Trading Edge 10
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 95; and
- IBS is above 0.9; and
- The close is above the 200-day moving average.
The trading edge behaves slightly differently depending on the close in relation to the 200-day moving average.
Results
Trading performance if exit after N-days (100 000 and compounding):
The performance indicates SPY performs much worse than any random day the next 5 trading days after this trigger.
