SPY Sets Low Or High In The Last Hour – A Day Trading Strategy
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 out of these simple numbers but it’s not easy. However, the “boring” buying on weakness and selling on strength seems to work pretty well. Entry is at the open next day and exit is at 1130 the same day (only day trades). Buying on the close gives approximately the same results. However, drawdowns are a lot bigger. So using this approach you don’t get paid for holding overnight (from yesterday’s close).
Here are some results from January 2010 until August 2012:
Long:
| Accumulated in % | #fills | #wins | Avg. | |
| Low last hour longs | 15.92 | 136 | 78 | 0.117 |
| Low last hour and opens up next day | 2.92 | 77 | 41 | 0.038 |
| Low last hour and opens down next day | 13 | 59 | 37 | 0.220 |
| Low last hour and down day | 9.51 | 112 | 62 | 0.085 |
| Low last hour and up day | 6.41 | 24 | 16 | 0.267 |
| Â Short: | ||||
| Accumulated in % | #fills | #wins | Avg. | |
| High last hour shorts | 9.4 | 187 | 92 | 0.050 |
| High last hour and opens up next day | 5.42 | 96 | 49 | 0.056 |
| High last hour and opens down next day | 3.2 | 89 | 41 | 0.036 |
| High last hour and down day | 1.2 | 27 | 15 | 0.044 |
| High last hour and up day | 8.21 | 160 | 77 | 0.051 |
I have also tried with targets and stop-loss, but with no improvement at all, rather the opposite.
The equity curve for all trades going long if low is in the last hour and going short if high is in the last hour looks like this:
