SPY/S&P 500: Yesterday Was A Down Day And Today Opens Down

Last Updated on November 21, 2020 by Oddmund Groette

Some weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY:

  1. Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
  2. Today SPY opens down.

If these two simple criteria are fulfilled, then go long at the open and hold until close.

This is the result from 2005 until the present:

P/L #Fills Avg.
19.75% 84.00 0.24%

Here is the equity curve: