what next after $SPY down by more than 1% in 4 out of 5 days

what next after $SPY down by more than 1% in 4 out of 5 days ? 

$SPY stock chart 8 Jan 2016with $SPY down by more than 1% , for 4 out of 5 last trading days , a below bullish trading strategy that triggered on Friday 8th Jan 2016 close

trading strategy rules

1) $SPY lost more than 1% as of today  &

2) $SPY posted 1% loss days in at-least 4 out of 5 last trading days , including today .

below the trading odds for $SPY longs , 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 33 21 63.6 1.00 0.69 3.46 -3.29 1.05 -9.84 1.45 1.25
t+2 32 20 62.5 1.78 1.22 4.85 -3.32 1.46 -9.33 2.05 1.84
t+3 32 20 62.5 1.69 1.58 5.10 -4.01 1.27 -11.72 1.88 1.58
t+4 32 21 65.6 2.50 2.08 5.69 -3.60 1.58 -12.90 2.85 2.25
t+5 32 20 62.5 2.52 2.29 6.19 -3.59 1.72 -8.20 2.45 2.22
t+10 32 20 62.5 2.64 2.67 6.65 -4.04 1.65 -7.05 2.47 2.32
t+20 32 25 78.1 4.83 3.95 7.54 -4.82 1.56 -13.16 5.08 3.59
1st +’ve in 5 days  32 30 93.8 2.93 1.76 3.33 -3.02 1.10 -4.00 14.40 4.36
1st -‘ve in 5 days 33 21 63.6 -1.26 -0.59 -2.38 7.62 0.31 19.40 0.47 -1.16

30/32 times , $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gains of 293 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 4/5 1% or more loss days , since Y2K.

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve %
08-Jan-16 191.92 ?? ?? ?? ?? ?? ??
07-Jan-16 194.05 -1.10 ?? ?? ?? ?? ??
25-Aug-15 185.20 3.84 6.41 6.41 5.55 2.40 3.84
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15
22-Jan-10 96.68 0.51 0.09 0.57 -0.59 -1.67 0.51
20-Nov-08 64.75 5.39 12.70 13.53 17.92 19.40 5.39
17-Nov-08 73.35 1.88 -4.64 -11.72 -6.96 -0.51 1.88
14-Nov-08 74.34 -1.33 0.53 -5.91 -12.90 -8.20 0.53
12-Nov-08 73.65 6.23 0.93 -0.41 1.47 -5.03 6.23
11-Nov-08 77.04 -4.40 1.56 -3.51 -4.79 -3.00 1.56
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69
15-Oct-08 77.26 4.17 3.54 9.76 6.49 0.69 4.17
14-Oct-08 85.69 -9.84 -6.09 -6.65 -1.04 -4.00 -4.00
10-Oct-08 75.95 14.52 12.82 1.72 5.95 5.32 14.52
09-Oct-08 77.84 -2.43 11.74 10.09 -0.75 3.38 11.74
08-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94
07-Oct-08 85.85 -2.52 -9.33 -11.53 1.32 -0.18 1.32
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74
24-Jan-03 66.75 -1.37 -0.64 0.12 -2.26 -0.37 0.12
09-Oct-02 60.06 3.24 7.76 8.36 13.57 10.82 3.24
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57
04-Oct-02 62.13 -2.07 -0.53 -3.34 -0.21 4.16 4.16
03-Oct-02 63.29 -1.83 -3.86 -2.36 -5.11 -2.04 -2.04
23-Jul-02 61.20 5.97 5.07 7.07 12.28 13.75 5.97
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07
12-Jul-02 70.31 0.53 -1.40 -1.21 -4.41 -7.77 0.53
25-Jun-02 74.69 0.16 1.92 1.44 -0.54 -2.65 0.16
21-Sep-01 73.75 3.52 4.59 4.22 5.13 7.36 3.52
22-Mar-01 83.68 3.02 4.34 6.47 3.53 3.92 3.02
05-Jan-01 97.03 0.77 0.51 2.27 2.37 2.18 0.77
20-Dec-00 94.82 0.69 3.71 4.83 5.59 5.92 0.69
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71
23-May-00 102.83 1.63 -0.11 0.00 3.26 3.49 1.63

highlighted in the red were the only two loss making trades !! 

2) indeed $SPY posted 5 /6 1% loss making days , below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts 5/6 1% loss making days , since , Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 14 9 64.3 1.16 1.16 4.33 -4.56 0.95 -9.84 0.90 0.76
t+2 14 8 57.1 1.01 1.22 5.88 -5.50 1.07 -11.18 0.91 0.54
t+3 14 8 57.1 1.23 1.81 5.96 -5.08 1.17 -11.72 1.14 0.71
t+4 14 9 64.3 2.72 1.94 6.12 -3.40 1.80 -8.03 2.19 1.70
t+5 14 9 64.3 2.32 2.30 5.80 -3.95 1.47 -7.68 1.67 1.48
t+10 14 8 57.1 1.74 1.71 7.24 -5.60 1.29 -17.17 0.99 0.78
t+20 14 9 64.3 4.40 4.27 9.68 -5.12 1.89 -10.10 2.15 1.83
1st +’ve in 5 days  14 12 85.7 3.74 3.59 4.90 -3.26 1.51 -4.00 5.70 2.94
1st -‘ve in 5 days 14 9 64.3 -0.46 -1.10 -3.34 7.30 0.46 13.75 0.61 -0.28

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