when $SPY posts 8++ 20 day high closes in last 9 trading days

when $SPY posts 8++ 20 day high closes in last 9 trading days

$SPY posts 8 or more 20 day high closes in last 9 trading days

below trading strategy rules

1) $SPY posts 8 or more 20 day high closes in last 9 trading days

2) below the backtest results for the next 1/2/3/4/5/10/20 trading days , since Y2K

# is on lower end at 19 ( ps: we consider anything below 25 is on lower end) , but its good to know

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 19 11 57.9 0.13 0.03 0.39 -0.23 1.72 -0.50 1.58 1.51
t+2 19 16 84.2 0.27 0.17 0.42 -0.57 0.74 -1.05 2.47 2.15
t+3 19 17 89.5 0.51 0.54 0.62 -0.39 1.59 -0.75 8.03 4.35
t+4 19 18 94.7 0.70 0.68 0.77 -0.67 1.16 -0.67 12.31 5.96
t+5 19 16 84.2 0.79 0.86 0.97 -0.19 5.25 -0.39 17.68 5.63
t+10 19 17 89.5 1.16 1.28 1.30 -0.09 14.44 -0.17 87.79 7.75
t+20 19 14 73.7 1.82 2.40 3.09 -1.75 1.77 -3.16 2.69 3.40
1st +’ve exit in 5 days % 19 18 94.7 0.32 0.31 0.36 -0.39 0.91 -0.39 9.40 4.16

since Y2K , 18/19 times , $SPY closed higher than the current trading day’s close ,after 4 trading days , at an average of 70 bps .

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

below the prior instances of $SPY posting 8 or more 20 day high closings , since Y2K , and the forward 1/2/3/4/5 trading day’s returns

Date Close t+1% t+2% t+3% t+4% t+5% t+10% 1st +’ve exit in 5 days %
12-Jan-18 277.92 ?? ?? ?? ?? ?? ?? ??
18-Nov-14 192.31 -0.16 0.01 0.55 0.83 0.76 1.14 0.01
17-Nov-14 191.21 0.58 0.42 0.59 1.13 1.41 1.33 0.58
11-Nov-14 191.03 -0.11 0.00 0.03 0.09 0.67 1.44 0.00
10-Jun-14 181.28 -0.35 -1.05 -0.75 -0.67 -0.39 0.02 -0.39
15-May-13 150.92 -0.47 0.49 0.49 0.63 -0.11 -0.17 0.49
14-May-13 150.11 0.54 0.07 1.03 1.03 1.17 -0.01 0.54
22-Dec-10 109.02 -0.14 -0.10 0.04 0.11 -0.05 1.28 0.04
21-Dec-10 108.68 0.31 0.17 0.21 0.35 0.42 1.79 0.31
20-Dec-10 107.99 0.63 0.95 0.80 0.84 0.99 1.91 0.63
18-Mar-10 99.49 -0.50 0.03 0.73 0.24 0.08 1.07 0.03
17-Mar-10 99.54 -0.05 -0.56 -0.02 0.68 0.19 0.33 0.68
16-Mar-10 98.95 0.59 0.54 0.03 0.57 1.28 1.27 0.59
15-Mar-10 98.17 0.80 1.39 1.34 0.83 1.37 2.01 0.80
12-Mar-10 98.14 0.03 0.82 1.42 1.37 0.86 1.39 0.03
11-Mar-10 98.13 0.01 0.03 0.83 1.43 1.38 1.46 0.01
10-Mar-10 97.73 0.42 0.43 0.45 1.25 1.85 2.05 0.42
18-Apr-07 117.80 -0.03 0.92 0.54 0.58 1.50 1.54 0.92
17-Apr-07 117.65 0.12 0.10 1.04 0.66 0.70 1.07 0.12
16-Apr-07 117.34 0.27 0.39 0.36 1.31 0.93 1.08 0.27
avg 0.13 0.27 0.51 0.70 0.79 1.16 0.32
med 0.03 0.17 0.54 0.68 0.86 1.28 0.31
std 0.38 0.54 0.51 0.51 0.61 0.65 0.33
t-test 1.51 2.15 4.35 5.96 5.63 7.75 4.16
# 19 19 19 19 19 19 19
wins 11 16 17 18 16 17 18
%wins 57.89 84.21 89.47 94.74 84.21 89.47 94.74
avg win 0.39 0.42 0.62 0.77 0.97 1.30 0.36
avg loss -0.23 -0.57 -0.39 -0.67 -0.19 -0.09 -0.39
maxloss -0.50 -1.05 -0.75 -0.67 -0.39 -0.17 -0.39

10th Jan 2014 is the only time when $SPY failed to close higher after 4 trading days.

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