page #169 from $SPY High Probability Trading Strategies

page #169 from $SPY High Probability Trading Strategies

with $SPY trading at 274.30 and posting a down day at the time of writing

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

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here is the snippet from page #169

Trading strategy rules

  • Current trading day is Monday and $SPY posts a down day
  • & previous trading day is Friday and $SPY posted a down day
  • & $SPY close is below 200-DMA as on trading day
  • Go Long at close

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$SPY High Probability Trading Strategies : PDF

$SPY High Probability Trading Strategies

$SPY High Probability Trading Strategies – Table of Contents

  • $SPY High Probability Trading Strategies —- i
  • disclaimer —- 4
  • feedback —- 5
  • ACKNOWLEDGMENTS —- 8
  • Introduction —- 10
  • Short term trading rules —- 15
  • Nobody asked me, but: technical analysis!!? —- 33
  • Building blocks —- 42
  • Quantitative trading metrics —- 45
  • Sample backtesting —- 56
  • High probability trading patterns on $SPY —- 62
  • % plays —- 63
  • consecutive down & ups —- 88
  • maxima & minima & miscellaneous —- 120
  • around eom & eoq & opex —- 174
  • economic events —- 220
  • & rule #34 —- 233
  • & & don’t forget the drift —- 237
  • 10 books every trader should read —- 240
  • Sayonara —- 247
  • Glossary —- 248

Price : $59.95

 

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 ( 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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$SPY from 10th trading day since 2015

$SPY from 10th trading day since 2015

$SPY from 10th trading day close , since 2015

trading strategy rules ,

1) current trading day is 10th trading of the month

2) trading odds for the next 1/2/3/4/5/10/20 trading days , since 1st Jan 2015

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % Profit Factor
t+1 36 25 69.4 0.41 0.24 0.69 -0.24 2.90 -0.50 5.58
t+2 36 29 80.6 0.49 0.33 0.74 -0.53 1.39 -1.18 5.03
t+3 36 27 75.0 0.52 0.41 0.90 -0.64 1.42 -1.40 3.54
t+4 36 27 75.0 0.56 0.41 1.01 -0.79 1.28 -2.60 3.18
t+5 36 28 77.8 0.59 0.60 1.12 -1.26 0.89 -5.53 2.69
t+10 36 26 72.2 0.68 0.54 1.48 -1.41 1.06 -4.84 2.51
t+20 35 25 71.4 1.18 1.23 2.37 -1.79 1.32 -6.40 3.04
1st +’ve exit in 5 days % 36 36 100.0 0.59 0.47 0.59 INF INF 0.05 NA

36/36 times , since Jan 2015 ( indeed from feb 2014 , 47/47) , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 59 bps , and a median of 47 bps 

below the $SPY returns for the next 1/2/3/4/5 trading days since 1st Jan 2015

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % #  days to 1st +’ve cls
16-Jan-17 ?? ?? ?? ?? ?? ?? ?? ??
14-Dec-17 264.32 0.83 1.47 1.08 1.03 1.23 0.83 1
14-Nov-17 256.43 -0.50 0.35 0.05 0.22 0.88 0.35 2
13-Oct-17 253.66 0.13 0.20 0.30 0.33 0.85 0.13 1
15-Sep-17 247.93 0.21 0.31 0.35 0.08 0.10 0.21 1
14-Aug-17 244.09 -0.01 0.16 -1.40 -1.55 -1.48 0.16 2
17-Jul-17 243.09 0.05 0.59 0.64 0.55 0.53 0.05 1
14-Jun-17 240.64 -0.19 -0.17 0.66 -0.02 -0.04 0.66 3
12-May-17 235.45 0.55 0.46 -1.32 -0.92 -0.28 0.55 1
17-Apr-17 231.11 -0.30 -0.48 0.33 0.01 1.11 0.33 3
14-Mar-17 232.39 0.87 0.67 0.49 0.38 -0.91 0.87 1
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
17-Jan-17 221.94 0.22 -0.15 0.22 -0.04 0.60 0.22 1
14-Dec-16 220.28 0.41 0.22 0.43 0.82 0.54 0.41 1
14-Nov-16 211.22 0.78 0.59 1.11 0.88 1.64 0.78 1
14-Oct-16 207.84 -0.35 0.28 0.54 0.36 0.40 0.28 2
15-Sep-16 208.88 -0.38 -0.37 -0.36 0.76 1.39 0.76 4
12-Aug-16 211.97 0.29 -0.23 -0.04 0.18 0.04 0.29 1
15-Jul-16 209.42 0.27 0.17 0.58 0.20 0.65 0.27 1
14-Jun-16 200.81 -0.14 0.16 -0.21 0.43 0.72 0.16 2
13-May-16 197.65 0.99 0.04 0.07 -0.27 0.36 0.99 1
14-Apr-16 200.78 -0.11 0.59 0.91 1.00 0.46 0.59 2
14-Mar-16 194.46 -0.16 0.41 1.05 1.45 1.59 0.41 2
12-Feb-16 179.22 1.69 3.35 2.93 2.88 4.37 1.69 1
15-Jan-16 180.36 0.13 -1.15 -0.60 1.44 -0.09 0.13 1
14-Dec-15 193.68 1.05 2.53 0.97 -0.82 0.00 1.05 1
13-Nov-15 193.33 1.52 1.45 3.06 2.97 3.34 1.52 1
14-Oct-15 190.23 1.54 2.00 2.05 1.92 1.28 1.54 1
15-Sep-15 188.44 0.87 0.64 -1.00 -0.48 -1.78 0.87 1
14-Aug-15 198.85 0.56 0.27 -0.53 -2.60 -5.53 0.56 1
15-Jul-15 199.98 0.80 0.89 0.94 0.54 0.36 0.80 1
12-Jun-15 198.44 -0.43 0.11 0.28 1.32 0.87 0.11 2
14-May-15 200.52 0.11 0.42 0.39 0.32 0.61 0.11 1
15-Apr-15 198.84 -0.03 -1.18 -0.28 -0.39 0.10 0.10 5
13-Mar-15 193.63 1.34 1.03 2.25 1.78 2.68 1.34 1
13-Feb-15 197.35 0.16 0.17 0.10 0.70 0.68 0.16 1
15-Jan-15 187.23 1.31 1.53 2.04 3.56 2.99 1.31 1

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when $SPY posts 8++ 20 day high closes in last 9 trading days

when $SPY posts 8++ 20 day high closes in last 9 trading days

$SPY posts 8 or more 20 day high closes in last 9 trading days

below trading strategy rules

1) $SPY posts 8 or more 20 day high closes in last 9 trading days

2) below the backtest results for the next 1/2/3/4/5/10/20 trading days , since Y2K

# is on lower end at 19 ( ps: we consider anything below 25 is on lower end) , but its good to know

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 11 57.9 0.13 0.03 0.39 -0.23 1.72 -0.50 1.58 1.51
t+2 19 16 84.2 0.27 0.17 0.42 -0.57 0.74 -1.05 2.47 2.15
t+3 19 17 89.5 0.51 0.54 0.62 -0.39 1.59 -0.75 8.03 4.35
t+4 19 18 94.7 0.70 0.68 0.77 -0.67 1.16 -0.67 12.31 5.96
t+5 19 16 84.2 0.79 0.86 0.97 -0.19 5.25 -0.39 17.68 5.63
t+10 19 17 89.5 1.16 1.28 1.30 -0.09 14.44 -0.17 87.79 7.75
t+20 19 14 73.7 1.82 2.40 3.09 -1.75 1.77 -3.16 2.69 3.40
1st +’ve exit in 5 days % 19 18 94.7 0.32 0.31 0.36 -0.39 0.91 -0.39 9.40 4.16

since Y2K , 18/19 times , $SPY closed higher than the current trading day’s close ,after 4 trading days , at an average of 70 bps .

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

below the prior instances of $SPY posting 8 or more 20 day high closings , since Y2K , and the forward 1/2/3/4/5 trading day’s returns

Date Close t+1% t+2% t+3% t+4% t+5% t+10% 1st +’ve exit in 5 days %
12-Jan-18 277.92 ?? ?? ?? ?? ?? ?? ??
18-Nov-14 192.31 -0.16 0.01 0.55 0.83 0.76 1.14 0.01
17-Nov-14 191.21 0.58 0.42 0.59 1.13 1.41 1.33 0.58
11-Nov-14 191.03 -0.11 0.00 0.03 0.09 0.67 1.44 0.00
10-Jun-14 181.28 -0.35 -1.05 -0.75 -0.67 -0.39 0.02 -0.39
15-May-13 150.92 -0.47 0.49 0.49 0.63 -0.11 -0.17 0.49
14-May-13 150.11 0.54 0.07 1.03 1.03 1.17 -0.01 0.54
22-Dec-10 109.02 -0.14 -0.10 0.04 0.11 -0.05 1.28 0.04
21-Dec-10 108.68 0.31 0.17 0.21 0.35 0.42 1.79 0.31
20-Dec-10 107.99 0.63 0.95 0.80 0.84 0.99 1.91 0.63
18-Mar-10 99.49 -0.50 0.03 0.73 0.24 0.08 1.07 0.03
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.33 0.68
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 1.27 0.59
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 2.01 0.80
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 1.39 0.03
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 1.46 0.01
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 2.05 0.42
18-Apr-07 117.80 -0.03 0.92 0.54 0.58 1.50 1.54 0.92
17-Apr-07 117.65 0.12 0.10 1.04 0.66 0.70 1.07 0.12
16-Apr-07 117.34 0.27 0.39 0.36 1.31 0.93 1.08 0.27
avg 0.13 0.27 0.51 0.70 0.79 1.16 0.32
med 0.03 0.17 0.54 0.68 0.86 1.28 0.31
std 0.38 0.54 0.51 0.51 0.61 0.65 0.33
t-test 1.51 2.15 4.35 5.96 5.63 7.75 4.16
# 19 19 19 19 19 19 19
wins 11 16 17 18 16 17 18
%wins 57.89 84.21 89.47 94.74 84.21 89.47 94.74
avg win 0.39 0.42 0.62 0.77 0.97 1.30 0.36
avg loss -0.23 -0.57 -0.39 -0.67 -0.19 -0.09 -0.39
maxloss -0.50 -1.05 -0.75 -0.67 -0.39 -0.17 -0.39

10th Jan 2014 is the only time when $SPY failed to close higher after 4 trading days.

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few bullish $SPY patterns into Fed meeting

bullish $SPY patterns into Fed meeting

The Quantifiable Edges Guide To Fed Days

1) $SPY from pre-fed close in April , since Y2K

below the trading odds for $SPY longs from the trading before fed day’s in April , to the next 1/23/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 9 6 66.7 0.81 0.65 1.53 -0.63 2.44 -0.88 1.90 1.69
t+2 9 8 88.9 1.44 1.47 1.80 -1.41 1.28 -1.41 3.38 2.45
t+3 9 8 88.9 1.50 1.22 1.73 -0.34 5.08 -0.34 15.09 3.24
t+4 9 8 88.9 1.79 1.32 2.02 -0.06 33.65 -0.06 96.92 3.12
t+5 9 6 66.7 1.38 1.83 2.49 -0.84 2.96 -1.20 2.58 2.02
t+10 9 6 66.7 1.76 1.01 3.22 -1.16 2.77 -2.24 3.17 1.82
t+20 9 6 66.7 0.19 0.60 2.76 -4.94 0.56 -9.00 0.81 0.13
1st +’ve in 5 days 9 8 88.9 1.05 0.76 1.34 -1.20 1.11 -1.20 2.90 2.31
1st -‘ve in 5 days 9 5 55.6 -0.86 -0.41 -0.64 2.75 0.23 5.84 0.33 -1.23

8/9 times  $SPY closed higher than the current close after four trading days at the close , with an average of 179 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 instances of $SPY forward 1/2/3/4/5 trading returns , when $SPY closes in red in the second half of Apr , since Y2K

2) $SPY from pre-fed close , and the current trading day is in the last five trading day’s of the month , since Y2K 

trading strategy rule

1) Current trading day is in the last five trading days of the month &

2) tomorrow is the fed day

below the trading odds for the $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 T-Test
t+1 44 23 52.3 0.17 0.05 0.89 -0.61 1.46 -1.28 1.11 1.20
t+2 44 28 63.6 0.30 0.09 1.02 -0.96 1.07 -2.26 1.41 1.66
t+3 44 27 61.4 0.37 0.47 1.36 -1.21 1.12 -2.79 1.55 1.62
t+4 44 23 52.3 0.41 0.29 1.68 -0.99 1.69 -2.74 1.63 1.59
t+5 44 24 54.5 0.43 0.06 1.74 -1.14 1.52 -2.65 1.47 1.47
t+10 44 22 50.0 -0.08 0.02 1.97 -2.12 0.93 -5.58 0.95 -0.21
t+20 44 26 59.1 -0.78 0.55 2.03 -4.84 0.42 -13.16 0.67 -1.18
1st +’ve in 5 days 44 40 90.9 0.64 0.49 0.81 -0.98 0.82 -1.43 5.98 4.73
1st -‘ve in 5 days 44 34 77.3 0.18 -0.56 -0.81 1.95 0.41 5.84 1.40 0.84

40/44 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 64 basis points at the 1st positive close within in the next five trading days.

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when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April

when $SPY MTD returns turns positive in April, since IPO

below the trading strategy rules

1) as on current trading day $SPY MTD ( month to date) returns turns positive ( i.e while on previous trading day the MTD returns were negative )

2) current Month is April and not the first trading day of the month

below the $SPY trading odds for longs , for the next 1/2/3/4/5 trading days , since 1993 ( or since IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 16 69.6 0.16 0.31 0.60 -0.84 0.72 -2.10 0.86 0.89
t+2 23 16 69.6 0.07 0.33 0.62 -1.20 0.52 -2.98 0.58 0.32
t+3 23 14 60.9 0.08 0.17 0.69 -0.88 0.78 -2.22 0.70 0.37
t+4 23 11 47.8 0.10 -0.08 1.15 -0.85 1.35 -2.79 0.61 0.31
t+5 22 11 50.0 0.18 0.12 1.66 -1.29 1.28 -4.14 0.86 0.38
t+10 22 15 68.2 0.38 0.39 1.49 -2.00 0.75 -4.43 1.53 0.78
t+20 22 16 72.7 1.78 1.33 3.47 -2.75 1.26 -4.62 2.93 2.17
1st +’ve in 5 days 22 20 90.9 0.51 0.38 0.58 -0.28 2.12 -0.51 9.80 4.82
1st -‘ve in 5 days 22 17 77.3 -0.21 -0.21 -0.65 3.13 0.21 7.64 0.66 -0.49

20/22 times  $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 51 bps

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

below the prior historical returns of $SPY MTD returns turning positive in April, since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
12-Apr-16 205.92 ?? ?? ?? ?? ?? ?? ??
06-Apr-16 206.42 -1.20 -0.93 -1.16 -0.24 ?? ?? ??
02-Apr-15 202.13 0.67 0.41 0.75 1.19 1.74 0.67 1.74
29-Apr-14 180.29 0.30 0.31 0.17 0.36 -0.52 0.30 -0.52
21-Apr-14 179.61 0.45 0.22 0.42 -0.40 -0.09 0.45 -0.40
09-Apr-14 179.66 -2.10 -2.98 -2.22 -1.54 -0.51 -0.51 -2.10
23-Apr-13 148.52 0.06 0.47 0.29 0.96 1.20 0.06 1.20
16-Apr-13 148.17 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
09-Apr-13 147.55 1.22 1.56 1.31 -1.04 0.42 1.22 -1.04
02-Apr-13 147.62 -1.01 -0.61 -1.06 -0.39 -0.04 -0.04 -1.01
20-Apr-11 120.04 0.51 0.41 1.27 1.93 2.26 0.51 2.26
18-Apr-06 106.33 0.19 0.33 0.34 0.16 -0.25 0.19 -0.25
04-Apr-06 106.22 0.34 0.24 -0.78 -0.63 -1.47 0.34 -0.78
05-Apr-05 94.48 0.35 0.89 -0.16 -0.08 0.43 0.35 -0.16
22-Apr-04 89.58 0.10 -0.04 0.04 -1.25 -2.12 0.10 -0.04
16-Apr-04 89.25 0.00 -1.68 -1.02 0.37 0.47 0.37 -1.68
11-Apr-01 87.46 1.82 0.75 2.17 6.23 7.64 1.82 7.64
06-Apr-00 111.56 0.63 0.24 -0.05 -2.79 -4.14 0.63 -0.05
30-Apr-98 80.64 1.12 0.87 0.17 -1.01 -1.80 1.12 -1.01
15-Apr-97 53.99 1.16 0.74 1.24 0.58 2.79 1.16 2.79
04-Apr-97 54.15 0.39 1.11 0.29 -0.08 -3.25 0.39 -0.08
22-Apr-96 45.55 0.31 -0.05 0.41 0.62 0.62 0.31 -0.05
21-Apr-94 29.99 -0.10 0.94 0.84 0.10 0.42 0.94 -0.10
05-Apr-94 29.92 0.00 0.49 -0.28 0.14 0.00 0.49 -0.28

highlighted in the red were the loss making trades !!

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when $SPY closes at a quarterly low on a monday

when $SPY closes at a quarterly low on a monday

when $SPY closes at the lowest in a quarter on a Monday

with $SPY closing at a quarterly close , as on 8 Feb 2016 , below trading strategy rule

1) $SPY closes at the lowest close in last 62 trading days (i.e : quarterly lowest close) &

2) current trading day is monday ( this monday panic buy strategy is inspired by the bullet no 4) from the article ->  22 Things a Man Should Know About Trading, from Victor Niederhoffer )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes at the lowest in a quarter on a monday , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 40 26 65.0 1.17 0.90 2.52 -1.33 1.90 -4.48 2.61 2.66
t+2% 40 27 67.5 1.38 1.47 2.82 -1.63 1.73 -6.89 2.88 2.96
t+3% 40 29 72.5 1.60 2.07 3.30 -2.87 1.15 -13.39 2.57 2.41
t+4% 40 31 77.5 1.80 1.78 3.36 -3.57 0.94 -15.49 2.87 2.47
t+5% 40 28 70.0 2.34 1.57 4.34 -2.34 1.85 -5.98 3.93 3.29
t+10% 40 31 77.5 2.63 1.29 4.72 -4.55 1.04 -9.01 3.25 2.85
t+20% 40 29 72.5 3.86 4.62 7.65 -6.15 1.24 -24.63 2.70 2.92
1st +’ve in 5 days 40 37 92.5 1.92 1.62 2.29 -2.53 0.90 -3.22 9.21 4.92
1st -‘ve in 5 days 40 24 60.0 -1.36 -0.36 -1.20 5.19 0.23 15.68 0.33 -2.07

37/40 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 192 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 $SPY forward 1/2/3/4/5 trading returns , when $SPY closes at the lowest in a quarter in a monday

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
08-Feb-16 185.42 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 187.40 -1.18 2.62 5.16 5.16 4.31 2.62 -1.18
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15 -0.52
04-Jun-12 118.57 0.76 3.02 3.08 3.90 2.58 0.76 2.58
03-Oct-11 100.67 2.19 4.08 5.97 5.26 8.78 2.19 8.78
08-Aug-11 102.27 4.65 0.03 4.52 5.22 7.45 4.65 7.45
07-Jun-10 93.77 1.07 0.53 3.47 3.97 3.81 1.07 3.81
08-Feb-10 93.74 1.26 1.06 2.12 2.03 3.64 1.26 3.64
09-Mar-09 58.93 5.96 6.65 10.85 11.72 11.38 5.96 11.38
02-Mar-09 61.08 -0.75 1.60 -2.55 -2.38 -3.53 1.60 -0.75
23-Feb-09 64.59 3.79 2.97 1.30 -0.96 -5.43 3.79 -0.96
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69 15.68
06-Oct-08 89.87 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 -4.48
29-Sep-08 95.59 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
15-Sep-08 102.47 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
14-Jul-08 104.72 -1.41 1.01 2.02 2.66 2.71 1.01 -1.41
07-Jul-08 106.68 1.78 -0.18 0.22 -0.94 -1.84 1.78 -0.18
10-Mar-08 108.14 3.59 2.63 2.85 1.26 0.23 3.59 0.23
26-Nov-07 118.46 1.15 4.38 4.42 5.47 4.77 1.15 4.77
05-Mar-07 113.94 1.71 1.61 2.47 2.50 2.65 1.71 2.65
12-Jun-06 101.39 -1.16 -0.40 1.72 0.98 0.18 1.72 -1.16
22-May-06 103.14 -0.76 0.03 1.27 1.78 -0.02 0.03 -0.76
10-Oct-05 96.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 -0.14
10-May-04 85.77 0.85 1.49 1.07 1.11 0.25 0.85 0.25
10-Mar-03 62.84 -0.98 -0.32 3.12 3.46 6.71 3.12 -0.98
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57 -1.30
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07 -2.74
01-Jul-02 74.28 -2.12 -1.57 2.35 1.07 -1.47 2.35 -2.12
03-Jun-02 79.62 0.25 1.19 -0.87 -0.99 -0.60 0.25 -0.87
06-May-02 80.46 -0.35 3.36 2.16 0.24 2.28 3.36 -0.35
29-Apr-02 81.52 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
04-Feb-02 83.56 -0.62 -1.05 -1.67 0.22 1.45 0.22 -0.62
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
12-Mar-01 88.69 1.64 -0.36 -0.34 -2.34 -0.35 1.64 -0.36
09-Oct-00 104.83 -1.65 -2.48 -4.91 -1.74 -1.29 -1.29 -1.65
31-Aug-98 70.11 4.23 3.48 2.67 1.82 7.29 4.23 7.29
15-Jun-98 78.28 1.54 3.66 3.20 2.68 3.18 1.54 3.18
27-Oct-97 63.04 5.77 5.48 3.15 5.59 7.81 5.77 7.81
15-Jul-96 44.34 0.25 1.45 2.84 2.09 1.35 0.25 1.35
04-Apr-94 29.47 2.06 2.06 2.56 1.78 2.21 2.06 2.21

highlighted in the red were the loss making trades !!

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check out the new look of the paststat

a bullish turnaround tuesday pattern on $SPY

a bullish turnaround tuesday pattern on $SPY

bullish turnaround Tuesday trading strategy , on  $SPY , since 2011

with losing -1.86% which is a 149.8% standard deviations ( measured on 50 trading days , including that of current trading day , as on 2nd Feb 2016 , the 50 days standard deviation moves stands at 1.2% ) down move , below trading strategy

1) $SPY lost by more than a 1 standard deviation ( measured on 50 trading day’s percent based changes )  as on current trading day

2) and current trading day is Tuesday

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY lost by more than 1 standard deviation ( 50) on a Tuesday , since 2011 ( i.e last 5 years )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 31 21 67.7 0.39 0.38 0.92 -0.70 1.30 -1.85 2.35 2.06
t+2% 31 21 67.7 0.85 0.48 1.72 -0.73 2.37 -4.17 3.82 2.54
t+3% 31 22 71.0 0.75 0.41 1.45 -0.97 1.49 -4.31 3.01 2.23
t+4% 31 24 77.4 0.72 0.82 1.54 -2.07 0.74 -10.54 2.53 1.58
t+5% 31 26 83.9 0.90 1.00 1.51 -2.26 0.67 -6.38 3.61 2.58
t+10% 31 22 71.0 0.92 1.24 2.52 -3.00 0.84 -10.25 1.77 1.58
t+20% 31 21 67.7 1.06 1.82 2.86 -2.73 1.05 -6.65 2.06 1.91
1st +’ve in 5 days 31 31 100.0 0.85 0.70 0.88 0.00 INF 0.00 NA 6.28
1st -‘ve in 5 days 31 16 51.6 -0.50 -0.10 -0.86 1.95 0.44 4.82 0.34 -1.55

31/31 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 85 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 $SPY losing more than 1x stdev(50) , on a tuesday , and next 1/2/3/4/5 trading day returns , since 2011 .

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
2-Feb-16 190.16 ?? ?? ?? ?? ?? ?? ??
1-Sep-15 189.65 1.90 1.97 0.43 2.95 1.57 1.90 1.57
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84 2.40
11-Aug-15 206.35 0.12 0.00 0.36 0.92 0.63 0.12 0.63
26-May-15 207.36 0.95 0.84 0.21 0.41 0.31 0.95 0.31
5-May-15 205.59 -0.41 -0.01 1.30 0.82 0.52 1.30 -0.41
31-Mar-15 203.16 -0.35 0.00 0.68 0.41 0.75 0.00 -0.35
10-Mar-15 200.84 -0.23 1.03 0.41 1.76 1.45 1.03 -0.23
27-Jan-15 198.64 -1.28 -0.37 -1.62 -0.40 1.04 1.04 -1.28
6-Jan-15 195.78 1.25 3.04 2.22 1.42 1.13 1.25 1.13
7-Oct-14 188.31 1.75 -0.27 -1.41 -3.03 -2.88 1.75 -0.27
23-Sep-14 192.94 0.78 -0.84 -0.06 -0.24 -0.50 0.78 -0.84
9-Sep-14 193.31 0.38 0.49 -0.10 -0.17 0.58 0.38 -0.10
5-Aug-14 186.22 0.03 -0.51 0.64 0.93 0.79 0.03 -0.51
8-Jul-14 190.33 0.45 0.05 0.19 0.69 0.50 0.45 0.50
24-Jun-14 188.83 0.45 0.38 0.58 0.52 1.20 0.45 1.20
6-May-14 180.29 0.59 0.48 0.63 1.61 1.70 0.59 1.70
15-Oct-13 162.20 1.40 2.07 2.76 2.77 3.36 1.40 3.36
8-Oct-13 158.17 0.07 2.23 2.89 3.30 2.55 0.07 2.55
27-Aug-13 155.36 0.36 0.51 0.20 0.65 1.48 0.36 1.48
11-Jun-13 154.32 -0.83 0.68 0.05 0.82 1.62 0.68 -0.83
23-Oct-12 132.28 -0.28 0.01 -0.05 -0.05 1.00 0.01 -0.28
9-Oct-12 134.88 -0.64 -0.58 -0.91 -0.08 0.93 0.93 -0.64
25-Sep-12 134.78 -0.56 0.37 -0.09 0.17 0.28 0.37 -0.56
10-Apr-12 125.79 0.81 2.13 0.91 0.85 2.34 0.81 2.34
6-Mar-12 124.18 0.70 1.70 2.09 2.10 3.94 0.70 3.94
1-Nov-11 111.72 1.63 3.48 2.85 3.49 4.82 1.63 4.82
25-Oct-11 112.68 1.02 4.53 4.51 1.99 -0.85 1.02 -0.85
2-Aug-11 114.32 0.54 -4.17 -4.31 -10.54 -6.38 0.54 -4.17
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
1-Mar-11 118.18 0.21 1.94 1.18 0.38 1.26 0.21 1.26
22-Feb-11 118.99 -0.61 -0.68 0.38 1.00 -0.68 0.38 -0.61

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When $SPY posts a best one day gain in a quarter

When $SPY posts a best one day gain in a quarter 

when $SPY posts , best one day gain in a quarter , since 2011

with $SPY posting a gain of 2.44% on 29th Jan 2016 , which is the best one day gain in percentages in a quarter ( about 62 trading days ) , below trading strategy 

1) $SPY posts best one day gain in a quarter 

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since 2011 ( i.e last 5 years ) , when $SPY posts best one day in a quarter ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 21 6 28.6 -0.47 -0.23 0.70 -0.94 0.74 -4.42 0.13
t+2 21 12 57.1 -0.06 0.14 0.73 -1.12 0.66 -3.10 0.57
t+3 21 12 57.1 -0.11 0.47 0.91 -1.48 0.62 -4.69 0.61
t+4 21 10 47.6 -0.09 -0.35 1.12 -1.19 0.94 -4.55 0.60
t+5 21 14 66.7 -0.14 0.12 0.97 -2.37 0.41 -5.19 0.64
t+10 20 8 40.0 -0.92 -1.14 2.47 -3.17 0.78 -10.01 0.38
t+20 20 12 60.0 0.60 2.15 3.21 -3.33 0.96 -9.90 1.11
1st +’ve in 5 days 21 18 85.7 -0.06 0.25 0.57 -3.84 0.15 -5.19 0.57
1st -‘ve in 5 days 21 18 85.7 0.54 -0.60 -0.91 1.68 0.54 2.39 2.28

18/21 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 54 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 $SPY posting best one day gain in a quarter and next 1/2/3/4/5 trading day returns , since 2011

Date $SPY t% t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
29-Jan-16 193.72 2.44 ?? ?? ?? ?? ?? ?? ??
22-Jan-16 190.52 2.05 -1.51 -0.17 -1.25 -0.74 1.68 1.68 -1.51
4-Dec-15 208.38 1.95 -0.61 -1.27 -2.04 -1.79 -3.69 -3.69 -0.61
26-Aug-15 192.31 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38
10-Aug-15 208.24 1.26 -0.91 -0.78 -0.91 -0.55 0.01 0.01 -0.91
18-Dec-14 201.49 2.47 0.43 0.89 1.02 1.03 1.36 0.43 1.36
21-Oct-14 189.10 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71
8-Oct-14 191.61 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98
8-Aug-14 187.42 1.16 0.29 0.15 0.83 1.30 1.28 0.29 1.28
18-Jul-14 191.75 1.02 -0.19 0.25 0.47 0.48 0.01 0.25 -0.19
10-Oct-13 161.70 2.16 0.64 1.05 0.31 1.71 2.39 0.64 2.39
13-Jun-13 155.37 1.52 -0.63 0.14 0.93 -0.46 -2.93 0.14 -0.63
16-Apr-13 148.94 1.48 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
2-Jan-13 137.59 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23
29-Jun-12 126.62 2.49 0.30 0.96 0.51 -0.45 -0.57 0.30 -0.45
6-Jun-12 122.15 2.25 0.06 0.86 -0.42 0.72 0.08 0.06 -0.42
30-Nov-11 114.46 4.11 -0.02 -0.10 0.98 1.02 1.39 0.98 -0.02
9-Aug-11 107.03 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42
19-Jul-11 120.92 1.62 -0.06 1.33 1.39 0.83 0.45 1.33 -0.06
1-Jul-11 122.00 1.48 -0.08 0.04 1.08 0.36 -1.46 0.04 -0.08
21-Jun-11 117.93 1.37 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
3-Mar-11 120.47 1.72 -0.75 -1.53 -0.67 -0.81 -2.64 -2.64 -0.75

highlighted in the green were the loss making trades, for someone who shorted based on the above pattern  !!

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check out the new look of the paststat