SPY/S&P 500: Analyzing Scenarios When Yesterday Was a Down Day and Today Opens Down

Some weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY:

1. Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
2. Today SPY opens down.

If these two simple criteria are fulfilled, then go long at the open and hold until close.

This is the result from 2005 until the present:

Here is the equity curve:

FAQ:

– What are the criteria for the day trading strategy in SPY?

The strategy has two simple criteria: (1) The (c-l)/(h-l) ratio must have been lower than 0.1 on the previous day, and (2) SPY must open lower today.

– What action should one take if these criteria are met?

When both criteria are met, traders should consider going long at the open and holding the position until the close.

– What time frame does this strategy cover, and when does it start?

The strategy’s results are analyzed from 2005 until the present.