Yesterday SPY opened at 5 day low, but rose from the opening price to close higher. Here is the strategy:
- SPY must open at a 5 day low.
- Close must be higher than open.
- If 1 and 2 fulfilled, entry on close
- Exit tomorrows open
Here are the stats:
|P/L in %||#Fills||Avg.|
Test period from 2005 until July 2013. Here is the profit curve:
The biggest winner is 6%; in October 2008. Excluding that on the average is still 0.17%.