4 down days

[fan27]

4 down days

go long at the close today. Sell at the close tomorrow ( Monday in this case). Here are the results since 1993 investing 50,000 worth of SPY.

Long Trades 91
Winning Trades 65
Losing Trades 26
Win Rate 0.714285714285714
Point gain\loss 27762.98
Dollar gain\loss 27582.98
Average Win 651.659692307692
Average Loss -568.342307692307
Largest Win 2979.25
Largest Loss -2864.75
Max Consec Win 15
Max Consec Loss 3
Max DD -3201.55
Expectancy 303.087692307693

 

[areyoukidding?]

thanks for the statistics.

 

[damir00]

65:26 is also roughly the ratio of bull years to bear years in the period tested...

 

[Free Thinker]

i took a few small pos at the close . qqq, csco, smh. hoping to sell premarket monday. we will see.

 

[fan27]

Quote from damir00:

65:26 is also roughly the ratio of bull years to bear years in the period tested...

No negative years during the test period. 2002 was the best year with a $6380.25 gain.

fan27

 

[damir00]

i'm aware of the stats - i put these scripts up on wealthlab a long long time ago. good luck!

 

[sunnyskies]

i wish WL had some other scripts worth looking at besides buying extreme lows..... o well

 

[EricP]

Quote from damir00:

65:26 is also roughly the ratio of bull years to bear years in the period tested...

That may be the case, but it certainly is not the ratio of bull <b>days</b> to bear <b>days</b>. I don't see any relevance with your comment of bull years to bear years?

Interesting statistic, fan27. Thanks.

-Eric

 

[dgabriel]

Quote from fan27:

4 down days

go long at the close today. Sell at the close tomorrow ( Monday in this case). Here are the results since 1993 investing 50,000 worth of SPY.

Long Trades 91
Winning Trades 65
Losing Trades 26
Win Rate 0.714285714285714
Point gain\loss 27762.98
Dollar gain\loss 27582.98
Average Win 651.659692307692
Average Loss -568.342307692307
Largest Win 2979.25
Largest Loss -2864.75
Max Consec Win 15
Max Consec Loss 3
Max DD -3201.55
Expectancy 303.087692307693

That's an interesting stat set. Have you tried examining other factors with the four down days, like the McClellan Oscillator, the VIX, TRIN, to see if any of these indicators have a reading consistent with the positive (or negative) outcomes for the 5th day? In fact, If you post the 91 dates, I'll take a look.

 

[damir00]

Quote from EricP:

That may be the case, but it certainly is not the ratio of bull <b>days</b> to bear <b>days</b>.

the position doesn't set up on one day.