# Category: strategies

## When SPY Closes On 20 Day High On Mondays And Tuesdays

This article is an idea from this blogpost: SPY closes higher than the previous 20 day close (not the 20 day high) Today is either monday or tuesday Go short at close Exit at tomorrows open This works for all days except for thursdays. This is the results for mondays

## 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: Today is monday Calculate a 25

## When XLP Diverges From Recent High And Low: A Close To Close Strategy

A while back I wrote about a daytrading strategy in SPY. This one works pretty well on XLP as well, with some modifications: Calculate a 25 day average of the (High minus Low). That is the “ATR”. Calculate the Low of the last 10 days. Calculate the (C-L)/(H-L) ratio every

## How To Make Money From The Close Until Tomorrow’s Open In Spy/S&P 500, Part 2

In November 2012 I summarized some strategies when holding from the close until tomorrow’s open. These strategies have worked well since I publsihed it. Today I have another one. It’s based on the same principles as this strategy. Here are the criterias: Calculate a 25 day average of the (High

## When SPY Falls 2 Times More Than Average Change

Here is a simple strategy in SPY: Calculat the absolute value of the % change from todays close from yesterday close (c2c) Calculate a 25 day average of number 1 When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long

## When SPY Diverges From Recent High And Low: A Daytrading Strategy

S&P 500 has historically a strong tendency to revert to the mean. I’m looking to find a way to fade the gap. My research has indicated that fading the gap is best after a strong move to either direction. Here are the criterias for a reasonable solid fade the gap

## A Simple Pair Trade Strategy In Liquid ETFs

This sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock exchanges in the world. I tested the following: Every day rank each ETF based on this formula: (c-l)/(h-l) Buy on

## Trade The Boring Consumer Stocks When They Open Down And Yesterday Was A Down Day

Hmm, that was a long headline, which probably won’t catch many readers. Anyway, here is the strategy based on the ticker XLP: Yesterday must have been a down day of at least 0.25%. If XLP opens down more than 0.1% today, go long and exit on the close. Fairly simple

## The Greatest Gold Stock System You Should Trade

Jay Kaeppel wrote last week an interesting post about gold stocks: The greatest gold stock system you’ll probably never use. I have a twist to this system which I’ve been trading for some weeks. Since Kaeppel has published it I might as well publish it myself. And it’s so simple

## Shorting Oil When Dollar Rises

The price of oil is seen as a hedge against a falling dollar. If the dollar falls, oil should rise (or vice versa). What happens next day if they go in tandem? If the dollar rises more than 0.25% (using UUP as a proxy) from yesterday’s close until today’s, and

## When Gold Gaps Up Or Down

Previously I have only daytraded stocks and traded SPY/ES. Over the last couple of months I have also had a look at GLD, and I’ve been trading this ETF. GLD resembles the price of gold bullion. I’m not a gold bug, instead I prefer to invest in real estate to

## December Seasonality In OBX (Oslo Stock Exchange)

Below you can find the gain each year from 1997 until 2011 in OBX. It’s divided in two: The whole of December and the 2nd half of December. The 2nd half is from the close of 15th or the day before if 15th was on a weekend. OBX consists of

## How To Make Money From The Close Until Tomorrow’s Open in SPY/S&P 500

This post have some simple suggestions on potential strategies from the close until tomorrows open in SPY (the test period is from October 2005 until present).  This post is  a summary of all several tests I have done on strategies with entry on close and exit on next day’s open

## When SPY Closes Near The Bottom of Its Range But Still Positive

During my early days as an investor/trader in the early 90’s I was told (in many books) that an up day that finishes near the low of the range is a bad sign. However, it’s always a good idea to test everything yourself. Rob Hanna did that in 2010 and

## Two Big Down Days In A Row In SPY

On thursday we had the second “big” down day in a row in SPY, with two days in a row with more than 1% each day. This does not happen very often. Knowing that SPY tends to revert to the mean: Can we make money by going long on the

## A Momentum Strategy In SPY During The Last Hour

Here is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on the close? Previously I have written about the different periods of the trading day: At what time of day does

## New 5 Day Low In SPY And Closes In The Low of The Range

I’m testing a lot of mean reversion strategies to find the most suitable one. Here is another twist: Todays close must be lower than 0.25 in this formula: (c-l)/(h-l) The close must be lower than the lowest the previous 5 days. If those two simple criteria are met, go long

## SPY Sets Low Or High In The Last Hour – A Daytrading Strategy

I have previously written to articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable out of these simple numbers but it’s not easy. However,

## Opening Gaps in SPY/S&P 500, part 3, Anatomy of Fading Gaps

I decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to my search on the web. For me this is unknown territory as up until this date I have only been

## When SPY/S&P 500 Closes In the Bottom of Today’s Range

One of my favourite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience. Here is an example: Enter at close if the above formula is less than 0.5: The blue line is the accumulated return in

## Gap Down Strategy In Stocks – Going Long

This research paper had an interesting look into gaps down in stocks  (www.mta.org/eweb/docs/pdfs/2011-dowaward.pdf, thanks to Richard for making me aware of this report). I recommend reading it. I have no knowledge of the people who has made it, but I tried to some twists in the same direction myself. I

## Opening Gaps in SPY/S&P 500, part 2

The opening gap strategy I published last week showed promising returns. However, can we trust the data? The test was performed on EOD data from Yahoo! (open, high, low and close per day). Today I have downloaded 30 mins data from IQFeed. The test period is the same: 1. January

## Opening Gaps in SPY/S&P 500, part 1

Searching on the internet you can find a lot of articles on how to play the opening gap of S&P 500. Today I did my personal twist on this strategy. Over the last two months I’ve been trading a similar strategy, but not exactly the same as the one I’ve

## At What Time of Day Does SPY/S&P 500 Set High And Low?

This morning I had a look at when SPY makes high and low during the trading day (regular market hours from 0930 to 1600). I had no particular plan behind this, I just wanted to know if I can draw some trading ideas from it. The total sample is 650

## Using VIX to trade SPY and S&P 500

VIX is a popular measure of the implied volatility of S&P 500 index options. You can read about the VIX using the link, but put shortly this is a mean reversion indicator: when the risk premium increses (VIX is rising in value) it might be wise to buy stocks

## The Trend Is Not Your Friend In SPY/S&P 500 (and other stock indices)

I guess most traders have heard about that “the trend is your friend”. Personally I close to never trade on trends, I go the opposite way: buy weakness and sell strength. However, this depends on the instrument you trade and of course on the time frame. In general most currencies

## A New Potential Daytrading Strategy, Part 2

Some days ago I wrote about a new daytrading strategy I have implemented. This morning I had a second look at it and decided to test it using some of the stocks I did not pick to my portfolio list. I simply picked 31 random stocks out of the 365

## A New Potential Daytrading Strategy

Over the last several months I have been looking into a new potential daytrading strategy. This one looks into more illiquid stocks and therefore I won’t reveal the strategy: It’s simply not enough volume for many traders to trade the same. So why do I bother to publish it? I

## Candlestick Pattern – Doji

My young friend in Prague put up an interesting chart the other day: QQQ and the doji pattern: A doji is classified as a “reversal” pattern, but that doesn’t mean that prices should reverse. It is more correctly viewed as simply the end of a trend. The market has been

## End of Month Strategy in S&P 500

A well known “fact” is the rally into the end of the month and the first day of every month. It’s a lot about it on the web, but as far as I can see no actual hard numbers and strategies. Therefore, some days back I posted a strategy showing

## Tuesday reversals in S&P 500

Some days back I wrote about daily seasonality in S&P 500. As a proxy I use SPY, an ETF. As I have been trading for some years I have noticed there is often a reversal on tuesdays. Actually, this “fact” is well researched over the years. However, I want to

## Day of Week Seasonality in S&P 500

Previously there has been certain day of week seasonalities in S&P 500. Here is a summary of the average gain since 1. January 2010 until 1st of July based on weekdays: Close to Close to Open to Close % Close % Open % Open % close open close to low

## Daily Seasonalities In S&P 500

Are there any daily seasonalities in S&P 500? I did some research into SPY, an ETF based on S&P 500 components and a very good proxy, based average return on which day of the month. To get a sufficient number of data I started back in 2005. Here are the