Big Moves On Mondays

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:

  1. Today is monday
  2. Calculate a 25 day average of the daily H-L range
  3. SPY must fall at least 50% number 2 from Fridays close
  4. Go long at close
  5. Exit at close 4 days later
P/L #Fills Avg.
75.27 63.00 1.19

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:

P/L #Fills Avg.
-25.45 76.00 -0.33

Here is the equity curve (blue is long and pink is short):