trading stats related to fridays selloff

J

jasonjm

I trade the SP index by monitoring the vix, and love looking for histroical setups.

Just thought I should post an interesting trading stat related to fridays selloff

only 9 times in the last 12 years (12 years ago is from when I keep records) has the VIX had a back to back gain (in relative % to its current trading levels) of this magnitude.

of those 9 times:

within 3 weeks, 8 of the nine times the S&P recovered 3% of the SP index.... so statistically speaking, there is an 88% chance the SPX trades back to 1501 within 3 weeks from its 1458 close on friday.

Just thought it might interest someone on ET.

good luck all
 
Unfortunately the system designers, backtesters or staticians will show up and say that's not enough data to make the info useful.

I recently had someone tell me that a price pattern that appeared every year since 1990 and only failed twice wasn't useful info to trade.

In fact, he used the word meaningless and then said that I was just lucky. :confused:

I guess if it doesn't work 100% of the time, it has no merits.

I'm making fun of the TA don't work types.

Mark
(a.k.a. NihabaAshi) Japanese Candlestick term
 
Quote from NihabaAshi:

Unfortunately the system designers, backtesters or staticians will show up and say that's not enough data to make the info useful.

I recently had someone tell me that a price pattern that appeared every year since 1990 and only failed twice wasn't useful info to trade.

In fact, he used the word meaningless and then said that I was just lucky. :confused:

I guess if it doesn't work 100% of the time, it has no merits.

I'm making fun of the TA don't work types.

Mark
(a.k.a. NihabaAshi) Japanese Candlestick term
More...

There's a difference - your friend (or whatever) had 17 data points; this is only 9 data points; 17 is coming a lot closer to be normal than 9 is.
 
I think the time span of 12 years may be significant

this is not like looking for a setup on the 1 min futures chart and see it only happens 9 times

anyways lets see what happens, 3 weeks and counting, time will be the judge of this one, lol
 
Guys - look at the charts back in the fall of 1998...and this market is playing-out very similarly (and the panic is the same as well as the economic "event")
Back then, one day into the swoon, I placed orders for SPX puts, NDX puts, and IIX (internet) puts. I was only filled on the IIX puts as the market was moving so fast. (the puts had already doubled that day, so I was a bit pissed about "paying up" for them).

Within 5 days, the 3 puts were up $5000. Next day, there was a bullshit announcement by the fed and the market rallied fiercely...and my position went to +$2000. I was worried, but I held. Remember, the IIX was not that liquid. 3 days later, selling continued. It went to +$8000. Stupidly, I placed a limit order to sell at a price which would yield me $10,000 profit. 2 days later that order was filled.
Within 2 weeks, and close to expiration, those 3 tiny puts went to +$30,000.
 
>within 3 weeks, 8 of the nine times the S&P recovered 3% of the SP index.... so statistically speaking, there is an 88% chance the SPX trades back to 1501 within 3 weeks from its 1458 close on friday.
......................................

That's great news, I will be ready to short again!

Thanks for the heads up stats!

"Short every Rally attempt"

Cheers!
 
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