Big Moves On Mondays (SPY Trading Strategy)

I caught some ideas from Paststat and Quantifiable edges to test “big” movement on Mondays. I have tested this in a previous post, but this time we’ll look at what happens to SPY the rest of the week.

Here are the criteria for long:

  1. Today is Monday
  2. Calculate a 25 day average of the daily H-L range.
  3. SPY must fall at least 50% number 2 from Friday’s close.
  4. Go long at the close.
  5. Exit at close 4 days later.
P/L   #Fills Avg.
75.27   63.00 1.19

The numbers in the table above are in % and from 2005 until March 2013. Pretty good numbers considering the amount of time in the market is about 15%.

What if we turn it upside down and go short:

P/L   #Fills Avg.
-25.45   76.00 -0.33

Here is the equity curve (blue is long and pink is short):

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Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.

FAQ:

– What is the main concept behind the Monday trading strategy for SPY?

The primary concept of this strategy is to capitalize on significant price movements in SPY that occur on Mondays. It involves going long or short based on specific criteria related to Monday price action.

– What are the specific criteria for entering a long position using this strategy?

To enter a long position, the strategy requires that it’s Monday, and SPY must have fallen at least 50% of the 25-day average daily high-low (H-L) range calculated. The long position is held for four days.

– How does the strategy perform when turned upside down and used for short positions?

When applied to short positions, the strategy generated a total profit of about -25.45% with an average loss of -0.33%. The short side performance was not as favorable as the long side.

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