S&P 500 (SPX)
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) since 1975:
As you can see, pretty weak performance base don the past
The S&P 500 has shown strong mean reversion tendencies for many decades. One reason for this is the tailwind in the form of 0.04% average return from the close until the next day open, so-called night trading, the lowest hang fruit in the tock market. This article looks at the performance of the overnight session…
Today we test Larry Connors‘ R3 strategy and we continue backtesting the trading strategies Larry Connors and his team published in 2009 in a book called High Probability ETF Trading. All the strategies were tested on a basket of 20 liquid ETFs. The previous articles can be found on our page containing many different quantified…
The stock market has been on fire for the last decade, causing the impression that it reached an all-time high almost every day. However, this is only a perception because all-time highs are quite uncommon. Let’s make an all-time high strategy for stocks. The S&P 500 spent less than a tenth of its time at…
The options expiration week effect is well known but very little research can be found online about the specific options expiration day. Let’s dig a little deeper and find out some specifics (and profitable) about this day. Has the option expiration day been good or bad for stocks? What is the options expiration day? US…
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): IBS is lower than 0.2; and The close is above the 200-day moving average; and TLT’s IBS is above 0.8. Results Trading performance if exit after N-days:…
Inflation is one of the most popular and important economic indicators. It is monitored by everyone — businesses, financial regulators, and investors. Not only does it guide regulators in their policies, but also, it affects businesses, which in turn, influences investors. But what exactly is inflation, and how does it affect stocks? And more importantly,…
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