Daily Trading Edge #40
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’s close is an FOMC meeting day.
Results
Trading performance if exit after N-days:
The edge is negative, perhaps with a short trade.
Improved Trading Edge
As you can see from the above table, performance is weak overall after a FED meeting.
If the day of the FED meeting SPY rises at least 0.75% compared to yesterday’s closing price, we get the following equity curve:
The average is a negative 0.33% per trade (69 trades), and might indicate a potential short trade.
Opposite, when the close is down two days in a row on the FED day, the edge turns very positive (below is the equity curve when exiting 6 days later):
