when $SPY posts best one day gain in a year

when $SPY best one day gain in a year

when $SPY posts biggest one day gainer in a year

with $SPY posting a best one day gain in terms of percentages in a year ( i;e 250 trading days) below trading strategy rule

1) $SPY posts biggest one day percentage rally in a 250 trading days

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 25 6 24.0 -0.63 -0.54 0.67 -1.04 0.65 -4.42 0.09
t+2 25 11 44.0 -1.14 -0.13 0.78 -2.64 0.29 -11.18 0.15
t+3 25 11 44.0 -0.80 -0.15 1.47 -2.59 0.57 -7.48 0.32
t+4 25 8 32.0 -0.85 -0.44 2.09 -2.23 0.94 -8.03 0.25
t+5 25 12 48.0 -0.39 -0.10 1.72 -2.34 0.74 -7.51 0.42
1st +’ve exit in 5 days % 25 17 68.0 -0.55 0.28 0.69 -3.20 0.22 -7.51 0.27
1st -‘ve exit in 5 days % 25 24 96.0 0.86 -0.71 -0.95 1.36 0.70 1.36 8.89

24/25 times  $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 86 bps and a median of 71 bps

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

for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 26th Mar 2018 close ) , or at the end of the 5th trading day at close

below the historical returns of $SPY after posting biggest one day gainer in a year , since Y2K

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % 1st -‘ve exit in 5 days % #days to 1st +’ve cls #day to 1st -‘ve cls
26-Mar-18 265.11 2.74 ?? ?? ?? ?? ?? ?? ?? ?? ??
06-Feb-18 268.05 1.97 -0.54 -4.27 -2.84 -1.41 -1.16 -1.16 -0.54 5 1
26-Jan-18 285.43 1.16 -0.66 -1.68 -1.63 -1.74 -3.88 -3.88 -0.66 5 1
26-Aug-15 183.90 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38 1 4
18-Dec-14 192.69 2.47 0.42 0.89 1.02 1.03 1.36 0.42 1.36 1 5
21-Oct-14 180.84 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71 2 1
08-Oct-14 183.24 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98 5 1
02-Jan-13 131.58 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23 2 1
09-Aug-11 102.36 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42 3 1
10-May-10 98.75 4.40 -0.28 1.11 -0.15 -1.95 -1.90 1.11 -0.28 2 1
13-Oct-08 83.18 14.52 -1.48 -11.18 -7.48 -8.03 -2.51 -2.51 -1.48 5 1
18-Mar-08 107.98 4.15 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 3 1
11-Mar-08 107.15 3.59 -0.94 -0.72 -2.25 -3.24 0.78 0.78 -0.94 5 1
28-Nov-07 118.28 3.20 0.03 1.04 0.37 -0.52 1.14 0.03 -0.52 1 4
13-Nov-07 119.04 3.05 -0.28 -1.72 -1.55 -2.92 -2.32 -2.32 -0.28 5 1
18-Sep-07 121.98 2.94 0.59 -0.12 0.15 -0.03 -0.23 0.59 -0.12 1 2
29-Aug-07 117.25 1.96 -0.27 0.72 1.73 0.85 1.09 0.72 -0.27 2 1
17-Aug-07 115.78 1.84 -0.05 0.15 1.34 1.25 2.50 0.15 -0.05 2 1
15-Jun-06 98.65 2.12 -0.73 -1.51 -1.17 -0.44 -0.88 -0.88 -0.73 5 1
21-Apr-05 89.17 1.94 -0.38 0.28 -0.70 -0.31 -1.56 0.28 -0.38 2 1
01-Oct-04 86.34 1.69 0.17 0.22 0.91 -0.18 -1.00 0.17 -0.18 1 4
24-Jul-02 62.04 5.97 -0.85 1.04 5.96 7.34 7.60 1.04 -0.85 2 1
05-Jul-02 72.73 3.98 -1.25 -3.74 -7.24 -6.48 -7.51 -7.51 -1.25 5 1
08-May-02 79.55 3.72 -1.16 -3.02 -1.05 1.11 0.72 1.11 -1.16 4 1
03-Jan-01 96.99 4.80 -1.08 -4.31 -3.56 -3.82 -2.13 -2.13 -1.08 5 1
07-Jan-00 103.61 5.81 0.34 -0.86 -1.84 -0.51 0.84 0.34 -0.86 1 2

highlighted in red is the only instance , since Y2K , when $SPY failed to lower than entry before 5 trading days 

ps: busy with a book editing that we are publishing in few weeks down the line , so is the reason for break from blogging

—–

you might want to consider subscribing to our daily quant rants email  !!

tickalert

Leave a Reply

Your email address will not be published. Required fields are marked *