Here is a simple strategy in SPY:
- Calculat the absolute value of the % change from todays close from yesterday close (c2c)
- Calculate a 25 day average of number 1
- When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close
- Exit on next day close
A very simple strategy. The idea is simply to buy when the risk premium rises. Test period is from 2005 until present (if today is monday, the the result is showing the gain from mondays close until tuesdays close):
Let’s see this strategy broken down into weekdays:
As you can see it works pretty good except thursdays. I can’t think of any spesific reasons why, except that SPY tend to revert mid week.