When SPY Falls 2 Times More Than Average Change

Here is a simple strategy in SPY:

  1. Calculat the absolute value of the % change from todays close from yesterday close (c2c)
  2. Calculate a 25 day average of number 1
  3. When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close
  4. 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):

P/L #fills #wins Avg
44.73 159 94 0.28

Let’s see this strategy broken down into weekdays:

Mondays:

P/L #fills #wins Avg
14.99 19 13 0.79

Tuesdays:

P/L #fills #wins Avg
13.46 36 23 0.37

Wednesdays:

P/L #fills #wins Avg
13.11 35 19 0.37

Thursdays:

P/L #fills #wins Avg
-7.88 37 15 -0.21

Fridays:

P/L #fills #wins Avg
11.05 32 24 0.35

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.