When SPY Opens On 5 Day Low, But Close Is Higher Than Open
Last Updated on November 21, 2020 by Oddmund Groette
Yesterday SPY opened at a 5 day low but rose from the opening price to close higher. Here is the strategy:
- SPY must open at a 5 day low.
- The close must be higher than the open.
- If 1 and 2 fulfilled, then enter on the close.
- 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%.