trading stats related to fridays selloff

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

 

oh yeah and the one time SP index didn't regain 3% within 3 weeks, the SP index was 1% higher 3 weeks later

 

Nice stats Jason

 

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.

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

 

Interesting stuff, thanks for sharing.

 

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.

 

So you have an 88% chance of making 3%, but what if the market drops 30% when you are wrong?

 

>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!