Shared conversation on NexusTrade
SPY and SPXL Financial Analysis and Trading Strategy
A comprehensive analysis of SPY's performance, including instances of 5% drops over 7 days, drawdown calculations, and a trading strategy for SPXL with backtesting results.
Aurora: Hello. Would you like to perform some financial analysis? Maybe on Costco or Apple?
User: Since Jan 1st 2000, how many times has SPY fallen 5% in a 7-day period? In other words, at time t, how many times has the percent return at time (t + 7 days) is -5% or more. Note, I'm asking 7 calendar days, not 7 trading days. In the results, include the data ranges of these drops and show the percent return. Also, format these results in a markdown table.
Aurora: Below is a complete Markdown table containing every instance (for [SPY](https://nexustrade.io/stock/SPY)) where it fell 5% or more over a 7-calendar-day window, based on the query results provided: | # | Start Date | End Date | Start Price | End Price | % Return | Total Occurrences | |----|-------------|-------------|------------:|----------:|---------:|------------------:| | 1 | 2000-01-21 | 2000-01-28 | 92.29 | 86.82 | -5.93 | 150 | | 2 | 2000-04-07 | 2000-04-14 | 97 | 87.11 | -10.2 | 150 | | 3 | 2000-04-10 | 2000-04-17 | 96.62 | 90.16 | -6.69 | 150 | | 4 | 2000-05-16 | 2000-05-23 | 93.96 | 88.4 | -5.92 | 150 | | 5 | 2000-10-05 | 2000-10-12 | 92.82 | 85.7 | -7.67 | 150 | | 6 | 2000-11-06 | 2000-11-13 | 92.55 | 87.26 | -5.72 | 150 | | 7 | 2000-11-15 | 2000-11-22 | 89.84 | 85.06 | -5.32 | 150 | | 8 | 2000-12-12 | 2000-12-19 | 88.85 | 83.96 | -5.5 | 150 | | 9 | 2000-12-13 | 2000-12-20 | 87.64 | 81.52 | -6.98 | 150 | | 10 | 2000-12-14 | 2000-12-21 | 86.52 | 82.09 | -5.12 | 150 | | 11 | 2001-02-15 | 2001-02-22 | 86.1 | 81.24 | -5.64 | 150 | | 12 | 2001-03-05 | 2001-03-12 | 80.55 | 76.25 | -5.34 | 150 | | 13 | 2001-03-07 | 2001-03-14 | 82 | 75.97 | -7.35 | 150 | | 14 | 2001-03-08 | 20…
User: From each of these start dates, what was the max drawdown within the next 180 days? What about the next 365 days?
Aurora: Below is a complete Markdown table of every instance (in this dataset) where [SPY](https://nexustrade.io/stock/SPY) dropped at least 5% over a 7-calendar-day period, along with the minimum price in the following 180 and 365 days (to gauge maximum drawdown). All values come directly from the final JSON provided. -------------------------------------------------------------------------------- | Start Date (UTC) | Start Price | End Date (7d) | End Price (7d) | 7d % Drop | Min Price (180d) | 180d % Drawdown | Min Price (365d) | 365d % Drawdown | |--------------------------|------------:|------------------------|---------------:|--------------------:|-----------------:|--------------------:|-----------------:|---------------------:| | 2000-01-21T21:00:00.000Z | 92.29 | 2000-01-28T21:00:00.000Z | 86.82 | -5.926969335789374 | 85.19 | -7.693141185393876 | 81.52 | -11.669736699534088 | | 2000-04-07T20:00:00.000Z | 97.00 | 2000-04-14T20:00:00.000Z | 87.11 | -10.195876288659795 | 87.11 | -10.195876288659795 | 71.48 | -26.30927835051546 | | 2000-04-10T20:00:00.000Z | 96.62 | 2000-04-17T20:00:00.000Z | 90.16 | -6.685986338232258 | 87.11 | -9.84268267439454 | 71.48 | -26.01945766921962 | | 2000…
User: What is the average 180 day drawdown, the average 365 day drawdown, and how does it compare to the 7 day percent drop?
Aurora: Here is the single-row result of the query, formatted in a Markdown table: | Average 7-Day Drop (%) | Average 180-Day Drawdown (%) | Average 365-Day Drawdown (%) | |------------------------|------------------------------|-------------------------------| | -7.45 | -16.74 | -19.14 | ------------------------------------------------------------------------------ ## Observations ・These figures indicate that across every instance where [SPY](https://nexustrade.io/stock/SPY) fell at least 5% in a 7-day window since 2000-01-01, the average drop over those same 7 days was about -7.45%. ・Over the following 180 days, the average drawdown from the original start day was roughly -16.74%. ・Over the following 365 days, the average drawdown was about -19.14%, highlighting deeper dips that can occur over a longer timeframe. ## What the Query Does ・It identifies every “start day” (t) where [SPY](https://nexustrade.io/stock/SPY) declined 5% or more during the next 7 calendar days. ・For each of those start days, it looks at the next 180 days (t+1 to t+180) and 365 days (t+1 to t+365) to find the lowest adjusted closing price in each time window. ・It calculates how much lower that minimum price is com…
User: Below is a complete Markdown table containing every instance (for [SPY](https://nexustrade.io/stock/SPY)) where it fell 5% or more over a 7-calendar-day window, based on the query results provided: | # | Start Date | End Date | Start Price | End Price | % Return | Total Occurrences | |----|-------------|-------------|------------:|----------:|---------:|------------------:| | 1 | 2000-01-21 | 2000-01-28 | 92.29 | 86.82 | -5.93 | 150 | | 2 | 2000-04-07 | 2000-04-14 | 97 | 87.11 | -10.2 | 150 | | 3 | 2000-04-10 | 2000-04-17 | 96.62 | 90.16 | -6.69 | 150 | | 4 | 2000-05-16 | 2000-05-23 | 93.96 | 88.4 | -5.92 | 150 | | 5 | 2000-10-05 | 2000-10-12 | 92.82 | 85.7 | -7.67 | 150 | | 6 | 2000-11-06 | 2000-11-13 | 92.55 | 87.26 | -5.72 | 150 | | 7 | 2000-11-15 | 2000-11-22 | 89.84 | 85.06 | -5.32 | 150 | | 8 | 2000-12-12 | 2000-12-19 | 88.85 | 83.96 | -5.5 | 150 | | 9 | 2000-12-13 | 2000-12-20 | 87.64 | 81.52 | -6.98 | 150 | | 10 | 2000-12-14 | 2000-12-21 | 86.52 | 82.09 | -5.12 | 150 | | 11 | 2001-02-15 | 2001-02-22 | 86.1 | 81.24 | -5.64 | 150 | | 12 | 2001-03-05 | 2001-03-12 | 80.55 | 76.25 | -5.34 | 150 | | 13 | 2001-03-07 | 2001-03-14 | 82 | 75.97 | -7.35 | 150 | | 14 | 2001-03-08 | 20…
Aurora: Here are the query results in one comprehensive Markdown table. Each row represents a 7-calendar-day drop of 5% or more in [SPY](https://nexustrade.io/stock/SPY), along with the subsequent 180-day and 365-day percentage returns measured from the “End Price.” | Symbol | Start Date | End Date | Start Price | End Price | 7d Drop (%) | 180d Return (%) | 365d Return (%) | |:------------------------------------|:-----------:|:-----------:|-----------:|----------:|------------:|----------------:|----------------:| | [SPY](https://nexustrade.io/stock/SPY) | 2000-01-21 | 2000-01-28 | 92.29 | 86.82 | -5.93 | 7.88 | 1.6 | | [SPY](https://nexustrade.io/stock/SPY) | 2000-04-07 | 2000-04-14 | 97 | 87.11 | -10.2 | 0.9 | -12.58 | | [SPY](https://nexustrade.io/stock/SPY) | 2000-04-10 | 2000-04-17 | 96.62 | 90.16 | -6.69 | -1.34 | -14.35 | | [SPY](https://nexustrade.io/stock/SPY) | 2000-05-16 | 2000-05-23 | 93.96 | 88.4 | -5.92 | -1.92 | -5.33 | | [SPY](https://nexustrade.io/stock/SPY) | 2000-10-05 | 2000-10-12 | 92.82 | 85.7 | -7.67 | -11.87 | -16.72 | | [SPY](https://nexustrade.io/stock/SPY) | 2000-11-06 | 2000-11-13 | 92.55 | 87.26 | -5.72 | -6.94 | -14.43 | | [SPY](https://nexustrade.io/stock/S…
User: What is the average 180 day return and the average 365 day return, and how does it compare to the 7 day percent drop?
Aurora: Here is a complete Markdown table of the results: | Symbol | Average 7-Day Drop (%) | Average 180-Day Return (%) | Average 365-Day Return (%) | |---------------------------------------------------------|------------------------|----------------------------|----------------------------| | [SPY](https://nexustrade.io/stock/SPY) | -7.45 | 8.58 | 20.29 | Observations and Notes: • These figures show: 1) The average 7-day drop when SPY has fallen at least 5%. 2) How much SPY gained on average after 180 days, starting from the “end price” of those drops. 3) How much SPY gained on average after 365 days, also from that same “end price.” • Notably, although SPY typically dropped by around -7.45% in such steep weekly declines, on average it ended up more than +20% higher after one year from the end of those drops (based on the available data). What the Query Is Supposed to Do: • Identify each time SPY dropped 5% or more over a 7-day window. • From the end of that drop, measure how SPY subsequently performed over 180 and 365 days. • Finally, average all those 7-day drops, 180-day returns, and 365-day returns. Why This Matters: • A steep week-long drop doesn’t guarantee continued losses; hist…
User: Create a portfolio with $10,000 with the following strategies - Buy 50% of our buying power in SPXL if we have less than $500 of SPXL positions - Sell 20% of our portfolio value in SPXL if we haven't sold SPXL in 10000 days and our SPXL positions are up 10% or more - Sell 20% of our portfolio value in SPXL if the SPXL stock price is up 10% from when we last sold it - Buy 40% of our buying power in SPXL if our SPXL positions are down 12% or more
Aurora: **Description**: This portfolio, named "SPXL Trading Strategy," is designed to capitalize on price movements in SPXL, a leveraged ETF that aims to provide three times the daily performance of the S&P 500. The strategy includes a mix of buying and selling conditions based on the portfolio's current positions and the performance of SPXL. The portfolio starts with an initial value of $10,000 and implements the following strategies: 1. **Buy Condition**: Invest 50% of the available buying power in SPXL if the total value of SPXL positions is less than $500. This allows for gradual accumulation of SPXL shares when the position is small. 2. **Sell Condition 1**: Sell 20% of the portfolio value in SPXL if there have been no sales in the last 10,000 days and the SPXL positions are up 10% or more. This condition ensures that profits are taken when the stock has appreciated significantly over a long period. 3. **Sell Condition 2**: Sell 20% of the portfolio value in SPXL if the stock price is up 10% from the last sale. This strategy allows for capturing gains on short-term price movements. 4. **Buy Condition 2**: Buy 40% of the available buying power in SPXL if the SPXL positions are down 1…
User: backtest this portfolio for the past year