Last Updated on November 21, 2020 by Oddmund Groette
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.
- When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close.
- Exit on next day close.
A very simple strategy. The idea is simply to buy when the risk premium rises. The test period is from 2005 until the present (if today is Monday, the result is showing the gain from Monday’s close until Tuesday’s close):
Let’s see this strategy broken down into weekdays:
As you can see it works pretty well except Thursdays. I can’t think of any specific reasons why except that SPY tend to revert mid-week.