Below is a simple and easy trading strategy to implement in SPY or the S&P 500: The classical mean reversion strategy in the S&P 500 In plain English the strategy reads like this: Trading Rules [/am4show] The equity curve since January 2000 looks like this (starting with 100 000 in equity and allocating 100% of…
Below is a simple and easy trading strategy to implement in QQQ. Let’s go straight to the trading rules: Trading Rules [/am4show] The equity curve since January 2000 looks like this (starting with 100 000 in equity and allocating 100% of equity to every trade, ie. compounding, but taxes are not deducted): Worth noting is…
Previously we have written about the Turnaround Tuesday Strategy and the Monday/Tuesday trade strategy in Nasdaq (QQQ). How has this strategy performed lately? Pretty good. I’ve been trading this strategy, with these trading rules: Trading Rules [/am4show] This is all there is to it. In the previous article, the exit criteria were when higher than…
The failed bounce trading strategy: Rob Hanna at Quantifiable Edges had an interesting article some days ago about bounces in the S&P 500. Let’s test his idea and turn it into a testable hypothesis: (This article was first published in 2012. Since then, we have updated the charts, and the strategy is still performing well.)…
Monthly Seasonality in Treasury Bills This article looks at monthly seasonalities in TLT. August has historically provided good returns for owners of 30-year US treasuries. I read about this seasonality many years back, but I’m quite surprised it still seems to be working pretty well. Below is an equity chart showing the return buying 200…
Below is a potential short strategy in the S&P 500: Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90 Description: If the close is higher for the third time in a row, 5 day ADX is bigger than 35 and RSI(2) is bigger than 90, then go short on the close. Exit/cover on tomorrow’s…
By looking at some potential strategies for S&P 500 I found some very interesting facts that I wouldn’t guess beforehand. I used the ETF SPY as a proxy for the S&P 500. My dataset starts at 1. January 1994 and ends yesterday, 25th of October 2018. The data is adjusted for dividends and taken from…
How does the return distribution of gains and losses look like in the S&P 500? In this article, we calculate the average weekly gain in the S&P 500 and show you a distribution bar of the gains and losses. It turns out that the S&P 500 shows strong mean reversion: a weekly gain is most…
I had a brief look at the distribution of my trading profits over the last four years. I simply ranked my net profit per day in descending order and got the following result: % best days 5% 10% 15% 20% 25% % of P/L 0.32 0.53 0.70 0.83 0.96 The…
One very simple strategy for QQQ/Nasdaq: Today is Monday OR Tuesday. IBS (c-l/h-l) is 0.1 or lower. If conditions 1 and 2 are fulfilled, go long at the close. Exit on the first close higher than yesterday’s high (code in Amibroker is c>ref(h,-1)). This is all there is to it. Here is the equity curve…
