An Overnight Short Strategy In S&P 500

Last Updated on November 17, 2020 by Oddmund Groette

Below is a potential short strategy in the S&P 500:

Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90

Description:

If the close is higher for the third time in a row, 5 day ADX is bigger than 35 and RSI(2) is bigger than 90, then go short on the close.

Exit/cover on tomorrow’s open.

This is the equity chart tested on SPY:

The initial capital is 100 000 and 200 shares of SPY traded throughout the test. No commissions and slippage.

Statistics:

The profit factor is 1.81.