When $SPY posts a best one day gain in a quarter

When $SPY posts a best one day gain in a quarter 

when $SPY posts , best one day gain in a quarter , since 2011

with $SPY posting a gain of 2.44% on 29th Jan 2016 , which is the best one day gain in percentages in a quarter ( about 62 trading days ) , below trading strategy 

1) $SPY posts best one day gain in a quarter 

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since 2011 ( i.e last 5 years ) , when $SPY posts best one day in a quarter ..

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 21 6 28.6 -0.47 -0.23 0.70 -0.94 0.74 -4.42 0.13
t+2 21 12 57.1 -0.06 0.14 0.73 -1.12 0.66 -3.10 0.57
t+3 21 12 57.1 -0.11 0.47 0.91 -1.48 0.62 -4.69 0.61
t+4 21 10 47.6 -0.09 -0.35 1.12 -1.19 0.94 -4.55 0.60
t+5 21 14 66.7 -0.14 0.12 0.97 -2.37 0.41 -5.19 0.64
t+10 20 8 40.0 -0.92 -1.14 2.47 -3.17 0.78 -10.01 0.38
t+20 20 12 60.0 0.60 2.15 3.21 -3.33 0.96 -9.90 1.11
1st +’ve in 5 days 21 18 85.7 -0.06 0.25 0.57 -3.84 0.15 -5.19 0.57
1st -‘ve in 5 days 21 18 85.7 0.54 -0.60 -0.91 1.68 0.54 2.39 2.28

18/21 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 54 basis points at the 1st positive 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 of $SPY posting best one day gain in a quarter and next 1/2/3/4/5 trading day returns , since 2011

Date $SPY t% t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days % 1st -‘ve in 5 days %
29-Jan-16 193.72 2.44 ?? ?? ?? ?? ?? ?? ??
22-Jan-16 190.52 2.05 -1.51 -0.17 -1.25 -0.74 1.68 1.68 -1.51
4-Dec-15 208.38 1.95 -0.61 -1.27 -2.04 -1.79 -3.69 -3.69 -0.61
26-Aug-15 192.31 3.84 2.47 2.48 1.65 -1.38 0.49 2.47 -1.38
10-Aug-15 208.24 1.26 -0.91 -0.78 -0.91 -0.55 0.01 0.01 -0.91
18-Dec-14 201.49 2.47 0.43 0.89 1.02 1.03 1.36 0.43 1.36
21-Oct-14 189.10 1.98 -0.71 0.44 1.22 1.08 2.24 0.44 -0.71
8-Oct-14 191.61 1.75 -1.98 -3.10 -4.69 -4.55 -5.19 -5.19 -1.98
8-Aug-14 187.42 1.16 0.29 0.15 0.83 1.30 1.28 0.29 1.28
18-Jul-14 191.75 1.02 -0.19 0.25 0.47 0.48 0.01 0.25 -0.19
10-Oct-13 161.70 2.16 0.64 1.05 0.31 1.71 2.39 0.64 2.39
13-Jun-13 155.37 1.52 -0.63 0.14 0.93 -0.46 -2.93 0.14 -0.63
16-Apr-13 148.94 1.48 -1.46 -2.08 -1.23 -0.79 0.24 0.24 -1.46
2-Jan-13 137.59 2.56 -0.23 0.21 -0.06 -0.35 -0.10 0.21 -0.23
29-Jun-12 126.62 2.49 0.30 0.96 0.51 -0.45 -0.57 0.30 -0.45
6-Jun-12 122.15 2.25 0.06 0.86 -0.42 0.72 0.08 0.06 -0.42
30-Nov-11 114.46 4.11 -0.02 -0.10 0.98 1.02 1.39 0.98 -0.02
9-Aug-11 107.03 4.65 -4.42 -0.13 0.54 2.67 1.80 0.54 -4.42
19-Jul-11 120.92 1.62 -0.06 1.33 1.39 0.83 0.45 1.33 -0.06
1-Jul-11 122.00 1.48 -0.08 0.04 1.08 0.36 -1.46 0.04 -0.08
21-Jun-11 117.93 1.37 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
3-Mar-11 120.47 1.72 -0.75 -1.53 -0.67 -0.81 -2.64 -2.64 -0.75

highlighted in the green were the loss making trades, for someone who shorted based on the above pattern  !!

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