Hmm, that was a long headline, which probably won’t catch many readers. Anyway, here is the strategy based on the ticker XLP:
- Yesterday must have been a down day of at least 0.25%.
- If XLP opens down more than 0.1% today, go long and exit on the close.
Fairly simple rules. Here is the result from 2005 until present:
The equity curve:
Perhaps worth noting is how good this strategy has performed in turbulent times: 2008 and during the EU-spectacle in late summer 2011. 2012 was rather poor.
The biggest holdings in XLP are the second most boring stocks, after utilities: PG, PM, KO, WMT, PEP, MO, CVS, CL, COST and MDLZ.