Positioning in SPY: Navigating Volatility in August & September
Disclaimer: The following article is based on a combination of data obtained from TradingView's seasonality indicator and Python code that analyzes seasonality on a 52-week basis over a 10-20 year period. The Kelly method discussed is simply a risk management tactic and should not be interpreted as financial advice. All data and analysis presented are made in good faith and are intended to advocate for data-driven position sizing rather than encouraging or discouraging any specific bullish or bearish positions. Readers should conduct their own research or consult with a financial advisor before making any investment decisions.
As we approach the late summer months, it's critical to consider the historical patterns of SPY (the S&P 500 ETF) and position oneself strategically to minimize potential losses while also capturing upside opportunities. August and September have often been challenging months for the market, characterized by heightened volatility and occasional sharp declines. However, completely staying out of the market can result in missed opportunities, especially if the market defies historical trends and rallies. Here’s how to balance these risks with a prudent strategy.
Historical Performance and Seasonality
Historically, SPY tends to experience increased volatility during the late summer, with some of the most significant drops often occurring in these months. From the data, Week 33, for instance, shows a mean return of -0.59% with only 42.86% positive returns. Week 39, even worse, shows an average return of -0.88%, with just 14.29% of the weeks ending in positive territory over the past decade.
The seasonality chart provided further reinforces this pattern, showing consistent negative returns during late August and September in previous years. This suggests a cautious approach is warranted.
Technical Indicators: Avoiding Overbought Conditions
When entering a position in SPY during this volatile period, it is essential to avoid buying when the market is overbought, as indicated by the RSI (Relative Strength Index) and Bollinger Bands (BB).
RSI Considerations: The RSI is a momentum indicator that measures the speed and change of price movements. An RSI above 70 typically signals that an asset is overbought, and a pullback may be imminent. Before entering a position, ensure that the RSI is below 70, preferably closer to 50 or lower, indicating neutral to slightly oversold conditions.
20-Day Bollinger Bands (BB): Bollinger Bands plot standard deviations above and below a moving average. When the price touches or exceeds the upper Bollinger Band, it may indicate that the asset is overbought. Waiting for the price to either move back within the bands or approach the lower band provides a better entry point.
52-Week Bollinger Bands: This is a broader timeframe that can help avoid long-term overbought conditions. Ensure SPY is not trading above the upper 52-week Bollinger Band to avoid entering at potentially unsustainable price levels.
Kelly Method and Raw Data to Consider:
Betting Calendar Using Kelly Method
Kelly Criterion for Position Sizing:
Determine Kelly Fraction:
b = net odds received on the wager
p = probability of winning (positive return)
q = probability of losing (negative return)
For each week, calculate the Kelly ratio based on historical data.
Adjust the bet size each week according to the Kelly ratio, focusing on the following:
High Kelly Ratio (>0.2): Increase exposure to TQQQ.
Moderate Kelly Ratio (0 to 0.2): Hold current positions or add conservatively.
Ticker: SPY, Week: 1
Volatility: 0.0257
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.57%
Standard Deviation: 2.57%
Highest Return: 3.46% in 2012
Lowest Return: -5.99% in 2016
Mean Volume: 111390641.79
Highest Volume: 181713040.00 in 2016
Lowest Volume: 68430450.00 in 2020
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 2
Volatility: 0.0143
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.46%
Standard Deviation: 1.43%
Highest Return: 2.66% in 2023
Lowest Return: -2.09% in 2016
Mean Volume: 107009064.29
Highest Volume: 229416540.00 in 2016
Lowest Volume: 53189780.00 in 2020
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 3
Volatility: 0.0244
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.04%
Standard Deviation: 2.44%
Highest Return: 2.87% in 2019
Lowest Return: -5.88% in 2022
Mean Volume: 128605387.86
Highest Volume: 261616225.00 in 2010
Lowest Volume: 53442500.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 4
Volatility: 0.0179
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.13%
Standard Deviation: 1.79%
Highest Return: 2.46% in 2023
Lowest Return: -3.35% in 2021
Mean Volume: 129307826.43
Highest Volume: 259350300.00 in 2010
Lowest Volume: 66549675.00 in 2020
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 5
Volatility: 0.0245
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.17%
Standard Deviation: 2.45%
Highest Return: 4.69% in 2021
Lowest Return: -3.93% in 2018
Mean Volume: 129932678.57
Highest Volume: 285445020.00 in 2010
Lowest Volume: 57701560.00 in 2021
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 6
Volatility: 0.0207
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.29%
Standard Deviation: 2.07%
Highest Return: 3.23% in 2020
Lowest Return: -5.00% in 2018
Mean Volume: 132183114.29
Highest Volume: 269419900.00 in 2018
Lowest Volume: 45315460.00 in 2021
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 7
Volatility: 0.0156
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.48%
Standard Deviation: 1.56%
Highest Return: 4.37% in 2018
Lowest Return: -1.39% in 2022
Mean Volume: 103561883.93
Highest Volume: 186139025.00 in 2010
Lowest Volume: 52002260.00 in 2020
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 8
Volatility: 0.0131
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.22%
Standard Deviation: 1.31%
Highest Return: 1.62% in 2016
Lowest Return: -2.68% in 2023
Mean Volume: 118643622.50
Highest Volume: 215704675.00 in 2011
Lowest Volume: 69515225.00 in 2019
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 9
Volatility: 0.0356
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: -0.24%
Standard Deviation: 3.56%
Highest Return: 3.14% in 2010
Lowest Return: -11.63% in 2020
Mean Volume: 133841187.14
Highest Volume: 248820940.00 in 2020
Lowest Volume: 66189040.00 in 2019
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 10
Volatility: 0.0225
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.01%
Standard Deviation: 2.25%
Highest Return: 3.60% in 2018
Lowest Return: -4.59% in 2023
Mean Volume: 127773401.43
Highest Volume: 226098020.00 in 2020
Lowest Volume: 74267920.00 in 2017
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 11
Volatility: 0.0327
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.04%
Standard Deviation: 3.27%
Highest Return: 6.03% in 2022
Lowest Return: -8.53% in 2020
Mean Volume: 144256381.43
Highest Volume: 312592900.00 in 2020
Lowest Volume: 74846600.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 12
Volatility: 0.0456
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.84%
Standard Deviation: 4.56%
Highest Return: 2.75% in 2011
Lowest Return: -14.70% in 2020
Mean Volume: 132598345.71
Highest Volume: 304677680.00 in 2020
Lowest Volume: 76852900.00 in 2022
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 13
Volatility: 0.0295
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 1.62%
Standard Deviation: 2.95%
Highest Return: 10.86% in 2020
Lowest Return: -2.23% in 2015
Mean Volume: 119388588.93
Highest Volume: 268584800.00 in 2020
Lowest Volume: 72870220.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 14
Volatility: 0.0135
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: -0.03%
Standard Deviation: 1.35%
Highest Return: 2.69% in 2021
Lowest Return: -1.88% in 2020
Mean Volume: 108302020.36
Highest Volume: 173805360.00 in 2020
Lowest Volume: 58710140.00 in 2019
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 15
Volatility: 0.0349
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.97%
Standard Deviation: 3.49%
Highest Return: 11.70% in 2020
Lowest Return: -2.62% in 2014
Mean Volume: 112186273.93
Highest Volume: 183315525.00 in 2020
Lowest Volume: 59426200.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 16
Volatility: 0.0162
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.42%
Standard Deviation: 1.62%
Highest Return: 3.10% in 2020
Lowest Return: -2.66% in 2022
Mean Volume: 110959992.14
Highest Volume: 181774480.00 in 2013
Lowest Volume: 57181675.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 17
Volatility: 0.0167
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.20%
Standard Deviation: 1.67%
Highest Return: 1.97% in 2011
Lowest Return: -3.20% in 2022
Mean Volume: 105344894.29
Highest Volume: 252752120.00 in 2010
Lowest Volume: 50297380.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 18
Volatility: 0.0204
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.52%
Standard Deviation: 2.04%
Highest Return: 1.97% in 2013
Lowest Return: -6.46% in 2010
Mean Volume: 129276537.14
Highest Volume: 431397980.00 in 2010
Lowest Volume: 64171980.00 in 2017
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 19
Volatility: 0.0170
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: 0.17%
Standard Deviation: 1.70%
Highest Return: 3.38% in 2020
Lowest Return: -2.27% in 2022
Mean Volume: 115531918.57
Highest Volume: 305934080.00 in 2010
Lowest Volume: 54062740.00 in 2017
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 20
Volatility: 0.0196
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: -0.80%
Standard Deviation: 1.96%
Highest Return: 2.15% in 2013
Lowest Return: -4.40% in 2012
Mean Volume: 131334362.86
Highest Volume: 422473400.00 in 2010
Lowest Volume: 63334740.00 in 2018
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 21
Volatility: 0.0192
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.20%
Standard Deviation: 1.92%
Highest Return: 6.44% in 2022
Lowest Return: -1.06% in 2019
Mean Volume: 108077414.29
Highest Volume: 322970300.00 in 2010
Lowest Volume: 53396320.00 in 2017
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 22
Volatility: 0.0183
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.36%
Standard Deviation: 1.83%
Highest Return: 2.98% in 2020
Lowest Return: -2.98% in 2012
Mean Volume: 118720716.07
Highest Volume: 285811750.00 in 2010
Lowest Volume: 54347825.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 23
Volatility: 0.0265
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.88%
Standard Deviation: 2.65%
Highest Return: 4.86% in 2020
Lowest Return: -5.10% in 2022
Mean Volume: 113514415.71
Highest Volume: 284485100.00 in 2010
Lowest Volume: 48743300.00 in 2021
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 24
Volatility: 0.0234
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.56%
Standard Deviation: 2.34%
Highest Return: 2.58% in 2023
Lowest Return: -5.77% in 2022
Mean Volume: 124912205.71
Highest Volume: 242089180.00 in 2011
Lowest Volume: 53561320.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 25
Volatility: 0.0248
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.42%
Standard Deviation: 2.48%
Highest Return: 6.50% in 2022
Lowest Return: -3.49% in 2010
Mean Volume: 123611130.36
Highest Volume: 242877220.00 in 2010
Lowest Volume: 56641500.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 26
Volatility: 0.0273
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: 0.19%
Standard Deviation: 2.73%
Highest Return: 5.49% in 2011
Lowest Return: -5.34% in 2010
Mean Volume: 119984470.00
Highest Volume: 288655960.00 in 2010
Lowest Volume: 53019340.00 in 2021
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 27
Volatility: 0.0184
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.23%
Standard Deviation: 1.84%
Highest Return: 5.54% in 2010
Lowest Return: -1.18% in 2015
Mean Volume: 101717657.14
Highest Volume: 216636675.00 in 2010
Lowest Volume: 54238625.00 in 2017
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 28
Volatility: 0.0147
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.47%
Standard Deviation: 1.47%
Highest Return: 2.73% in 2013
Lowest Return: -2.01% in 2011
Mean Volume: 101748738.57
Highest Volume: 212156300.00 in 2011
Lowest Volume: 47308740.00 in 2019
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 29
Volatility: 0.0121
Positive Returns: 92.86%
Kelly Ratio: 0.4286
Mean Return: 1.20%
Standard Deviation: 1.21%
Highest Return: 3.50% in 2010
Lowest Return: -1.16% in 2019
Mean Volume: 96302982.86
Highest Volume: 241240100.00 in 2010
Lowest Volume: 43331520.00 in 2019
Net Odds Received on the Wager: 13.00
Probability of Winning (Positive Return): 92.86%
Probability of Losing (Negative Return): 7.14%
Kelly Fraction: 0.9231
Ticker: SPY, Week: 30
Volatility: 0.0186
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.17%
Standard Deviation: 1.86%
Highest Return: 4.25% in 2022
Lowest Return: -3.95% in 2011
Mean Volume: 94711455.71
Highest Volume: 206386080.00 in 2011
Lowest Volume: 47178800.00 in 2019
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 31
Volatility: 0.0254
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: -0.43%
Standard Deviation: 2.54%
Highest Return: 1.93% in 2010
Lowest Return: -7.27% in 2011
Mean Volume: 115657112.86
Highest Volume: 443923300.00 in 2011
Lowest Volume: 49893820.00 in 2021
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 32
Volatility: 0.0170
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.06%
Standard Deviation: 1.70%
Highest Return: 3.28% in 2022
Lowest Return: -3.65% in 2010
Mean Volume: 121728574.29
Highest Volume: 576882260.00 in 2011
Lowest Volume: 41395180.00 in 2021
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 33
Volatility: 0.0157
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.59%
Standard Deviation: 1.57%
Highest Return: 1.28% in 2014
Lowest Return: -4.62% in 2011
Mean Volume: 108393427.14
Highest Volume: 346468900.00 in 2011
Lowest Volume: 51346820.00 in 2020
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 34
Volatility: 0.0249
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.06%
Standard Deviation: 2.49%
Highest Return: 4.71% in 2011
Lowest Return: -5.62% in 2015
Mean Volume: 107049027.14
Highest Volume: 295991640.00 in 2011
Lowest Volume: 47916700.00 in 2020
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 35
Volatility: 0.0189
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.86%
Standard Deviation: 1.89%
Highest Return: 3.77% in 2010
Lowest Return: -3.26% in 2022
Mean Volume: 112448182.86
Highest Volume: 330178540.00 in 2015
Lowest Volume: 48893060.00 in 2020
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 36
Volatility: 0.0202
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.28%
Standard Deviation: 2.02%
Highest Return: 3.63% in 2022
Lowest Return: -3.34% in 2015
Mean Volume: 109450437.14
Highest Volume: 281424250.00 in 2011
Lowest Volume: 62207775.00 in 2019
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 37
Volatility: 0.0237
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.59%
Standard Deviation: 2.37%
Highest Return: 5.27% in 2011
Lowest Return: -4.79% in 2022
Mean Volume: 116355140.71
Highest Volume: 301800640.00 in 2011
Lowest Volume: 53333260.00 in 2018
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 38
Volatility: 0.0249
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.60%
Standard Deviation: 2.49%
Highest Return: 2.09% in 2010
Lowest Return: -6.69% in 2011
Mean Volume: 121164171.43
Highest Volume: 319570860.00 in 2011
Lowest Volume: 50468560.00 in 2017
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 39
Volatility: 0.0093
Positive Returns: 14.29%
Kelly Ratio: -0.3571
Mean Return: -0.88%
Standard Deviation: 0.93%
Highest Return: 0.72% in 2017
Lowest Return: -2.91% in 2022
Mean Volume: 118843855.71
Highest Volume: 289125120.00 in 2011
Lowest Volume: 61372040.00 in 2018
Net Odds Received on the Wager: 0.17
Probability of Winning (Positive Return): 14.29%
Probability of Losing (Negative Return): 85.71%
Kelly Fraction: -5.0000
Ticker: SPY, Week: 40
Volatility: 0.0106
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.71%
Standard Deviation: 1.06%
Highest Return: 2.34% in 2011
Lowest Return: -1.00% in 2018
Mean Volume: 124806368.57
Highest Volume: 335776200.00 in 2011
Lowest Volume: 65191120.00 in 2017
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 41
Volatility: 0.0272
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.45%
Standard Deviation: 2.72%
Highest Return: 5.83% in 2011
Lowest Return: -4.13% in 2018
Mean Volume: 119517347.14
Highest Volume: 229047120.00 in 2011
Lowest Volume: 45680060.00 in 2017
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 42
Volatility: 0.0159
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 0.74%
Standard Deviation: 1.59%
Highest Return: 4.63% in 2022
Lowest Return: -2.39% in 2023
Mean Volume: 121403802.86
Highest Volume: 262503400.00 in 2014
Lowest Volume: 49223620.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 43
Volatility: 0.0239
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.63%
Standard Deviation: 2.39%
Highest Return: 4.17% in 2014
Lowest Return: -3.95% in 2018
Mean Volume: 114093008.57
Highest Volume: 275998580.00 in 2011
Lowest Volume: 40530800.00 in 2019
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 44
Volatility: 0.0296
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.40%
Standard Deviation: 2.96%
Highest Return: 5.72% in 2023
Lowest Return: -5.64% in 2020
Mean Volume: 115418818.10
Highest Volume: 286001300.00 in 2011
Lowest Volume: 53817900.00 in 2021
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 45
Volatility: 0.0265
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 1.41%
Standard Deviation: 2.65%
Highest Return: 7.05% in 2020
Lowest Return: -2.39% in 2012
Mean Volume: 110731115.71
Highest Volume: 236163280.00 in 2011
Lowest Volume: 50666320.00 in 2019
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 46
Volatility: 0.0188
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.13%
Standard Deviation: 1.88%
Highest Return: 2.30% in 2023
Lowest Return: -3.73% in 2011
Mean Volume: 105487707.14
Highest Volume: 225310040.00 in 2011
Lowest Volume: 49888620.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 47
Volatility: 0.0241
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.04%
Standard Deviation: 2.41%
Highest Return: 3.62% in 2012
Lowest Return: -4.69% in 2011
Mean Volume: 89905267.86
Highest Volume: 192498150.00 in 2011
Lowest Volume: 47535550.00 in 2017
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 48
Volatility: 0.0226
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 1.52%
Standard Deviation: 2.26%
Highest Return: 7.19% in 2011
Lowest Return: -1.17% in 2021
Mean Volume: 101511530.00
Highest Volume: 226486300.00 in 2011
Lowest Volume: 41813375.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 49
Volatility: 0.0213
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 0.32%
Standard Deviation: 2.13%
Highest Return: 3.78% in 2021
Lowest Return: -4.39% in 2018
Mean Volume: 106373016.43
Highest Volume: 218376540.00 in 2011
Lowest Volume: 57685100.00 in 2019
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 50
Volatility: 0.0178
Positive Returns: 28.57%
Kelly Ratio: -0.2143
Mean Return: -0.98%
Standard Deviation: 1.78%
Highest Return: 2.38% in 2023
Lowest Return: -3.74% in 2015
Mean Volume: 120513714.29
Highest Volume: 223839060.00 in 2011
Lowest Volume: 56187100.00 in 2020
Net Odds Received on the Wager: 0.40
Probability of Winning (Positive Return): 28.57%
Probability of Losing (Negative Return): 71.43%
Kelly Fraction: -1.5000
Ticker: SPY, Week: 51
Volatility: 0.0263
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 0.80%
Standard Deviation: 2.63%
Highest Return: 3.93% in 2011
Lowest Return: -7.25% in 2018
Mean Volume: 125472662.14
Highest Volume: 241227640.00 in 2014
Lowest Volume: 68201160.00 in 2016
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 52
Volatility: 0.0135
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.44%
Standard Deviation: 1.35%
Highest Return: 3.05% in 2018
Lowest Return: -1.94% in 2012
Mean Volume: 81552437.14
Highest Volume: 176291125.00 in 2018
Lowest Volume: 36675000.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 53
Volatility: 0.0155
Positive Returns: 50.00%
Kelly Ratio: nan
Mean Return: 0.22%
Standard Deviation: 1.55%
Highest Return: 1.32% in 2020
Lowest Return: -0.87% in 2015
Mean Volume: 69674137.50
Highest Volume: 84184050.00 in 2015
Lowest Volume: 55164225.00 in 2020
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
As we approach the late summer months, it's critical to consider the historical patterns of SPY (the S&P 500 ETF) and position oneself strategically to minimize potential losses while also capturing upside opportunities. August and September have often been challenging months for the market, characterized by heightened volatility and occasional sharp declines. However, completely staying out of the market can result in missed opportunities, especially if the market defies historical trends and rallies. Here’s how to balance these risks with a prudent strategy.
Historical Performance and Seasonality
Historically, SPY tends to experience increased volatility during the late summer, with some of the most significant drops often occurring in these months. From the data, Week 33, for instance, shows a mean return of -0.59% with only 42.86% positive returns. Week 39, even worse, shows an average return of -0.88%, with just 14.29% of the weeks ending in positive territory over the past decade.
The seasonality chart provided further reinforces this pattern, showing consistent negative returns during late August and September in previous years. This suggests a cautious approach is warranted.
Technical Indicators: Avoiding Overbought Conditions
When entering a position in SPY during this volatile period, it is essential to avoid buying when the market is overbought, as indicated by the RSI (Relative Strength Index) and Bollinger Bands (BB).
RSI Considerations: The RSI is a momentum indicator that measures the speed and change of price movements. An RSI above 70 typically signals that an asset is overbought, and a pullback may be imminent. Before entering a position, ensure that the RSI is below 70, preferably closer to 50 or lower, indicating neutral to slightly oversold conditions.
20-Day Bollinger Bands (BB): Bollinger Bands plot standard deviations above and below a moving average. When the price touches or exceeds the upper Bollinger Band, it may indicate that the asset is overbought. Waiting for the price to either move back within the bands or approach the lower band provides a better entry point.
52-Week Bollinger Bands: This is a broader timeframe that can help avoid long-term overbought conditions. Ensure SPY is not trading above the upper 52-week Bollinger Band to avoid entering at potentially unsustainable price levels.
Kelly Method and Raw Data to Consider:
Betting Calendar Using Kelly Method
Kelly Criterion for Position Sizing:
Determine Kelly Fraction:
b = net odds received on the wager
p = probability of winning (positive return)
q = probability of losing (negative return)
For each week, calculate the Kelly ratio based on historical data.
Adjust the bet size each week according to the Kelly ratio, focusing on the following:
High Kelly Ratio (>0.2): Increase exposure to TQQQ.
Moderate Kelly Ratio (0 to 0.2): Hold current positions or add conservatively.
Ticker: SPY, Week: 1
Volatility: 0.0257
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.57%
Standard Deviation: 2.57%
Highest Return: 3.46% in 2012
Lowest Return: -5.99% in 2016
Mean Volume: 111390641.79
Highest Volume: 181713040.00 in 2016
Lowest Volume: 68430450.00 in 2020
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 2
Volatility: 0.0143
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.46%
Standard Deviation: 1.43%
Highest Return: 2.66% in 2023
Lowest Return: -2.09% in 2016
Mean Volume: 107009064.29
Highest Volume: 229416540.00 in 2016
Lowest Volume: 53189780.00 in 2020
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 3
Volatility: 0.0244
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.04%
Standard Deviation: 2.44%
Highest Return: 2.87% in 2019
Lowest Return: -5.88% in 2022
Mean Volume: 128605387.86
Highest Volume: 261616225.00 in 2010
Lowest Volume: 53442500.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 4
Volatility: 0.0179
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.13%
Standard Deviation: 1.79%
Highest Return: 2.46% in 2023
Lowest Return: -3.35% in 2021
Mean Volume: 129307826.43
Highest Volume: 259350300.00 in 2010
Lowest Volume: 66549675.00 in 2020
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 5
Volatility: 0.0245
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.17%
Standard Deviation: 2.45%
Highest Return: 4.69% in 2021
Lowest Return: -3.93% in 2018
Mean Volume: 129932678.57
Highest Volume: 285445020.00 in 2010
Lowest Volume: 57701560.00 in 2021
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 6
Volatility: 0.0207
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.29%
Standard Deviation: 2.07%
Highest Return: 3.23% in 2020
Lowest Return: -5.00% in 2018
Mean Volume: 132183114.29
Highest Volume: 269419900.00 in 2018
Lowest Volume: 45315460.00 in 2021
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 7
Volatility: 0.0156
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.48%
Standard Deviation: 1.56%
Highest Return: 4.37% in 2018
Lowest Return: -1.39% in 2022
Mean Volume: 103561883.93
Highest Volume: 186139025.00 in 2010
Lowest Volume: 52002260.00 in 2020
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 8
Volatility: 0.0131
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.22%
Standard Deviation: 1.31%
Highest Return: 1.62% in 2016
Lowest Return: -2.68% in 2023
Mean Volume: 118643622.50
Highest Volume: 215704675.00 in 2011
Lowest Volume: 69515225.00 in 2019
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 9
Volatility: 0.0356
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: -0.24%
Standard Deviation: 3.56%
Highest Return: 3.14% in 2010
Lowest Return: -11.63% in 2020
Mean Volume: 133841187.14
Highest Volume: 248820940.00 in 2020
Lowest Volume: 66189040.00 in 2019
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 10
Volatility: 0.0225
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.01%
Standard Deviation: 2.25%
Highest Return: 3.60% in 2018
Lowest Return: -4.59% in 2023
Mean Volume: 127773401.43
Highest Volume: 226098020.00 in 2020
Lowest Volume: 74267920.00 in 2017
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 11
Volatility: 0.0327
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.04%
Standard Deviation: 3.27%
Highest Return: 6.03% in 2022
Lowest Return: -8.53% in 2020
Mean Volume: 144256381.43
Highest Volume: 312592900.00 in 2020
Lowest Volume: 74846600.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 12
Volatility: 0.0456
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.84%
Standard Deviation: 4.56%
Highest Return: 2.75% in 2011
Lowest Return: -14.70% in 2020
Mean Volume: 132598345.71
Highest Volume: 304677680.00 in 2020
Lowest Volume: 76852900.00 in 2022
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 13
Volatility: 0.0295
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 1.62%
Standard Deviation: 2.95%
Highest Return: 10.86% in 2020
Lowest Return: -2.23% in 2015
Mean Volume: 119388588.93
Highest Volume: 268584800.00 in 2020
Lowest Volume: 72870220.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 14
Volatility: 0.0135
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: -0.03%
Standard Deviation: 1.35%
Highest Return: 2.69% in 2021
Lowest Return: -1.88% in 2020
Mean Volume: 108302020.36
Highest Volume: 173805360.00 in 2020
Lowest Volume: 58710140.00 in 2019
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 15
Volatility: 0.0349
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.97%
Standard Deviation: 3.49%
Highest Return: 11.70% in 2020
Lowest Return: -2.62% in 2014
Mean Volume: 112186273.93
Highest Volume: 183315525.00 in 2020
Lowest Volume: 59426200.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 16
Volatility: 0.0162
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.42%
Standard Deviation: 1.62%
Highest Return: 3.10% in 2020
Lowest Return: -2.66% in 2022
Mean Volume: 110959992.14
Highest Volume: 181774480.00 in 2013
Lowest Volume: 57181675.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 17
Volatility: 0.0167
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.20%
Standard Deviation: 1.67%
Highest Return: 1.97% in 2011
Lowest Return: -3.20% in 2022
Mean Volume: 105344894.29
Highest Volume: 252752120.00 in 2010
Lowest Volume: 50297380.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 18
Volatility: 0.0204
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.52%
Standard Deviation: 2.04%
Highest Return: 1.97% in 2013
Lowest Return: -6.46% in 2010
Mean Volume: 129276537.14
Highest Volume: 431397980.00 in 2010
Lowest Volume: 64171980.00 in 2017
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 19
Volatility: 0.0170
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: 0.17%
Standard Deviation: 1.70%
Highest Return: 3.38% in 2020
Lowest Return: -2.27% in 2022
Mean Volume: 115531918.57
Highest Volume: 305934080.00 in 2010
Lowest Volume: 54062740.00 in 2017
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 20
Volatility: 0.0196
Positive Returns: 35.71%
Kelly Ratio: -0.1429
Mean Return: -0.80%
Standard Deviation: 1.96%
Highest Return: 2.15% in 2013
Lowest Return: -4.40% in 2012
Mean Volume: 131334362.86
Highest Volume: 422473400.00 in 2010
Lowest Volume: 63334740.00 in 2018
Net Odds Received on the Wager: 0.56
Probability of Winning (Positive Return): 35.71%
Probability of Losing (Negative Return): 64.29%
Kelly Fraction: -0.8000
Ticker: SPY, Week: 21
Volatility: 0.0192
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.20%
Standard Deviation: 1.92%
Highest Return: 6.44% in 2022
Lowest Return: -1.06% in 2019
Mean Volume: 108077414.29
Highest Volume: 322970300.00 in 2010
Lowest Volume: 53396320.00 in 2017
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 22
Volatility: 0.0183
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.36%
Standard Deviation: 1.83%
Highest Return: 2.98% in 2020
Lowest Return: -2.98% in 2012
Mean Volume: 118720716.07
Highest Volume: 285811750.00 in 2010
Lowest Volume: 54347825.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 23
Volatility: 0.0265
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.88%
Standard Deviation: 2.65%
Highest Return: 4.86% in 2020
Lowest Return: -5.10% in 2022
Mean Volume: 113514415.71
Highest Volume: 284485100.00 in 2010
Lowest Volume: 48743300.00 in 2021
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 24
Volatility: 0.0234
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.56%
Standard Deviation: 2.34%
Highest Return: 2.58% in 2023
Lowest Return: -5.77% in 2022
Mean Volume: 124912205.71
Highest Volume: 242089180.00 in 2011
Lowest Volume: 53561320.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 25
Volatility: 0.0248
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.42%
Standard Deviation: 2.48%
Highest Return: 6.50% in 2022
Lowest Return: -3.49% in 2010
Mean Volume: 123611130.36
Highest Volume: 242877220.00 in 2010
Lowest Volume: 56641500.00 in 2021
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 26
Volatility: 0.0273
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: 0.19%
Standard Deviation: 2.73%
Highest Return: 5.49% in 2011
Lowest Return: -5.34% in 2010
Mean Volume: 119984470.00
Highest Volume: 288655960.00 in 2010
Lowest Volume: 53019340.00 in 2021
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 27
Volatility: 0.0184
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 1.23%
Standard Deviation: 1.84%
Highest Return: 5.54% in 2010
Lowest Return: -1.18% in 2015
Mean Volume: 101717657.14
Highest Volume: 216636675.00 in 2010
Lowest Volume: 54238625.00 in 2017
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 28
Volatility: 0.0147
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.47%
Standard Deviation: 1.47%
Highest Return: 2.73% in 2013
Lowest Return: -2.01% in 2011
Mean Volume: 101748738.57
Highest Volume: 212156300.00 in 2011
Lowest Volume: 47308740.00 in 2019
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 29
Volatility: 0.0121
Positive Returns: 92.86%
Kelly Ratio: 0.4286
Mean Return: 1.20%
Standard Deviation: 1.21%
Highest Return: 3.50% in 2010
Lowest Return: -1.16% in 2019
Mean Volume: 96302982.86
Highest Volume: 241240100.00 in 2010
Lowest Volume: 43331520.00 in 2019
Net Odds Received on the Wager: 13.00
Probability of Winning (Positive Return): 92.86%
Probability of Losing (Negative Return): 7.14%
Kelly Fraction: 0.9231
Ticker: SPY, Week: 30
Volatility: 0.0186
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: 0.17%
Standard Deviation: 1.86%
Highest Return: 4.25% in 2022
Lowest Return: -3.95% in 2011
Mean Volume: 94711455.71
Highest Volume: 206386080.00 in 2011
Lowest Volume: 47178800.00 in 2019
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 31
Volatility: 0.0254
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: -0.43%
Standard Deviation: 2.54%
Highest Return: 1.93% in 2010
Lowest Return: -7.27% in 2011
Mean Volume: 115657112.86
Highest Volume: 443923300.00 in 2011
Lowest Volume: 49893820.00 in 2021
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 32
Volatility: 0.0170
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.06%
Standard Deviation: 1.70%
Highest Return: 3.28% in 2022
Lowest Return: -3.65% in 2010
Mean Volume: 121728574.29
Highest Volume: 576882260.00 in 2011
Lowest Volume: 41395180.00 in 2021
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 33
Volatility: 0.0157
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.59%
Standard Deviation: 1.57%
Highest Return: 1.28% in 2014
Lowest Return: -4.62% in 2011
Mean Volume: 108393427.14
Highest Volume: 346468900.00 in 2011
Lowest Volume: 51346820.00 in 2020
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 34
Volatility: 0.0249
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.06%
Standard Deviation: 2.49%
Highest Return: 4.71% in 2011
Lowest Return: -5.62% in 2015
Mean Volume: 107049027.14
Highest Volume: 295991640.00 in 2011
Lowest Volume: 47916700.00 in 2020
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 35
Volatility: 0.0189
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.86%
Standard Deviation: 1.89%
Highest Return: 3.77% in 2010
Lowest Return: -3.26% in 2022
Mean Volume: 112448182.86
Highest Volume: 330178540.00 in 2015
Lowest Volume: 48893060.00 in 2020
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 36
Volatility: 0.0202
Positive Returns: 42.86%
Kelly Ratio: -0.0714
Mean Return: -0.28%
Standard Deviation: 2.02%
Highest Return: 3.63% in 2022
Lowest Return: -3.34% in 2015
Mean Volume: 109450437.14
Highest Volume: 281424250.00 in 2011
Lowest Volume: 62207775.00 in 2019
Net Odds Received on the Wager: 0.75
Probability of Winning (Positive Return): 42.86%
Probability of Losing (Negative Return): 57.14%
Kelly Fraction: -0.3333
Ticker: SPY, Week: 37
Volatility: 0.0237
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.59%
Standard Deviation: 2.37%
Highest Return: 5.27% in 2011
Lowest Return: -4.79% in 2022
Mean Volume: 116355140.71
Highest Volume: 301800640.00 in 2011
Lowest Volume: 53333260.00 in 2018
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 38
Volatility: 0.0249
Positive Returns: 50.00%
Kelly Ratio: 0.0000
Mean Return: -0.60%
Standard Deviation: 2.49%
Highest Return: 2.09% in 2010
Lowest Return: -6.69% in 2011
Mean Volume: 121164171.43
Highest Volume: 319570860.00 in 2011
Lowest Volume: 50468560.00 in 2017
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
Ticker: SPY, Week: 39
Volatility: 0.0093
Positive Returns: 14.29%
Kelly Ratio: -0.3571
Mean Return: -0.88%
Standard Deviation: 0.93%
Highest Return: 0.72% in 2017
Lowest Return: -2.91% in 2022
Mean Volume: 118843855.71
Highest Volume: 289125120.00 in 2011
Lowest Volume: 61372040.00 in 2018
Net Odds Received on the Wager: 0.17
Probability of Winning (Positive Return): 14.29%
Probability of Losing (Negative Return): 85.71%
Kelly Fraction: -5.0000
Ticker: SPY, Week: 40
Volatility: 0.0106
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.71%
Standard Deviation: 1.06%
Highest Return: 2.34% in 2011
Lowest Return: -1.00% in 2018
Mean Volume: 124806368.57
Highest Volume: 335776200.00 in 2011
Lowest Volume: 65191120.00 in 2017
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 41
Volatility: 0.0272
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.45%
Standard Deviation: 2.72%
Highest Return: 5.83% in 2011
Lowest Return: -4.13% in 2018
Mean Volume: 119517347.14
Highest Volume: 229047120.00 in 2011
Lowest Volume: 45680060.00 in 2017
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 42
Volatility: 0.0159
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 0.74%
Standard Deviation: 1.59%
Highest Return: 4.63% in 2022
Lowest Return: -2.39% in 2023
Mean Volume: 121403802.86
Highest Volume: 262503400.00 in 2014
Lowest Volume: 49223620.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 43
Volatility: 0.0239
Positive Returns: 64.29%
Kelly Ratio: 0.1429
Mean Return: 0.63%
Standard Deviation: 2.39%
Highest Return: 4.17% in 2014
Lowest Return: -3.95% in 2018
Mean Volume: 114093008.57
Highest Volume: 275998580.00 in 2011
Lowest Volume: 40530800.00 in 2019
Net Odds Received on the Wager: 1.80
Probability of Winning (Positive Return): 64.29%
Probability of Losing (Negative Return): 35.71%
Kelly Fraction: 0.4444
Ticker: SPY, Week: 44
Volatility: 0.0296
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 0.40%
Standard Deviation: 2.96%
Highest Return: 5.72% in 2023
Lowest Return: -5.64% in 2020
Mean Volume: 115418818.10
Highest Volume: 286001300.00 in 2011
Lowest Volume: 53817900.00 in 2021
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 45
Volatility: 0.0265
Positive Returns: 71.43%
Kelly Ratio: 0.2143
Mean Return: 1.41%
Standard Deviation: 2.65%
Highest Return: 7.05% in 2020
Lowest Return: -2.39% in 2012
Mean Volume: 110731115.71
Highest Volume: 236163280.00 in 2011
Lowest Volume: 50666320.00 in 2019
Net Odds Received on the Wager: 2.50
Probability of Winning (Positive Return): 71.43%
Probability of Losing (Negative Return): 28.57%
Kelly Fraction: 0.6000
Ticker: SPY, Week: 46
Volatility: 0.0188
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: -0.13%
Standard Deviation: 1.88%
Highest Return: 2.30% in 2023
Lowest Return: -3.73% in 2011
Mean Volume: 105487707.14
Highest Volume: 225310040.00 in 2011
Lowest Volume: 49888620.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 47
Volatility: 0.0241
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.04%
Standard Deviation: 2.41%
Highest Return: 3.62% in 2012
Lowest Return: -4.69% in 2011
Mean Volume: 89905267.86
Highest Volume: 192498150.00 in 2011
Lowest Volume: 47535550.00 in 2017
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 48
Volatility: 0.0226
Positive Returns: 85.71%
Kelly Ratio: 0.3571
Mean Return: 1.52%
Standard Deviation: 2.26%
Highest Return: 7.19% in 2011
Lowest Return: -1.17% in 2021
Mean Volume: 101511530.00
Highest Volume: 226486300.00 in 2011
Lowest Volume: 41813375.00 in 2019
Net Odds Received on the Wager: 6.00
Probability of Winning (Positive Return): 85.71%
Probability of Losing (Negative Return): 14.29%
Kelly Fraction: 0.8333
Ticker: SPY, Week: 49
Volatility: 0.0213
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 0.32%
Standard Deviation: 2.13%
Highest Return: 3.78% in 2021
Lowest Return: -4.39% in 2018
Mean Volume: 106373016.43
Highest Volume: 218376540.00 in 2011
Lowest Volume: 57685100.00 in 2019
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 50
Volatility: 0.0178
Positive Returns: 28.57%
Kelly Ratio: -0.2143
Mean Return: -0.98%
Standard Deviation: 1.78%
Highest Return: 2.38% in 2023
Lowest Return: -3.74% in 2015
Mean Volume: 120513714.29
Highest Volume: 223839060.00 in 2011
Lowest Volume: 56187100.00 in 2020
Net Odds Received on the Wager: 0.40
Probability of Winning (Positive Return): 28.57%
Probability of Losing (Negative Return): 71.43%
Kelly Fraction: -1.5000
Ticker: SPY, Week: 51
Volatility: 0.0263
Positive Returns: 78.57%
Kelly Ratio: 0.2857
Mean Return: 0.80%
Standard Deviation: 2.63%
Highest Return: 3.93% in 2011
Lowest Return: -7.25% in 2018
Mean Volume: 125472662.14
Highest Volume: 241227640.00 in 2014
Lowest Volume: 68201160.00 in 2016
Net Odds Received on the Wager: 3.67
Probability of Winning (Positive Return): 78.57%
Probability of Losing (Negative Return): 21.43%
Kelly Fraction: 0.7273
Ticker: SPY, Week: 52
Volatility: 0.0135
Positive Returns: 57.14%
Kelly Ratio: 0.0714
Mean Return: 0.44%
Standard Deviation: 1.35%
Highest Return: 3.05% in 2018
Lowest Return: -1.94% in 2012
Mean Volume: 81552437.14
Highest Volume: 176291125.00 in 2018
Lowest Volume: 36675000.00 in 2019
Net Odds Received on the Wager: 1.33
Probability of Winning (Positive Return): 57.14%
Probability of Losing (Negative Return): 42.86%
Kelly Fraction: 0.2500
Ticker: SPY, Week: 53
Volatility: 0.0155
Positive Returns: 50.00%
Kelly Ratio: nan
Mean Return: 0.22%
Standard Deviation: 1.55%
Highest Return: 1.32% in 2020
Lowest Return: -0.87% in 2015
Mean Volume: 69674137.50
Highest Volume: 84184050.00 in 2015
Lowest Volume: 55164225.00 in 2020
Net Odds Received on the Wager: 1.00
Probability of Winning (Positive Return): 50.00%
Probability of Losing (Negative Return): 50.00%
Kelly Fraction: 0.0000
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。