Daily Trading Edge #21

Table of contents:

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):

Buy at the close of the last trading day of the month.

Results

Trading performance if we exit after N-days since SPY’s inception in 1993:

Equity curve if exit after 3 trading days:

Improved edge?

If momentum is strong and the close is higher than 22 trading days ago (about one month) we get a slightly better performance:

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