Tax Day Rally Trading odds for $SPY $QQQ $IWM $XLU $XLF $XLE $XLI $IYR $XLP $XLK

Tax Day Rally Trading odds 

Tax Day Cartoon

 

below the trading odds for various ETF’s with high volume , from the close of the Tax day ( i’e 15th Apr 2015 close , in this year’s close) till next 1/2/3/4/5 trading days , since the respective ETF’s inception

1) $SPY trading odds from Tax day’s close  (SPDR S&P 500 ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 22 14 63.6 0.51 0.44 1.28 -0.83 1.54 -1.71 3.39 2.82 1.26 1.91
t+2 22 14 63.6 0.72 0.44 1.58 -0.77 2.04 -2.38 3.97 3.10 1.63 2.09
t+3 22 11 50.0 0.68 -0.01 2.11 -0.75 2.83 -2.13 3.54 2.65 1.95 1.64
t+4 22 17 77.3 1.10 0.69 1.63 -0.73 2.25 -1.64 8.25 6.70 1.61 3.20
t+5 22 18 81.8 1.42 1.23 1.99 -1.14 1.75 -2.21 10.81 9.05 1.72 3.87
t+10 22 17 77.3 1.61 1.58 2.64 -1.88 1.41 -3.36 6.18 5.18 2.48 3.05
t+20 22 16 72.7 2.10 2.50 3.87 -2.62 1.48 -4.37 3.67 3.14 3.66 2.69
1st +’ve exit in 5 days 22 19 86.4 0.85 0.91 1.18 -1.24 0.96 -2.21 8.57 7.36 1.16 3.45

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

1st + ‘ve exit in 5 days assumes , one goes long at current close ( 15th Apr 2015 close) and exits at higher close than the entry in the next 5 trading days , otherwise exit with a loss at the end of the 5th trading day .. ( 22nd Apr 2015)

2) $QQQ trading odds from Tax day’s close ( PowerShares QQQ Trust, Ser 1 )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 10 62.5 0.93 0.97 1.99 -0.85 2.36 -2.91 3.93 3.03 1.75 2.12
t+2 16 10 62.5 1.33 1.21 3.26 -1.88 1.74 -7.47 2.10 1.29 3.98 1.34
t+3 16 8 50.0 1.50 0.22 4.78 -1.79 2.67 -5.36 1.91 1.01 5.45 1.10
t+4 16 10 62.5 2.19 0.86 4.50 -1.66 2.71 -5.44 2.54 1.49 5.42 1.62
t+5 16 14 87.5 2.19 1.20 2.77 -1.85 1.50 -3.08 7.50 5.42 3.27 2.68
t+10 16 12 75.0 2.15 1.20 3.71 -2.53 1.47 -7.90 5.85 4.19 4.64 1.85
t+20 16 11 68.8 1.87 2.00 5.03 -5.07 0.99 -8.97 2.28 1.84 5.73 1.31
1st +’ve exit in 5 days 16 15 93.8 1.43 1.64 1.73 -3.08 0.56 -3.08 5.88 4.78 1.57 3.64

 

3) $IWM trading odds from Tax day’s close (iShares Russell 2000)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.97 0.92 1.73 -0.93 1.85 -1.34 4.52 3.63 1.50 2.42
t+2 14 10 71.4 1.44 1.61 2.43 -1.06 2.30 -1.83 4.42 3.65 1.90 2.82
t+3 14 9 64.3 1.18 0.92 2.29 -0.82 2.80 -1.52 5.04 4.04 2.02 2.19
t+4 14 12 85.7 1.80 2.22 2.28 -1.07 2.13 -2.13 9.82 7.75 1.73 3.89
t+5 14 11 78.6 1.61 1.92 2.19 -0.55 3.99 -1.37 12.11 9.72 1.38 4.35
t+10 14 10 71.4 2.04 1.41 3.45 -1.49 2.32 -2.11 5.93 4.86 3.08 2.48
t+20 14 6 42.9 1.20 -0.75 5.99 -2.39 2.51 -5.91 1.50 0.97 4.86 0.93
1st +’ve exit in 5 days 14 13 92.9 1.19 0.92 1.39 -1.37 1.01 -1.37 9.93 8.04 1.28 3.47

 

4) $XLU  trading odds from Tax day’s close (Utilities Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.79 0.71 1.09 -0.50 2.20 -1.17 9.25 7.50 0.97 3.27
t+2 16 12 75.0 0.83 0.58 1.30 -0.58 2.26 -1.05 5.17 4.11 1.15 2.88
t+3 16 13 81.3 1.05 0.99 1.50 -0.87 1.71 -1.40 7.08 5.77 1.30 3.24
t+4 16 12 75.0 1.53 1.74 2.23 -0.54 4.10 -0.84 11.30 9.48 1.71 3.58
t+5 16 13 81.3 1.85 1.84 2.46 -0.79 3.13 -1.29 12.18 10.11 2.17 3.42
t+10 16 14 87.5 2.18 2.36 2.72 -1.63 1.67 -2.74 17.08 14.32 2.11 4.11
t+20 16 11 68.8 2.24 2.54 4.01 -1.67 2.40 -4.28 5.75 4.48 3.27 2.74
1st +’ve exit in 5 days 16 16 100.0 0.94 0.71 0.94 INF INF 0.04 NA NA 0.79 4.76

5) $XLF trading odds from Tax day’s close (Financial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.75 0.96 1.52 -1.56 0.98 -3.64 3.66 3.00 1.69 1.77
t+2 16 12 75.0 1.19 0.94 1.98 -1.18 1.68 -2.68 6.32 4.99 1.91 2.49
t+3 16 10 62.5 0.69 0.85 2.59 -2.47 1.05 -9.01 2.85 2.07 3.49 0.79
t+4 16 11 68.8 1.38 1.41 2.72 -1.55 1.75 -2.45 5.34 4.29 2.58 2.15
t+5 16 12 75.0 1.46 1.28 2.66 -2.15 1.24 -5.77 6.18 4.45 3.26 1.79
t+10 16 13 81.3 1.95 2.64 2.90 -2.15 1.35 -2.51 6.14 4.79 2.57 3.04
t+20 16 11 68.8 1.88 2.77 4.36 -3.57 1.22 -7.14 3.07 2.55 4.39 1.72
1st +’ve exit in 5 days 16 14 87.5 1.04 0.98 1.39 -1.42 0.98 -1.47 9.14 7.58 1.29 3.22

 

6) $XLE trading odds from Tax day’s close (Energy Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 12 75.0 0.93 0.90 1.54 -0.91 1.70 -1.69 5.65 4.07 1.39 2.66
t+2 16 11 68.8 1.59 1.89 2.74 -0.93 2.96 -1.75 4.77 3.90 2.05 3.12
t+3 16 11 68.8 1.22 1.32 2.44 -1.44 1.69 -3.28 5.02 3.71 2.26 2.17
t+4 16 11 68.8 1.85 1.59 3.13 -0.98 3.20 -1.81 8.52 6.25 2.53 2.92
t+5 16 14 87.5 2.25 2.48 2.75 -1.27 2.17 -2.41 17.10 12.96 2.26 3.98
t+10 16 13 81.3 2.71 2.13 3.49 -0.70 4.99 -1.89 37.83 32.02 2.70 4.00
t+20 16 10 62.5 2.53 3.45 6.24 -3.65 1.71 -6.10 2.22 1.78 5.51 1.83
1st +’ve exit in 5 days 16 16 100.0 1.22 0.90 1.22 INF INF NA NA NA 1.01 4.82

7) $XLI trading odds from Tax day’s close ( Industrial Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 13 81.3 0.90 0.87 1.37 -1.14 1.20 -1.63 5.81 4.79 1.32 2.72
t+2 16 13 81.3 1.24 0.91 1.81 -1.24 1.46 -1.83 5.22 4.22 1.81 2.74
t+3 16 9 56.3 1.15 0.50 2.60 -0.71 3.64 -1.22 5.36 4.24 2.12 2.17
t+4 16 11 68.8 1.66 1.71 2.64 -0.49 5.42 -1.81 9.89 8.22 1.86 3.58
t+5 16 13 81.3 2.21 2.40 2.92 -0.83 3.50 -1.83 16.24 13.74 2.10 4.22
t+10 16 14 87.5 2.73 2.94 3.69 -4.03 0.92 -7.09 8.12 7.09 3.27 3.34
t+20 16 12 75.0 2.92 4.33 5.15 -3.76 1.37 -5.28 4.03 3.44 4.47 2.62
1st +’ve exit in 5 days 16 15 93.8 1.15 0.90 1.26 -0.52 2.43 -0.52 29.17 24.33 1.00 4.60

8) $IYR trading odds from Tax day’s close ( iShares US Real Estate  )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 14 10 71.4 0.80 0.50 1.58 -1.15 1.37 -2.09 3.67 2.50 1.78 1.68
t+2 14 10 71.4 1.11 1.23 2.19 -1.61 1.36 -2.91 3.29 2.34 2.28 1.82
t+3 14 9 64.3 0.44 0.60 1.95 -2.27 0.86 -6.13 2.57 1.75 2.71 0.61
t+4 14 11 78.6 1.35 1.59 2.21 -1.80 1.23 -2.99 6.52 5.29 1.97 2.56
t+5 14 11 78.6 1.19 1.00 2.04 -1.92 1.06 -4.12 6.97 5.51 2.15 2.07
t+10 14 11 78.6 2.34 3.19 3.94 -3.53 1.12 -5.38 4.96 4.15 3.65 2.40
t+20 14 11 78.6 1.73 3.05 3.48 -4.69 0.74 -5.66 3.35 2.74 3.65 1.77
1st +’ve exit in 5 days 14 13 92.9 1.04 0.75 1.44 -4.12 0.35 -4.12 7.89 5.82 1.92 2.03

9) $XLP trading odds from Tax day’s close ( Consumer Staples Select Sector SPDR ETF)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 0.41 0.59 0.99 -0.86 1.15 -2.90 3.69 2.69 1.15 1.44
t+2 16 9 56.3 0.26 0.71 1.16 -0.90 1.28 -3.80 2.04 1.68 1.34 0.77
t+3 16 12 75.0 0.20 0.58 0.73 -1.40 0.52 -1.95 2.27 1.81 1.07 0.74
t+4 16 12 75.0 0.79 0.49 1.16 -0.34 3.40 -0.95 8.78 6.35 1.21 2.60
t+5 16 11 68.8 0.77 0.38 1.39 -0.61 2.27 -1.07 5.24 3.78 1.35 2.26
t+10 16 10 62.5 0.86 0.79 1.94 -0.94 2.06 -2.34 4.60 3.64 1.64 2.09
t+20 16 10 62.5 1.44 0.53 2.93 -1.06 2.77 -2.02 4.96 3.99 2.49 2.30
1st +’ve exit in 5 days 16 14 87.5 0.69 0.66 0.89 -0.71 1.26 -1.07 12.58 9.63 0.76 3.66

10) $XLK trading odds from Tax day’s close (Technology Select Sector SPDR ETF )

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF STDEV T-Test
t+1 16 11 68.8 1.10 0.85 2.14 -1.19 1.80 -2.70 3.82 2.22 2.20 2.00
t+2 16 11 68.8 1.39 1.65 3.06 -2.28 1.34 -7.41 2.10 1.43 3.59 1.55
t+3 16 10 62.5 1.61 0.84 3.80 -2.04 1.86 -5.06 2.48 1.34 4.78 1.34
t+4 16 10 62.5 1.94 1.05 4.11 -1.66 2.48 -3.00 2.65 1.53 4.44 1.75
t+5 16 13 81.3 2.21 1.36 3.05 -1.43 2.13 -3.18 7.28 5.57 3.03 2.91
t+10 16 10 62.5 2.24 2.01 4.59 -1.69 2.72 -5.90 5.82 4.46 4.00 2.24
t+20 16 11 68.8 1.98 2.43 4.96 -4.56 1.09 -5.78 2.41 1.97 5.34 1.49
1st +’ve exit in 5 days 16 14 87.5 1.42 1.01 1.86 -1.66 1.12 -3.18 7.24 4.54 2.06 2.76

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How to trade $AMZN, $WMT , during the week of Black Friday Sale

$WMT $AMZN $XLP during the week of Black Friday Sale

Black Friday Sale Cartoonimage courtesy : http://www.texascottageblog.com/2011/11/survival-guide-to-black-friday.html

Trading odds for Longs for $WMT during the week of Black Friday sale , that is to go long on one Friday before the Black Friday ( i’e today at close) and exit on the Black Friday close

  • Winners : 18
  • Losers : 5
  • % Winners : 78%
  • Average Change % : 1.15
  • Median Change % : 0.83
  • Maximum Gain % : 5.59
  • Maximum Loss % : -6.93 ( Year 2000) 
  • Average Gain %if Winner : 2.03
  • Average Loss % if Loser : -2.50
  • Average Gain % / Average Loss % : 0.81

Trading odds for Longs for $AMZN during the week of Black Friday sale since IPO.

  • Winners : 12
  • Losers : 4
  • % Winners : 75%
  • Average Change % : 4.52
  • Median Change % : 2.60
  • Maximum Gain % : 19.93
  • Maximum Loss % : -8.24 ( in 1997) 
  • Average Gain %if Winner : 7.58
  • Average Loss % if Loser : -4.68
  • Average Gain % / Average Loss % : 1.62

Trading odds for Longs for $XLP during the week of Black Friday sale since 1999. 

$XLP (Consumer Staples Select Sector SPDR) has the second highest weight-age for $WMT after $RTH ( which has no liquidity)

  • Winners : 7
  • Losers : 7
  • % Winners : 50%
  • Average Change % : 0.72
  • Median Change % : 0.19
  • Maximum Gain % : 4.71
  • Maximum Loss % : -2.22
  • Average Gain %if Winner : 2.08
  • Average Loss % if Loser : -0.76
  • Average Gain % / Average Loss % : 2.75

below the table with $AMZN , $WMT, $XLP , Stock Price Change% details during the Black Friday Sale week , since 1990

$WMT and $AMZN around Black Friday Sale

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$XLY $XLI $JNK $XLP $XLV $ITB $XLK $XHB $XRT $UVXY on Employment Report

$XLY $XLI $JNK $XLP $XLV $ITB $XLK $XHB $XRT $UVXY 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 $XLY $XLI $JNK $XLP $XLV $ITB $XLK $XHB $XRT $UVXY ,  fared overnight , from open to close , and full day change for the longs , on NFP Data Release day since Nov 2008.

$XLY $XLI $JNK $XLP $XLV $ITB $XLK $XHB $XRT $UVXY 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
ITB iShares Dow Jones US Home Construction Financial ETF
JNK SPDR Barclays Capital High Yield Bond Financial ETF
UVXY ProShares Ultra VIX Short-Term Fut ETF Financial ETF
XHB SPDR S&P Homebuilders Financial ETF
XLI Industrial Select Sector SPDR Financial ETF
XLK Technology Select Sector SPDR Financial ETF
XLP Consumer Staples Select Sector SPDR Financial ETF
XLV Health Care Select Sector SPDR Financial ETF
XLY Consumer Discret Select Sector SPDR Financial ETF
XRT SPDR S&P Retail 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

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