when $SPY closes at a quarterly low on a monday

when $SPY closes at a quarterly low on a monday

when $SPY closes at the lowest in a quarter on a Monday

with $SPY closing at a quarterly close , as on 8 Feb 2016 , below trading strategy rule

1) $SPY closes at the lowest close in last 62 trading days (i.e : quarterly lowest close) &

2) current trading day is monday ( this monday panic buy strategy is inspired by the bullet no 4) from the article ->  22 Things a Man Should Know About Trading, from Victor Niederhoffer )

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY closes at the lowest in a quarter on a monday , since 1994

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 40 26 65.0 1.17 0.90 2.52 -1.33 1.90 -4.48 2.61 2.66
t+2% 40 27 67.5 1.38 1.47 2.82 -1.63 1.73 -6.89 2.88 2.96
t+3% 40 29 72.5 1.60 2.07 3.30 -2.87 1.15 -13.39 2.57 2.41
t+4% 40 31 77.5 1.80 1.78 3.36 -3.57 0.94 -15.49 2.87 2.47
t+5% 40 28 70.0 2.34 1.57 4.34 -2.34 1.85 -5.98 3.93 3.29
t+10% 40 31 77.5 2.63 1.29 4.72 -4.55 1.04 -9.01 3.25 2.85
t+20% 40 29 72.5 3.86 4.62 7.65 -6.15 1.24 -24.63 2.70 2.92
1st +’ve in 5 days 40 37 92.5 1.92 1.62 2.29 -2.53 0.90 -3.22 9.21 4.92
1st -‘ve in 5 days 40 24 60.0 -1.36 -0.36 -1.20 5.19 0.23 15.68 0.33 -2.07

37/40 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 192 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 forward 1/2/3/4/5 trading returns , when $SPY closes at the lowest in a quarter in a monday

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
08-Feb-16 185.42 ?? ?? ?? ?? ?? ?? ??
24-Aug-15 187.40 -1.18 2.62 5.16 5.16 4.31 2.62 -1.18
13-Oct-14 182.61 0.15 -0.52 -0.61 0.57 1.54 0.15 -0.52
04-Jun-12 118.57 0.76 3.02 3.08 3.90 2.58 0.76 2.58
03-Oct-11 100.67 2.19 4.08 5.97 5.26 8.78 2.19 8.78
08-Aug-11 102.27 4.65 0.03 4.52 5.22 7.45 4.65 7.45
07-Jun-10 93.77 1.07 0.53 3.47 3.97 3.81 1.07 3.81
08-Feb-10 93.74 1.26 1.06 2.12 2.03 3.64 1.26 3.64
09-Mar-09 58.93 5.96 6.65 10.85 11.72 11.38 5.96 11.38
02-Mar-09 61.08 -0.75 1.60 -2.55 -2.38 -3.53 1.60 -0.75
23-Feb-09 64.59 3.79 2.97 1.30 -0.96 -5.43 3.79 -0.96
27-Oct-08 72.05 11.69 10.88 14.71 15.34 15.68 11.69 15.68
06-Oct-08 89.87 -4.48 -6.89 -13.39 -15.49 -3.22 -3.22 -4.48
29-Sep-08 95.59 4.14 4.20 0.42 -0.93 -5.98 4.14 -0.93
15-Sep-08 102.47 1.67 -2.90 -0.02 3.95 1.60 1.67 -2.90
14-Jul-08 104.72 -1.41 1.01 2.02 2.66 2.71 1.01 -1.41
07-Jul-08 106.68 1.78 -0.18 0.22 -0.94 -1.84 1.78 -0.18
10-Mar-08 108.14 3.59 2.63 2.85 1.26 0.23 3.59 0.23
26-Nov-07 118.46 1.15 4.38 4.42 5.47 4.77 1.15 4.77
05-Mar-07 113.94 1.71 1.61 2.47 2.50 2.65 1.71 2.65
12-Jun-06 101.39 -1.16 -0.40 1.72 0.98 0.18 1.72 -1.16
22-May-06 103.14 -0.76 0.03 1.27 1.78 -0.02 0.03 -0.76
10-Oct-05 96.09 -0.14 -0.93 -0.99 0.06 0.43 0.06 -0.14
10-May-04 85.77 0.85 1.49 1.07 1.11 0.25 0.85 0.25
10-Mar-03 62.84 -0.98 -0.32 3.12 3.46 6.71 3.12 -0.98
27-Jan-03 65.84 0.74 1.50 -0.90 1.01 1.21 0.74 -0.90
07-Oct-02 60.85 1.57 -1.30 1.90 6.36 6.95 1.57 -1.30
22-Jul-02 62.93 -2.74 3.07 2.19 4.14 9.21 3.07 -2.74
01-Jul-02 74.28 -2.12 -1.57 2.35 1.07 -1.47 2.35 -2.12
03-Jun-02 79.62 0.25 1.19 -0.87 -0.99 -0.60 0.25 -0.87
06-May-02 80.46 -0.35 3.36 2.16 0.24 2.28 3.36 -0.35
29-Apr-02 81.52 0.94 2.17 1.78 0.67 -1.30 0.94 -1.30
04-Feb-02 83.56 -0.62 -1.05 -1.67 0.22 1.45 0.22 -0.62
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
12-Mar-01 88.69 1.64 -0.36 -0.34 -2.34 -0.35 1.64 -0.36
09-Oct-00 104.83 -1.65 -2.48 -4.91 -1.74 -1.29 -1.29 -1.65
31-Aug-98 70.11 4.23 3.48 2.67 1.82 7.29 4.23 7.29
15-Jun-98 78.28 1.54 3.66 3.20 2.68 3.18 1.54 3.18
27-Oct-97 63.04 5.77 5.48 3.15 5.59 7.81 5.77 7.81
15-Jul-96 44.34 0.25 1.45 2.84 2.09 1.35 0.25 1.35
04-Apr-94 29.47 2.06 2.06 2.56 1.78 2.21 2.06 2.21

highlighted in the red were the loss making trades !!

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