When Both Thursdays And Fridays Are Down In SPY

Here is the strategy:

  1. Today is friday.
  2. 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.
  3. Exit after two days on the close (usually on tuesdays).

Test period is from 2005 until february 2013:

P/L #Fills Avg.
47.93 62.00 0.77

Here is the equity curve:

Doing the opposite (and short) we get this equity curve:

It does not work on other days. On wednesdays, it pays off to go short.