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:

  1. Calculate a 25 day average of the (High minus Low). That is the β€œATR”.
  2. Calculate the high of the last 10 days.
  3. Calculate the (C-L)/(H-L) ratio every day (IBS).
  4. 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.
  5. 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 %
51.30432 273 175 0.187928

Here is the equity curve:

Vice versa for short does not work.