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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