when $SPY posts an upside reversal day
inspired a reader’s question
@paststat do you have any study done what happens after this kind of intraday reversal?
— Durga Prasad (@mdaprasad) February 24, 2016
with $SPY turning around higher on the day by 0.46% from a 1.56% decline at the intra-day lows , as on 24th Feb 2016 , below trading strategy rules ,
1) $SPY posts an intradown low of more than 1.5% to that of previous day’s close &
2) $SPY closes in the green for the day ( lets call it an 1.5% upside reversal day)
below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts an 1.5% upside reversal day , since Y2K
| Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % | OAPF | T-Test |
| t+1% | 65 | 27 | 41.5 | -0.65 | -0.60 | 1.51 | -2.19 | 0.69 | -7.84 | 0.47 | -2.18 |
| t+2% | 65 | 29 | 44.6 | -0.63 | -0.15 | 2.09 | -2.83 | 0.74 | -13.37 | 0.57 | -1.54 |
| t+3% | 65 | 32 | 49.2 | -0.55 | -0.32 | 2.32 | -3.32 | 0.70 | -11.02 | 0.64 | -1.22 |
| t+4% | 65 | 26 | 40.0 | -0.89 | -0.64 | 2.62 | -3.22 | 0.81 | -13.81 | 0.50 | -1.79 |
| t+5% | 65 | 26 | 40.0 | -0.94 | -0.60 | 2.88 | -3.49 | 0.83 | -17.25 | 0.49 | -1.62 |
| t+10% | 65 | 31 | 47.7 | -1.15 | -0.17 | 3.03 | -4.96 | 0.61 | -26.77 | 0.44 | -1.53 |
| t+20% | 64 | 32 | 50.0 | -2.16 | -0.27 | 4.73 | -9.05 | 0.52 | -27.98 | 0.42 | -1.81 |
| 1st +’ve in 5 days | 65 | 48 | 73.8 | -0.37 | 0.78 | 1.61 | -5.95 | 0.27 | -17.25 | 0.73 | -0.69 |
| 1st -‘ve in 5 days | 65 | 57 | 87.7 | 1.36 | -1.12 | -2.03 | 3.43 | 0.59 | 6.55 | 3.10 | 4.23 |
57/65 times $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 136 basis points at the 1st negative close within in the next five trading days.
mind you that avg loss for bears , while shorting based on the above pattern are huge and stands at 3.43 ( in todays terms it would be roughly 65 $es_f handles ) !!
PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )
for 1st negative close in 5 days , the odds or reversed and calculated on the basis that on goes short and covers at a lower close than the current close , at some point of time over the next 5 trading days
below the $SPY next 1/2/3/4/5 trading day returns , when $SPY posts an 1.5% upside reversal day , since Y2K
| Date | $SPY | t+1% | t+2% | t+3% | t+4% | t+5% | 1st +’ve in 5 days % | 1st -‘ve in 5 days % |
| 24-Feb-16 | 193.20 | ?? | ?? | ?? | ?? | ?? | ?? | ?? |
| 3-Feb-16 | 191.30 | 0.16 | -1.75 | -3.07 | -3.07 | -3.15 | 0.16 | -1.75 |
| 2-Oct-15 | 193.85 | 1.78 | 1.43 | 2.26 | 3.18 | 3.24 | 1.78 | 3.24 |
| 12-Aug-15 | 206.61 | -0.13 | 0.24 | 0.80 | 0.51 | -0.29 | 0.24 | -0.13 |
| 23-May-12 | 122.43 | 0.20 | -0.13 | 1.08 | -0.38 | -0.60 | 0.20 | -0.13 |
| 4-Oct-11 | 102.87 | 1.86 | 3.69 | 3.00 | 6.45 | 6.55 | 1.86 | 6.55 |
| 12-Sep-11 | 106.29 | 0.91 | 2.31 | 4.08 | 4.69 | 3.65 | 0.91 | 3.65 |
| 30-Aug-11 | 110.85 | 0.45 | -0.60 | -3.15 | -3.85 | -1.14 | 0.45 | -0.60 |
| 26-Aug-11 | 107.47 | 2.88 | 3.15 | 3.61 | 2.52 | -0.10 | 2.88 | -0.10 |
| 9-Aug-11 | 107.03 | -4.42 | -0.13 | 0.54 | 2.67 | 1.79 | 0.54 | -4.42 |
| 3-Aug-11 | 114.94 | -4.68 | -4.82 | -11.02 | -6.88 | -11.00 | -11.00 | -4.68 |
| 25-May-10 | 95.84 | -0.61 | 2.72 | 1.44 | -0.27 | 2.33 | 2.72 | -0.61 |
| 21-May-10 | 96.99 | -1.29 | -1.19 | -1.78 | 1.51 | 0.24 | 1.51 | -1.29 |
| 17-May-10 | 101.29 | -1.36 | -1.93 | -5.63 | -4.25 | -5.48 | -5.48 | -1.36 |
| 5-Feb-10 | 94.42 | -0.72 | 0.52 | 0.33 | 1.38 | 1.29 | 0.52 | -0.72 |
| 14-Sep-09 | 92.26 | 0.41 | 1.94 | 1.79 | 1.85 | 1.59 | 0.41 | 1.59 |
| 25-Mar-09 | 70.98 | 2.03 | 0.18 | -3.27 | -2.38 | -0.48 | 2.03 | -3.27 |
| 6-Mar-09 | 59.63 | -1.17 | 4.71 | 5.40 | 9.54 | 10.40 | 4.71 | -1.17 |
| 12-Feb-09 | 72.38 | -1.08 | -5.31 | -5.53 | -6.55 | -7.46 | -7.46 | -1.08 |
| 5-Feb-09 | 73.17 | 2.86 | 2.99 | -1.72 | -1.15 | -1.08 | 2.86 | -1.72 |
| 23-Jan-09 | 71.91 | 0.68 | 1.71 | 5.15 | 1.72 | -0.35 | 0.68 | -0.35 |
| 16-Jan-09 | 73.59 | -5.27 | -1.18 | -2.70 | -2.28 | -1.62 | -1.62 | -5.27 |
| 15-Jan-09 | 73.02 | 0.78 | -4.53 | -0.41 | -1.94 | -1.52 | 0.78 | -4.53 |
| 12-Dec-08 | 76.37 | -1.39 | 3.25 | 2.25 | 0.34 | -0.09 | 3.25 | -1.39 |
| 5-Dec-08 | 75.46 | 3.50 | 1.79 | 2.49 | 0.01 | 1.21 | 3.50 | 1.21 |
| 3-Dec-08 | 74.94 | -2.31 | 0.69 | 4.22 | 2.50 | 3.20 | 0.69 | -2.31 |
| 26-Nov-08 | 76.36 | 1.26 | -7.71 | -4.16 | -1.86 | -4.13 | 1.26 | -7.71 |
| 18-Nov-08 | 74.74 | -6.41 | -13.37 | -8.68 | -2.35 | -1.63 | -1.63 | -6.41 |
| 13-Nov-08 | 78.25 | -5.00 | -6.26 | -4.49 | -10.61 | -17.25 | -17.25 | -5.00 |
| 31-Oct-08 | 83.10 | 0.29 | 3.71 | -0.66 | -6.16 | -3.07 | 0.29 | -0.66 |
| 23-Oct-08 | 78.69 | -5.07 | -8.44 | 2.26 | 1.51 | 5.03 | 2.26 | -5.07 |
| 16-Oct-08 | 80.48 | -0.60 | 5.37 | 2.22 | -3.34 | -2.22 | 5.37 | -0.60 |
| 1-Oct-08 | 99.61 | -3.63 | -4.93 | -9.78 | -13.81 | -15.98 | -15.98 | -3.63 |
| 26-Sep-08 | 103.72 | -7.84 | -4.02 | -3.96 | -7.45 | -8.70 | -8.70 | -7.84 |
| 18-Sep-08 | 102.46 | 3.96 | 1.61 | -0.70 | -0.38 | 1.18 | 3.96 | -0.70 |
| 16-Sep-08 | 104.19 | -4.50 | -1.66 | 2.24 | -0.08 | -2.35 | 2.24 | -4.50 |
| 11-Sep-08 | 107.10 | 0.46 | -4.32 | -2.72 | -7.10 | -4.33 | 0.46 | -4.32 |
| 5-Sep-08 | 106.17 | 2.06 | -0.97 | -0.57 | 0.88 | 1.34 | 2.06 | -0.97 |
| 1-Jul-08 | 109.55 | -1.72 | -1.62 | -2.62 | -0.89 | -2.80 | -2.80 | -1.72 |
| 13-Mar-08 | 111.23 | -1.56 | -2.54 | 1.50 | -1.02 | 0.82 | 1.50 | -1.56 |
| 23-Jan-08 | 113.09 | 0.85 | -0.61 | 1.03 | 1.54 | 0.79 | 0.85 | -0.61 |
| 16-Aug-07 | 118.86 | 1.83 | 1.78 | 1.99 | 3.20 | 3.11 | 1.83 | 3.11 |
| 12-May-04 | 87.05 | -0.43 | -0.38 | -1.23 | -0.74 | -1.07 | -1.07 | -0.43 |
| 10-Apr-03 | 67.90 | -0.41 | 1.63 | 2.59 | 0.84 | 2.34 | 1.63 | -0.41 |
| 20-Mar-03 | 68.12 | 2.13 | -1.26 | -0.32 | -0.82 | -0.73 | 2.13 | -1.26 |
| 7-Mar-03 | 64.38 | -2.39 | -3.36 | -2.70 | 0.65 | 0.98 | 0.65 | -2.39 |
| 25-Feb-03 | 65.27 | -1.46 | -0.15 | 0.52 | -0.44 | -2.04 | 0.52 | -1.46 |
| 6-Dec-02 | 70.77 | -2.76 | -1.46 | -1.36 | -1.37 | -2.92 | -2.92 | -2.76 |
| 13-Nov-02 | 68.48 | 1.88 | 2.63 | 1.61 | 1.46 | 3.72 | 1.88 | 3.72 |
| 23-Oct-02 | 69.36 | -2.03 | 0.00 | -0.65 | -1.80 | -0.85 | -0.85 | -2.03 |
| 18-Oct-02 | 68.16 | 1.73 | 1.00 | 1.76 | -0.31 | 1.76 | 1.73 | -0.31 |
| 9-Aug-02 | 69.89 | -0.74 | -2.55 | 1.02 | 2.42 | 2.10 | 1.02 | -0.74 |
| 31-Jul-02 | 69.79 | -2.62 | -4.80 | -8.11 | -5.02 | -3.37 | -3.37 | -2.62 |
| 24-Jul-02 | 64.86 | -0.86 | 1.03 | 5.95 | 7.34 | 7.60 | 1.03 | -0.86 |
| 15-Jul-02 | 70.69 | -1.92 | -1.74 | -4.92 | -8.26 | -10.98 | -10.98 | -1.92 |
| 11-Jul-02 | 71.09 | -1.10 | -0.56 | -2.48 | -2.29 | -5.46 | -5.46 | -1.10 |
| 26-Jun-02 | 74.81 | 1.75 | 1.27 | -0.71 | -2.82 | -2.26 | 1.75 | -0.71 |
| 24-Jun-02 | 76.40 | -2.24 | -2.08 | -0.37 | -0.84 | -2.77 | -2.77 | -2.24 |
| 30-Jan-02 | 85.10 | 1.16 | 0.69 | -1.81 | -2.42 | -2.83 | 1.16 | -1.81 |
| 25-Oct-01 | 83.82 | -0.23 | -2.82 | -3.98 | -4.32 | -1.86 | -1.86 | -0.23 |
| 1-May-01 | 95.68 | -0.18 | -1.44 | 0.23 | -0.64 | -0.68 | 0.23 | -0.18 |
| 29-Mar-01 | 86.97 | 1.05 | -1.12 | -4.42 | -4.01 | -0.38 | 1.05 | -1.12 |
| 1-Mar-01 | 93.58 | -0.79 | 0.12 | 1.20 | 1.91 | 2.03 | 0.12 | -0.79 |
| 22-Feb-01 | 94.49 | -0.68 | 1.44 | 0.51 | -1.47 | -0.96 | 1.44 | -0.68 |
| 26-Oct-00 | 102.35 | 1.90 | 2.81 | 4.58 | 4.23 | 4.40 | 1.90 | 4.40 |
| 5-Jan-00 | 104.06 | -1.61 | 4.10 | 4.46 | 3.21 | 2.18 | 4.10 | -1.61 |
highlighted in the green under 1st -‘ve in 5 days column , were the prior , bit huge loss making trades for bears,
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