Analyze market behavior based on percentage change.

The Change Index pivot table gives you a powerful perspective on market conditions by grouping your trades based on how much the SPY or SPX index moved — in percentage terms — on the day of each trade.

This metric is essential for understanding how your strategy performs in different market environments: sharp down days, stable sessions, or strong rallies.

Formula:

Change Index = (Index Close – Index Open) / Index Open × 100

For example, if SPY opened at 400 and closed at 408:
Change Index = (408 – 400) / 400 × 100 = +2%

Each trade is tagged with this daily percentage move of SPY or SPX and then grouped into a range — such as “-1.99% to -1%” or “2% to 4.99%”. This allows you to analyze how your trades behave under different market scenarios:

Do you earn more profits when the index drops sharply?

Do you make more mistakes when volatility increases?

How does your average return shift depending on the index’s daily moves?

Additionally, this report shows how many mistakes you made within each market change range, helping you identify if certain market conditions impact your accuracy.

Use this report to answer those questions and adjust your trading strategy to match the market’s mood — whether you’re tracking SPY, SPX, or both.