S&P 500 (SPX)
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 (100 000 and compounding since 1960):
It seems like the edge is getting weaker (?). That said, the average gain has been 0.51% and the win rate is 82%.
Keltner Bands Trading Strategy (Keltner Channels) is a lesser-known sibling of the Bollinger Bands which are widely used and pretty famous. Despite being rather unknown, Keltner Bands are still included in most software packages. In this article, we take a look at Keltner Bands to see what it is, how they are calculated, how they…
One of the more peculiar effects of the S&P 500 is the huge difference in performance between odd and even days. It turns out that one type of calendar day is much better than the other. Can we develop a trading strategy based on odd and even days? This article shows a trading strategy that…
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): The month is December; and The calendar day is more than; and The close is at least 1% lower than yesterday’s close. Results Trading performance if exit…
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 the lowest range in 3 days; and The 5-day RSI is below 40. Results Trading performance if exit after N-days (100 000 and compounding since…
Instrument/asset S&P 500 (SPX) 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 Tuesday in Thanksgiving week; and Exit on the Wednesday before Thanksgiving. Results Trading performance if exit after N-days (100 000 and compounding since 1960): The…
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Thanksgiving has historically been a good week for stocks, but the Monday after Thanksgiving has been very poor. We make the following trading rules: We buy at the close of Black Friday; and…
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