$TLT 2% or more gap down openings

$TLT 2% or more gap down openings

h/t  @ZorTrades

With $TLT ( iShares Barclays 20+ Year Treas Bond) opening with with a gap down of -2.47% , below the odds for the longs at open and exit at close , data uses is since 2004.

  • Winners : 6
  • Losers : 2
  • % Winners : 75%
  • Average Change % : 0.23
  • Median Change % : 0.29
  • Maximum Gain % : 1.14
  • Maximum Loss % : -1.13
  • Average Gain %if Winner : 0.57
  • Average Loss % if Loser : -0.80
  • Average Gain % / Average Loss % : 0.71
  • Average Absolute Change% : 0.63
  • Profit Factor : 2.49

beware that sample size is very small. That’s a bit surprise that there were only eight , 2% or more gap down openings since 2004.

below the table with the prior $TLT 2% or more gap down openings and where it closed from open , since 2004

$TLT 2% gap down openings since 2004							CFO: Change from Open , CFO%: Change From Open %

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both $SPY, $TLT, are down by more than 1% what next ?

both $SPY, $TLT, are down by more than 1% what next ?

with $SPY loosing 1.38 % and $TLT too loosing  1.03% , ( happened only 24 times so far since $TLT started trading from Aug 2002, today being the 25 instance) here is how both of them fares the next trading days

$SPY trading odds for longs at close and exit at next day trading close , when both $SPY and $TLT are down by 1%

  • Winners : 12
  • Losers : 12
  • % Winners : 50%
  • Average Change % : -0.40
  • Median Change % : -0.03
  • Maximum Gain % : 4.41
  • Maximum Loss % : -6.99
  • Average Gain %if Winner : 1.38
  • Average Loss % if Loser : -2.17
  • Average Gain % / Average Loss % : 0.63
  • Average Absolute Change% : 1.77

Keep a note on the higher side average absolute one day change% for $SPY, the average absolute change% for the last 50 days as of today stands at 0.7%

$TLT trading odds for longs at close and exit at next day trading close , when both $SPY and $TLT are down by 1%

  • Winners : 13
  • Losers : 11
  • % Winners : 54%
  • Average Change % : 0.23
  • Median Change % : 0.15
  • Maximum Gain % : 3.04
  • Maximum Loss % : -2.03
  • Average Gain %if Winner : 1.03
  • Average Loss % if Loser : -0.72
  • Average Gain % / Average Loss % : 1.42
  • Average Absolute Change% : 0.89

Below the table with $SPY $TLT next  trading changes  when ever both $SPY and $TLT are down by more than 1% in a day since Aug 2002.

$SPY , $TLT both loosing more than 1% in a day since 2003

expect a greater than average absolute move in $SPY for the coming session !!

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both $SPY, $TLT, are up by more than 1%, what next ?

both $SPY, $TLT, are up by more than 1% what next ?

with $SPY gaining 1.52 % and $TLT too gaining 1.57% , ( happened only 20 times so far since $TLT started trading from Aug 2002) here is how both of them fares the next 1-5 trading days

$SPY trading odds for the longs at close and exit at next day trading close 

  • Winners : 9
  • Losers : 10
  • % Winners : 47%
  • Average Change % : -0.75
  • Median Change % : -0.01
  • Maximum Gain % : 3.38
  • Maximum Loss % : -8.86
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -2.39
  • Average Gain % / Average Loss % : 0.45
  • Average Absolute Change% : 1.77

The average change for $SPY for one day , seems to be on the higher end of the negative zone , as there were four brutal long trades in 2008 accounting for more than 20% loss …

suppose you remove those four trades from 2008 ( a.l.a Jim Carrey/Kate Winslet, in Eternal Sunshine of the Spotless Mind :))

here are the trading odds for $SPY longs for one day holding period with 2008 

  • Winners : 9
  • Losers : 6
  • % Winners : 60%
  • Average Change % : 0.41
  • Median Change % : 0.05
  • Maximum Gain % : 3.38
  • Maximum Loss % : -1.80
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -0.58
  • Average Gain % / Average Loss % : 1.83
  • Average Absolute Change% : 0.87

$TLT trading odds for the longs at close and exit at next day trading close 

  • Winners : 14
  • Losers : 5
  • % Winners : 74%
  • Average Change % : 0.60
  • Median Change % : 0.54
  • Maximum Gain % : 3.83
  • Maximum Loss % : -2.96
  • Average Gain %if Winner : 1.31
  • Average Loss % if Loser : -1.40
  • Average Gain % / Average Loss % : 0.94
  • Average Absolute Change% : 1.33

without  2008 , the trading odds for $TLT for the next day 

  • Winners : 10
  • Losers : 5
  • % Winners : 67%
  • Average Change % : 0.07
  • Median Change % : 0.30
  • Maximum Gain % : 2.58
  • Maximum Loss % : -2.96
  • Average Gain %if Winner : 0.81
  • Average Loss % if Loser : -1.40
  • Average Gain % / Average Loss % : 0.58
  • Average Absolute Change% : 1.01

Below the table with $SPY $TLT next 1-5 trading changes  when ever both $SPY and $TLT are up by more than 1% in a day since Aug 2002.

histprical instances of $SPY and $TLT gaining more than 1% in a day since Aug 2002

can’t make out anything , but agian $TLT $SPY up day coming ??

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when all $SPY, $TLT, $GLD $UUP opens with a gap down

when all  $SPY, $TLT, $GLD $UUP opens with a gap down

here is how the $SPY $TLT , $ GLD , $UUP fared from open to close , when all the four ETF’s opened with a gap down

  • $TLT up 59% times with an average change % from open to close 0.13% 
  • $SPY up 38% times with an average change % from open to close -0.44% 
  • $GLD up 48% times with an average change % from open to close 0.06%
  • $UUP up 45% times with an average change% from open to close 0.01%
Date TLT Gap Close-Open % SPY Gap Close-Open % GLD Gap Close-Open % UUP Gap Close-Open %
06-Jun-13 -0.36 0.30 -0.04 0.95 -0.10 0.84 -0.36 -0.94
28-Mar-13 -0.21 -0.30 -0.06 0.37 -0.55 -0.03 -0.13 -0.13
11-Jan-13 -0.23 1.12 -0.03 0.02 -0.07 -0.49 -0.41 0.14
10-Oct-12 -0.41 1.11 -0.01 -0.62 -0.26 0.18 -0.18 -0.05
28-Mar-12 -0.45 0.32 -0.05 -0.45 -0.32 -0.74 -0.09 0.05
05-Mar-12 -0.16 -0.63 -0.16 -0.26 -0.34 -0.07 -0.09 0.00
23-Feb-12 -0.51 0.52 -0.05 0.49 -0.14 0.19 -0.27 -0.50
01-Dec-11 -1.11 0.61 -0.11 0.10 -0.16 -0.13 -0.18 0.14
17-Nov-11 -0.32 1.13 -0.19 -1.40 -0.86 -1.73 -0.23 0.36
19-Oct-11 -0.57 0.54 -0.17 -1.02 -0.46 -0.76 -0.41 0.51
11-Mar-11 -0.04 -0.53 -0.32 1.02 -0.35 0.68 -0.05 -0.68
30-Dec-10 -0.29 0.23 -0.09 -0.06 -0.09 -0.40 -0.35 0.00
12-Nov-10 -0.13 -0.42 -0.67 -0.51 -1.29 -1.62 -0.40 0.27
28-Jul-10 -0.15 0.49 -0.21 -0.44 -0.03 0.26 -0.08 0.04
19-May-10 -0.04 0.38 -0.56 -0.01 -1.09 -1.32 -0.31 -0.63
07-May-10 -0.95 -0.31 -0.27 -1.23 -0.72 0.54 0.00 -0.44
30-Nov-09 -0.21 0.45 -0.08 0.42 -0.50 1.01 -0.18 -0.23
21-Oct-09 -0.58 -0.02 -0.15 -0.74 -0.04 0.36 -0.27 -0.36
13-Feb-09 -1.20 -1.48 -0.13 -0.95 -0.72 0.05 -0.12 -0.19
09-Feb-09 -0.59 0.91 -0.02 0.16 -1.38 -0.03 -0.93 0.27
29-Jan-09 -0.91 -1.40 -1.47 -1.81 -0.85 3.25 -0.23 1.02
07-Jan-09 -0.22 0.62 -1.57 -1.45 -0.67 -2.14 -0.87 0.24
23-Sep-08 -0.38 -0.01 -0.39 -1.90 -0.35 -0.62 -0.30 0.95
22-May-08 -0.57 -0.61 -0.04 0.06 -0.83 -0.24 -0.18 0.81
21-May-08 -0.42 0.45 -0.06 -1.64 -0.32 1.49 -0.31 -0.40
26-Feb-08 -0.12 0.16 -0.42 1.18 -0.33 1.38 -0.47 -0.21
04-Feb-08 -0.88 -0.15 -0.27 -1.00 -0.94 0.67 -1.06 0.90
12-Sep-07 -0.03 -0.34 -0.13 0.39 -0.03 -0.06 -0.29 -0.20
03-Aug-07 -0.08 0.74 -0.22 -2.36 -0.06 1.28 -0.45 -0.49
avg 0.13   -0.44   0.06   0.01
median 0.30   -0.44   -0.03   0.00
max 1.13   1.18   3.25   1.02
min -1.48   -2.36   -2.14   -0.94
% up 0.59   0.38   0.48   0.45

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$SPY Gap Down Open after all $SPY, $TLT, $GLD are down prev day, bit bearish

$SPY Gap Down After $SPY, $TLT, $GLD are Down Prev Day

here are the trading system rules we employed  for the $SPY gap down open trading system

  • $SPY opens with a gap down open
  • Previous day all the three $SPY, $GLD , $TLT are closed down
  • go short at open  &
  • buy to cover at close .

below the backtest performance summary of  “Short at open the $SPY after a gap down open , when all the three $SPY, $TLT, $GLR were down the previous trading day Trading System since 2005.

Short at open the $SPY after a gap down , when all the three $SPY, $TLT, $GLR were down the previous trading day Trading System, backtest since 2005

the above pattern suggests mild bearishness for the intraday today

below the historical trades generated by “Short at open the $SPY after a gap down open , when all the three $SPY, $TLT, $GLD were down the previous trading day Trading System”   since 2005, for your reference

Date Gap Cls-Open Cls-Open % Full Day Change % $SPY prv loss % $GLD prv loss $TLT prv loss
05-Jun-13 -0.29 ?? ?? ?? -0.48 -0.94 -0.92
23-May-13 -1.07 1.29 0.79 -0.29 -0.48 -0.94 -0.92
29-Jan-13 -0.2 0.89 0.59 0.39 -0.02 -1.16 -0.08
05-Nov-12 -0.15 0.49 0.35 0.21 -0.23 -1.21 -1.35
19-Oct-12 -0.18 -2.14 -1.48 -1.66 -0.89 -2.09 -0.07
10-Oct-12 -0.01 -0.89 -0.62 -0.64 -0.28 -0.34 -0.99
02-Aug-12 -0.75 0.09 0.07 -0.69 -0.09 -0.1 -0.47
05-Jun-12 -0.19 1.19 0.95 0.76 -0.05 -0.76 -0.17
04-May-12 -0.52 -1.49 -1.1 -1.62 -0.09 -0.86 -0.5
04-Apr-12 -0.74 -0.35 -0.26 -0.99 -0.76 -1.01 -0.03
29-Mar-12 -0.59 0.58 0.42 -0.17 -0.07 -0.24 -0.14
06-Mar-12 -1.03 -0.58 -0.44 -1.46 -0.5 -1.06 -0.14
03-Jun-11 -1.2 0.26 0.21 -0.99 -2.04 -2.75 -0.04
31-Dec-10 -0.15 0.21 0.18 0.03 -0.11 -0.27 -1.91
27-Dec-10 -0.37 0.5 0.42 0.04 -0.14 -1.88 -1.38
16-Nov-10 -0.61 -1.07 -0.95 -1.55 -0.14 -0.29 -0.21
10-Nov-10 -0.02 0.49 0.43 0.41 -0.15 -0.95 -2.08
28-Jul-10 -0.21 -0.46 -0.44 -0.65 -0.29 -0.03 -0.06
22-Jun-10 0 -1.74 -1.65 -1.65 -0.32 -0.35 -0.11
11-Feb-10 -0.13 1.18 1.18 1.05 -1.49 -0.19 -1.26
04-Feb-10 -0.78 -2.38 -2.33 -3.09 -0.48 -1.86 -1.83
07-Jul-09 -0.1 -1.53 -1.84 -1.94 -1.08 -1.58 -1.29
07-Apr-09 -1.61 -0.55 -0.73 -2.32 -0.35 -0.44 -0.13
02-Mar-09 -1.9 -1.76 -2.65 -4.50 -1.17 -1.86 -0.59
27-Feb-09 -2.14 -0.07 -0.11 -2.24 -0.76 -0.98 -0.67
20-Feb-09 -1.86 0.63 0.9 -0.98 -1.62 -0.1 -1.04
17-Feb-09 -3.15 -0.86 -1.17 -4.28 -0.79 -1.67 -1.16
09-Apr-08 -0.15 -0.7 -0.57 -0.72 -0.16 -1.16 -0.33
05-Feb-08 -1.36 -1.62 -1.33 -2.67 -0.32 -0.36 -0.71
14-Dec-07 -0.76 -0.68 -0.51 -1.27 -1.27 -0.28 -1.03
09-Nov-07 -1 -0.49 -0.38 -1.37 -0.2 -2.47 -1.09
16-Aug-07 -0.88 2.04 1.65 0.75 -0.53 -1.19 -0.08
18-Jul-07 -0.33 0.21 0.16 -0.18 -0.2 -0.62 -0.29
21-Jun-07 -0.04 0.8 0.6 0.55 -0.05 -0.11 -0.22
06-Jun-07 -0.42 -0.9 -0.67 -1.08 -1.09 -0.93 -1.45
09-May-07 -0.07 0.46 0.35 0.28 -0.19 -0.82 -0.41
12-Apr-07 -0.2 0.81 0.64 0.44 -0.14 -0.54 -0.23
28-Mar-07 -0.51 -0.28 -0.23 -0.73 -0.02 -1.24 -0.17
02-Mar-07 -0.32 -1.21 -0.99 -1.31 -0.24 -0.21 -0.17
23-Feb-07 -0.09 -0.39 -0.3 -0.39 -0.08 -0.09 -0.79
02-Oct-06 -0.03 -0.4 -0.34 -0.38 -0.08 -1.76 -0.2
07-Sep-06 -0.34 -0.13 -0.12 -0.46 -0.08 -0.54 -0.12
23-Jun-06 -0.11 0.1 0.09 -0.02 -0.39 -0.82 -0.23
24-Mar-06 -0.09 0.19 0.17 0.08 -1.02 -1.16 -0.98
22-Mar-06 -0.06 0.75 0.67 0.61 -0.61 -0.59 -0.94
07-Mar-06 -0.24 0.09 0.09 -0.15 -0.2 -0.09 -0.31
15-Nov-05 -0.12 -0.27 -0.25 -0.37 -0.28 -0.22 -0.24
27-Oct-05 -0.14 -0.94 -0.92 -1.07 -0.06 -0.38 -0.75
13-Oct-05 -0.03 -0.03 -0.03 -0.06 -0.13 -0.98 -0.17
29-Aug-05 -0.29 1.09 1.06 0.77 -0.79 -1.14 -0.97
09-Jun-05 -0.14 0.63 0.62 0.48 -0.67 -0.18 -0.78
15-Apr-05 -0.03 -1.35 -1.37 -1.40 -0.19 -0.09 -0.48
05-Jan-05 -0.07 -0.62 -0.61 -0.69 -1.11 -0.02 -1.63
avg -0.21 -0.23 -0.75      
median -0.20 -0.18 -0.64      
% up 44% 44% 29%

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