Trading Edge #29
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):
- Three days in a row with lower lows and highs.
Results
Trading performance if exit after N-days (SPY since inception in 1993):
The returns the coming days after such an event are significantly better than any random day.
Improved Trading Edge
The strategy improves slightly if the pattern happens in the second half of the month (based on calendar days):
