Trading Edge 67
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 is a down day; and
- The close is above the 200-day moving average; and
- Yesterday’s close was the fifth in a row up; and
- Yesterday’s close was a ten-day high.
Results
Trading performance if exit after N-days (100 000 and compounding since inception):
It’s surprisingly many trades. If we exit after ten days we get the following equity curve:
