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:

