What Happens After An “Extraordinary” Big Fall in S&P?

Last Updated on June 11, 2021 by Oddmund Groette

What happens after an “extraordinary” big fall in SPY?

  1. Calculate the average H-L range over the last 25 days (in percent).
  2. If the ETF falls more than 2 times this average, enter at the close.
  3. Exit at tomorrow’s open, tomorrows close or after 3 or 5 days.
  4. Test period from 2005 until July 2013.

The best exit is simply to exit tomorrow’s close. That has the best win ratio and is the least erratic. The other exits seem pretty unstable. Here is the equity curve for SPY from close to open:

48 trades and 31 winners make 0.21% on average. That is pretty good if you ask me.