SPY/S&P 500: Yesterday Was A Down Day And Today Opens Down

Some weeks ago I wrote about a potential daytrading strategy in XLP. This is the similar test done in SPY:

  1. Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
  2. 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:

P/L #Fills Avg.
19.75% 84.00 0.24%

Here is the equity curve: