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 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…
Russell 2000 rebalancing at the end of June is an important event. It’s important because it leads to potential imbalances, but more importantly, the Russell 2000 has shown abnormal outperformance over these few days. The seasonality and effect are so strong it seems to be a tradeable Russell 2000 rebalancing trading strategy. In this article,…
Sell in May – myth or fact? Sell in May and go away must be one of the most famous phrases in the stock market. But is this adage a myth or a fact? Is sell in May and go away true? Plenty of myths in the stock market have never been backtested properly. There…
What happens after an extraordinary big fall in SPY? Volatility trading strategies can be very profitable – both long and short. Let’s find out and test by using some simple variables. To measure a big fall we use the average difference between the high and the low over the last 25 days. We made the…
This article presents an overnight trading strategy in the S&P 500. Overnight means entering at the close and exit at tomorrow’s open. We exit at the next open no matter the price movement during the night session. We have previously written about other overnight trading strategies plus described the night trading session: Night trading strategies…
Some weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY: Yesterday the formula (c-l)/(h-l) must have been lower than 0.1. 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…
The overnight edge in the stock market is well documented: By using the tailwind from the close until the next open, you can develop some good short-term trading strategies. In this article, I present 4 overnight trading strategies in the S&P 500. The strategies buy at the close and sell the next day’s open. Because…
During my early days as an investor/trader in the early 90’s, I was told (in many books) that an up day that finishes near the low of the range is a bad sign. Is this true? The only way to find out is by backtesting. Backtesting is the core of what we do and we…
