$XJO down for four days in row on Monday – what next
with XJO ( ASX 200 Index ) down for four days in row , we looked at the below scenarios
Here are the trading strategy rules:
- XJO closed down for four or more trading days in row
- go long at close
- Exit at four trading days later
Below the trading odds for the the longs
- Winners : 80
- Losers : 50
- % Winners : 62%
- Average Change % : 0.64
- Median Change % : 0.49
- Maximum Gain % : 11.25
- Maximum Loss % : -10.72
- Average Gain %if Winner : 2.17
- Average Loss % if Loser : -1.84
- Average Gain % / Average Loss % : 1.18
- Profit Factor : 1.67
What if today is Monday ?
here are the modified trading strategy rules
- XJO closed down for four or more trading days in row
- and today is Monday
- go long at close
- Exit at four trading days later
here is the back-test perfromance summary of $XJO down for four days in row on Monday since Jan 2002.
that’s an average gain expectation of 1% !!
Below the prior instances of $XJO down for four days in row on Monday and the returns four days later( the idea is to exit the positions by weekend / Friday)
| Date | Close | # Down Days | Change after 4 days | Change % |
| 19-Aug-13 | 5112.5 | 4 | ?? | ?? |
| 27-May-13 | 4959.9 | 5 | -33.30 | -0.67 |
| 04-Jun-12 | 3985 | 4 | 78.70 | 1.97 |
| 08-Aug-11 | 3986.1 | 5 | 186.50 | 4.68 |
| 06-Jun-11 | 4569.1 | 4 | -7.00 | -0.15 |
| 14-Mar-11 | 4626.4 | 4 | 0.00 | 0.00 |
| 28-Jun-10 | 4384.5 | 5 | -145.80 | -3.33 |
| 05-Oct-09 | 4573.3 | 4 | 179.60 | 3.93 |
| 27-Oct-08 | 3809.2 | 4 | 208.80 | 5.48 |
| 14-Apr-08 | 5342.4 | 5 | 87.30 | 1.63 |
| 21-Jan-08 | 5580.4 | 11 | 279.90 | 5.02 |
| 14-Jan-08 | 5980 | 6 | -232.70 | -3.89 |
| 17-Dec-07 | 6263.5 | 4 | -16.50 | -0.26 |
| 05-Mar-07 | 5653.6 | 5 | 176.60 | 3.12 |
| 08-Jan-07 | 5502 | 4 | 136.80 | 2.49 |
| 11-Sep-06 | 5026 | 4 | 10.40 | 0.21 |
| 27-Jun-05 | 4231.2 | 6 | 41.40 | 0.98 |
| 18-Apr-05 | 3959.4 | 4 | 74.70 | 1.89 |
| 09-Aug-04 | 3509.2 | 4 | -31.40 | -0.89 |
| 03-May-04 | 3382.3 | 6 | 10.90 | 0.32 |
| 27-Oct-03 | 3244.4 | 4 | 27.60 | 0.85 |
| 15-Sep-03 | 3189.8 | 4 | 28.30 | 0.89 |
| 19-May-03 | 2948.6 | 4 | 49.10 | 1.67 |
| 23-Sep-02 | 3046.7 | 4 | -37.80 | -1.24 |
| 24-Jun-02 | 3235.3 | 4 | -19.30 | -0.60 |
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do check out XJO Quant : High Probability Trading Setups on ASX 200 Index