Trading Edge 61
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’s open is higher than yesterday’s high; and
- The IBS indicator is lower than 0.2.
The trading edge behaves slightly differently depending on the close in relation to the 200-day moving average.
Results
Trading performance if exit after N-days (100 000 and compounding since inception):
If we exit after 5 trading days, we get the following equity curve:
The strategy is good, but it can be improved by adding a trend filter, for example.