Big Moves On Mondays
Last Updated on June 19, 2022
I caught some ideas from Paststat and Quantifiable edges to test “big” movement on Mondays. I have tested this in a previous post, but this time we’ll look at what happens to SPY the rest of the week.
Here are the criteria for long:
- Today is Monday
- Calculate a 25 day average of the daily H-L range.
- SPY must fall at least 50% number 2 from Friday’s close.
- Go long at the close.
- Exit at close 4 days later.
| P/L | #Fills | Avg. | |
| 75.27 | 63.00 | 1.19 |
The numbers in the table above are in % and from 2005 until March 2013. Pretty good numbers considering the amount of time in the market is about 15%.
What if we turn it upside down and go short:
| P/L | #Fills | Avg. | |
| -25.45 | 76.00 | -0.33 |
Here is the equity curve (blue is long and pink is short):
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Hi Oddmund
You seem to be trading many strategies that require a lot of calculations to find the entry signal. From what I have read you often place your trades right before the close of the day. How do you manage to scan all your different strategies for the different stocks or indeces you trade before the close? Do you do this manually, or do you have some software to give you the entry signals at the end of the day? And do you also place all your trades manually, or is this done automatically? A few words on how you solve these practical issues would be very interesting.
Sincerely,
Juksefant
Hi,
I have an Excel sheet that sends order automaticlly. But besides, this is very easy. Just have an Excel sheet, use links to feed with quotes, and there you have it using Excel formulas. Even manually sending is no problems, if you ask me.