Trading the Odds on Wednesday – April 1, 2009
On Wednesday, April 1, the market did exactly the opposite of what -from a statistical point of view concerning the ’5 Highs’ setup triggered on Tuesday’s session- it was supposed to do: It opened lower (not surprisingly), but almost immediately went straight up and never looked back for the strongest of those (now) 44 occurrences which fulfilled the ’5 highs’ setup since 10/01/2007 (see my posting Trading the Odds on Wednesday – April 1, 2009). As if the market wanted to show us that we always utilize probabilities and not certainties.
NYSE breadth (ratio of advancing / declining issues) was positive 3:1 the second day in a row, and the McClellan closed at +176, above +100 the second day in a row and rising (greater than yesterday’s McClellan of 110). Since 01/03/2007, a NYSE McClellan above +100 two running days still rising on the second day was regularly a sign that the SPY (as a proxy) was trading lower the day when the NYSE McClellan fell back under +100 again.
The following table shows the SPY‘ behavior and the respective performance of those 50 occurrences/trades since 01/03/2007 assumed one would have shorted the SPY on close of the day the signal was triggered (2nd day with a McClellan above +100, still rising) and covered on close of the day when the NYSE McClellan fell back under +100 again (overlapping trades are allowed for):
(Date: signal triggered, and SPY shorted on close of the session; McClellan: McClellan on the trigger date; Profit/Loss: not the SPY’s performance but the trade’s performance; Trade closed x days later: speaks for itself; Drawdown: percentage loss based on SPY’s closing quotations while the respective trade was open)
Performance:
Win/Loss Ratio: 45 winner, 5 looser (Win/Loss Ratio 90%)
Average Gain per Trade: 2.73%
Average Loss per Trade: -2.65%
Maximum Loss per Trade: -4.28%
Maximum Drawdown per Trade: -9.56%
Time in Market: 8.87%
Profit Factor: 9.28
There were periods in the market when it took a long(er) time to get the trade closed, and one had to face some large drawdowns. That could very well indicate that -especially with respect to the fact that NYSE breadth was especially strong two days in a row, and the market closed significantly higher altough it was -from a statistical point of view- supposed to close lower- there may still be some additional upside potential in store.
But don’t forget: This is provided for statistical and informational purposes only and should not be interpreted or regarded as an investment advice or to state or imply that past results are an indication of future performance.
| No. | Date | NYSE McClellan |
Profit/Loss | Trade closed x days later |
Drawdown |
| 1 | 03/26/2009 | 296 | +5,26% | 2 | - |
| 2 | 03/25/2009 | 234 | +3,22% | 3 | -2,04% |
| 3 | 03/23/2009 | 293 | +4,14% | 5 | -1,08% |
| 4 | 03/18/2009 | 330 | +1,02% | 8 | -3,98% |
| 5 | 03/17/2009 | 260 | -1,22% | 9 | -6,31% |
| 6 | 03/16/2009 | 185 | -4,28% | 10 | -9,56% |
| 7 | 03/13/2009 | 171 | -3,98% | 11 | -9,23% |
| 8 | 01/08/2009 | 235 | +4,55% | 2 | - |
| 9 | 01/06/2009 | 386 | +7,13% | 4 | - |
| 10 | 01/05/2009 | 348 | +6,46% | 5 | -0,67% |
| 11 | 01/02/2009 | 344 | +6,58% | 6 | -0,55% |
| 12 | 12/31/2008 | 278 | +3,57% | 7 | -3,58% |
| 13 | 12/30/2008 | 194 | +2,14% | 8 | -5,06% |
| 14 | 12/19/2008 | 185 | +2,32% | 2 | - |
| 15 | 12/17/2008 | 203 | +5,42% | 4 | - |
| 16 | 12/12/2008 | 167 | +1,39% | 1 | - |
| 17 | 12/10/2008 | 247 | +2,61% | 3 | - |
| 18 | 12/08/2008 | 282 | +3,57% | 5 | - |
| 19 | 12/05/2008 | 205 | +0,08% | 6 | -3,49% |
| 20 | 12/03/2008 | 234 | -0,69% | 8 | -4,21% |
| 21 | 12/02/2008 | 190 | -3,09% | 9 | -6,72% |
| 22 | 11/28/2008 | 235 | +1,92% | 11 | -1,01% |
| 23 | 11/04/2008 | 321 | +9,74% | 2 | - |
| 24 | 11/03/2008 | 244 | +6,35% | 3 | -3,40% |
| 25 | 10/31/2008 | 236 | +6,06% | 4 | -3,70% |
| 26 | 08/28/2008 | 189 | +4,79% | 4 | - |
| 27 | 08/15/2008 | 114 | +1,37% | 1 | - |
| 28 | 08/11/2008 | 169 | +1,64% | 2 | - |
| 29 | 08/06/2008 | 154 | +1,49% | 1 | - |
| 30 | 07/30/2008 | 187 | +2,78% | 3 | - |
| 31 | 07/23/2008 | 208 | +2,08% | 1 | - |
| 32 | 07/22/2008 | 177 | +1,53% | 2 | -0,54% |
| 33 | 05/02/2008 | 119 | +0,48% | 1 | - |
| 34 | 04/28/2008 | 112 | +0,39% | 1 | - |
| 35 | 04/03/2008 | 177 | +0,88% | 4 | - |
| 36 | 04/02/2008 | 168 | +0,64% | 5 | -0,25% |
| 37 | 02/01/2008 | 261 | +3,94% | 2 | - |
| 38 | 01/31/2008 | 184 | +2,33% | 3 | -1,61% |
| 39 | 01/29/2008 | 152 | +1,24% | 5 | -2,70% |
| 40 | 12/10/2007 | 221 | +2,74% | 1 | - |
| 41 | 12/06/2007 | 215 | +1,99% | 3 | -0,76% |
| 42 | 10/09/2007 | 146 | +0,65% | 2 | - |
| 43 | 10/05/2007 | 181 | +0,24% | 4 | -0,40% |
| 44 | 10/02/2007 | 163 | +0,20% | 1 | - |
| 45 | 09/21/2007 | 131 | +0,18% | 1 | - |
| 46 | 09/19/2007 | 197 | +1,09% | 3 | - |
| 47 | 09/06/2007 | 182 | +1,39% | 1 | - |
| 48 | 09/04/2007 | 259 | +2,03% | 3 | - |
| 49 | 08/24/2007 | 231 | +3,13% | 2 | - |
| 50 | 03/21/2007 | 192 | +0,30% | 4 | -0,07% |
Successful trading,
Frank
Filed under: Daily Update
