Conclusions About Trend-Following The S&P 500
We recently came across an article called Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P 500. It’s written by academics,
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A Simple Trend Following System/Strategy In The S&P 500 (By Meb Faber)
Back in 2012 Meb Faber published a paper called A Quantitative Approach To Tactical Asset Allocation in the Journal of Wealth Management. The article looks at the following simple trend
Continue readingA Monthly Momentum Strategy In ETFs (Sector Rotation Strategy In EEM, SPY, And TLT)
Sector rotation is popular and this is not without merit. The idea is to be in the sector that shows the best recent momentum. Momentum strategies are one of the
Continue readingS&P 500 Mean Reversion Using IBS and RSI
Below is a simple and easy trading strategy to implement in SPY or the S&P 500: IBS (internal bar strength) must be lower than 0.25 (using daily bars). RSI (21)
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An Overnight Short Strategy In S&P 500
Below is a potential short strategy in the S&P 500: Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90 Description: If the close is higher for the third time
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Some Performance Facts About S&P 500
By looking at some potential strategies for S&P 500 I found some very interesting facts that I wouldn’t guess beforehand. I used the ETF SPY as a proxy for the
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How To Profit From The Russell 2000 End Of June Rally
Russell 2000 rebalances their holdings at the end of June every year. Here is what they say about rebalancing: June is the month that the preliminary reconstitution portfolio is communicated
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Sell In May And Go Away – S&P 500 (Trading Seasonality)
Is sell in May and go away true? It turns out this is very true. The period from May until October is a seasonally very weak period for the S&P
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What Happens After An “Extraordinary” Big Fall in S&P?
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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How To Make Money From The Close Until Tomorrow’s Open In Spy/S&P 500, Part 2
In November 2012 I summarized some strategies when holding from the close until tomorrow’s open. These strategies have worked well since I published it. Today I have another one. It’s
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When SPY (S&P 500) Falls 2 Times More Than Average Change
Here is a simple strategy in SPY: Calculate the absolute value of the % change from today’s close from yesterday’s close (c2c). Calculate a 25 day average of number 1.
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SPY/S&P 500: Yesterday Was A Down Day And Today Opens Down
Some weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY: Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
Continue readingHow To Make Money From The Close Until Tomorrow’s Open in SPY/S&P 500
This post has some simple suggestions on potential strategies from the close until tomorrow’s open in SPY (the test period is from October 2005 until the present). This post is
Continue readingWhen SPY (S&P 500) Closes Near The Bottom of Its Range But Still Positive For The Day
During my early days as an investor/trader in the early 90’s, I was told (in many books) that an up day that finishes near the low of the range is
Continue readingTwo Big Down Days In A Row In SPY/S&P 500
On Thursday we had the second “big” down day in a row in SPY (S&P 500), with two days in a row with more than 1% each day. This does
Continue readingGap Down And Even More Downside From The Open in SPY
Today SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the
Continue readingReturn Per Trading Day Since 1970 in S&P 500
Below you can find a bar showing the average return per trading day in the S&P 500 since 1970, excluding dividends. Day 1 is simply the first trading day, not
Continue readingSome Facts About The First Trading Day Of The Month
Today is the 1st of November and the start of a new month. I’m just trying to grab some stats on how the first trading day of the month has
Continue readingSome Facts About The Last Trading Day Of The Month
Yesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and
Continue readingDay Trading SPY: Returns In The First Hour, Middle of The Day and The Last Hour
Being a day trader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last
Continue readingSPY 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: At what time of day sets SPY high and low? Intraday high and low
Continue readingIntraday High And Low In Spy By Weekday
In a previous article, I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until 1st of
Continue readingOpening Gaps in SPY/S&P 500, part 3, Anatomy of Fading Gaps
I decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to
Continue readingWhen SPY/S&P 500 Closes In the Bottom of Today’s Range
One of my favorite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) The formula is called The Internal Bar Strength Indicator (IBS). This simple formula increases
Continue readingOpening Gaps in The SPY/S&P 500, part 1
Searching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. What is an opening gap? A gap is
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Using VIX To Trade SPY And The S&P 500
VIX is a popular measure of the implied volatility of S&P 500 index options. You can read about the VIX using the link but put shortly this is a
Continue readingCandlestick Pattern – Doji
My young friend in Prague put up an interesting chart the other day: QQQ and the doji pattern: A doji is classified as a “reversal” pattern, but that doesn’t mean
Continue readingThe End of Month Rally/Effect In Stocks (S&P 500 Seasonality)
A well-known “fact” is the rally in stocks at the end of the month and the first day of the next month. It’s a lot about it on the web,
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Daily Seasonalities In S&P 500
Are there any daily seasonalities in the S&P 500? I did some research into SPY, an ETF based on the S&P 500 components and a very good proxy, based average
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