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 minus Low). That is the “ATR”.
- Calculate the high of the last 10 days.
- Calculate the (C-L)/(H-L) ratio every day (IBS).
- Calculate a band 2.5 times below the 10 day high using the average from point number 1 (ATR). Ie, subtracting number 1 (2.5 times) from number 2.
- If SPY closes below the band in number 4, and point 3 has a lower value than 0.5, go long at the close and exit on tomorrow’s open.
The test period is from 2005 until present:
|P/L in %||#fills||#wins||Avg %|
Here is the equity curve:
Vice versa for short does not work.