Trading Edge 73

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 the before the monthly job report (which is released on the first Friday of the month; and
  • Today’s close is higher than yesterday’s close; and
  • a down day; and
  • The close is above the 200-day moving average; and
  • We sell at the close the next day (the day of the Job report).

Results

Trading performance if exit after N-days (100 000 and compounding since inception):

The edge is decent, with an average gain of 0.3%. 

Similar Posts

Covered Calls Trading Strategy – (QQQ & SPY, Income – Backtests Analysis)

ByOddmund Groette

Covered calls trading strategy looks tempting when interest rates and dividend yields are down because many investors and traders look for additional ways to generate “income”. Many pundits promise both good returns and “income” if you issue call options on your positions – so-called covered calls. Can you make money on covered calls? Are covered…

Pairs Trading Strategy – Backtest and Statistics

ByOddmund Groette

Pairs Trading Strategy involves being neutral to the direction of the market. This article looks at what pairs trading is, how it works, and its advantages and disadvantages (pros and cons). The main benefit of pairs trading is market neutrality. In the end, we test some simple pairs trading strategies. Pairs trading is profitable and…

Yale Hirsch’s – Best 6 Months Timing Model (Backtest Findings)

ByOddmund Groette

The Best 6 Months Timing Model strategy by Yale Hirsch is an active and simple strategy that uses market timings and can be implemented using any asset class and portfolio. Using this strategy, you do not need to be in the market 100% of the time and expose yourself to additional risk, unlike a passive/lazy…

Rotating Monthly Between Stock Indexes and Bonds – Overview

ByOddmund Groette

Stock and sector rotation is when you switch between different asset classes or stocks. In this case, between different asset classes. We did a backtest involving SPY, TLT, and LQD. It’s a strategy backtested by many and in different ways, but we decided to make our own twist to it. We have previously published several…

Daily Trading Edge #26

ByOddmund Groette

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 a Bearish Engulfing pattern candlestick We have quantified all candlesticks in a separate product which you find by clicking here. Results Trading performance if…

SPY Strategies For Volatile Markets: Utilizing The VIX Indicator (Member Article)

ByOddmund Groette

Traders love to use technical indicators to generate signals and try to earn superior returns. One of those indicators is the VIX, which we will be using today. Let’s look at SPY strategies for volatile markets utilizing the VIX threshold. Our backtest reveals that it’s most profitable to hold and own SPY when the VIX…