Last Updated on November 21, 2020 by Oddmund Groette
Here is the strategy:
- Today is Friday.
- Yesterday (Thursday) was down more than -0.15% and today also more than -0.15%. 0.15% is used to have some wiggle room because you have to send the orders before the market closes.
- Exit after two days on the close (usually on Tuesdays).
The test period is from 2005 until February 2013:
Here is the equity curve:
Doing the opposite (and short) we get this equity curve:
It does not work on other days. On Wednesdays, it pays off to go short.