When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

When $SPY rises by more than 1% ahead of Fed Meeting

with $SPY rising by 1.36% , as on 26 Jan 2016 , ahead of fed meeting , below

trading strategy rules

1) $SPY gains by more than 1%

2) and tomorrow is Fed Day

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K , when $SPY rises by more than 1% ahead of Fed Meeting .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 18 10 55.6 0.54 0.45 1.62 -0.81 2.00 -2.68 2.03 1.42
t+2% 18 11 61.1 0.22 0.26 1.46 -1.75 0.84 -4.87 0.91 0.40
t+3% 18 7 38.9 -0.44 -0.87 2.01 -2.01 1.00 -5.31 0.46 -0.79
t+4% 18 9 50.0 0.22 -0.41 2.37 -1.93 1.23 -3.19 0.83 0.37
t+5% 18 10 55.6 0.26 0.04 1.71 -1.56 1.10 -3.59 0.79 0.45
t+10% 18 8 44.4 0.24 -0.36 3.17 -2.11 1.50 -4.26 1.15 0.34
t+20% 18 12 66.7 0.13 1.61 3.35 -6.30 0.53 -10.54 0.61 0.10
1st +’ve in 5 days 18 16 88.9 1.07 0.64 1.29 -0.74 1.74 -1.20 12.77 3.56
1st -‘ve in 5 days 18 14 77.8 0.45 -0.18 -0.83 0.87 0.96 1.95 2.79 1.77

16/18 times  $SPY closed higher than the current close at some point of time in the next five trading days .. with an average gain of 107 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 rising by more 1% , ahead of Fed Meeting and next 1/2/3/4/5 trading day returns

Date $SPY t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days% 1st -‘ve in 5 days%
26-Jan-16 190.20 ?? ?? ?? ?? ?? ?? ??
15-Dec-15 203.82 1.46 -0.08 -1.86 -1.05 -0.16 1.46 -0.08
28-Jul-15 207.02 0.69 0.71 0.56 0.22 0.02 0.69 0.02
28-Oct-14 193.33 -0.15 0.49 1.64 1.69 1.34 0.49 -0.15
21-Jun-11 117.93 -0.60 -0.89 -2.04 -1.17 0.12 0.12 -0.60
20-Sep-10 102.55 -0.20 -0.69 -1.50 0.53 0.05 0.53 -0.20
17-Mar-09 67.64 2.24 0.97 -1.18 5.92 3.83 2.24 -1.18
27-Jan-09 73.14 3.38 0.02 -2.01 -2.31 -0.93 3.38 -2.01
28-Oct-08 80.47 -0.73 2.71 3.27 3.57 7.09 2.71 -0.73
6-Aug-07 122.30 1.07 2.48 -0.56 -1.03 -0.67 1.07 -0.56
27-Jun-07 125.80 -0.01 0.02 0.92 1.29 1.18 0.02 -0.01
3-May-04 88.38 -0.08 0.56 -0.30 -1.95 -2.96 0.56 -0.08
17-Mar-03 67.06 0.59 1.36 1.58 3.75 0.30 0.59 0.30
5-Nov-01 83.90 1.55 1.42 1.73 1.84 1.22 1.55 1.22
*10-Sep-01 83.11 -5.22 -5.45 -7.36 -10.30 -11.27 -11.27 -5.22
17-Apr-01 89.81 3.97 5.36 4.39 2.50 1.95 3.97 1.95
19-Mar-01 88.38 -2.68 -4.34 -5.31 -2.45 -1.20 -1.20 -2.68
18-Dec-00 99.68 -2.04 -4.87 -4.21 -1.34 -0.28 -0.28 -2.04
14-Nov-00 104.17 0.31 -1.26 -1.79 -3.19 -2.70 0.31 -1.26
15-May-00 108.26 0.97 -0.09 -1.31 -2.86 -3.59 0.97 -0.09

*10-Sep-01 : excluded from above calculations .

highlighted in the red were the loss making trades !! 

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