S&P 500 (SPY)
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 (SPX since 1960):
If we hold for 5 days we get the following equity curve:
Market timing is not easy, and if you get it wrong, it might lead to poor compounding (in the long run). We did a backtest to show what happens when you: One backtest removed the ten best days from 1960 until today for S&P 500 (replaced with zero performance that day), and the other…
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): Today is Monday; and It’s OPEX week; and The close is at a 5-day high. Results Trading performance (SPY) if we exit after N-days since 1993:…
Next week is OPEX week (options expiration), and it’s also quadruple witching week. How have the markets performed that week? Let’s have a look at S&P 500 (SPY) and how it performs for the respective months during this week. Trading Rules [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] We enter at the open of the…
Here is a simple mean reversion twist in SPY that holds the S&P 500 just one day (from the close to the next day’s open or close). It’s an overnight trading strategy, the lowest-hanging fruit in the stock market (?). This article was initially published in 2013, and it’s about time we updated it. We…
Have you ever wondered what are the best performing stock markets in the world? Almost every country has a functional stock market, but not all countries’ stock markets have been performing the same. If your great-great-grandfather had invested $1 in the U.S. stock market in 1900, it would be worth $3,806 at the end of…
One famous seasonality in the oil market is the tendency for the oil price to rise on Fridays. Let’s see the Friday seasonality in the oil price. Trading Rules [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] We buy the day before – Thursday. It seems like just buying on any Thursday’s close is not such…
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