10-Dec-01 90.23 0.995 1.015 -0.18 -0.2
03-Dec-01 89.43 0.995 1.003 1.51 1.69
29-Oct-01 84.76 0.993 1.021 -1.02 -1.2
06-Aug-01 94.54 0.997 1.011 0.37 0.39
16-Jul-01 94.86 0.993 1.005 0.89 0.94
24-Jul-00 114.17 0.995 1.001 0.36 0.32

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$SPY posts biggest one day rally in 6 months – bit bearish

$SPY posts biggest one day rally in 6 months – bit bearish

$SPY Stock Chartwith $SPY gaining 2.16% ( its biggest ever one day rally in percentage terms since 2 Jan 2013 ) , below the trading strategy rules

$SPY posts biggest one day rally in percentage terms , for six months ( i.e 125 trading days)

below the trading odds for Longs on $SPY at close on 10 Oct 2013 and exiting at various closings ranging from 1/2/3/4/5/10/20 trading days, since 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 29 11 37.9 -0.59 -0.27 0.27 -1.11 0.24 -4.42
t+2 29 13 44.8 -1.00 -0.12 0.71 -2.39 0.30 -11.18
t+3 29 15 51.7 -0.64 0.04 1.19 -2.60 0.46 -7.47
t+4 29 10 34.5 -0.83 -0.35 2.01 -2.33 0.86 -9.72
t+5 29 12 41.4 -0.68 -0.34 1.78 -2.42 0.74 -13.76
t+10 29 15 51.7 -1.68 0.67 1.74 -5.34 0.33 -17.16
t+20 29 18 62.1 -1.18 1.34 3.02 -8.07 0.37 -24.91

besides  $SPY posted a lower close than the current close ( i.e 10 Oct 2013) at some point during the next five trading days ,  on closing basis, 26/29 times , that’s 90% chance if one shorts at 10 Oct 2013 and exits at the first lower close . The other three times , when the $SPY failed to close lower from the entry, at least one day in the next five days , gained ( i.e bears would have lost), 1.73% , 1.15% , 1.88% respectively ( the average loss for bear , in those instances stands at 1.59%)

Below the table with , historical instances of “$SPY posts biggest one day rally in six months ” and the next 1/2/3/4/5/10/20 change% details, since 2000.

Date Close Gain % t+1 t+2 t+3 t+4 t+5 t+10 t+20
10-Oct-13 169.17 2.16  ??  ??  ??  ??  ??  ??  ??
02-Jan-13 143.95 2.57 -0.23 0.21 -0.06 -0.35 -0.1 0.67 2.49
29-Jun-12 132.48 2.49 0.3 0.96 0.51 -0.45 -0.57 -0.49 1.89
09-Aug-11 111.98 4.65 -4.42 -0.13 0.54 2.67 1.79 -0.89 2.38
10-May-10 108.03 4.41 -0.29 1.1 -0.15 -1.96 -1.91 -7.28 -8.22
13-Oct-08 91 14.51 -1.47 -11.18 -7.47 -8.03 -2.51 -17.16 -8.6
30-Sep-08 104.15 4.14 0.06 -3.57 -4.87 -9.72 -13.76 -13.91 -19.16
19-Sep-08 111.45 3.97 -2.26 -4.49 -4.18 -2.68 -2.64 -11.1 -24.91
18-Mar-08 118.12 4.15 -2.48 -0.67 1.31 1.41 0.17 2.8 2.91
11-Mar-08 117.21 3.6 -0.94 -0.72 -2.25 -3.24 0.78 0.95 2.94
28-Nov-07 129.37 3.2 0.03 1.04 0.37 -0.53 1.14 1.52 0.9
13-Nov-07 130.2 3.05 -0.28 -1.71 -1.54 -2.92 -2.32 -0.64 0.87
18-Sep-07 133.42 2.95 0.59 -0.12 0.15 -0.04 -0.23 1.54 1.34
29-Aug-07 128.24 1.96 -0.27 0.72 1.73 0.85 1.08 1.61 4.97
17-Aug-07 126.64 1.84 -0.05 0.15 1.33 1.25 2.5 1.99 2.34
06-Mar-07 121.25 1.71 -0.1 0.74 0.77 0.92 -1.04 1.3 3.26
15-Jun-06 107.9 2.12 -0.73 -1.51 -1.18 -0.44 -0.88 1.36 -1.63
03-Jan-06 107.97 1.76 0.47 0.54 1.37 1.63 1.73 0.88 1.33
19-Oct-05 101.53 1.66 -1.76 -1.38 0.15 -0.05 -0.34 1.64 3.1
21-Apr-05 97.53 1.94 -0.38 0.28 -0.7 -0.32 -1.57 1.25 2.82
01-Oct-04 94.44 1.69 0.17 0.22 0.91 -0.18 -1.01 -2.1 -0.39
07-Jun-04 94.57 1.51 0.15 -0.79 -0.31 -1.29 -0.59 -0.44 -1.8
25-May-04 92.22 1.43 0.35 0.91 0.91 0.77 1.15 1.73 2.65
22-Apr-04 94.2 1.4 0.1 -0.04 0.04 -1.25 -2.11 -2.13 -4.06
01-Oct-03 83.48 2.13 0.36 1.28 1.74 2.13 1.88 2.85 3.03
24-Jul-02 67.85 5.97 -0.84 1.05 5.97 7.35 7.61 3.99 13.03
05-Jul-02 79.54 3.97 -1.24 -3.73 -7.24 -6.49 -7.52 -14.7 -12.61
08-May-02 87 3.72 -1.15 -3.01 -1.05 1.11 0.72 -0.06 -5.09
03-Jan-01 106.08 4.8 -1.07 -4.3 -3.56 -3.82 -2.12 -0.16 2.17
07-Jan-00 113.38 5.8 0.34 -0.86 -1.84 -0.51 0.84 -3.71 -2.31

highlighted in red are , where $SPY is not able to produce a higher close over the next five trading days.

Now converting the above information in the table , into a trading strategy, here are the rules

  • $SPY posts biggest one day rally in six moths ( 125 trading days ) during the current session
  • Go short at close
  • buy to cover at first lower close than the entry , or exit after 5 trading days close for a loss

below the backtest performance summary of “go short when $SPY posts biggest one day rally in six months  “, since 2000.

 $SPY posts biggest one day rally in six months trading strategy

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When $SPY closes on a 5 day low on Monday – currently 12 winning trades in row

When $SPY closes on a 5 day low on Monday

Below an overnight edge trading strategy ( a.k.a turn around Tuesday )  that triggered today at close , with a bullish bias

Here are the trading strategy rules that we employed

  • Today is Monday
  • $SPY closes at 5 day low ( needs to close below 170.24 , for this study to be triggered)
  • go Long at close ( i.e as on 23rd Sep 2013 ,close)
  • exit at market on open the next trading session ( i.e 24th Sep 2013, open)

Below the backtest perfromance summary of “When $SPY closes on a 5 day low on Monday ” trading strategy performance , since 2000.

Go Long at close and exit at next open , when $SPY closes on a 5 day low on Monday, trading strategy , backtest performance summary since 2000

Below the sum of all the trades year wise for the “Go Long at close and exit at next open , when $SPY closes on a 5 day low on Monday, trading strategy

Total P/L is the sum of all trades $SPY points gains , while Total P/L % is the sum of $SPY percentage gains , in each year .

Year Total P/L Total P/L %
2000 1.68 1.59
2001 2.25 2.55
2002 3.72 5.02
2003 0.69 0.90
2004 2.76 3.03
2005 1.48 1.46
2006 0.65 0.61
2007 5.08 4.07
2008 13.20 15.46
2009 3.43 5.29
2010 1.28 1.32
2011 1.72 1.50
2012 0.52 0.38
2013 4.96 3.23

ps: in other words the above trading strategy never had a loosing year since 2000, and in 2008 ( when the world was ending ) , it had 19 trades and produced 15.5% returns by being long !!

here are the last 25 trades for your reference.

Date Close Next Open Overnight Change Overnight Change %
23-Sep-13 169.93 * ?? ?? ??
19-Aug-13 163.97 164.24 0.27 0.17
12-Aug-13 168.29 168.59 0.3 0.18
24-Jun-13 156.3 157.71 1.41 0.9
15-Apr-13 153.56 154.71 1.15 0.75
18-Mar-13 153.41 153.73 0.32 0.21
25-Feb-13 146.84 147.55 0.71 0.49
04-Feb-13 147.38 148.17 0.79 0.54
24-Dec-12 140.29 140.58 0.29 0.2
24-Sep-12 142.53 142.83 0.3 0.21
23-Jul-12 131.5 131.6 0.1 0.07
09-Jul-12 131.72 132.39 0.67 0.51
25-Jun-12 127.83 128.2 0.37 0.29
04-Jun-12 124.05 123.81 -0.24 -0.19
14-May-12 129.87 129.78 -0.09 -0.07
23-Apr-12 132.46 132.58 0.12 0.09
09-Apr-12 133.85 133.59 -0.26 -0.2
05-Mar-12 131.85 130.5 -1.35 -1.03
30-Jan-12 126.66 127.28 0.62 0.49
19-Dec-11 115.98 117.8 1.82 1.57
21-Nov-11 114.64 114.39 -0.25 -0.22
03-Oct-11 105.32 103.81 -1.51 -1.44
08-Aug-11 107 108.73 1.73 1.62
01-Aug-11 122.75 121.82 -0.93 -0.76
18-Jul-11 124.49 125.19 0.7 0.56
169.93 *- at the time of writing

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$SPY The Week After Opex Month Wise – September The Worst

$SPY The Week After Opex

inspired by the following studies across the blogo-sphere

Below the trading odds for the longs in the week after September Opex week , since 1993.

  • Winners : 5
  • Losers : 15
  • % Winners : 25%
  • Average Change % : -0.86
  • Median Change % : -0.94
  • Maximum Gain % : 7.36
  • Maximum Loss % : -6.56
  • Average Gain %if Winner : 2.41
  • Average Loss % if Loser : -1.95
  • Average Gain % / Average Loss % : 1.23
  • Average Absolute Change% : 2.06

Below the table with the returns for $SPY for the week after Opex since 1993 , month wise.

as you can see , September ranks the worst both in terms of % winners ( with only 25% winning post opex weeks ) and the average returns ( with an average loss of -0.86%) , against all the months since 1993.

$SPY post Opex Week Since 1993

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$SPY posts a combo of unfilled full gap up and inside day and a green candle during bull markets – bit bearish

$SPY posts a combo of unfilled full gap up and inside day and a green candle during bull markets

Here are the “$SPY posts a combo of unfilled full gap up and inside day and a green candle during bull markets” trading strategy rules we employed.

  • $SPY posts an unfilled full gap up ( Low[0]>Close[1])
  • $SPY posts an inside day ( that is a lower high and higher low , high[0]<high[1] & low [0]>low[1])
  • $SPY posts a green candle ( Close[0]>Open[0])
  • $SPY close is above 200 DMA
  • go short at close ( as on 17 Sep 2013)
  • buy to cover the next day at close ( i.e 18 Sep 2013)

Below the backtest performance summary of “$SPY posts a combo of unfilled full gap up and inside day and a green candle during bull markets” trading strategy , since Jan 2000.

Short $SPY at close and buy to cover at next close , when $SPY posts an unfilled full gap up and inside day and green candle during bull markets , trading strategy , backtest performance summary since 2000

Below the historical trades generated by “$SPY posts a combo of unfilled full gap up and inside day and a green candle during bull markets” since Jan 2000, along with next day change , change %

Date Close Next Day Change Next Day Change % Date Close Next Day Change Next Day Change %
17-Sep-13 171.07 ?? ?? 01-Mar-06 110.78 -0.01 -0.01
20-Aug-13 165.58 -1.02 -0.62 01-Feb-06 109.94 -1.28 -1.16
16-Apr-13 156.58 -2.29 -1.46 23-Jan-06 108.25 0.12 0.11
26-Mar-13 155.37 0 0 28-Dec-05 107.68 -0.48 -0.45
22-Mar-13 154.78 -0.65 -0.42 22-Dec-05 108.49 0.06 0.06
11-Sep-12 140.76 0.47 0.33 25-Aug-05 103.13 -0.7 -0.68
22-Jun-12 130.54 -2.09 -1.6 01-Jul-05 101.38 0.82 0.81
29-Dec-11 122.19 -0.6 -0.49 25-Apr-05 98.27 -0.95 -0.97
31-Jan-11 122.11 1.95 1.6 23-Feb-05 100.51 0.67 0.67
03-May-10 112.47 -2.65 -2.36 14-Jan-05 99.49 1.04 1.05
24-Feb-10 103.14 -0.14 -0.14 06-Jan-05 99.81 -0.15 -0.15
01-Feb-10 101.5 1.23 1.21 28-Dec-04 101.97 0.15 0.15
17-Jul-09 86.72 0.92 1.06 11-Oct-04 94.33 -0.36 -0.38
30-Jul-07 129.6 -1.46 -1.13 10-Jun-04 94.74 -0.93 -0.98
25-May-07 132.82 0.48 0.36 05-May-04 93.44 -0.8 -0.86
11-May-07 132.09 -0.29 -0.22 03-May-04 92.92 -0.07 -0.08
28-Feb-07 122.91 -0.37 -0.3 12-Apr-04 95.13 -1.33 -1.4
26-Dec-06 123.48 0.81 0.66 12-Mar-04 92.95 -1.14 -1.23
31-May-06 109.62 1.05 0.96 19-Nov-03 86.06 -0.78 -0.91
02-May-06 112.95 -0.42 -0.37 19-Sep-00 114.95 -0.85 -0.74
29-Mar-06 111.79 -0.2 -0.18 07-Sep-00 118.49 -0.81 -0.68

Few other Trading strategy studies that triggered were

1) $SPY posts an Inside Day after posting Multi-year high ( bearish implications over next 10/20 trading days)

2) $SPY posts back to back to unfilled gap up during bull markets – bit bullish ( bullish implication for the next three trading days)

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