when $SPY best one day gain in a year
with $SPY posting a best one day gain in terms of percentages in a year ( i;e 250 trading days) below trading strategy rule
1) $SPY posts biggest one day percentage rally in a 250 trading days
below the returns for $SPY longs over the next 1/2/3/4/5 trading days , since Y2K
| Exit | # | Wins | % Wins | Avg% | Med% | Avg Win % | Avg Loss % | Pay Off | Max Loss % | OAPF |
| t+1 | 25 | 6 | 24.0 | -0.63 | -0.54 | 0.67 | -1.04 | 0.65 | -4.42 | 0.09 |
| t+2 | 25 | 11 | 44.0 | -1.14 | -0.13 | 0.78 | -2.64 | 0.29 | -11.18 | 0.15 |
| t+3 | 25 | 11 | 44.0 | -0.80 | -0.15 | 1.47 | -2.59 | 0.57 | -7.48 | 0.32 |
| t+4 | 25 | 8 | 32.0 | -0.85 | -0.44 | 2.09 | -2.23 | 0.94 | -8.03 | 0.25 |
| t+5 | 25 | 12 | 48.0 | -0.39 | -0.10 | 1.72 | -2.34 | 0.74 | -7.51 | 0.42 |
| 1st +’ve exit in 5 days % | 25 | 17 | 68.0 | -0.55 | 0.28 | 0.69 | -3.20 | 0.22 | -7.51 | 0.27 |
| 1st -‘ve exit in 5 days % | 25 | 24 | 96.0 | 0.86 | -0.71 | -0.95 | 1.36 | 0.70 | 1.36 | 8.89 |
24/25 times $SPY closed lower than the current trading day’s close , at-least once in the next five trading days at close , with an average loss of 86 bps and a median of 71 bps
PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )
for the row “1st -‘ve cls in 5 days ” all the columns are calculated with the assumption the he/she goes short at the strategy trigger close and covers the lower close than the current days close ( 26th Mar 2018 close ) , or at the end of the 5th trading day at close
below the historical returns of $SPY after posting biggest one day gainer in a year , since Y2K
| Date | Close | t% | t+1% | t+2% | t+3% | t+4% | t+5% | 1st +’ve exit in 5 days % | 1st -‘ve exit in 5 days % | #days to 1st +’ve cls | #day to 1st -‘ve cls |
| 26-Mar-18 | 265.11 | 2.74 | ?? | ?? | ?? | ?? | ?? | ?? | ?? | ?? | ?? |
| 06-Feb-18 | 268.05 | 1.97 | -0.54 | -4.27 | -2.84 | -1.41 | -1.16 | -1.16 | -0.54 | 5 | 1 |
| 26-Jan-18 | 285.43 | 1.16 | -0.66 | -1.68 | -1.63 | -1.74 | -3.88 | -3.88 | -0.66 | 5 | 1 |
| 26-Aug-15 | 183.90 | 3.84 | 2.47 | 2.48 | 1.65 | -1.38 | 0.49 | 2.47 | -1.38 | 1 | 4 |
| 18-Dec-14 | 192.69 | 2.47 | 0.42 | 0.89 | 1.02 | 1.03 | 1.36 | 0.42 | 1.36 | 1 | 5 |
| 21-Oct-14 | 180.84 | 1.98 | -0.71 | 0.44 | 1.22 | 1.08 | 2.24 | 0.44 | -0.71 | 2 | 1 |
| 08-Oct-14 | 183.24 | 1.75 | -1.98 | -3.10 | -4.69 | -4.55 | -5.19 | -5.19 | -1.98 | 5 | 1 |
| 02-Jan-13 | 131.58 | 2.56 | -0.23 | 0.21 | -0.06 | -0.35 | -0.10 | 0.21 | -0.23 | 2 | 1 |
| 09-Aug-11 | 102.36 | 4.65 | -4.42 | -0.13 | 0.54 | 2.67 | 1.80 | 0.54 | -4.42 | 3 | 1 |
| 10-May-10 | 98.75 | 4.40 | -0.28 | 1.11 | -0.15 | -1.95 | -1.90 | 1.11 | -0.28 | 2 | 1 |
| 13-Oct-08 | 83.18 | 14.52 | -1.48 | -11.18 | -7.48 | -8.03 | -2.51 | -2.51 | -1.48 | 5 | 1 |
| 18-Mar-08 | 107.98 | 4.15 | -2.48 | -0.68 | 1.31 | 1.40 | 0.16 | 1.31 | -2.48 | 3 | 1 |
| 11-Mar-08 | 107.15 | 3.59 | -0.94 | -0.72 | -2.25 | -3.24 | 0.78 | 0.78 | -0.94 | 5 | 1 |
| 28-Nov-07 | 118.28 | 3.20 | 0.03 | 1.04 | 0.37 | -0.52 | 1.14 | 0.03 | -0.52 | 1 | 4 |
| 13-Nov-07 | 119.04 | 3.05 | -0.28 | -1.72 | -1.55 | -2.92 | -2.32 | -2.32 | -0.28 | 5 | 1 |
| 18-Sep-07 | 121.98 | 2.94 | 0.59 | -0.12 | 0.15 | -0.03 | -0.23 | 0.59 | -0.12 | 1 | 2 |
| 29-Aug-07 | 117.25 | 1.96 | -0.27 | 0.72 | 1.73 | 0.85 | 1.09 | 0.72 | -0.27 | 2 | 1 |
| 17-Aug-07 | 115.78 | 1.84 | -0.05 | 0.15 | 1.34 | 1.25 | 2.50 | 0.15 | -0.05 | 2 | 1 |
| 15-Jun-06 | 98.65 | 2.12 | -0.73 | -1.51 | -1.17 | -0.44 | -0.88 | -0.88 | -0.73 | 5 | 1 |
| 21-Apr-05 | 89.17 | 1.94 | -0.38 | 0.28 | -0.70 | -0.31 | -1.56 | 0.28 | -0.38 | 2 | 1 |
| 01-Oct-04 | 86.34 | 1.69 | 0.17 | 0.22 | 0.91 | -0.18 | -1.00 | 0.17 | -0.18 | 1 | 4 |
| 24-Jul-02 | 62.04 | 5.97 | -0.85 | 1.04 | 5.96 | 7.34 | 7.60 | 1.04 | -0.85 | 2 | 1 |
| 05-Jul-02 | 72.73 | 3.98 | -1.25 | -3.74 | -7.24 | -6.48 | -7.51 | -7.51 | -1.25 | 5 | 1 |
| 08-May-02 | 79.55 | 3.72 | -1.16 | -3.02 | -1.05 | 1.11 | 0.72 | 1.11 | -1.16 | 4 | 1 |
| 03-Jan-01 | 96.99 | 4.80 | -1.08 | -4.31 | -3.56 | -3.82 | -2.13 | -2.13 | -1.08 | 5 | 1 |
| 07-Jan-00 | 103.61 | 5.81 | 0.34 | -0.86 | -1.84 | -0.51 | 0.84 | 0.34 | -0.86 | 1 | 2 |
highlighted in red is the only instance , since Y2K , when $SPY failed to lower than entry before 5 trading days
ps: busy with a book editing that we are publishing in few weeks down the line , so is the reason for break from blogging
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