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:
- 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.
Here are the stats:
|P/L in %||#Fills||Avg.|
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%.