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). The 3-day down overnight trading
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What happens after an “extraordinary” big fall in SPY? Calculate the average H-L range over the last 25 days (in percent). If the ETF falls more than 2 times this
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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. In this article, we
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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 last week 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
Continue readingThe overnight edge in the stock market is well documented: Night strategies trading (overnight edges/strategies) By using the tailwind from the close until the next open, you can develop some
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