Daily Trading Edge #24
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):
- IBS is lower than 0.2; and
- The close is above the 200-day moving average; and
- TLT’s IBS is above 0.8.
Results
Trading performance if exit after N-days:
Improved Trading Edge
We add one parameter:
- IBS is lower than 0.2; and
- The close is above the 200-day moving average; and
- TLT’s IBS is above 0.8; and
- TLT’s close must be higher than yesterday’s.
If we hold for one day we get the following equity curve:
