Trading Edge 6

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 edge seems to be there. The average gain is 0.28% and the win rate is 76%. 

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