when $SPY posts 5 or more up days in 1st quarter

when $SPY posts 5 or more up days in 1st quarter

$SPY when up for 5 or more days , during the 1st qtr

trading strategy rules

1) $SPY posts 5 or more up days

2) & its first quarter of the year

3) since 1 Jan 2007

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve exit in 5 days % # days to 1st +’ve cls
08-Jan-18 273.92 ?? ?? ?? ?? ?? ?? ??
15-Feb-17 230.45 -0.09 0.07 0.67 0.58 0.65 0.07 2
14-Feb-17 229.25 0.52 0.44 0.59 1.19 1.10 0.52 1
13-Feb-17 228.34 0.40 0.92 0.84 1.00 1.60 0.40 1
07-Mar-16 192.63 -1.09 -0.60 -0.52 1.08 0.95 1.08 4
18-Feb-15 197.68 -0.07 0.53 0.51 0.80 0.71 0.53 2
17-Feb-15 197.66 0.01 -0.06 0.54 0.52 0.81 0.01 1
18-Feb-14 170.00 -0.66 -0.08 -0.19 0.36 0.33 0.36 4
14-Feb-14 169.80 0.12 -0.54 0.04 -0.07 0.48 0.12 1
13-Feb-14 168.87 0.55 0.67 0.01 0.60 0.48 0.55 1
12-Feb-14 168.00 0.52 1.07 1.19 0.52 1.11 0.52 1
11-Mar-13 141.12 -0.22 -0.08 0.45 0.32 -0.24 0.45 3
08-Mar-13 140.59 0.38 0.15 0.30 0.83 0.70 0.38 1
07-Mar-13 139.99 0.43 0.81 0.58 0.72 1.26 0.43 1
25-Jan-13 135.90 -0.12 0.27 -0.12 -0.37 0.66 0.27 2
24-Jan-13 135.14 0.56 0.44 0.84 0.44 0.19 0.56 1
13-Mar-12 123.93 -0.11 0.47 0.61 1.00 0.71 0.47 2
27-Jan-11 112.66 -1.75 -1.01 0.58 0.38 0.61 0.58 3
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.68 4
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 0.59 1
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 0.80 1
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 0.03 1
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 0.01 1
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 0.42 1
09-Mar-10 97.29 0.45 0.86 0.87 0.90 1.70 0.45 1
08-Mar-10 97.13 0.17 0.61 1.03 1.04 1.07 0.17 1
05-Mar-10 97.11 0.02 0.18 0.63 1.05 1.06 0.02 1
04-Mar-10 95.75 1.43 1.45 1.62 2.07 2.49 1.43 1
22-Feb-10 94.49 -1.21 -0.31 -0.44 -0.38 0.66 0.66 5
11-Jan-10 97.52 -0.93 -0.10 0.17 -0.95 0.29 0.17 3
08-Jan-10 97.39 0.14 -0.79 0.04 0.31 -0.81 0.14 1
07-Feb-07 115.69 -0.13 -0.87 -1.21 -0.38 0.28 0.28 5
06-Feb-07 115.44 0.22 0.09 -0.66 -0.99 -0.16 0.22 1
05-Feb-07 115.40 0.03 0.25 0.12 -0.63 -0.97 0.03 1
avg 0.04 0.23 0.40 0.55 0.75 0.41 1.82
med 0.03 0.25 0.51 0.60 0.71 0.42 1.00
std 0.61 0.61 0.61 0.68 0.70 0.31
t 0.38 2.14 3.75 4.61 6.10 7.53
n 33 33 33 33 33 33
wins 21 22 26 26 29 33
% wins 63.64 66.67 78.79 78.79 87.88 100.00
avg win 0.37 0.57 0.63 0.84 0.93 0.41
avg loss -0.54 -0.45 -0.45 -0.54 -0.54
max loss -1.75 -1.01 -1.21 -0.99 -0.97

33/33 times , since Jan 2007 , $SPY closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 41 bps , and a median of 42 bps 

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

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