Trading Edge 73

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 the before the monthly job report (which is released on the first Friday of the month; and
Today’s close is higher than yesterday’s close; and
a down day; and
The close is above the 200-day moving average; and
We sell at the close the next day (the day of the Job report).

Results

Trading performance if exit after N-days (100 000 and compounding since inception):

The edge is decent, with an average gain of 0.3%.

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