When SPY Opens On 5 Day Low, But Close Is Higher Than Open

Yesterday SPY opened at 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. Close must be higher than open.
  3. If 1 and 2 fulfilled, entry on close
  4. Exit tomorrows 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 on the average is still 0.17%.