S&P 500 (SPY)
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 1993):
It’s a pretty good edge over the next few days.
If we exit after 3 days, we get the following equity curve:
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 Monday; and The close sets a new 5-day high of the close; and The VIX index is higher than Friday (yesterday). Results Below is the…
In this article, we backtest Larry Connors‘ 3 day high/low Method/Strategy. How has the strategy performed since it was revealed in his book in 2009? The 3 day high/low method/strategy performed well in Connors’ book, and it still works pretty well today 12 years later. Larry Connors and Cesar Alvarez published a book called High…
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