Daily Trading Edge #35
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):
- Buy at the close the day before the monthly job report; and
- The close must be above the 200-day moving average.
Results
Trading performance if we exit after N-days since SPY’s inception in 1993:

Equity curve if exit after 1 trading day (the day of the employment report):

Improved trading edge
This trading edge is hard to improve because it’s pretty good as it is.
