# Posts Tagged by spy

## How To Profit From The Russell 2000 End Of June Rally

June 5, 2017 | Posted by Oddmund Grotte under Uncategorized |

Russell 2000 rebalances their holdings at the end of June every year. Here is what they say about rebalancing: June is the month that the preliminary reconstitution portfolio is communicated to the marketplace. Beginning on June 9, preliminary lists are communicated to the marketplace and updates are provided on June 16 and 23. The newly reconstituted…

## RSI(2) on SPY

December 18, 2016 | Posted by Oddmund Grotte under strategies |

Criterias for entry: If RSI(2) is less than 15, then entry on close. Exit on close if todays close is higher than yesterdays high. Here is accumulated profit curve from 2005 until september 2016: Average per trade is 0.46%.

## End of Month Strategy in S&P 500 – Update

January 15, 2015 | Posted by Oddmund Grotte under strategies |

In July 2012 I published a strategy about an end of month strategy in S&P 500. Here are the criterias: Entry: Day 29, 30 or 31 of the month must be negative. Then enter on close. Exit: Two successive positive closes in a row, OR SPY hits a 1% target. (no stops). Here are the…

## 3 Down Days – And Gap Up?

April 2, 2014 | Posted by Oddmund Grotte under strategies |

Here is a simple mean reversion twist in SPY: SPY must be down 3 days in row (from close to close). Entry on close on the 3rd doen day Exit next day open Here is the equity curve from 2005 until present (the pink line is for short but using 4 up days and then…

## 3 Day Low in ETF’s

November 1, 2013 | Posted by Oddmund Grotte under strategies |

Larry Connors have written a strategy called the double 7. This is a very simple strategy with just two rules. The less rules, the better, because less probability of curve fitting. This strategy is based on 7 days low (and high for exit), but in my testing it seems to work very well on all…

## What Happens After An “Extraordinary” Big Fall in S&P?

October 15, 2013 | Posted by Oddmund Grotte under strategies |

What happens after an “extraordinary” big fall in SPY? Calculate the average H-L range over the last 25 days (in per cent). If the ETF falls more than 2 times this average, enter at close. Exit at tmorrows open, tomorrows close or after 3 or 5 days. Test period from 2005 until July 2013. The…

## Does Volume Really Matter In SPY?

August 19, 2013 | Posted by Oddmund Grotte under strategies |

I’m trading SPY, but until now I have not paid any attention to its volume until I saw this article. The result was interesting, but on second thoughts it makes sense. Why? Because a lot of SPY trading is hedging. I trade SPY every day in my daytrading simply for hedging purposes. So when the…

## When SPY Opens On 5 Day Low, But Close Is Higher Than Open

August 13, 2013 | Posted by Oddmund Grotte under strategies |

Yesterday SPY opened at 5 day low, but rose from the opening price to close higher. Here is the strategy: SPY must open at a 5 day low. Close must be higher than open. If 1 and 2 fulfilled, entry on close Exit tomorrows open I have previously written about a 5 day low strategy…

## When Both Thursdays And Fridays Are Down In SPY

June 11, 2013 | Posted by Oddmund Grotte under strategies |

Here is the strategy: Today is friday. Yesterday (thursday) was down more than -0.15% and today also more than -0.15%. 0.15% is used to have some wiggle room because you have to send the orders before the market closes. Exit after two days on the close (usually on tuesdays). Test period is from 2005 until…

## When SPY Closes On 20 Day High On Mondays And Tuesdays

May 22, 2013 | Posted by Oddmund Grotte under strategies |

This article is an idea from this blogpost: SPY closes higher than the previous 20 day close (not the 20 day high) Today is either monday or tuesday Go short at close Exit at tomorrows open This works for all days except for thursdays. This is the results for mondays from 2005 until february 2013:…

## Big Moves On Mondays

May 9, 2013 | Posted by Oddmund Grotte under strategies |

I caught some ideas from Paststat and Quantifiable edges to test “big” movement on mondays. I have tested this in a previous post, but this time we’ll look at what happens to SPY the rest of the week. Here are the criterias for long: Today is monday Calculate a 25 day average of the daily…

## How To Make Money From The Close Until Tomorrow’s Open In Spy/S&P 500, Part 2

March 25, 2013 | Posted by Oddmund Grotte under strategies |

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…

## When SPY Falls 2 Times More Than Average Change

March 4, 2013 | Posted by Oddmund Grotte under strategies |

Here is a simple strategy in SPY: Calculat the absolute value of the % change from todays close from yesterday close (c2c) Calculate a 25 day average of number 1 When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close Exit on…

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

February 26, 2013 | Posted by Oddmund Grotte under daytrading |

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…

## When SPY Diverges From Recent High And Low: A Daytrading Strategy

February 3, 2013 | Posted by Oddmund Grotte under daytrading, strategies |

S&P 500 has historically a strong tendency to revert to the mean. I’m looking to find a way to fade the gap. My research has indicated that fading the gap is best after a strong move to either direction. Here are the criterias for a reasonable solid fade the gap strategy: Calculate a 25 day…

## A Simple Pair Trade Strategy In Liquid ETFs

January 13, 2013 | Posted by Oddmund Grotte under strategies |

This sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock exchanges in the world. I tested the following: Every day rank each ETF based on this formula: (c-l)/(h-l) Buy on the close the one with…

## How To Make Money From The Close Until Tomorrow’s Open in SPY/S&P 500

November 29, 2012 | Posted by Oddmund Grotte under strategies |

This post have some simple suggestions on potential strategies from the close until tomorrows open in SPY (the test period is from October 2005 until present). This post is a summary of all several tests I have done on strategies with entry on close and exit on next day’s open (so far). The best strategy…

## When SPY Closes Near The Bottom of Its Range But Still Positive

November 15, 2012 | Posted by Oddmund Grotte under strategies |

During my early days as an investor/trader in the early 90′s I was told (in many books) that an up day that finishes near the low of the range is a bad sign. However, it’s always a good idea to test everything yourself. Rob Hanna did that in 2010 and I decided to check the…

## Two Big Down Days In A Row In SPY

November 11, 2012 | Posted by Oddmund Grotte under strategies |

On thursday we had the second “big” down day in a row in SPY, with two days in a row with more than 1% each day. This does not happen very often. Knowing that SPY tends to revert to the mean: Can we make money by going long on the close of the second day?…

## Gap Down And Even More Downside From The Open in SPY

November 7, 2012 | Posted by Oddmund Grotte under daytrading |

Today SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the longs. Looking at what has happened on similar days since January 2010 (open more than 0.7% down and falling more than 1% from the open)…

## Return Per Trading Day Since 1970 in S&P 500

November 2, 2012 | Posted by Oddmund Grotte under trading topics |

Below you can find a bar showing the average return per trading day in the S&P 500 since 1970, excluding dividends. Day 1 is simply the first trading day, not necessarily the 1st day of the calendar month. Obviously the months have different number of trading days. The numbers are not compressed or prolonged to…

## Some Facts About The First Trading Day Of The Month

November 1, 2012 | Posted by Oddmund Grotte under trading topics |

Today is 1st of November and the start of a new month. I’m just trying to grab some stats on how the first trading day of the month has been from January 2005 until July 2012. Average opening from yesterday’s close: +0.066% Average gain from yesterday’s close until today’s close (if today is the first…

## Some Facts About The Last Trading Day Of The Month

November 1, 2012 | Posted by Oddmund Grotte under trading topics |

Yesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and getting more and more fills, I had a nice gain, only to see it evaporate until a small loss at the close. That is ok…

## A Momentum Strategy In SPY During The Last Hour

October 27, 2012 | Posted by Oddmund Grotte under daytrading, strategies |

Here is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on the close? Previously I have written about the different periods of the trading day: At what time of day does SPY set high and low?…

## Daytrading SPY: Returns In The First Hour, Middle of The Day and The Last Hour

October 26, 2012 | Posted by Oddmund Grotte under daytrading, trading topics |

Being a daytrader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last hour. Previously I have written two articles about when SPY establishes the high and low during the trading day: At what time of day does SPY…

## 5 Day Low and Gapped Down

October 24, 2012 | Posted by Oddmund Grotte under trading topics |

Yesterday (on the 23rd) SPY closed below the previous day’s 5 day low. Even more, SPY gapped down and never traded over the previos day’s low. Some days back I wrote an article about a possible strategy to buy SPY when it closed below the prevoius day’s 5 day low. That strategy is in my…

## New 5 Day Low In SPY And Closes In The Low of The Range

October 21, 2012 | Posted by Oddmund Grotte under strategies |

I’m testing a lot of mean reversion strategies to find the most suitable one. Here is another twist: Todays close must be lower than 0.25 in this formula: (c-l)/(h-l) The close must be lower than the lowest the previous 5 days. If those two simple criteria are met, go long at close. Exit is at…

## SPY Sets Low Or High In The Last Hour – A Daytrading Strategy

October 17, 2012 | Posted by Oddmund Grotte under daytrading, strategies |

I have previously written to articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable out of these simple numbers but it’s not easy. However, the “boring” buying on weakness…

## Intraday High And Low In Spy By Weekday

October 15, 2012 | Posted by Oddmund Grotte under trading topics |

In a previous article I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until 1st og August 2012: #Number High Low High Low of days First hour First hour Last hour Last hour Monday 119 44 43 29 29 Tuesday 135…

## The Importance of Good Data Sets

October 11, 2012 | Posted by Oddmund Grotte under trading topics |

After ten years of daytrading, I have experienced the expensive way the importance of good data. The famous saying “garbage in, garbage out” is indeed true. I have probably lost tens of thousand dollars on trading strategies that is based on “garbage”. Sad but true. Problem is, there is not much you can do about…

## Recent Comments