Trading Edge #57
Instrument/asset
Semiconductors (SMH)
Trading rules
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
- The close is at least 0.5% higher than yesterday’s close; and
- TLT’s close is at least 0.5% lower than yesterday’s close; and
- The lowest volume over the last 3 days.
Results
Trading performance if exit after N-days (100 000 and compounding since inception):
As you can see, the edge is VERY negative, thus it might be a potential short trade.
This is how the equity curve looks like if we exit after one trading day:
