when $SPY lost by more than 5% for the month

when $SPY lost by more than 5% for the month

trading odds , after $SPY lost by more than 5% in a month as last on trading day of the month, since Y2K

below the trading strategy rules

  1. current trading day is last trading day of the month
  2. $SPY lost more than 5% for the month

below the trading odds for $SPY, for the next 1/2/3/4/5/10/20 trading days , since Y2K ->

Exit # Wins %Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF Avg DD% Max DD% Avg Run Up% T-Test
t+1 26 11 42 -0.74 -0.23 1.21 -2.18 0.56 -8.86 0.31 -1.91 -9.14 0.75 -1.50
t+2 26 10 39 -1.08 -0.75 1.44 -2.66 0.54 -5.40 0.22 -2.70 -9.14 1.13 -2.15
t+3 26 11 42 -0.92 -0.50 1.68 -2.84 0.59 -8.11 0.39 -3.22 -9.14 1.65 -1.62
t+4 26 12 46 -1.16 -1.31 2.05 -3.91 0.52 -9.72 0.46 -4.27 -13.23 1.96 -1.66
t+5 26 10 39 -0.99 -1.34 2.78 -3.36 0.83 -13.76 0.53 -4.67 -14.09 2.53 -1.30
1st -‘ve exit in 5 days % 26 24 92 1.47 -1.31 1.90 -3.71 0.51 -3.84 3.03 -0.46 -4.50 2.37 3.20

24/26 times , since Y2K, $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average of 147 bps and median of -131 bps

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

below the historical $SPY returns , over the next 1/2/3/4/5 trading days , when on last trading day , $SPY down for the month by more than 5% , since Y2K

Date Open High Low Close MTD% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
31-May-19 276.20 277.12 275.29 276.15 -6.08 ?? ?? ?? ?? ?? ?? ??
31-Dec-18 248.47 249.10 246.39 248.83 -8.79 0.10 -2.28 0.99 1.78 2.74 -2.28 2
31-Oct-18 267.87 270.42 267.35 267.85 -6.91 1.06 0.47 1.02 1.66 3.84 3.84 5
31-Aug-15 183.77 184.72 182.75 183.36 -6.10 -2.98 -1.14 -1.07 -2.57 -0.12 -2.98 1
31-May-12 114.35 115.00 113.16 114.15 -6.01 -2.52 -2.56 -1.83 0.38 0.44 -2.52 1
30-Sep-11 98.31 99.17 97.13 97.20 -6.94 -2.85 -0.72 1.12 2.95 2.26 -2.85 1
31-Aug-11 104.65 105.55 103.66 104.45 -5.50 -1.05 -3.58 -4.28 -1.58 -2.60 -1.05 1
30-Jun-10 87.07 87.87 86.20 86.48 -5.17 -0.45 -0.99 -0.34 2.80 3.82 -0.45 1
28-May-10 92.26 92.33 90.77 91.20 -7.95 -1.68 0.88 1.23 -2.33 -3.55 -1.68 1
27-Feb-09 60.06 61.43 59.90 60.00 -10.74 -4.50 -5.22 -2.98 -6.94 -6.78 -4.50 1
30-Jan-09 68.97 69.31 66.72 67.22 -8.21 -0.30 1.10 0.60 2.10 5.01 -0.30 1
28-Nov-08 71.35 72.55 71.23 72.52 -6.96 -8.86 -5.35 -3.07 -5.32 -2.40 -8.86 1
31-Oct-08 76.54 79.35 76.06 77.95 -16.52 0.29 3.70 -0.66 -6.17 -3.07 -0.66 3
30-Sep-08 91.37 94.02 88.98 93.37 -9.44 0.06 -3.57 -4.87 -9.72 -13.76 -3.57 2
30-Jun-08 102.38 103.20 101.91 102.45 -8.35 0.31 -1.41 -1.30 -2.31 -0.58 -1.41 2
31-Jan-08 105.74 109.81 105.58 108.88 -6.05 1.61 0.33 -2.36 -3.14 -2.50 -2.36 3
31-Dec-02 63.80 64.11 63.16 63.97 -5.66 3.22 3.54 5.36 5.10 3.58 3.58 5
30-Sep-02 59.17 59.74 58.37 59.01 -10.49 4.80 1.66 0.64 -1.21 -3.25 -1.21 4
31-Jul-02 65.00 65.76 64.11 65.48 -7.88 -2.61 -4.79 -8.11 -5.01 -3.36 -2.61 1
28-Jun-02 71.29 72.19 71.03 71.08 -7.38 -1.95 -4.03 -3.49 0.35 -0.90 -1.95 1
30-Apr-02 76.60 77.76 76.33 77.20 -5.82 1.22 0.83 -0.26 -2.22 -2.56 -0.26 3
28-Sep-01 73.25 77.97 72.91 74.29 -8.16 -0.16 1.09 2.79 2.87 2.67 -0.16 1
31-Aug-01 80.36 81.33 80.17 80.89 -5.93 -0.64 -0.39 -2.96 -4.76 -3.59 -0.64 1
30-Mar-01 81.65 82.46 80.91 82.46 -5.60 -2.13 -5.40 -5.00 -1.41 -2.91 -2.13 1
28-Feb-01 89.32 89.38 86.87 87.35 -9.54 0.52 -0.27 0.64 1.72 2.44 -0.27 2
30-Nov-00 93.08 93.78 91.15 92.92 -7.47 -0.05 0.80 4.11 2.45 1.04 -0.05 1
29-Sep-00 102.19 102.54 100.89 100.89 -5.48 0.15 -0.78 0.04 0.39 -1.78 -0.78 2

highlighted in bold are the two instances when $SPY didn’t close lower than entry over the next 5 trading days 

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