Trading Edge 18

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 Monday after Thanksgiving is a down day. 

Results

Trading performance if exit after N-days (100 000 and compounding):

There are not many trades, but as you can see, the numbers are good. Also, keep in mind that it might have a tailwind in the form of the end-of-month effect. 

If we exit after 4 days, the Friday of the same week, we get the following equity curve:

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