This article presents a last-hour trading strategy. This is in practice a momentum strategy. Here is the hypothesis: if SPY rallies from the open until the last hour, can we make money by going long one hour before the close and exiting on the close? This is a “last hour” trading strategy: The momentum day…
In day trading, what are the returns in the first hour, middle of the day, and in the last hour? I have lately broken down the trading day into performance during the first hour, the middle of the day, and the last hour. Previously I have written two articles about when SPY establishes the high…
Yesterday (on the 23rd) SPY closed below the previous day’s 5 day low. Even more, SPY gapped down and never traded over the previous day’s low. Some days back I wrote an article about a possible strategy to buy SPY when it closed below the previous day’s 5 day low. That strategy is in my…
The 5-Day Low And Low of The Range Trading Strategy Here is the strategy in plain English: IBS must be lower than 0.25. The close must be lower than the lowest the previous 5 days. If those two simple criteria are met, go long at the close. The exit is at the close 5 days…
I have previously written two articles about when SPY sets high and low during the day: Which Trading Hour Is The Best? When Should You Buy And Sell During The Day? At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable…
In a previous article, I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until the 1st of August 2012: #Number High Low High Low of days First hour First hour Last hour Last hour Monday 119 44 43 29 29 Tuesday…
I believe experience is the most important asset for any speculator. In this article, I explain why experience matters in trading. It’s simple: the longer you survive, the fitter and stronger you get, and thus more fit to prey on other weaker players in the market. Experience will minimize overconfidence and ego. The markets are…
Mean reversion strategies work well in the stock market. One of the best indicators for such strategies is the Internal Bar Strength Indicator (IBS): (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience, for mean-revertive assets like stocks and stock indices. Here is an example: Enter at close if the above formula is…
Three german researchers have written a study called Is Poker a Game of Skill or Chance? A Quasi-Experimental Study. I was made aware of this article in Peter Warrens’s blog (only in Norwegian). I totally agree with the content. Most traders have too much confidence and have too much ego. Overconfidence is a trader’s worst…
Gap down trading strategies in stocks are popular and perhaps for good reason. Below is a gap down trading strategy in stocks: Entry: The stock must gap down. That means today’s HIGH must be lower than yesterdays LOW, and Today’s volume must be lower than the average over the last 50 days. This is important….
Searching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. Gap trading strategies are popular. What is an opening gap? (Gap Fill) A gap is when the opening price (or print) is higher or lower than the previous close. A gap up indicates…
At what time of day does SPY/S&P 500 set high and low? How much does SPY move in a day? What is the best time to trade SPY?Let’s find out by doing some backtests. This morning I looked at when SPY makes high and low during the trading day (regular market hours from 0930 to…
Previously I wrote an article about the detrimental effect of using stop-loss. What happens if we reverse it? Does using a profit target create any value? When trading it’s mentally very hard to see a nice gain turn around into a loss. It’s easy to kick yourself for not having used a target. But in…
The VIX is a popular measure of the implied volatility of S&P 500 index options. Put shortly, the VIX is a mean reversion indicator: when the risk premium increases (VIX is rising in value) it might be wise to buy stocks and sell when VIX drops in value. In this article, we present several VIX…
How important are the best days compared to total profits? In trading, you want to avoid negatively skewed trading strategies. These are strategies that have fat left tails and might wipe out all your profits from many trades. You need to understand the distribution of your expected profits and losses. Below is my profit distribution:…
I guess most traders have heard that “the trend is your friend“. Personally, I don’t do trend-following strategies, I go the opposite way: buy weakness and sell strength – mean reversion strategies. However, this depends on the instrument you trade and of course on the time frame in trading. In general, most currencies and commodities…
Some days ago I wrote about a new day trading strategy I have implemented. This morning I had a second look at it and decided to test it using some of the stocks I did not pick for my portfolio list. I simply picked 31 random stocks out of the 365 stocks remaining (I had…
Over the last several months I have been looking into a new potential day trading strategy. This one looks into more illiquid stocks and therefore I won’t reveal the strategy: It’s simply not enough volume for many traders to trade the same. So why do I bother to publish it? I would like to show…
This website is written and managed by Oddmund Groette and Hakan (Sammy) Samuelsson. Mr. Groette is a native Norwegian but resides in Eastern Europe. Mr. Samuelsson lives in Sweden, where he trades, invests, and manages one of Sweden’s most popular financial websites: Samuelssonsrapport. He also founded The Robust Trader. We have been independent full-time traders…
In one of my current strategies, I was filled en masse today. Usually, that strategy gives me on average 4 fills a day, but today I got 59 fills. Quite unusual! So I stopped the program because I suspected something was wrong. Having continued the program I theoretically would have got over 100 fills/stocks. When…
A well-known “fact” is the end-of-month rally in stocks at the end of the month and the first day(s) of the next month. It’s a lot about it on the web, but as far as I can see no actual hard numbers and strategies. Do stocks go up at the end of the month? Let’s…
Some days back I wrote about daily seasonality in the S&P 500. As a proxy, I use SPY, an ETF. As I have been trading for some years I have noticed there is often a reversal on Tuesdays. Actually, this “fact” is well researched over the years. However, I want to measure it myself using…
The day of the week effect in stocks is strong. Some days are simply better than others. Previously there has been a certain day-of-week seasonality in the S&P 500. Here is a summary of the average gain since 1. January 2010 until the 1st of July based on weekdays: Close to Close to Open to…
Are there any daily seasonalities in the S&P 500? I did some research into SPY, an ETF based on the S&P 500 components and a very good proxy, based average return on which day of the month. To get a sufficient number of data I started back in 2005. Here are the results: Â Average gain…
The Mother of All Bubbles? In January 2009 I wrote an article about the low yield on long-term government bonds. Most of the OECD countries have a yield lower than 1%. That means the real rate is minus (adjusted for inflation)! Most countries have inflation that is higher than 2%. In Switzerland, the expected yield…
Lately, I have done some research trying to develop some new daytrading strategies. I have tested many trading strategies that buy or sell at the open (OPG). The exit has been after two hours or on the close (MOC). An OPG trading strategy limits slippage. Likewise, a MOC trading strategy does the same. In this…
In the long run, one can expect to be rewarded for taking risks. Let’s test a very simple strategy with this in mind. Let’s buy every open down. Every Open Down Trading Strategy If SPY (which is an ETF of S&P 500) opens down, but above -0.45, then go long at the market, vice versa…
I record every trade I make in Excel. I categorize them into short/long, which day of the week, date, where the market opened, how the market performed the day before, how the stock performed the day before, average volume in the ticker, P/L in the ticker, and which strategy. My recommendation is to have a…
When to buy and when to sell a stock determines your profit and loss. But what is more important – when to buy or when to sell? Most traders spend almost all their efforts speculating when to buy a stock. However, when to sell a stock is just as important as when to buy. In…
Let’s test a MACD-histogram trading strategy. This article looks at the MACD-histogram. For a primer on this indicator please read this article: Does the MACD indicator work? I’m trading some strategies based on mean reversion on a sample of 77 ETFs. Those ETFs are the most liquid ones. One of the strategies I trade is…
Trading is very difficult. Not only is it difficult to find profitable strategies, but you also have to overcome slippage and commission costs. Slippage is difficult to estimate. Commissions costs, however, are easy to calculate. Personally, I pay .001 per share in clearing plus ECN rebates and taxes/fees. So far in 2012, I have paid…
What is slippage in trading? Slippage is a hidden cost that is difficult to quantify. It’s the difference between a theoretical price and the price you get in real and live trading. What is slippage in trading? Slippage is the difference between fictional results when testing strategies, and the actual results in real life adjusting…
What happens when SPY is down 4 days in a row? Let’s test 4 down days in a row trading strategy. Entry is on the close and exit is on the first day with a close higher than the previous bar. Four Down Days In A Row Trading Strategy Why these rules? I believe you…
These days computer and algo trading do most of the volume in the US. Stocks move very fast and at a very thin volume. This creates some nasty challenges for the individual daytrader. Either you have to compete on the same terms as them (or trade with them), or you have to do something different….
I am a Norwegian living in an obscure former Soviet country but are mainly day trading US stocks. Why would I day trade US stocks? In this article, I give you five advantages of US stocks compared to other countries. Why I day trade US stocks There are several reasons. Here I will mention what…
