Instrument/asset S&P 500 (SPY) Trading rules The OPEX week of January has been weak (the week ending the third Friday of the month). We make the following trading rules: (The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it)): Go long at the…
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): SPY is down at least 0.2%; and IWM is up at least 0.2%. Results Trading performance (SPY) if we exit after N-days since 2000: The return…
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): RSI(2) is above 70; and Today is Monday; and the close is below the 200-day moving average. Results Trading performance if exit after N-days (100 000 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): The month is December; and The calendar day is more than; and The close is at least 1% lower than yesterday’s close. Results Trading performance if exit…
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 5-day low of the low. Results Trading performance if exit after N-days (SPY since inception in 1993): The results are pretty good. 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): TweezerTop (candlestick). Results Trading performance if exit after N-days (100 000 and compounding): A pretty strong negative edge over the next days after a Tweezer Top. We…
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 an FOMC meeting day. Results Trading performance if exit after N-days: The edge is negative, perhaps with a short trade. Improved Trading Edge As…
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 Monday; and The close sets a new 5-day high of the close; and The VIX index is higher than Friday (yesterday). Results Below is the…
Instrument/asset International stocks ex. USA (EFA) 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 on the third Friday of December; and Sell at the close of the year. Results Trading performance since inception in 2001:…
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…
