$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  !!

Leave a Reply