When SPY Closes On 20 Day High On Mondays And Tuesdays

This article is an idea from this blogpost:

  1. SPY closes higher than the previous 20 day close (not the 20 day high)
  2. Today is either monday or tuesday
  3. Go short at close
  4. Exit at tomorrows open

This works for all days except for thursdays.

This is the results for mondays from 2005 until february 2013:

P/L % #fills #wins Avg
8.68232 71 44 0.122286

This is the results for tuesdays from 2005 until february 2013:

P/L % #fills #wins Avg
5.750533 70 40 0.08215