when $SPY gains by more than 1% from lows for 4 days in row

$SPY gains by more than 1% from lows

$SPY posts 4 or more up days , along with 1% gains from the lows of the day

 

below the trading strategy rules ,

$SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .

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 46 19 41.3 -0.79 -0.38 1.27 -2.24 0.57 -8.86 0.34
t+2 46 16 34.8 -0.90 -0.58 1.64 -2.26 0.73 -9.51 0.34
t+3 46 16 34.8 -1.08 -0.71 1.81 -2.62 0.69 -8.11 0.35
t+4 46 17 37.0 -1.41 -1.49 1.60 -3.17 0.50 -7.88 0.29
t+5 46 15 32.6 -1.71 -1.36 1.75 -3.38 0.52 -10.78 0.20
1st +’ve exit in 5 days % 46 31 67.4 -0.42 0.35 1.21 -3.81 0.32 -10.78 0.61
1st -‘ve exit in 5 days % 46 42 91.3 1.59 -1.19 -2.02 2.99 0.68 6.30 6.12

42/46 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 159 bps and a median of 119 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 ( 14th Feb 2018 close ) , or at the end of the 5th trading day at close

below the prior instances of $SPY posting 4 or more 1% gains from the low’s to close of the day in a row , since Y2K

Date 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
14-Feb-18 ?? ?? ?? ?? ?? ?? ?? ??
05-Oct-15 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34 1
08-Nov-11 -3.69 -2.78 -0.95 -1.89 -1.41 -1.41 -3.69 1
15-Sep-11 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41 2
06-Apr-09 -2.33 -1.28 2.64 2.67 0.90 2.64 -2.33 1
13-Mar-09 -0.30 2.75 5.05 3.75 1.55 2.75 -0.30 1
28-Jan-09 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25 1
27-Jan-09 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01 3
26-Jan-09 1.02 4.43 1.04 -1.02 -1.31 1.02 -1.02 4
16-Jan-09 -5.28 -1.19 -2.72 -2.29 -1.62 -1.62 -5.28 1
05-Jan-09 0.67 -2.35 -1.95 -4.05 -6.35 0.67 -2.35 2
02-Jan-09 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12 1
18-Dec-08 -0.43 -1.70 -2.72 -2.15 -1.59 -1.59 -0.43 1
17-Dec-08 -1.87 -2.29 -3.54 -4.54 -3.98 -3.98 -1.87 1
08-Dec-08 -1.65 -0.98 -3.36 -2.21 -3.57 -3.57 -1.65 1
05-Dec-08 3.49 1.79 2.48 0.01 1.21 3.49 1.21 5
28-Nov-08 -8.86 -5.35 -3.07 -5.32 -2.40 -2.40 -8.86 1
26-Nov-08 1.26 -7.71 -4.16 -1.85 -4.12 1.26 -7.71 2
05-Nov-08 -5.54 -2.42 -3.70 -6.67 -10.78 -10.78 -5.54 1
04-Nov-08 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20 1
03-Nov-08 3.40 -0.95 -6.44 -3.35 -4.61 3.40 -0.95 2
31-Oct-08 0.29 3.70 -0.66 -6.17 -3.07 0.29 -0.66 3
18-Mar-08 -2.48 -0.68 1.31 1.40 0.16 1.31 -2.48 1
26-Oct-07 0.33 -0.36 0.67 -1.69 -1.58 0.33 -0.36 2
25-Oct-07 1.17 1.51 0.80 1.85 -0.53 1.17 -0.53 5
21-Mar-03 -3.32 -2.40 -2.89 -2.81 -3.30 -3.30 -3.32 1
20-Mar-03 2.13 -1.27 -0.32 -0.82 -0.74 2.13 -1.27 2
19-Feb-03 -1.00 0.00 -1.62 -0.83 -2.28 -2.28 -1.00 1
23-Oct-02 -2.04 0.00 -0.65 -1.81 -0.85 -0.85 -2.04 1
15-Oct-02 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42 1
19-Aug-02 -1.06 0.37 1.34 -0.84 -0.15 0.37 -1.06 1
12-Aug-02 -1.82 1.77 3.18 2.87 5.27 1.77 -1.82 1
09-Aug-02 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73 1
31-Jul-02 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61 1
30-Jul-02 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38 2
29-Jul-02 1.30 1.55 -1.10 -3.32 -6.68 1.30 -1.10 3
03-Oct-01 0.08 -0.11 -0.76 -1.29 0.90 0.08 -0.11 2
02-Oct-01 1.68 1.76 1.56 0.90 0.36 1.68 0.36 5
10-Apr-01 0.07 1.89 0.81 2.24 6.30 0.07 6.30 5
09-Apr-01 1.82 1.89 3.74 2.65 4.10 1.82 4.10 5
27-Mar-01 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76 1
27-Dec-00 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59 2
31-Oct-00 -0.34 -0.17 -0.12 0.58 0.56 0.58 -0.34 1
23-Oct-00 -0.67 -3.00 -2.74 -0.89 0.00 0.00 -0.67 1
05-Apr-00 0.87 1.51 1.11 0.82 -1.95 0.87 -1.95 5
04-Apr-00 -0.62 0.24 0.87 0.48 0.19 0.24 -0.62 1
03-Apr-00 -0.74 -1.36 -0.51 0.12 -0.27 0.12 -0.74 1

highlighted in red are the 4 instances , where one had to cover the short for a big loss at the end of the 5th trading day. 

2) a variation of the above trading strategy ,  with a low n

  • $SPY gains from the day’s low to day’s close by more than 1% for 4 days in row .&&
  • $SPY gains for 4 days in row

below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since 1993 ( or $SPY IPO)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 16 4 25.0 -1.56 -0.54 1.07 -2.44 0.44 -8.86 0.08
t+2 16 3 18.8 -2.53 -2.00 1.11 -3.38 0.33 -9.51 0.03
t+3 16 4 25.0 -1.84 -1.51 1.91 -3.10 0.62 -8.11 0.12
t+4 16 7 43.8 -1.31 -1.25 1.70 -3.65 0.47 -7.75 0.30
t+5 16 8 50.0 -1.64 -0.28 1.18 -4.47 0.26 -10.60 0.20
1st +’ve exit in 5 days % 16 11 68.8 -0.70 0.53 1.19 -4.86 0.25 -10.60 0.45
1st -‘ve exit in 5 days % 16 16 100.0 2.52 -2.01 -2.52 INF INF NA INF

16/16 times $SPY closed lower atleast once over the next 5 trading days from the current day’s close , by an average loss of 252 bps , and by a median loss of 201 bps

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