Daily Trading Edge #36
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 below the 200-day moving average.
Results
Trading performance if we exit after N-days since SPY’s inception in 1993:
A pretty negative edge!
If we exit after 1 day (on the close on the day the job report is published) we get the following equity chart:
