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:

