Daily Trading Edge #38

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 Monday; and
  • It’s OPEX week; and
  • The close is at a 5-day high.   

Results

Trading performance (SPY) if we exit after N-days since 1993:

The returns are weak. If we exit after 5 days we get the following equity curve:

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