3 Down Days – And Gap Up?
|April 2, 2014||Posted by Oddmund Grotte under strategies|
Here is a simple mean reversion twist in SPY:
- SPY must be down 3 days in row (from close to close).
- Entry on close on the 3rd doen day
- Exit next day open
Here is the equity curve from 2005 until present (the pink line is for short but using 4 up days and then go short):
There is 200 fills for long and a respectable 0.18% gain per fill.
For EEM we have this equity curve for exactly the same conditions as for SPY:
The numbers for EEM are slightly better: 0.35% per trade (161 trades).