Today I came across an unpublished article I started way back in 2012. The strategy is as follows:
- Calculate a moving average of the last 15 days’ closing price.
- Calculate the average true range (ATR) of the last 15 days.
- Subtract 2 multiplied by 1.5 from number 1 (1.5 times ATR(15) deducted from MA(15)).
- If today’s closing price is lower than number 3, and close is lower than yesterday’s close, go long at close.
- Exit when today’s close is higher than yesterday’s high.
The strategy has worked pretty well on S&P 500 (SPY, no commissions or slippage included) over the eight years since I looked at it, except for 2018 and 2020:
The annual performance looks like this:
Disclosure: I am not a financial advisor. Please do your own due diligence and investment research or consult a financial professional. All articles are my opinion – they are not suggestions to buy or sell any securities.