Trading Edge #54
Instrument/asset
S&P 500 (SPY)
Trading rules
The OPEX week of January has been weak (the week ending the third Friday of the month).
We make the following trading rules:
(The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it)):
- Go long at the close of Friday one week before OPEX day in January; and
- Sell at the close of the OPEX day (the Friday).
Results
Trading performance if exit after N-days (100 000 and compounding):
Perhaps more interesting is the pretty steady negative “drag”:
Please also keep in mind that the OPEX week often coincides with the MLK holiday, which has been a non-trading day since 1998.