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:

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
 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:

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