When $SPY down by more than 1% on a Fed Day

When $SPY down by more than 1% on a Fed Day

when $SPY lost  by more than 1% on a Fed day , since Y2K

with $SPY down by -1.09% on a fed day , below trading strategy rules

1) $SPY lost by more than 1%

2) and current trading day is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY lost by more than 1% on the Fed Day .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 16 9 56.3 -0.40 0.10 1.44 -2.77 0.52 -6.98 0.46 -0.62
t+2% 16 8 50.0 -0.48 -0.12 1.80 -2.76 0.65 -9.24 0.37 -0.60
t+3% 16 11 68.8 0.43 0.44 1.51 -1.96 0.77 -5.36 1.08 0.72
t+4% 16 11 68.8 0.79 1.20 2.22 -2.34 0.95 -6.38 1.58 1.11
t+5% 16 10 62.5 0.75 1.05 2.74 -2.57 1.07 -7.68 1.41 0.93
t+10% 16 10 62.5 0.50 1.55 2.52 -2.88 0.88 -7.05 1.33 0.64
t+20% 16 12 75.0 1.92 2.90 4.20 -4.95 0.85 -11.82 2.18 1.56
1st +’ve in 5 days 16 14 87.5 0.96 0.96 1.43 -2.30 0.62 -3.09 3.18 2.29
1st -‘ve in 5 days 16 12 75.0 0.54 -0.48 -1.80 3.26 0.55 6.09 1.51 0.74

14/16 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 96 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 losing more than 1% , on the Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
27-Jan-16 188.13 ?? ?? ?? ?? ?? ?? ??
28-Jan-15 196.09 0.92 -0.34 0.89 2.35 1.96 0.92 -0.34
19-Jun-13 154.65 -2.48 -2.16 -3.40 -2.47 -1.51 -1.51 -2.48
21-Sep-11 106.80 -3.23 -2.65 -0.33 0.78 -1.28 0.78 -3.23
15-Mar-11 116.04 -1.85 -0.55 -0.19 1.36 1.00 1.36 -1.85
8-Oct-08 83.69 -6.98 -9.24 3.94 2.40 -7.68 3.94 -6.98
22-Jan-08 110.44 2.40 3.27 1.77 3.46 3.97 2.40 3.97
11-Dec-07 124.30 0.99 0.78 -0.50 -1.92 -1.37 0.99 -0.50
22-Mar-05 93.93 0.09 0.21 0.35 -0.32 1.09 0.09 -0.32
28-Jan-04 89.03 0.10 0.10 0.53 0.36 -0.46 0.10 -0.46
25-Jun-03 75.94 1.30 0.13 0.10 1.03 2.30 1.30 2.30
24-Sep-02 63.29 2.48 4.16 0.53 -0.63 4.14 2.48 -0.63
13-Aug-02 68.11 3.65 5.09 4.78 7.23 6.09 3.65 6.09
17-Sep-01 78.77 -0.24 -2.25 -5.36 -6.38 -3.09 -3.09 -0.24
21-Aug-01 87.47 1.04 0.67 2.76 2.15 0.66 1.04 0.66
20-Mar-01 86.00 -1.70 -2.70 0.25 1.52 3.60 0.25 -1.70
19-Dec-00 97.65 -2.90 -2.22 0.71 1.79 2.54 0.71 -2.90

highlighted in the red were the loss making trades !!

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