when $SPY gains more than 1% for three consecutive days

when $SPY gains more than 1% for three consecutive days 

when $SPY gains more than 1% for 3 days in row

with $SPY gaining by more than 1% for three consecutive days , as on 17th Feb 2016 , below trading strategy rules

1) $SPY gains more than 1% for three consecutive days in row

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains more than 1% for three consecutive days in row  , since Feb 1993 ( or since $SPY inception)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 4 26.7 -0.72 -0.63 0.42 -1.14 0.36 -2.96 0.04 -2.65
t+2 15 5 33.3 -0.82 -0.36 0.78 -1.62 0.48 -3.42 0.06 -2.05
t+3 15 2 13.3 -1.28 -1.31 2.07 -1.80 1.15 -4.56 0.05 -2.80
t+4 15 4 26.7 -1.34 -1.27 2.19 -2.63 0.83 -7.88 0.13 -1.83
t+5 15 5 33.3 -1.53 -1.23 1.77 -3.18 0.56 -6.69 0.13 -1.99
t+10 15 5 33.3 -0.17 -0.90 4.06 -2.29 1.78 -8.50 0.58 -0.18
t+20 15 10 66.7 1.51 2.67 3.97 -3.41 1.16 -11.17 1.70 1.25
1st +’ve in 5 days 15 11 73.3 -0.64 0.24 0.69 -4.28 0.16 -6.69 0.24 -0.97
1st -‘ve in 5 days 15 15 100.0 1.10 -0.92 -1.10 INF INF -0.09 INF 4.68

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 110  basis points at the 1st negative 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, and $SPY forward 1/2/3/4/5 trading day returns , when $SPY gains by more than 1% for three days in row , since 1993

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
17-Feb-16 192.88 ?? ?? ?? ?? ?? ?? ??
06-Oct-11 106.67 -0.67 2.65 2.76 3.66 3.45 2.65 -0.67
01-Jun-09 82.58 0.08 -1.18 -0.25 -0.23 -0.64 0.08 -1.18
02-Jan-09 80.43 -0.12 0.55 -2.46 -2.07 -4.16 0.55 -0.12
08-Aug-07 125.32 -2.96 -3.42 -3.07 -4.55 -5.87 -5.87 -2.96
08-Aug-02 69.63 0.37 -0.36 -2.18 1.40 2.80 0.37 -0.36
30-Jul-02 69.62 0.24 -2.38 -4.56 -7.88 -4.78 0.24 -2.38
19-Apr-01 94.63 -0.92 -2.71 -3.24 -1.97 -1.54 -1.54 -0.92
27-Mar-01 89.10 -2.76 -2.39 -1.37 -3.47 -6.69 -6.69 -2.76
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09
29-Oct-99 101.58 -1.05 -1.76 -1.09 -0.34 0.64 0.64 -1.05
17-Nov-97 68.53 -0.63 -0.13 1.38 2.08 0.23 1.38 -0.63
20-Aug-97 67.90 -1.76 -1.79 -2.16 -3.60 -3.02 -3.02 -1.76
03-Jul-97 66.32 -1.02 0.02 -1.09 -0.65 -0.31 0.02 -1.02
16-Apr-97 54.90 -0.41 0.08 -0.57 1.61 1.72 0.08 -0.41
13-Feb-97 58.17 -0.23 0.61 -0.06 -1.27 -1.23 0.61 -0.23

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