Trading Edge 4
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Thanksgiving has historically been a good week for stocks, but the Monday after Thanksgiving has been very poor.
We make the following trading rules:
- We buy at the close of Black Friday; and
- We sell at the close the following Monday.
The equity curve since 1960 looks like this for SPX:
The average gain is a negative 0.33% and the win rate is 36%. A couple of really bad years, 1987 and 2008, dragged down a lot.