Today SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the longs. Looking at what has happened on similar days since January 2010 (open more than 0.7% down and falling more than 1% from the open)…
Do you know the average return in the S&P 500 separated into trading days and day of the week? In this article, we look at the average gain per trading day and day of the week. The best days are centered around the first and last days of the month. We also find out that…
In day trading, what are the returns in the first hour, middle of the day, and in the last hour? I have lately broken down the trading day into performance during the first hour, the middle of the day, and the last hour. Previously I have written two articles about when SPY establishes the high…
I have previously written two articles about when SPY sets high and low during the day: Which Trading Hour Is The Best? When Should You Buy And Sell During The Day? At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable…
In a previous article, I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until the 1st of August 2012: #Number High Low High Low of days First hour First hour Last hour Last hour Monday 119 44 43 29…
Mean reversion strategies work well in the stock market. One of the best indicators for such strategies is the Internal Bar Strength Indicator (IBS): (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience, for mean-revertive assets like stocks and stock indices. Here is an example: Enter at close if the above formula is…
Searching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. Gap trading strategies are popular. What is an opening gap? (Gap Fill) A gap is when the opening price (or print) is higher or lower than the previous close. A gap up indicates…
Trading SPY And S&P 500 Using VIX (VIX Trading Strategies). The VIX is a popular measure of the implied volatility of S&P 500 index options. Put shortly, the VIX is a mean reversion indicator: when the risk premium increases (VIX is rising in value) it might be wise to buy stocks and sell when VIX…
A well-known “fact” is the end-of-month rally in stocks at the end of the month and the first day(s) of the next month. It’s a lot about it on the web, but as far as I can see no actual hard numbers and strategies. Do stocks go up at the end of the month? Let’s…
Are there any daily seasonalities in the S&P 500? I did some research into SPY, an ETF based on the S&P 500 components and a very good proxy, based average return on which day of the month. To get a sufficient number of data I started back in 2005. Here are the results: Average…
