Big Moves On Mondays – Update

Last Updated on June 11, 2021 by Oddmund Groette

In 2013 I wrote an article about big moves on Mondays. Here is a twist (and update) on this:

  1. Calculate a 25 day average of (h-l)/c.
  2. Today is Monday.
  3. Close today must be at least lower than (from Friday) 0.25 of average in number 1.
  4. (c-l)/(h-l), the IBS, must be lower than 0.3.
  5. If conditions in 2, 3, and 4 are met, go long on close.
  6. Exit on Fridays close.

A simple strategy and here is the results for SPY from 2005 until now (in accumulated %):

91 fills in total, 61 winners and an average of 1.07% per trade. Of course, all trades not including commission nor taxes. The pink line is the result when conditions are the complete opposite.