I caught some ideas from Paststat and Quantifiable edges to test “big” movement on mondays. I have tested this in a previous post, but this time we’ll look at what happens to SPY the rest of the week.
Here are the criterias for long:
- Today is monday
- Calculate a 25 day average of the daily H-L range
- SPY must fall at least 50% number 2 from Fridays close
- Go long at close
- Exit at close 4 days later
Numbers in table above is in % and from 2005 until March 2013. Pretty good numbers considering the amount of time in the market is about 15%.
What if we turn it upside down and go short:
Here is the equity curve (blue is long and pink is short):