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%.
