Big Moves On Mondays – Update

In 2013 I wrote an article about big moves on mondays. Here is a twist (and update) on this:

  1. Calculate a 25 day average of (h-l)/c
  2. Today is monday
  3. Close today must be at least lower than (from friday) 0.25 of average in number 1
  4. (c-l)/(h-l), the so called IBS, must be lower than 0.3
  5. If conditions in 2, 3 and 4 are met, go long on close
  6. Exit on fridays close

A simple strategy and here is the results for SPY from 2005 until now (in accumulated %):

91 fills in total, 61 winners and average of 1.07% per trade. Of course, all trades not including commission nor taxes. Pink line is result when conditions are complete opposite.