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):
The trading edge behaves slightly differently depending on the close in relation to the 200-day moving average.
Trading performance if exit after N-days (100 000 and compounding):
The results indicate a potential solid trading edge.
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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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