Instrument/asset Gold price (GLD) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Buy at the close of third last trading day of the year; and Sell at the last print of the year (hold for two days). Results Below…
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): The IBS is above 0.85; and The close is below the 200-day moving average. The trading edge behaves slightly differently depending on the close in relation to…
Instrument/asset Gold Miners (GDX) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): But at the close of OPEX day (option expirations) in December. Results Below is the table if we hold for N days: A pretty strong edge! If…
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): It’s the first trading day of the month; and The close sets a new 5-day high. Results Trading performance if we exit after N-days since SPY’s…
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 second last trading day of the month. Results Trading performance if exit after N-days: Improved Trading edge Performance gets better if we add an…
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): The highest volume over the last 10 days; and The close is above yesterday’s high. Results Trading performance if exit after N-days (100 000 and compounding since…
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Thanksgiving has historically been a good week for stocks, but the Monday after Thanksgiving has been very poor. We make the following trading rules: We buy at the close of Black Friday; and…
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): Three days in a row with lower lows and highs. Results Trading performance if exit after N-days (SPY since inception in 1993): The returns the coming days…
Instrument/asset S&P 500 (SPX) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): The close sets a new 50-day low of the close; and Close is higher than yesterday’s close; and Today’s volume is the lowest over the last 5…
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): In N-days, there is a FOMC meeting. Results We have backtested the performance of SPY in the days before the meeting ends. We go long N-days before…
