S&P 500 (SPX)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Trading performance if exit after N-days (100 000 and compounding since 1960):
The performance is weak in the short term, but goes away after a few days.
Below is the equity curve when you exit after one day:
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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): Three days in a row with lower lows and highs. Results Trading performance if exit after N-days (SPY since inception in 1993): The returns the coming days…
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