When $SPY Posts 5 Green Candles In Row

When $SPY Posts 5 Green Candles In Row

$SPY 5 Green Candles Chart

with $SPY posting five green candle sticks ( Close > Open) as on 2 Oct 2013,  below few studies with trading odds for the longs over next 1/2/3/4/5/10/20 trading days

There were 130 instances of $SPY posting 5 or more green candles in row since Jan 2000, today being the 131

pattern 1 ) $SPY posts 5 or more green candle sticks in row 

below the trading odds for longs , with various exit periods ( t+1, being the exit after 1 trading days , and t+20 being the exit after 20 trading days etc.) , the backtest period is from Jan 2000.

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 129 67 51.9 -0.15 0.02 0.50 -0.85 0.59
t+2 129 73 56.6 -0.15 0.04 0.65 -1.20 0.54
t+3 129 74 57.4 -0.07 0.12 0.92 -1.40 0.65
t+4 129 70 54.3 0.00 0.23 1.28 -1.52 0.84
t+5 129 74 57.4 0.08 0.31 1.49 -1.81 0.82
t+10 129 83 64.3 0.22 0.76 1.80 -2.64 0.68
t+20 129 77 59.7 0.15 0.72 2.64 -3.53 0.75

pattern 2 ) $SPY posts  exactly 5 green candle sticks in row 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 63 31 49.2 -0.21 -0.01 0.56 -0.95 0.59
t+2 63 39 61.9 -0.13 0.08 0.63 -1.35 0.46
t+3 63 35 55.6 -0.14 0.08 0.87 -1.39 0.62
t+4 63 31 49.2 -0.06 -0.06 1.26 -1.35 0.94
t+5 63 32 50.8 -0.02 0.05 1.73 -1.83 0.95
t+10 63 37 58.7 -0.04 0.76 2.17 -3.17 0.68
t+20 63 39 61.9 0.42 0.88 2.96 -3.70 0.80
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pattern 3 ) $SPY posts  exactly 5 green candle sticks in row  and today is hump day ( a.k.a Wednesday) 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 11 8 72.7 0.04 0.31 0.32 -0.68 0.46
t+2 11 7 63.6 -0.07 0.08 0.51 -1.09 0.47
t+3 11 4 36.4 -0.39 -0.20 0.76 -1.05 0.72
t+4 11 6 54.5 0.05 0.48 1.18 -1.31 0.90
t+5 11 7 63.6 0.35 0.90 1.47 -1.62 0.91
t+10 11 7 63.6 0.71 1.11 1.59 -0.83 1.91
t+20 11 7 63.6 1.45 2.94 3.14 -1.50 2.09

pattern 4 ) $SPY posts  exactly 5 green candle sticks in row  and current close is above 20-DMA

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off
t+1 57 27 47.4 -0.28 -0.01 0.44 -0.93 0.47
t+2 57 36 63.2 -0.08 0.13 0.63 -1.31 0.48
t+3 57 32 56.1 -0.07 0.08 0.89 -1.29 0.69
t+4 57 29 50.9 0.09 0.12 1.32 -1.19 1.11
t+5 57 30 52.6 0.13 0.08 1.79 -1.72 1.04
t+10 57 35 61.4 0.18 0.82 2.13 -2.92 0.73
t+20 57 36 63.2 0.78 0.88 2.88 -2.83 1.02

conclusion : not a high win rate bearishness , expect $ SPY to soften over the next 1 to 3 days ..

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