When SPY (S&P 500) Opens On 5 Day Low, But Close Is Higher Than Open

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Last Updated on June 11, 2021 by Oddmund Groette

Yesterday SPY (S&P 500) opened at a 5 day low but rose from the opening price to close higher. Here is the strategy:

  1. SPY must open at a 5 day low.
  2. The close must be higher than the open.
  3. If 1 and 2 fulfilled, then enter on the close.
  4. Exit tomorrow’s open.

I have previously written about a 5 day low strategy in SPY.

Here are the stats:

P/L in % #Fills Avg.
15.93 61 0.26

Test period from 2005 until July 2013. Here is the profit curve:

The biggest winner is 6% (in October 2008). Excluding that one still gives an average of 0.17%.