when $SPY rises from the lows of the day by more than 250 bps

when $SPY rises from the lows of the day by more than 250 bps

paststat single click backtesting engine

with $SPY rising by 2.56% from the lows of the day to close , as on 20 Jan 2016 , below

trading strategy rules

1) $SPY closes above the low of the day by more than 2.5%

below the trading odds for $SPY longs , for the next 1/2/3/4/5/10/20 trading days , since last 2010 , when $SPY rises by more than 2.5% from the lows of the day to the close .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 23 13 56.5 -0.10 0.26 1.25 -1.87 0.67 -6.51 0.77 -0.24
t+2 23 15 65.2 0.94 1.08 2.02 -1.08 1.88 -3.18 3.60 2.53
t+3 23 18 78.3 1.21 1.78 2.28 -2.63 0.86 -6.49 2.98 2.28
t+4 23 17 73.9 1.80 2.52 3.19 -2.14 1.49 -3.36 3.64 3.24
t+5 23 17 73.9 1.28 1.80 2.74 -2.84 0.96 -5.43 2.59 2.05
t+10 23 12 52.2 0.78 0.71 3.66 -2.36 1.55 -6.20 1.62 1.03
t+20 23 15 65.2 2.16 1.79 4.57 -2.38 1.93 -6.00 3.41 2.44
1st +’ve in 5 days 23 22 95.7 1.33 1.13 1.46 -1.63 0.90 -1.63 19.21 5.93
1st -‘ve in 5 days 23 17 73.9 0.22 -0.67 -1.60 3.69 0.43 6.55 0.93 0.36

22/23 times  $SPY closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 133 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 2.5% from the lows of the day to the close , and next 1/2/3/4/5 trading day returns

Date $SPY Cls/Low(%) t+1% t+2% t+3% t+4% t+5% 1st +’ve  in 5 days %
20-Jan-16 185.65 2.56 ?? ?? ?? ?? ?? ??
02-Oct-15 193.85 3.11 1.78 1.43 2.26 3.18 3.25 1.78
26-Aug-15 192.31 3.23 2.47 2.48 1.65 -1.38 0.49 2.47
24-Aug-15 187.4 3.89 -1.18 2.62 5.16 5.16 4.31 2.62
20-Dec-11 114.21 2.96 0.19 1.08 1.98 2.07 0.73 0.19
30-Nov-11 114.46 4.16 -0.02 -0.10 0.98 1.02 1.39 0.98
18-Oct-11 112.25 2.84 -1.18 -0.75 1.13 2.37 0.38 1.13
06-Oct-11 106.67 2.63 -0.67 2.65 2.76 3.66 3.45 2.65
05-Oct-11 104.78 2.55 1.81 1.13 4.51 4.61 5.53 1.81
04-Oct-11 102.87 4.57 1.85 3.69 3.00 6.44 6.55 1.85
26-Sep-11 106.45 2.89 1.12 -0.95 -0.16 -2.66 -5.43 1.12
29-Aug-11 110.56 2.80 0.26 0.71 -0.35 -2.89 -3.60 0.26
26-Aug-11 107.47 3.62 2.87 3.14 3.60 2.52 -0.10 2.87
23-Aug-11 106.08 3.43 1.41 -0.14 1.31 4.23 4.50 1.41
11-Aug-11 106.89 4.46 0.67 2.80 1.93 1.99 -2.40 0.67
09-Aug-11 107.03 6.54 -4.42 -0.13 0.54 2.67 1.80 0.54
05-Aug-11 109.4 2.76 -6.51 -2.17 -6.49 -2.29 -1.63 -1.63
20-Jul-10 96.88 2.51 -1.30 0.90 1.78 2.84 2.83 0.90
07-Jul-10 94.77 3.00 0.99 1.74 1.81 3.35 3.34 0.99
10-Jun-10 97.02 2.93 0.49 0.33 2.61 2.57 2.74 0.49
02-Jun-10 98.07 2.62 0.34 -3.18 -4.39 -3.36 -3.88 0.34
25-May-10 95.84 3.30 -0.60 2.73 1.44 -0.27 2.33 2.73
21-May-10 96.99 3.56 -1.28 -1.18 -1.78 1.51 0.24 1.51
06-May-10 100.39 7.56 -1.49 2.85 2.56 3.99 2.70 2.85

highlighted in the red were the loss making trades !! 

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