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# 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 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.

Hi,

Here’s a small script that replicates your strategy in R (http://www.r-project.org):

install.packages(c(“quantmod”, “lubridate”))

library(quantmod)

library(lubridate)

posSize <- 5000 # per trade

txnFees <- 0.02 # per share

# Get data from Yahoo Finance

x <- getSymbols("SPY", from = "2005-01-01", auto.assign = FALSE)

# Adjust OHLC and subset data from 2005-01-01 to 2013-02-28

x <- adjustOHLC(x["2005::2013-02"], use.Adjusted = TRUE)

# Signal: if Friday and last two close to close were down

x$Wday <- wday(index(x))

x$Sig <- ifelse(x$Wday == 6 & Cl(x) < Lag(Cl(x)) & Lag(Cl(x)) < Lag(Cl(x), 2), 1, 0)

# Entry price: close price of sig day

x$EntryPrice <- as.numeric(Cl(x))

# Exit price: close price 2 days later

x$ExitPrice <- c(as.numeric(Cl(x))[-c(1:2)], rep(NA, 2))

# Number of shares

x$Shares <- floor(posSize/x$EntryPrice)

# Calculate PnL including txn fees

x$PnL <- x$Sig * x$Shares * (x$ExitPrice – x$EntryPrice – 2 * txnFees)

x[is.na(x)] <- 0

plot(cumsum(x$PnL/posSize))