Last Updated on October 16, 2021 by Oddmund Groette
Here is a simple mean reversion twist in SPY that holds the S&P 500 just one day (from the close to the next day’s open).
The 3-day down overnight trading strategy
In plain English the strategy reads like this:
- SPY must be down 3 days in a row (from close to close).
- Entry on close on the 3rd down day.
- Exit the next day open.
Here is the equity curve from 2005 until the present (the pink line is for short but using 4 up days and then go short):
There are 200 fills for long and a respectable 0.18% gain per fill.
For EEM we have this equity curve for exactly the same conditions as for SPY:
The numbers for EEM are slightly better: 0.35% per trade (161 trades).
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