when $DIA posts 4 red candles in row

when $DIA posts 4 red candles in row 

$DIA stock chart on 12 Jan 2016

with $DIA posttng , 4 consecutive red candles in row as on 12 th Jan 2016, below

trading strategy rules

1) $DIA closes below open for 4 or more trading days in row

below the trading odds for $DIA longs , for the next 1/2/3/4/5/10/20 trading days , since last 4 years ( i.e since 12th jan 2012 ) , when $DIA posts 4 consecutive red candles in row .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 35 22 62.9 0.24 0.35 0.71 -0.56 1.28 -1.07 1.86 1.98
t+2 35 24 68.6 0.64 0.54 1.24 -0.66 1.87 -1.65 3.13 3.23
t+3 35 25 71.4 0.65 0.49 1.15 -0.61 1.89 -1.16 3.71 3.36
t+4 35 24 68.6 0.63 0.38 1.25 -0.70 1.78 -1.35 3.02 2.96
t+5 35 23 65.7 0.50 0.61 1.24 -0.91 1.36 -2.84 2.11 2.21
t+10 35 20 57.1 0.61 0.64 2.45 -1.86 1.32 -5.12 1.56 1.39
t+20 35 23 65.7 0.97 1.03 3.49 -3.88 0.90 -8.80 1.25 1.33
1st +’ve in 5 days  35 34 97.1 0.57 0.51 0.62 -0.94 0.66 -0.94 21.44 6.95
1st -‘ve in 5 days 35 21 60.0 -0.28 -0.22 -0.55 1.53 0.36 3.44 0.56 -1.38

34/35 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 57 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 $DIA posting 4 or more consecutive red candles in row in the last 4 years , and next 1/2/3/4/5 trading day returns

Date $DIA t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days %
12-Jan-16 164.95 ?? ?? ?? ?? ?? ??
07-Aug-15 171.90 1.35 0.16 0.21 0.27 0.61 1.35
06-Aug-15 172.27 -0.22 1.13 -0.06 -0.01 0.05 1.13
05-Aug-15 173.40 -0.65 -0.87 0.47 -0.71 -0.66 0.47
27-Jul-15 172.28 1.08 1.74 1.72 1.41 0.87 1.08
24-Jul-15 173.56 -0.73 0.34 0.99 0.97 0.66 0.34
23-Jul-15 175.18 -0.93 -1.65 -0.59 0.06 0.03 0.06
02-Jul-15 174.91 -0.21 0.33 -1.16 -1.01 0.20 0.33
01-Jul-15 175.25 -0.20 -0.41 0.13 -1.35 -1.21 0.13
30-Jun-15 173.69 0.90 0.70 0.49 1.03 -0.47 0.90
29-Jun-15 173.51 0.10 1.00 0.80 0.59 1.13 0.10
09-Jun-15 175.09 1.32 1.65 0.80 0.22 0.84 1.32
06-Mar-15 174.97 0.78 -0.96 -1.15 0.32 -0.47 0.78
06-Jan-15 169.45 1.27 3.10 2.21 1.64 1.49 1.27
05-Jan-15 170.86 -0.83 0.43 2.24 1.36 0.80 0.43
14-Oct-14 158.58 -1.07 -1.26 0.26 0.38 1.70 0.26
04-Sep-14 165.60 0.35 0.23 -0.32 0.01 -0.09 0.35
01-Aug-14 159.41 0.46 -0.39 -0.22 -0.62 0.47 0.46
27-Jan-14 151.42 0.58 -0.58 0.09 -0.80 -2.84 0.58
24-Jan-14 151.86 -0.29 0.29 -0.87 -0.20 -1.09 0.29
13-Jan-14 155.34 0.75 1.44 1.07 1.22 1.00 0.75
12-Dec-13 150.40 0.11 0.91 0.83 2.72 2.80 0.11
25-Sep-13 145.14 0.35 -0.14 -0.93 -0.52 -0.94 0.35
24-Sep-13 145.75 -0.42 -0.07 -0.56 -1.35 -0.94 -0.94
21-Aug-13 141.27 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Jun-13 139.46 1.01 1.77 0.85 1.44 1.11 1.01
24-Jun-13 138.49 0.70 1.72 2.47 1.55 2.15 0.70
28-Dec-12 120.79 1.17 3.64 3.53 3.87 3.44 1.17
04-Dec-12 120.72 0.66 1.04 1.68 1.82 2.40 0.66
12-Oct-12 123.72 0.67 1.63 1.73 1.68 0.12 0.67
11-Jul-12 116.27 -0.27 1.36 0.96 1.52 2.42 1.36
04-Jun-12 111.34 0.26 2.61 3.10 3.85 2.65 0.26
18-May-12 113.67 1.22 1.23 1.14 1.47 0.77 1.22
17-May-12 114.44 -0.67 0.54 0.55 0.46 0.79 0.54

highlighted in the red were the loss making trades !! 

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