Quantitative analysis and strategies in the financial markets
Here is a simple mean reversion twist in SPY that holds the S&P 500 just one day (from the close to the next day’s open). It’s an overnight trading strategy,
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What happens after an extraordinary big fall in SPY? Let’s find out and test by using some simple variables. To measure a big fall we use the average difference between
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The S&P 500 has shown strong mean reversion tendencies for many decades. One reason for this is the tailwind in the form of 0.04% average return from the close until
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Mondays have turned out to be reversal days, at least on the long side after a fall on Mondays or the days leading up to Monday. Letæs test a reversal
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This article presents an overnight trading strategy in the S&P 500. Overnight means entering at the close and exit at tomorrow’s open. We exit at the next open no matter
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Jay Kaeppel wrote an interesting post about gold stocks: The greatest gold stock system you’ll probably never use. I have a twist to this system which I’ve been trading for
Continue readingThe overnight edge in the stock market is well documented: By using the tailwind from the close until the next open, you can develop some good short-term trading strategies. In
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