When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

When $SPY posts gains for 4 days in row , while cls < 200 DMA , what next ?

when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

with $SPY posting gains for 4- days in row , and also posting 4 consecutive green candles in row , below few trading strategies ..

I) $SPY gains for 4 or more days in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 52 20 38.5 -0.52 -0.27 0.82 -1.35 0.61 -8.86 0.33 -2.13
t+2% 52 20 38.5 -1.04 -0.44 1.17 -2.43 0.48 -9.51 0.28 -2.91
t+3% 52 19 36.5 -0.85 -0.35 1.51 -2.21 0.68 -8.11 0.36 -2.36
t+4% 52 22 42.3 -0.62 -0.13 1.72 -2.33 0.74 -7.75 0.47 -1.59
t+5% 52 23 44.2 -1.02 -0.54 1.25 -2.82 0.45 -10.60 0.31 -2.61
t+10% 52 21 40.4 -0.67 -0.78 2.37 -2.72 0.87 -13.28 0.57 -1.32
t+20% 52 27 51.9 -0.56 0.28 3.42 -4.86 0.70 -13.47 0.75 -0.77
1st +’ve in 5 days 52 40 76.9 -0.38 0.41 0.79 -4.29 0.19 -10.60 0.56 -1.07
1st -‘ve in 5 days 52 48 92.3 1.11 -0.76 -1.32 1.45 0.91 3.25 5.93 4.35

48/52 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 111 basis points at the 1st negative 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 )

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

II) $SPY posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

2) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY posts 4 consecutive green candles in row , while under 200-DMA , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 58 23 39.7 -0.34 -0.27 1.01 -1.23 0.82 -4.20 0.45 -1.80
t+2% 58 21 36.2 -0.86 -0.48 1.07 -1.96 0.55 -9.51 0.25 -3.11
t+3% 58 23 39.7 -0.76 -0.55 1.44 -2.21 0.65 -8.11 0.39 -2.43
t+4% 58 22 37.9 -0.70 -0.73 1.71 -2.17 0.79 -7.75 0.39 -2.09
t+5% 58 26 44.8 -0.65 -0.22 1.80 -2.64 0.68 -10.60 0.46 -1.62
t+10% 58 28 48.3 -0.67 -0.13 3.15 -4.23 0.74 -13.28 0.68 -1.09
t+20% 57 30 52.6 -1.14 0.29 3.02 -5.77 0.52 -13.47 0.57 -1.59
1st +’ve in 5 days 58 42 72.4 -0.24 0.39 0.93 -3.30 0.28 -10.60 0.67 -0.74
1st -‘ve in 5 days 58 53 91.4 0.89 -0.99 -1.23 2.78 0.44 5.84 5.21 4.22

53/58 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 89 basis points at the 1st negative close within in the next five trading days. 

III) $SPY gains for 4 or more days in row &  posts 4 or more consecutive green candles in row , and close is below 200-DMA

1) $SPY gains for 4 or more days in row &

2) $SPY posts green candles for 4 days in row ( green candle is when close is above than the open) &

3) $SPY close is below 200-DMA

below the trading odds for longs for $SPY , for the next 1/2/3/4/5/10/20 trading days , when $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA,  since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 23 7 30.4 -0.52 -0.29 1.17 -1.25 0.94 -4.20 0.33 -1.59
t+2% 23 8 34.8 -1.25 -0.48 0.92 -2.41 0.38 -9.51 0.18 -2.35
t+3% 23 9 39.1 -1.17 -0.31 0.91 -2.52 0.36 -8.11 0.20 -2.15
t+4% 23 9 39.1 -1.10 -0.13 1.31 -2.65 0.49 -7.75 0.23 -1.89
t+5% 23 11 47.8 -1.39 -0.68 1.16 -3.72 0.31 -10.60 0.20 -2.06
t+10% 23 9 39.1 -1.14 -0.76 2.28 -3.33 0.68 -13.28 0.34 -1.42
t+20% 23 12 52.2 -1.59 0.27 2.41 -5.94 0.40 -13.47 0.37 -1.45
1st +’ve in 5 days 23 17 73.9 -0.71 0.46 0.86 -5.15 0.17 -10.60 0.40 -1.11
1st -‘ve in 5 days 23 21 91.3 0.99 -0.83 -1.19 1.12 1.06 1.87 10.53 3.78

21/23 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 99 basis points at the 1st negative close within in the next five trading days. 

below the historical instances of $SPY gains for 4 or more days in row , &  posts 4 or more consecutive green candles in row , & close is below 200-DMA, since Y2K

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
5-Oct-15 197.30 -0.34 0.47 1.38 1.44 1.54 0.47 -0.34
16-Sep-11 111.28 -1.00 -1.11 -4.02 -7.13 -6.57 -6.57 -1.00
15-Sep-11 110.63 0.59 -0.41 -0.53 -3.46 -6.58 0.59 -0.41
13-Jul-10 97.94 -0.01 0.02 -2.74 -2.16 -1.08 0.02 -0.01
12-Jul-10 96.48 1.51 1.50 1.53 -1.27 -0.68 1.51 -1.27
28-Jan-09 75.61 -3.25 -5.22 -5.50 -4.18 -4.65 -4.65 -3.25
4-Nov-08 86.18 -4.20 -9.51 -6.52 -7.75 -10.60 -10.60 -4.20
18-Aug-04 87.03 -0.29 0.41 0.15 0.29 0.97 0.41 -0.29
20-Mar-03 68.12 2.13 -1.26 -0.31 -0.82 -0.74 2.13 -1.26
6-Jan-03 71.83 -0.25 -1.69 -0.16 0.11 0.08 0.11 -0.25
3-Jan-03 70.59 1.76 1.51 0.04 1.60 1.87 1.76 1.87
15-Nov-02 70.28 -1.01 -1.14 1.06 2.94 2.21 1.06 -1.01
15-Oct-02 68.21 -2.42 -0.48 -0.07 1.66 0.92 1.66 -2.42
9-Aug-02 69.89 -0.73 -2.54 1.02 2.42 2.11 1.02 -0.73
31-Jul-02 69.79 -2.61 -4.79 -8.11 -5.01 -3.36 -3.36 -2.61
19-Dec-01 87.78 -0.98 -0.38 -0.57 -0.03 0.58 0.58 -0.98
6-Nov-01 85.21 -0.13 0.18 0.28 -0.33 1.91 0.18 -0.13
5-Jun-01 97.00 -0.83 -0.47 -1.40 -2.10 -2.27 -2.27 -0.83
21-May-01 99.15 -0.13 -1.82 -1.53 -2.70 -3.47 -3.47 -0.13
18-May-01 97.71 1.47 1.34 -0.38 -0.08 -1.26 1.47 -0.38
17-May-01 97.26 0.46 1.94 1.80 0.08 0.37 0.46 0.37
28-Dec-00 100.43 -1.89 -3.67 0.96 -0.13 -3.39 0.96 -1.89
27-Dec-00 100.13 0.30 -1.59 -3.38 1.27 0.18 0.30 -1.59

highlighted in the green under 1st -‘ve in 5 days column , were the prior , loss making trades for bears,

IV) not  only that $SPY posted gains for exactly 4 days in row , but each day’s gains were smaller than prior trading day , below the prior 5 instance .. 

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
4-Mar-16 200.43 ?? ?? ?? ?? ?? ?? ??
29-Apr-11 123.68 -0.15 -0.51 -1.17 -2.07 -1.63 -1.63 -0.15
21-Jul-08 107.56 1.13 1.68 -0.43 -0.45 -1.91 1.13 -0.43
21-Apr-06 107.25 -0.18 -0.59 -0.57 -0.09 0.24 0.24 -0.18
30-Jul-01 91.27 0.41 1.04 1.46 0.90 -0.46 0.41 -0.46
2-Mar-00 102.96 1.87 0.88 -1.07 -1.20 1.69 1.87 -1.07

as n is very , very small , i will not conclude anything , just found that rare pattern , and wanted to bring out to the reader’s notice

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