S&P 500 (SPY)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Trading performance if exit after N-days (100 000 and compounding):
As you can see, history shows a downward edge in the coming days.
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 highest volume over the last 10 days; and The close is above yesterday’s high. Results Trading performance if exit after N-days (100 000 and compounding since…
In a previous article, we highlighted the difference of changing the entry method: entry on the next day open (1) vs. entry on the same day close (2) vs. entry on the next day with a limit order (3). For the comparison we created a portfolio with a maximum of 10 positions each and compared…
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…
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…
We rank Williams %R as the best oscillating indicator for trading strategies. It’s certainly not the most known nor the most used, but in our humble opinion, our backtests proved Williams %R to be the most stable indicator for almost all of our parameters. It’s not the indicator with the highest return, but it has…
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,…
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