Trading the Odds

A statistical approach to profit in the US equity markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker.

Recovery Days and Happy End(s) ?

Recovery Days and Happy End(s)

On Wednesday, April 1, the market (SPY as a proxy) opened -1.24% lower, but closed on a very strong note +1.94% on the day.

Rob Hanna at Quantifiable Edges posted an interesting study concerning the markets (S&P 500) behavior over the course of the following 10 sessions buying on close any time the S&P closes over 1% below its high for the day but still positive (like Tuesday’s session). His bottom line (and I totally agree) is that many market participants interpret the inability of the market to hold on to its gains as a potential negative (bearish) sign, but market history tells otherwise.

I thought it would be interesting as well to inspect the markets (SPY) behavior after recovery days (lower open, higher close) like Wednesday’s session over the course of the following 10 sessions buying on close any time the SPY opens at least -0.50% lower, but closes up  more than +0.50% on the day (in order to increase the sample size I lowered the bar a bit)., closing the trade on close of the session x days later. Although the sample size is still small (15 occurrences), since 10/01/2007 the market shows a clear tendency of some follow-through of the trigger day’s strength (Wednesday’s session) on the day immediately following the trigger day (would be today’s session, 10 winner, 5 looser and an above-average profit factor greater than 1), but to reverse course over the next couple of sessions turning negative from the 2nd day onward with some exceptional weakness especially on day 4 and 5 after the signal was triggered (limited upside potential, 5 winner versus 10 looser, the average winning trader smaller than the average loosing trade and a profit factor significantly below 1 for an overall considerably negative expectancy almost always below the respective at-any-time profit factor).


(click on image to enlarge)

Even the time frame since 01/03/1995 shows comparable tendencies -but to a lesser extend- , positive on the session immediately following the trigger day, turning  slightly negative short term from the 2nd day onward (at least until day 5).


(click on image to enlarge)

Successful trading,


Filed under: Daily Update

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

Twitter Updates

  • w/ 18.30 at time of writing, the gap between $VIX and $VSTOXX is close to its all time closing low of 19.90, posted on 10/16/2008. 3 years ago
  • The $VIX gained 48.33% over the course of the last week. Since 1/2/1990 there were 38 other occurences w/ $VIX gained > 48% over 5 sessions. 4 years ago
  • On Friday iShares MSCI Brazil Capped ( $EWZ ) closed at 19.09 , a 11+ year low and its lowest level since 11/08/2004. 4 years ago
  • On Friday the Russell 2000 Index ( $RUT ) closed at 1,046.20 , a 2+ year low and its lowest level since 10/09/2013. 4 years ago
  • @QuantStratTradR Sorry, I didn't follow the entire communication. Link to what ? // @easyvolatility 4 years ago


The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website, including the information that others post here.

While every effort will be made to provide complete, the most accurate and current information, none of the information on this site is guaranteed to be correct, and anything written here should be subject to independent verification. I make no representations or warranties of any kind, express or implied, about the completeness, accuracy, reliability, suitability or availability with respect to this blog or the information, analysis, statistics, or related graphics contained on the blog for any purpose.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

Please read the full ... DISCLAIMER


April 2009
%d bloggers like this: