Instrument/asset Long Term Treasuries (TLT) 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 last day of the month – go short at the close. Results (You must take into consideration that TLT pays a dividend on…
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 open is higher than yesterday’s high; and The IBS indicator is lower than 0.2. The trading edge behaves slightly differently depending on the close in relation…
Instrument/asset Long Term bonds (TLT) 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 low is higher than yesterday’s high; and Yesterday’s 5-day RSI was below 30. Results Below is the table if we hold for N days since…
Instrument/asset S&P 500 (SPY) Trading rules 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)): Today was a down day; and Today is either Monday or Tuesday; and Last trading day was either Thursday or Friday,…
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 is at a 3-day high. Results Below is the table if we hold for N days since SPY’s inception in 1993:…
Instrument/asset The 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 the year; and Sell N days later. Results This is the performance 1-30 days later into the new year (gold price…
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): Buy at the close on the last trading day of the month; and Sell after N-days. Results Trading performance from 1993 until today (sell after N-days): Improved…
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): Buy at the first trading day after calendar day 20 of December; and Sell at the last print of the year. Results Trading performance from 1960 until…
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 It’s OPEX week; and The close is at a 5-day high. Results Trading performance (SPY) if we exit after N-days since 1993:…
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 Friday before OPEX week in December. Results Trading performance if we exit after N-days since SPY’s inception in 1993: If we exit after two days…
