# Tag: spy

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

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

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

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,

## Intraday High And Low In Spy By Weekday

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

## The Importance of Good Data Sets

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

## Opening Gaps in SPY/S&P 500, part 3, Anatomy of Fading Gaps

I decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to my search on the web. For me this is unknown territory as up until this date I have only been

## When SPY/S&P 500 Closes In the Bottom of Today’s Range

One of my favourite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience. Here is an example: Enter at close if the above formula is less than 0.5: The blue line is the accumulated return in

## Opening Gaps in SPY/S&P 500, part 2

The opening gap strategy I published last week showed promising returns. However, can we trust the data? The test was performed on EOD data from Yahoo! (open, high, low and close per day). Today I have downloaded 30 mins data from IQFeed. The test period is the same: 1. January

## Opening Gaps in SPY/S&P 500, part 1

Searching on the internet you can find a lot of articles on how to play the opening gap of S&P 500. Today I did my personal twist on this strategy. Over the last two months I’ve been trading a similar strategy, but not exactly the same as the one I’ve

## At What Time of Day Does SPY/S&P 500 Set High And Low?

This morning I had a look at when SPY makes high and low during the trading day (regular market hours from 0930 to 1600). I had no particular plan behind this, I just wanted to know if I can draw some trading ideas from it. The total sample is 650

## Using VIX to trade SPY and S&P 500

VIX is a popular measure of the implied volatility of S&P 500 index options. You can read about the VIX using the link, but put shortly this is a mean reversion indicator: when the risk premium increses (VIX is rising in value) it might be wise to buy stocks

## The Trend Is Not Your Friend In SPY/S&P 500 (and other stock indices)

I guess most traders have heard about that “the trend is your friend”. Personally I close to never trade on trends, I go the opposite way: buy weakness and sell strength. However, this depends on the instrument you trade and of course on the time frame. In general most currencies

## A New Potential Daytrading Strategy, Part 2

Some days ago I wrote about a new daytrading strategy I have implemented. This morning I had a second look at it and decided to test it using some of the stocks I did not pick to my portfolio list. I simply picked 31 random stocks out of the 365

## A New Potential Daytrading Strategy

Over the last several months I have been looking into a new potential daytrading strategy. This one looks into more illiquid stocks and therefore I won’t reveal the strategy: It’s simply not enough volume for many traders to trade the same. So why do I bother to publish it? I

## Candlestick Pattern – Doji

My young friend in Prague put up an interesting chart the other day: QQQ and the doji pattern: A doji is classified as a “reversal” pattern, but that doesn’t mean that prices should reverse. It is more correctly viewed as simply the end of a trend. The market has been

## End of Month Strategy in S&P 500

A well known “fact” is the rally into the end of the month and the first day of every month. It’s a lot about it on the web, but as far as I can see no actual hard numbers and strategies. Therefore, some days back I posted a strategy showing