5 day open, high, low, close minimums on $SPY on Monday – bullish overnight edge pattern

$SPY hits 5 day lower open, high, low, close on a Monday

Below an overnight edge trading strategy that triggered today at close , with a bullish bias

Here are the trading strategy rules that we employed

  • Current $SPY Open is the lowest in the five trading days ( including to the current trading day)
  • Current $SPY High is the lowest in the five trading days &
  • Current $SPY Low is the lowest in the five trading days &
  • Current $SPY Close is the lowest in the five trading days &
  • Today is Monday
  • go Long at close ( i.e as on 12th Aug 2013 ,close)
  • exit at market on open the next trading session ( i.e 13th Aug 2013, open)

Below the backtest perfromance summary of “5 day open, high, low, close minimums on $SPY on Monday ” trading strategy performance , since 2000.

5 day open, high, low, close minimums on $SPY on Monday  trading strategy , backtest performance summary , since 2000

Below the historical trade details ( including last 25) , generated by “$SPY hits 5 day intra-day low with 5 day lowest volume” trading strategy , and the change , and change% from current close to next open, details( for the users to replicate the trading strategy in their backtesting platforms)

Date Close Next Open P/L P/L %
12-Aug-13 169.11 ?? ?? ??
24-Jun-13 157.06 158.48 1.42 0.9
23-Jul-12 132.14 132.23 0.09 0.07
09-Jul-12 132.36 133.04 0.68 0.51
25-Jun-12 128.45 128.82 0.37 0.28
04-Jun-12 124.65 124.41 -0.24 -0.19
14-May-12 130.50 130.41 -0.09 -0.07
23-Apr-12 133.11 133.23 0.12 0.09
09-Apr-12 134.50 134.23 -0.27 -0.2
05-Mar-12 132.49 131.13 -1.36 -1.02
30-Jan-12 127.28 127.91 0.63 0.5
21-Nov-11 115.20 114.95 -0.25 -0.21
03-Oct-11 105.83 104.31 -1.52 -1.4
08-Aug-11 107.52 109.25 1.73 1.55
18-Jul-11 125.10 125.8 0.7 0.56
11-Jul-11 126.40 126.13 -0.27 -0.21
06-Jun-11 122.98 123.62 0.64 0.51
23-May-11 125.86 126.23 0.37 0.29
16-May-11 126.94 126.46 -0.48 -0.38
11-Apr-11 126.24 125.54 -0.7 -0.55
04-Oct-10 107.38 108.37 0.99 0.92
16-Aug-10 101.65 102.52 0.87 0.87
07-Jun-10 98.58 98.66 0.08 0.08
31-Aug-09 94.40 93.92 -0.48 -0.51
17-Aug-09 90.57 90.77 0.2 0.22
06-Jul-09 82.73 82.65 -0.08 -0.1

on a side note , since Aug 2011 , the equity curve is Flat , and this particular strategy had a spectacular run from Mar 2004 to Jun 2009 , producing 27/28 winners , sorry , our blog was not up and running those days :)

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