S&P 500 (SPY)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
The trading edge behaves slightly differently depending on the close in relation to the 200-day moving average.
Trading performance if exit after N-days (100 000 and compounding):
The results indicate a potential solid trading edge.
Traders often look for ways to measure the price momentum. The rate of change (ROC) is one of the most commonly used indicators for that. Let’s take a look at the indicator. Often referred to as the momentum indicator, the rate of change (ROC) is a momentum-based technical indicator that compares the current price of…
ChatGPT has been on everyone’s mind lately. People are discussing how it can improve productivity or help you solve programming bugs. But can ChatGPT be used for backtesting? ChatGPT can be helpful in trading as a tool for analyzing market data, generating trading ideas, and backtesting trading strategies. But it can be tricky to get…
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): Open is higher than yesterday’s open; and Open is lower than yesterday’s close; and Close is lower than yesterday’s close; and Close is lower than yesterday’s open….
The Holiday effect system in the stock market is a well-known anomaly and seasonality. Is there a way to profit from the holiday effect seasonality? Are there any holiday effects in the stock markets? If so, which holiday is the best? The holiday effect strategy seems to be significant for Independence Day, Thanksgiving, and Christmas….
Hard Red Winter Wheat trading strategy refers to the methodologies and techniques you can use to trade Hard Red Winter Wheat futures contracts profitably. Hard Red Winter (HRW) wheat futures are contracts to receive or deliver the specified quantity of HRW wheat on a future date, at a pre-agreed price. The contract trades on the…
The micro E-mini Nasdaq 100 futures strategy is the method or technique that you can use to trade the micro E-mini Nasdaq 100 futures profitably. Micro E-mini Nasdaq 100 futures are a type of electronically traded Nasdaq 100 futures that are one-tenth the price of the E-mini Nasdaq 100 futures. Like the e-mini and conventional…
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