Trading Edge 2
Instrument/asset
S&P 500 (SPY)
Trading rules
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
- The lowest volume over the last 10 days; and
- The close is above the 200-day moving average; and
- The close is higher than the day before.
The trading edge behaves slightly differently depending on the close in relation to the 200-day moving average.
Results
Trading performance if exit after N-days (100 000 and compounding):
The average returns over the next days are significantly below any random day.
