Jun

11

As we completed 110 trading days on Jun 10th 2014, we had 19 ATH readings. Below is a study with the details of rest of year returns from 110th trading day's close to last trading day close of the year, data since 1950, on $SPX

1) ROY %, when there is no single ATH reading as on 110th day

n    31
wins    20
% win    65%
avg (%)    3.15
med    6.04
max    29.04
min    -33.67
avg win    11.13
avg loss    -11.35
t-test    1.28

2)  ROY %, when there is at least a single ATH reading as on 110th day

n    33
wins    27
% win    82%
avg (%)    5.43
med    6.07
max    27.82
min    -16.89
avg win    8.59
avg loss    -8.77
t-test    3.62

3)  ROY %, when there are 10 ++ ATH readings as on 110th day

n    21
wins    20
% win    95%
avg (%)    8.73
med    9.93
max    27.82
min    -16.89
avg win    10.02
avg loss    -16.89
t-test    5.00

Birthday drinks are on me if you had guessed that -16.89% was the worst and the one and only loss is in the year 1987.


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