$TLT trade idea as on 7th Jun 2019

$TLT trade idea as on 7th Jun 2019

trading odds , after $TLT posts 4 or more consecutive candles on a Friday , since 2002 ( $TLT IPO ) 

below the trading strategy rules

  1. current trading day is Friday
  2. $TLT posts 4 or more more consecutive candles ( that is close is below open )

below the trading odds for $TLT, for the next 1/2/3/4/5/10/20 trading days , since 2002 ->

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 45 33 73 0.40 0.34 0.66 -0.33 2.02 -0.60 4.45 -0.05 -1.09 0.66 4.32
t+2 45 32 71 0.64 0.54 1.05 -0.40 2.67 -0.95 5.48 -0.21 -1.82 1.14 4.77
t+3 45 29 64 0.61 0.35 1.29 -0.61 2.11 -1.72 3.60 -0.39 -2.93 1.33 3.23
t+4 45 27 60 0.74 0.41 1.69 -0.68 2.50 -2.01 3.72 -0.50 -2.93 1.61 3.18
t+5 45 30 67 0.68 0.57 1.53 -1.03 1.50 -2.09 2.67 -0.77 -2.93 1.79 2.87
1st +’ve exit in 5 days % 45 44 98 0.60 0.46 0.66 -1.74 0.38 -1.74 10.18 -0.09 -1.78 0.84 6.37

44/45 times , since 2002, $TLT closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 60 bps and median of 46 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 $TLT returns , over the next 1/2/3/4/5 trading days , when on Friday , $TLT posts 4 or more consecutive red candles in row since 2002

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # 1st +’ve cls
2019-06-07 131.74 ?? ?? ?? ?? ?? ?? ??
2019-05-17 125.73 -0.21 -0.37 0.21 1.33 1.42 0.21 3
2018-12-14 116.42 0.58 1.18 2.52 2.15 2.13 0.58 1
2018-05-04 115.06 -0.16 -0.25 -0.85 -0.05 0.20 0.20 5
2018-02-02 114.90 0.94 0.32 -0.64 -0.74 -1.37 0.94 1
2018-01-19 118.00 0.10 0.53 -0.02 0.80 0.43 0.10 1
2017-09-22 120.01 0.63 0.44 -1.07 -1.36 -1.14 0.63 1
2016-12-16 109.26 1.08 0.57 1.02 0.84 1.04 1.08 1
2016-11-11 113.60 -0.60 -0.11 0.79 -0.69 -0.98 0.79 3
2016-10-07 124.42 -0.59 -0.81 -0.72 -0.34 -1.74 -1.74 5
2016-08-26 128.08 1.34 0.95 1.09 1.20 0.38 1.34 1
2015-11-06 108.22 -0.56 -0.27 -0.48 0.00 0.57 0.57 5
2015-03-06 110.40 0.92 2.25 3.00 2.92 2.61 0.92 1
2013-12-27 88.03 0.69 0.05 0.35 0.35 0.78 0.69 1
2013-09-06 88.07 0.05 -0.65 0.23 0.10 0.49 0.05 1
2013-03-08 96.70 0.10 0.82 0.71 0.41 0.88 0.10 1
2012-12-21 102.34 -0.18 0.18 0.51 1.09 -0.66 0.18 2
2012-09-14 98.42 1.20 1.71 2.38 2.63 2.75 1.20 1
2012-05-25 101.80 -0.31 2.22 3.40 5.85 5.02 2.22 2
2011-12-23 96.32 0.47 2.33 2.52 2.85 1.30 0.47 1
2011-11-11 93.95 1.61 1.47 2.40 3.22 3.19 1.61 1
2011-07-01 75.21 0.22 0.74 0.44 1.86 3.39 0.22 1
2011-04-08 71.39 0.09 1.17 1.80 1.72 3.10 0.09 1
2011-02-04 70.02 0.52 -0.41 0.46 -0.70 0.73 0.52 1
2010-12-03 74.29 1.41 -0.76 -1.72 -1.23 -1.83 1.41 1
2010-02-12 68.28 0.19 -0.95 -1.35 -0.82 -1.23 0.19 1
2009-07-17 67.73 0.53 2.53 1.61 -0.25 0.23 0.53 1
2009-05-08 70.02 1.42 1.79 2.90 3.30 3.27 1.42 1
2009-02-27 74.49 1.65 0.97 0.51 3.30 2.62 1.65 1
2008-10-31 66.98 0.27 2.15 3.36 2.62 1.95 0.27 1
2008-08-22 66.71 1.00 1.09 1.26 1.27 0.82 1.00 1
2008-07-18 64.60 0.39 -0.11 -0.31 0.66 -0.34 0.39 1
2007-12-07 63.55 -0.60 1.35 0.31 -0.78 -1.24 1.35 2
2007-08-10 58.66 0.29 0.56 0.20 1.23 0.78 0.29 1
2007-06-01 57.88 0.46 -0.18 -0.22 -2.01 -2.09 0.46 1
2007-01-12 58.41 0.18 -0.09 0.22 -0.06 0.18 0.18 1
2006-12-08 59.66 0.43 0.64 -0.25 -0.62 -0.57 0.43 1
2006-10-13 57.19 0.45 0.53 0.73 0.55 0.45 0.45 1
2006-06-23 53.88 -0.19 0.30 -0.23 0.11 1.08 0.30 2
2006-04-07 54.53 0.19 0.54 -0.07 -0.78 -0.41 0.19 1
2006-03-31 55.24 0.41 0.31 0.45 -0.32 -1.29 0.41 1
2006-01-27 57.37 -0.10 -0.19 -0.17 0.02 0.73 0.02 4
2005-11-04 55.38 0.34 1.32 0.27 1.50 1.55 0.34 1
2004-05-07 47.71 -0.23 0.22 -0.44 -0.82 -0.01 0.22 2
2003-03-21 47.51 1.58 1.46 1.67 1.74 1.98 1.58 1
2002-11-22 46.72 -0.19 1.07 -1.21 -0.57 -0.48 1.07 2

highlighted in red is one instance when $TLT didn’t close higher than entry over the next 5 trading days 

 

—–

  1. check out my book $SPY High Probability Trading Strategies : PDF
  2. you might want to consider subscribing to our daily quant rants email  !!

$GLD , $TLT , $VNQ trade ideas – 9 Jan 2018

$GLD , $TLT , $VNQ trade ideas

few trading ideas as on 9th Jan 2018

1) $GLD – trading strategy rules

close is above and is down for three days in row , backtest period since last 4 years

$gld

 

34 out 34 times closed lower atleast once over next 5 trading days, when $GLD is above 200 DMA and posted 3 down closes in last 4 years at an average of 66 bps

2) $TLT – trading strategy rules

RSI(2) is below 2 , and posts 4 consecutive lower lows , backtest period is since its IPO ( 2002)

$tlt

 

39 out 39 times closed higher atleast once over next 5 trading days, when $TLT posts 4 lower lows along with an RSI(2) close below 2 , since 2002 , at an average of 64 bps

3) $VNQ – trading strategy rules

close is blow 200 DMA , and closes at quarterly low , backtest period is last 4 years

VNQ

33 out 33 times closed higher atleast once over next 5 trading days, when $VNQ closes at quarterly low , and when close is below is 200 DMA , at an average of 76 bps

ps: clicking on the images will take you to a detailed backtest report , which included historical trade details , along with drawdown and run details , among many other backtest report statistics.

you might want to consider subscribing to our daily quant rants email  !!

tickalert

$SPY , $IWM , $TLT, $SOCL behavior , when Janet Yellen is scheduled to talk

$SPY, $TLT, $IWM , $SOCL , when Janet Yellen is scheduled to talk 

Janet Yellen

Below $SPY , overnight gap %,  and Intra-day  %, and the day change % details , when Janet Yellen is scheduled to speak

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 188.42 189.75 187.62 188.47 1.15 0.03 1.18
18-Sep-14 200.42 200.91 200.16 200.88 0.3 0.23 0.53
17-Sep-14 199.84 200.75 198.82 199.82 0.15 -0.01 0.14
22-Aug-14 198.41 198.76 197.81 198.26 -0.08 -0.08 -0.16
2-Jul-14 196.13 196.56 196.04 196.31 0.01 0.09 0.1
18-Jun-14 193 194.53 192.58 194.42 0 0.73 0.74
21-May-14 186.32 187.44 186.29 187.35 0.29 0.55 0.84
15-May-14 186.91 186.95 184.73 185.64 -0.2 -0.68 -0.88
1-May-14 186.45 187.07 185.97 186.56 -0.05 0.06 0.01
16-Apr-14 183.73 184.39 182.91 184.38 0.69 0.36 1.05
15-Apr-14 181.6 182.6 179.81 182.47 0.21 0.48 0.69
31-Mar-14 184.91 185.54 183.77 185.25 0.63 0.18 0.82
19-Mar-14 185.1 185.35 182.92 184.09 0.01 -0.54 -0.53
avg 0.24 0.11 0.35
med 0.15 0.09 0.53
vs All Days Since Mar 2014 0.05 0 0.05
% wins 69 69 77

10/13 times $SPY closed higher on the days when Janet Yellen is scheduled to speak

below , overnight gap , intraday change % , and the day change %  , details for $IWM 

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 109.16 109.22 107.04 107.48 1.26 -1.54 -0.3
18-Sep-14 114.92 115.21 114.59 115.11 0.44 0.16 0.6
17-Sep-14 114.18 115.16 113.88 114.42 0.05 0.21 0.26
22-Aug-14 114.72 115.31 114.29 114.89 -0.14 0.15 0.01
2-Jul-14 119.23 119.63 118.56 118.77 0 -0.38 -0.39
18-Jun-14 116.14 117.04 115.74 116.99 -0.06 0.74 0.68
21-May-14 108.93 109.41 107.84 108.90 0.54 -0.03 0.51
15-May-14 108.36 108.50 106.74 108.17 -0.5 -0.17 -0.67
1-May-14 111.02 112.03 109.82 111.21 -0.21 0.17 -0.04
16-Apr-14 111.19 111.70 110.50 111.62 0.7 0.38 1.09
15-Apr-14 110.30 110.99 107.95 110.42 0.28 0.11 0.39
31-Mar-14 114.29 115.92 113.88 115.58 0.66 1.13 1.8
19-Mar-14 118.59 118.65 117.03 117.92 -0.08 -0.57 -0.65
avg 0.23 0.03 0.25
med 0.05 0.15 0.26
vs All Days Since Mar 2014 0.03 -0.03 -0.01
% wins 54 62 62

below , overnight gap , intraday change % , and the day change %  , details for $TLT

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 121.19 121.71 120.48 121.07 -0.46 -0.1 -0.56
18-Sep-14 112.90 113.20 112.57 112.88 0.34 -0.02 0.32
17-Sep-14 113.25 113.55 112.45 112.52 0.39 -0.64 -0.26
22-Aug-14 116.18 116.87 115.66 116.73 0.08 0.47 0.55
2-Jul-14 110.81 110.85 110.15 110.26 -0.58 -0.49 -1.07
18-Jun-14 110.69 111.64 110.45 111.28 0.23 0.54 0.77
21-May-14 110.82 111.00 110.47 110.86 -0.65 0.04 -0.61
15-May-14 112.36 112.98 112.18 112.44 0.73 0.07 0.8
1-May-14 109.49 110.68 109.45 110.62 0.04 1.03 1.07
16-Apr-14 108.79 109.62 108.74 109.62 -0.63 0.76 0.13
15-Apr-14 108.97 109.85 108.71 109.48 0.15 0.47 0.63
31-Mar-14 106.85 109.14 106.45 107.20 -0.58 0.33 -0.25
19-Mar-14 106.04 106.10 104.95 105.39 -0.17 -0.61 -0.78
avg -0.09 0.14 0.06
med 0.04 0.07 0.13
vs All Days Since Mar 2014 0.04 0.04 0.08
% wins 54 62 54

 

below , overnight gap , intraday change % , and the day change %  , details for $SOCL

Date Open High Low Close Over Night Gap % Close – Open  % Change %
30-Oct-14 ?? ?? ?? ?? ?? ?? ??
17-Oct-14 18.79 18.80 18.49 18.56 2.29 -1.22 1.03
18-Sep-14 20.25 20.30 20.18 20.26 0.7 0.05 0.75
17-Sep-14 20.30 20.30 20.07 20.11 0.4 -0.94 -0.54
22-Aug-14 20.31 20.41 20.14 20.39 -0.05 0.39 0.34
2-Jul-14 19.83 20.10 19.76 19.84 0.25 0.05 0.3
18-Jun-14 19.12 19.29 18.93 19.18 0.68 0.31 1
21-May-14 17.22 17.46 17.18 17.38 0.06 0.93 0.99
15-May-14 17.23 17.23 16.75 17.01 0.94 -1.28 -0.35
1-May-14 17.38 17.92 17.38 17.61 1.16 1.32 2.5
16-Apr-14 18.54 18.59 18.08 18.50 2.71 -0.22 2.49
15-Apr-14 17.95 18.15 17.32 18.05 0.22 0.56 0.78
31-Mar-14 19.81 19.92 19.43 19.49 1.69 -1.62 0.05
19-Mar-14 21.46 21.46 20.95 21.11 -0.05 -1.63 -1.68
avg 0.85 -0.25 0.59
med 0.68 0.05 0.75
vs All Days Since Mar 2014 0.13 -0.22 -0.1
% wins 85 54 77

 

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trade

$SPY , $TLT during the last five days of August

$SPY , $TLT during the last five days of August

August last 5 trading days $SPY Seasonality

below the trading odds for the next 1/2/3/4/5 trading days , for the longs for going long at close on 5 trading days before the last trading day of August ( 22nd Aug 2014 in this year’s case)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 12 57.1 -0.10 0.06 0.37 -0.73 0.51 -2.03 0.55 0.40
t+2 21 8 38.1 -0.43 -0.12 0.45 -0.97 0.46 -3.10 0.18 0.14
t+3 21 11 52.4 -0.39 0.06 0.81 -1.71 0.47 -5.03 0.49 0.30
t+4 21 9 42.9 -0.78 -0.22 0.92 -2.05 0.45 -5.38 0.30 0.15
t+5 21 9 42.9 -0.97 -0.25 1.23 -2.61 0.47 -12.13 0.34 0.20

slightly bearish !

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

$SPY historical instances from 5 trading day’s before the last trading day of August , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
22-Aug-14 199.19 ?? ?? ?? ?? ??
23-Aug-13 163.41 -0.37 -1.98 -1.63 -1.47 -1.78
24-Aug-12 135.75 0.02 -0.08 0 -0.72 -0.25
24-Aug-11 110.92 -1.52 -0.1 2.78 3.05 3.5
24-Aug-10 97.18 0.39 -0.29 1.26 -0.22 -0.22
24-Aug-09 93.03 0.19 0.2 0.43 0.41 -0.48
22-Aug-08 114.07 -2.03 -1.74 -0.79 0.41 -0.67
24-Aug-07 127.92 -0.93 -3.1 -1.2 -1.47 -0.49
24-Aug-06 109.8 0.12 0.6 0.71 0.77 0.76
24-Aug-05 100.78 0.36 -0.33 0.45 -0.09 1.18
24-Aug-04 90 0.68 0.68 0.99 0.16 0.69
22-Aug-03 80.1 0.16 0.34 0.37 1 1.67
23-Aug-02 74.67 0.7 -0.47 -2.64 -2.6 -2.99
24-Aug-01 92.68 -0.59 -2.05 -2.92 -4.79 -4.09
24-Aug-00 116.53 -0.04 0.3 0.32 -0.64 0.68
24-Aug-99 104.41 1.03 -0.18 -1.39 -3.21 -3.58
24-Aug-98 82.27 0.23 -0.34 -5.03 -5.38 -12.13
22-Aug-97 68.75 -0.36 -1.83 -1.24 -2.75 -2.36
23-Aug-96 48.79 -0.49 -0.12 -0.29 -1.27 -2.3
24-Aug-95 40 0.55 0.18 0.43 0.65 0.75
24-Aug-94 32.84 -0.27 1.16 1.1 1.34 1.1
24-Aug-93 31.39 0.06 0.13 0.06 0.48 0.73

$TLT trading odds for longs for the next 1/2/3/4/5 trading days , for going long on 5 trading days before the last trading day of August ( 22nd Aug 2014 in this year’s case) 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 12 10 83.3 0.34 0.42 0.52 -0.56 0.93 -0.78 6.01 4.56
t+2 12 10 83.3 0.75 0.77 0.95 -0.27 3.60 -0.53 29.93 22.68
t+3 12 9 75.0 0.27 0.43 0.66 -0.91 0.73 -2.24 2.03 1.63
t+4 12 11 91.7 1.03 1.07 1.16 -0.36 3.22 -0.36 30.15 23.59
t+5 12 12 100.0 1.25 1.18 1.25 NA NA NA NA NA

$TLT historical instances from 5 trading day’s before the last trading day of August , since 1993

Date $TLT t+1% t+2% t+3% t+4% t+5%
22-Aug-14 117.29 ?? ?? ?? ?? ??
23-Aug-13 101.01 0.5 1.76 0.94 1.75 1.63
24-Aug-12 117.99 0.58 0.83 0.39 0.91 2.33
24-Aug-11 97.52 1.09 2.08 0.67 2.29 0.71
24-Aug-10 94.78 -0.33 0.61 -2.24 -0.36 0.75
24-Aug-09 80.69 0.57 1.03 0.63 1.09 1.19
22-Aug-08 75.69 1 1.1 1.27 1.27 0.82
24-Aug-07 68.21 0.53 0.7 0.43 1.1 1.17
24-Aug-06 64.76 0.14 0.23 0.37 0.63 0.88
24-Aug-05 66.66 0.32 0.29 0.42 1.05 1.91
24-Aug-04 58.24 0.34 0.91 0.84 1.32 1.94
22-Aug-03 53.64 -0.78 0 -0.45 0.58 0.34
23-Aug-02 52.49 0.1 -0.53 -0.04 0.76 1.37

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

$SPY $TLT $GLD the week after Jackson Hole Economic Symposium

the week after Jackson Hole Economic Symposium

Visual comment of the weekBelow the $SPY trading odds for the longs , assuming one goes long at the close of Friday during the Jackson Hole Economic Symposium and exiting at the end of the next Friday at close ( the week after Jackson Hole Economic Symposium)

Data since 1993 ( or since when $SPY started trading ) , Jackson Hole Economic Symposium dates are from ECONOMIC SYMPOSIUM CONFERENCE PROCEEDINGS

  • Winners : 13
  • Losers : 8
  • % Winners : 62%
  • Average Change % : 0.11
  • Median Change % : 0.67
  • Maximum Gain % : 3.77
  • Maximum Loss % : -5.43
  • Average Gain %if Winner : 1.45
  • Average Loss % if Loser : -2.07
  • Payoff Ratio 0.70
  • Average Absolute Change% : 1.20
  • Profit Factor : 1.08
  • Outlier Adjusted Profit Factor : 0.84

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

Even Stevens !

$TLT during the week after Jackson Hole Economic Symposium 

  • Winners : 10
  • Losers : 2
  • % Winners : 83%
  • Average Change % : 0.94
  • Median Change % : 0.91
  • Maximum Gain % : 4.02
  • Maximum Loss % : -2.68
  • Average Gain %if Winner : 1.53
  • Average Loss % if Loser : -2.03
  • Payoff Ratio 0.75
  • Average Absolute Change% : 2.36
  • Profit Factor : 2.72
  • Outlier Adjusted Profit Factor : 1.84

Slight advantage to the bulls ( i said slight because of the maximum loss which stands at -2.7% )

$GLD during the week after Jackson Hole Economic Symposium 

  • Winners : 8
  • Losers : 1
  • % Winners : 89%
  • Average Change % : 1.52
  • Median Change % : 0.78
  • Maximum Gain % : 4.31
  • Maximum Loss % : -0.21
  • Average Gain %if Winner : 1.74
  • Average Loss % if Loser : -0.21
  • Payoff Ratio 8.28
  • Average Absolute Change% : 1.51
  • Profit Factor : 55.61
  • Outlier Adjusted Profit Factor : 35.00

below the historical dates of Jackson Hole Economic Symposium , and the returns of $SPY, $TLT , $GLD

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium
Jackson Hole Meeting End Next Week $SPY $TLT $GLD
23-Aug-14 25-Aug-14 ?? ?? ??
24-Aug-13 26-Aug-13 -1.78 1.63 -0.21
01-Sep-12 04-Sep-12 2.25 -2.68 2.57
27-Aug-11 29-Aug-11 -0.1 4.02 3.25
28-Aug-10 30-Aug-10 3.77 -1.38 0.7
22-Aug-09 24-Aug-09 0.4 2.91 0.23
23-Aug-08 25-Aug-08 -0.67 0.82 0.78
01-Sep-07 04-Sep-07 -1.04 2.01 4.31
26-Aug-06 28-Aug-06 1.25 0.77 0.6
27-Aug-05 29-Aug-05 1.25 1.09 1.47
28-Aug-04 30-Aug-04 0.61 0.22
30-Aug-03 02-Sep-03 1.38 0.95
31-Aug-02 03-Sep-02 -1.93 0.86
01-Sep-01 04-Sep-01 -4.76
26-Aug-00 28-Aug-00 0.82
28-Aug-99 30-Aug-99 0.67
29-Aug-98 31-Aug-98 -5.43
30-Aug-97 02-Sep-97 3.05
31-Aug-96 03-Sep-96 0.94
02-Sep-95 05-Sep-95 1.56
27-Aug-94 29-Aug-94 -0.81
21-Aug-93 23-Aug-93 0.96
avg % 0.11 0.94 1.52
med % 0.67 0.91 0.78

$SPY , $TLT, $GLD the week after Jackson Hole Economic Symposium

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

 

$TLT during second half of August

$TLT during second half of August

below the trading odds for the $TLT bulls , during the second half of August , i.e go long at the close of 11th trading day (15th Aug 2014,f or this year )  and exit at the close of the last trading day of August , since Aug 2002 ( or since when $TLT is IPO’ed )

  • Winners : 12
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 2.43
  • Median Change % : 2.30
  • Maximum Gain % : 4.65
  • Maximum Loss % : 0.86
  • Average Gain %if Winner : 2.43
  • Average Loss % if Loser : NA
  • Payoff Ratio NA
  • Average Absolute Change% : 2.37
  • Profit Factor : QE -4 ?
  • Outlier Adjusted Profit Factor : NA

below the historical instances of $TLT during the second half of August since 2002

Date $TLT Exit $TLT Gain %
15-Aug-14 117.71 31-Aug-14 ?? ??
15-Aug-13 100.47 30-Aug-13 102.66 2.18
15-Aug-12 115.38 31-Aug-12 120.74 4.65
15-Aug-11 95.89 31-Aug-11 98.21 2.42
16-Aug-10 92.22 31-Aug-10 95.49 3.55
17-Aug-09 80.07 31-Aug-09 81.65 1.97
15-Aug-08 75.66 29-Aug-08 76.31 0.86
15-Aug-07 66.97 31-Aug-07 69.01 3.05
15-Aug-06 63.76 31-Aug-06 65.33 2.46
15-Aug-05 65.86 31-Aug-05 67.93 3.14
16-Aug-04 58.4 31-Aug-04 59.37 1.66
15-Aug-03 52.76 29-Aug-03 53.82 2.01
15-Aug-02 52.56 30-Aug-02 53.21 1.24

$TLT historical instances during the second half of August since 2002 

$TLT during second half of August , since 2002

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

$SPY $TLT $GLD post August Opex Week

$SPY post August Opex Week

Option Expiraton

Below the trading odds for the $SPY , for the next 1/2/3/4/5 trading days , after August Opex Week , since 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 10 47.6 0.28 0.00 0.96 -0.34 2.83 -1.36 2.00 1.51
t+2 21 11 52.4 0.39 0.15 1.32 -0.64 2.07 -2.44 1.77 1.24
t+3 21 13 61.9 0.74 0.29 1.74 -0.88 1.97 -1.98 2.52 1.84
t+4 21 13 61.9 0.39 0.55 1.51 -1.43 1.06 -4.43 1.46 1.15
t+5 21 15 71.4 0.63 0.48 1.43 -1.39 1.03 -4.78 2.37 1.73
1st +’ve exit in 5 days 21 17 81.0 0.43 0.22 0.72 -0.77 0.93 -1.39 2.95 2.35

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

Below the trading odds for the $TLT, for the next 1/2/3/4/5 trading days , after August Opex Week , since 2002

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 12 8 66.7 0.15 0.13 0.45 -0.45 1.00 -0.87 1.73 0.80
t+2 12 9 75.0 0.59 0.46 1.04 -0.75 1.39 -1.63 3.30 2.38
t+3 12 9 75.0 0.38 0.45 1.15 -1.93 0.59 -4.43 1.44 0.99
t+4 12 9 75.0 0.64 0.68 1.25 -1.19 1.05 -3.39 2.61 1.75
t+5 12 10 83.3 0.76 0.83 1.22 -1.55 0.79 -2.44 3.11 2.13
t+10 12 11 91.7 1.70 1.85 2.04 -2.03 1.01 -2.03 9.73 6.67
1st +’ve exit in 5 days 12 11 91.7 0.24 0.36 0.48 -2.44 0.20 -2.44 1.61 1.04

 

Below the trading odds for the $GLD, for the next 1/2/3/4/5 trading days , after August Opex Week, since 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 9 6 66.7 0.57 0.23 1.19 -0.66 1.79 -1.40 3.85 1.60
t+2 9 6 66.7 0.56 0.33 1.23 -0.77 1.59 -1.27 1.98 1.13
t+3 9 5 55.6 0.30 0.60 1.72 -1.48 1.16 -4.61 0.91 0.52
t+4 9 7 77.8 0.84 0.46 1.75 -2.36 0.74 -4.22 1.52 0.87
t+5 9 8 88.9 1.35 1.20 1.69 -1.38 1.23 -1.38 5.69 3.58
t+10 9 9 100.0 2.75 1.83 2.75 NA NA 1.49 NA NA
1st +’ve exit in 5 days 9 9 100.0 0.87 0.33 0.87 NA NA 0.17 NA NA

looks like everything bullish ?

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

$TLT after ECB Rate Cut Decision is on Hold

$TLT after ECB Rate Cut Decision is on Hold 

rate cut

image courtesy : http://www.theguardian.com/business/cartoon/2010/sep/28/savings-spending-economy-cartoon

Below the trading odds for $TLT longs after ECB rate cut decision is on hold ( i.e no change from previous ECB rate cut decision meting ) ,

& if $TLT opens with a gap down ( at the time of writing $TLT is trading at pre-market , down by 0.65%)

assuming one goes long at open and exits at close, data since Jan 2009 .

  • Winners : 8
  • Losers : 20
  • % Winners : 29%
  • Average Change % : -0.28
  • Median Change % : -0.29
  • Maximum Gain % : 1.66
  • Maximum Loss % : -1.97
  • Average Gain %if Winner : 0.49
  • Average Loss % if Loser : -0.59
  • Payoff Ratio 0.84

variant , $TLT opens with a gap down open of more than 0.5% than the previous close, after ECB rate cut decision is on hold

  • Winners : 2
  • Losers : 11
  • % Winners : 15%
  • Average Change % : -0.52
  • Median Change % : -0.58
  • Maximum Gain % : 0.50
  • Maximum Loss % : -1.26
  • Average Gain %if Winner : 0.26
  • Average Loss % if Loser : -0.66
  • Payoff Ratio 0.39

not looking good for $TLT bulls …

below the historical details of $TLT change details from open , when ECB rate cut decision is on hold ( i.e no change from previous ECB rate decision meeting )

Date ECB Rate Actual Previous $TLT Open Close Gap % Change from open Change from open %
06-Mar-14 0.25 0.25 ?? ?? ?? ?? ??
06-Feb-14 0.25 0.25 106.71 106.44 -0.18 -0.27 -0.25
09-Jan-14 0.25 0.25 102.46 102.67 0.38 0.21 0.20
05-Dec-13 0.25 0.25 101.64 101.59 -0.24 -0.05 -0.05
02-Oct-13 0.5 0.5 104.47 104.50 0.12 0.03 0.03
05-Sep-13 0.5 0.5 101.77 100.86 -0.50 -0.91 -0.90
01-Aug-13 0.5 0.5 104.47 103.36 -0.87 -1.11 -1.06
04-Jul-13 0.5 0.5 US Markets Closed
06-Jun-13 0.5 0.5 112.16 112.49 -0.36 0.33 0.30
04-Apr-13 0.75 0.75 116.23 117.01 0.52 0.78 0.67
07-Mar-13 0.75 0.75 112.90 112.46 -0.38 -0.44 -0.39
07-Feb-13 0.75 0.75 113.01 112.91 -0.14 -0.10 -0.09
10-Jan-13 0.75 0.75 114.55 114.70 -0.41 0.15 0.13
06-Dec-12 0.75 0.75 121.26 121.00 0.43 -0.26 -0.21
08-Nov-12 0.75 0.75 119.04 121.01 -0.17 1.97 1.66
04-Oct-12 0.75 0.75 118.72 118.03 -0.67 -0.69 -0.58
06-Sep-12 0.75 0.75 120.45 119.57 -0.94 -0.88 -0.73
02-Aug-12 0.75 0.75 124.09 124.01 0.63 -0.08 -0.06
06-Jun-12 1 1 121.62 119.23 -0.03 -2.39 -1.97
03-May-12 1 1 110.99 111.54 -0.51 0.55 0.50
04-Apr-12 1 1 106.10 106.41 1.08 0.31 0.30
08-Mar-12 1 1 110.13 109.58 -0.50 -0.55 -0.50
09-Feb-12 1 1 109.44 109.09 -0.43 -0.35 -0.32
12-Jan-12 1 1 113.04 112.79 0.08 -0.25 -0.22
06-Oct-11 1.5 1.5 112.75 111.33 -0.59 -1.42 -1.26
08-Sep-11 1.5 1.5 104.68 104.88 0.71 0.20 0.19
04-Aug-11 1.5 1.5 95.15 97.92 0.62 2.77 2.91
09-Jun-11 1.25 1.25 89.64 88.99 0.32 -0.65 -0.72
05-May-11 1.25 1.25 87.31 87.83 0.35 0.52 0.60
03-Mar-11 1 1 82.57 82.14 -0.46 -0.43 -0.52
03-Feb-11 1 1 81.79 81.57 -0.56 -0.22 -0.27
13-Jan-11 1 1 83.01 83.74 0.02 0.73 0.88
02-Dec-10 1 1 86.64 86.35 0.08 -0.29 -0.33
04-Nov-10 1 1 89.22 89.69 0.25 0.47 0.52
07-Oct-10 1 1 94.32 93.88 -0.37 -0.44 -0.47
02-Sep-10 1 1 94.00 93.71 -0.75 -0.29 -0.30
05-Aug-10 1 1 88.51 88.22 0.79 -0.29 -0.32
08-Jul-10 1 1 88.64 88.61 -0.61 -0.03 -0.03
10-Jun-10 1 1 86.05 85.16 -0.76 -0.89 -1.04
06-May-10 1 1 83.08 85.40 0.29 2.32 2.79
08-Apr-10 1 1 78.16 78.05 0.17 -0.11 -0.13
04-Mar-10 1 1 79.68 80.13 -0.03 0.45 0.56
04-Feb-10 1 1 79.45 80.14 0.70 0.69 0.87
14-Jan-10 1 1 78.05 78.77 0.47 0.72 0.93
03-Dec-09 1 1 81.88 81.80 -0.95 -0.08 -0.10
05-Nov-09 1 1 80.27 80.59 -0.40 0.32 0.40
08-Oct-09 1 1 85.90 84.56 0.53 -1.34 -1.56
03-Sep-09 1 1 83.17 83.19 -0.63 0.02 0.02
06-Aug-09 1 1 77.82 78.12 -0.04 0.30 0.39
02-Jul-09 1 1 80.49 80.46 0.27 -0.03 -0.03
04-Jun-09 1 1 77.77 77.00 -1.09 -0.77 -0.98
05-Feb-09 2 2 86.77 86.24 0.71 -0.53 -0.61

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

$TLT below Lower Bollinger Band – what next

$TLT below Lower Bollinger Band – what next

$TLT closes below Lower Bollinger Band Stock Chart

h/t @ukarlewitz

below the two trading strategies around $TLT and the lower bollinger band

1) $TLT closes below lower bollinger band 

Below the trading odds for the $TLT  longs over the next 1/2/3/4/5 trading days period when ever $TLT  closes below the Lower Bollinger Band ( 20 Moving average , 2 standard deviations ) over next week ( five trading days).

assuming one goes long at close on 11 Nov 2013 and exits , at the close next trading day ( t+1) , and t+5 is over at the  fifth trading close , back test period is over the last four years.

Exit # % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 61 59 0.08 0.15 0.61 -0.7 0.87 -2.52
t+2 60 50 0.14 0.01 0.92 -0.63 1.46 -2.37
t+3 60 60 0.33 0.38 1.15 -0.9 1.28 -2.67
t+4 60 65 0.57 0.59 1.41 -0.99 1.42 -3.35
t+5 60 73 0.87 1.11 1.63 -1.22 1.34 -2.96

2) $TLT closes below lower bollinger band , $TLT close is below 200-SMA

Below the trading odds for the $TLT  longs over the next 1/2/3/4/5 trading days period when ever $TLT  closes below the Lower Bollinger Band ( 20 Moving average , 2 standard deviations ) , and the $TLT close is below 200-SMA, over next week ( five trading days).

Exit # % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 41 63 0.18 0.33 0.68 -0.69 0.99 -1.7
t+2 40 53 0.29 0.11 1.06 -0.56 1.89 -1.85
t+3 40 70 0.58 0.61 1.2 -0.87 1.38 -2.17
t+4 40 70 0.9 1.19 1.6 -0.74 2.16 -1.55
t+5 40 80 1.12 1.37 1.67 -1.06 1.58 -2.49

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

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

$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on Employment Report

$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on Employment Report

New Job Statistics

image courtesy :http://www.cagle.com/members/news/unemployment-down/

With the Non Farm Payrolls (NFP) report releasing in few hours , and ignoring the what economists are exceptions of the job growth for the month of August, using price action and bit of brute force here we go

NFP  Background :

Non Farm Payrolls (NFP) measures the change in the number of people employed during the previous month, excluding the farming industry. Job creation is the foremost indicator of consumer spending, which accounts for the majority of economic activity.

Source Of Report: Bureau of Labor Statistics (Release URL)

a look at how $SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV fared, overnight , from open to close , and full day change for the longs, on NFP Data Release day since Nov 2008.

$SPY $DIA $IWM $QQQ $VXX $TLT $GLD $GDX $USO $SLV on NFP Data Release day since Nov 2008

  • # total : total number of NFP releases from Nov 2008 to Aug 2013 ( it just that  while running the macro , we mis-typed Nov 2008 instead of Jan 2009 , as there were two trading holidays days on 06-Apr-12 02-Apr-10, when the NFP data was released )
  • Wins: Number of  win trades  for the longs
  • Losses: Number of loss trades for the longs
  • %Wins: Number of wins divided by number of losses
  • Avg Change % : Average Change %
  • Median Change % : Median Change %
  • Avg Win % : Average Change % for the winners
  • Avg Loss % : Average Change % for the losers
  • Avg Win / Avg Loss (%) : pay off ratio , if more than 1.25  better for longs , if less than 0.75 , flip it and go short, provided %win rate is in your favor
  • Max % : Maximum win% ( not going to happen when one starts real trading based on the back tested data)
  • Min % : Maximum loss % ( more than likely to happen , when one starts real trading based on the back tested data)

various trading strategies explanation :

  • Over Night Gap  : assuming one had entered the trade at close on the day before NFP data release and exit at open on NFP data release release day.
  • Change From Open : assuming one had entered the trade at open on the day of NFP data release and exit at close on NFP data release release day.
  • Full Day Change : assuming one had entered the trade at close on the previous day of NFP data release and exit at close on NFP data release release day.

Ticker Details:

Ticker Company Sector Industry
DIA SPDR Dow Jones Industrial Average Financial ETF
GDX Market Vectors Gold Miners ETF Financial ETF
GLD SPDR Gold Shares Financial ETF
IWM iShares Russell 2000 Index Financial ETF
QQQ PowerShares QQQ Financial ETF
SLV iShares Silver Trust Financial ETF
SPY SPDR S&P 500 Financial ETF
TLT iShares Barclays 20+ Year Treas Bond Financial ETF
USO United States Oil Financial ETF
VXX iPath S&P 500 VIX Short-Term Futures ETN Financial ETF

you might want to download the NFP Data Excel file for your offline analysis purposes from (paststat’s google drive , no login required here NFP Data ) , and lets us know if you have found any good trading strategy

pls do us favor by click to tweet to us 

you might want to consider subscribing to our daily quant rants email  !! 

{self promo } check out Quant-Ideas ( starting from $ 34.95 per month) to aid the short term traders to find high probability winning trades,use “SUMMER” code ( ends by Sunday) as an end of summer special sale , to get 20% discount