Some weeks ago I wrote about a potential daytrading strategy in XLP. This is the similar test done in SPY:
- Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
- Today SPY opens down.
If these two simple criteria are fulfilled, then go long at the open and hold until close.
This is the result from 2005 until present:
Here is the equity curve: