a bullish Fed day $SPY pattern

a bullish Fed day $SPY pattern 

The Quantifiable Edges Guide To Fed Dayshere are the trading strategy rules for the ” bullish Fed day $SPY pattern “

1) the next trading trading day is a Fed day ( triggered on Tue’s close as on 16th Jun 2015)

2) the Friday of this week , there is an Opex

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , for the bullish Fed day $SPY pattern

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 31 25 80.6 0.96 0.73 1.43 -0.98 1.46 -1.82 5.17 3.56
t+2 31 23 74.2 0.77 0.97 1.67 -1.81 0.92 -3.82 2.04 2.12
t+3 31 22 71.0 0.95 0.91 1.89 -1.33 1.42 -3.51 2.74 2.80
t+4 31 22 71.0 1.18 0.99 2.35 -1.67 1.40 -4.73 2.43 2.67
t+5 31 21 67.7 0.97 0.64 2.16 -1.55 1.40 -3.82 2.12 2.21
t+10 31 21 67.7 1.15 1.33 2.65 -2.00 1.32 -6.71 2.39 2.24
t+20 31 23 74.2 1.37 2.09 3.16 -3.77 0.84 -15.12 1.91 1.82
1st +’ve exit in 5 days 31 29 93.5 1.01 0.80 1.30 -3.18 0.41 -3.82 4.18 3.43

29/31 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 101 basis points at the 1st positive 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 of the above “bullish Fed day $SPY pattern” , since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve (%) exit in 5 days
16-Jun-15 210.25 ?? ?? ?? ?? ?? ??
17-Mar-15 207.04 1.20 0.74 1.63 1.43 0.86 1.20
16-Dec-14 195.95 1.96 4.48 4.92 5.41 5.55 1.96
16-Sep-14 197.57 0.14 0.67 0.58 -0.20 -0.77 0.14
17-Jun-14 191.09 0.73 0.84 1.05 1.02 0.41 0.73
18-Mar-14 183.25 -0.53 0.04 -0.34 -0.75 -0.28 0.04
17-Dec-13 173.51 1.71 1.58 2.18 2.73 2.95 1.71
17-Sep-13 165.34 1.16 0.99 0.28 -0.18 -0.42 1.16
18-Jun-13 159.34 -1.38 -3.82 -3.51 -4.73 -3.82 -3.82
12-Mar-12 128.83 1.80 1.69 2.28 2.42 2.83 1.80
12-Dec-11 115.58 -0.93 -1.99 -1.64 -1.50 -2.54 -2.54
14-Mar-11 119.27 -1.14 -2.97 -1.69 -1.33 0.20 0.20
13-Dec-10 113.64 0.09 -0.37 0.21 0.32 0.56 0.09
15-Mar-10 103.88 0.80 1.40 1.35 0.83 1.37 0.80
15-Dec-09 99.62 0.15 -1.05 -0.49 0.52 0.88 0.15
17-Mar-09 68.73 2.24 0.97 -1.18 5.92 3.84 2.24
15-Dec-08 76.52 4.70 3.70 1.76 1.32 0.03 4.70
15-Sep-08 104.12 1.68 -2.90 -0.02 3.96 1.60 1.68
17-Mar-08 110.14 4.16 1.58 3.46 5.53 5.63 4.16
17-Sep-07 125.87 2.95 3.55 2.82 3.10 2.91 2.95
11-Dec-06 118.89 -0.08 0.03 0.91 0.92 0.64 0.03
12-Dec-05 104.10 0.68 1.08 0.78 0.46 -0.06 0.68
13-Dec-04 97.43 0.35 0.43 0.37 -0.30 -0.28 0.35
15-Mar-04 88.74 0.53 1.65 1.68 0.23 -1.05 0.53
15-Sep-03 80.77 1.46 1.26 2.46 1.94 0.84 1.46
11-Aug-03 78.05 0.91 0.40 0.67 0.99 1.86 0.91
17-Mar-03 68.14 0.59 1.35 1.57 3.74 0.29 0.59
12-Aug-02 70.49 -1.82 1.76 3.18 2.87 5.28 1.76
14-May-01 95.96 0.46 2.83 2.99 3.46 4.98 0.46
17-Apr-01 91.26 3.98 5.36 4.39 2.50 1.95 3.98
14-Nov-00 105.85 0.31 -1.26 -1.79 -3.19 -2.69 0.31
15-May-00 110.00 0.96 -0.09 -1.31 -2.86 -3.59 0.96

highlighted in red were those four instances where $SPY failed to close higher than the entry in the next five trading days 

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$SPY Gap up’s and down’s on a Fed Day

$SPY Gap up’s and down’s on a Fed Day

The Quantifiable Edges Guide To Fed Days

 

1) below the trading odds for the entry set at open and exit set to close on a Fed Day for $SPY.. since Y2K 

Winners : 70
Losers : 56
% Winners : 56%
Average Change % : 0.29
Median Change % : 0.13
Maximum Gain % : 5.21
Maximum Loss % : -3.14
Average Gain %if Winner : 1.11
Average Loss % if Loser : -0.75
Payoff Ratio 1.47
Average Absolute Change% : 0.60
Profit Factor : 1.78
Outlier Adjusted Profit Factor : 1.67

2) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap up opening.. since Y2K 

Winners : 40
Losers : 42
% Winners : 49%
Average Change % : 0.04
Median Change % : -0.01
Maximum Gain % : 2.99
Maximum Loss % : -3.14
Average Gain %if Winner : 0.86
Average Loss % if Loser : -0.76
Payoff Ratio 1.14
Average Absolute Change% : 0.53
Profit Factor : 1.04
Outlier Adjusted Profit Factor : 0.95

3) below the trading odds for $SPY , for the entry set at open and exit set to close on a Fed Day , when $SPY open with a gap down opening.. since Y2K 

Winners : 30
Losers : 15
% Winners : 67%
Average Change % : 0.74
Median Change % : 0.46
Maximum Gain % : 5.21
Maximum Loss % : -1.85
Average Gain %if Winner : 1.43
Average Loss % if Loser : -0.70
Payoff Ratio 2.06
Average Absolute Change% : 0.75
Profit Factor : 4.20
Outlier Adjusted Profit Factor : 3.72

conclusion : it pays to fade the gap-down opening on a Fed-Day

 

$SPY Performance Post Fed Day 1% Rallies

$SPY Performance Post Fed Day 1% Rallies 

what happens next day when $SPY rallies by more than 1% on the  FOMC Meeting Minutes day ?? 

here are the trading odds for the longs , for the next day, when $SPY gains by more than 1% on the FOMC Meeting Minutes day , since Jan 2000.

  • Winners : 15
  • Losers : 14
  • % Winners : 52%
  • Average Change % : -0.42
  • Median Change % : 0.01
  • Maximum Gain % : 1.83
  • Maximum Loss % : -4.50
  • Average Gain %if Winner : 0.75
  • Average Loss % if Loser : -1.68
  • Average Gain % / Average Loss % : 0.45
  • Average Absolute Change% : 1.20
  • Profit Factor : 0.51

here are the trading odds for the longs , for the next two trading days , when $SPY gains by more than 1% on the FOMC Meeting Minutes day , since Jan 2000.

  • Winners : 15
  • Losers : 14
  • % Winners : 52%
  • Average Change % : -0.61
  • Median Change % : 0.07
  • Maximum Gain % : 2.33
  • Maximum Loss % : -5.22
  • Average Gain %if Winner : 0.70
  • Average Loss % if Loser : -2.01
  • Average Gain % / Average Loss % : 0.35
  • Average Absolute Change% : 1.33
  • Profit Factor : 0.41

below the table with the details of $SPY change% over the next 1/2/3/4/5/10/20/till next fed meeting , when ever $SPY rallies by more than 1% on the Fed day since 2000.

$SPY gains of more than 1% on the Fed Day and subsequent returns

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