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):
Since SPY’s inception in 1993, it has only happened 63 times.
Below is the table if we hold for N days:
The returns are good the first two trading days but diminish after that.
This is the equity curve if we exit after 24 hours (the next trading day):
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