The Apocalypse Data Mining Trade

The logic behind this trade is based on the observation that the SPX has responded consistently through the decades in the subsequent days after an Apocalypse day (6.5% selloff or more). Today is Day 3. The in.3 column are the historical returns for Day 3 from the close of Apocalypse day. The S&P 500 has never closed below the close of Apocalypse day by Day 3. This is also true of Day 2 (which is not shown).

The 30-day return ranges from a loss of 24% to a gain of 28%. There have been 8 of 12 times when the return was positive. The average return is 1.7%.

I went long SPY at $111.46 in pre-market today. I'll close it in 6 weeks and my returns will become part of the distribution.