Trading Edge #17
Instrument/asset
S&P 500 (SPY)
Trading rules
Yesterday, the following trading rules kicked in:
(The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it)):
- Close must be lower 7 or more days of the last 10 days; and
- Today’s volume is the heaviest of the last 5 days.
Results
Trading performance if exit after N-days (100 000 and compounding):
The seems to be a pretty strong edge over the next days.
If we exit after 10 days we get the following equity curve for SPY from its inception in 1993 until today:
