Last Updated on April 19, 2022 by Quantified Trading
This was a long headline, which probably won’t catch many readers. Anyway, the trading strategy has proven to perform well in the past but in the last years up to 2021, it has been rather flat. In trading, boring is good.
The strategy is tested on the ETF with the ticker code XLP.
A day trading strategy when yesterday was a down day and today is a gap down
In plain English the strategy is like this:
- Yesterday must have been a down day of at least 0.25%.
- If XLP opens down more than 0.1% today, go long and exit on the close.
Fairly simple rules. Here is the result from 2005 until the present (2013):
The equity curve:
Perhaps worth noting is how well this strategy has performed in turbulent times: 2008 and during the EU-spectacle in late summer 2011. 2012 was rather poor.
The biggest holdings in XLP are the second most boring stocks, after utilities: PG, PM, KO, WMT, PEP, MO, CVS, CL, COST, and MDLZ.
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