Daily Trading Edge #37

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):

  • Today is Friday before OPEX week in December. 

Results

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

If we exit after two days we get the following equity curve:

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