Be alert to big minimums on Monday as they tend to reverse !

Be alert to big minimums on Monday as they tend to reverse !

When Vic the Chair writes something , we generally tend to read the article twice at minimum. The 4th point in this 22 Things a Man Should Know About Trading, from Victor Niederhoffer “Be alert to big minimums on Monday as they tend to reverse” caught our attention and we tested that hypothesis on a lazy Sunday

 Be alert to big minimums on Monday as they tend to reverse – trading system study

for the sake of simplicity we took big minimums as a 2% down day on Monday , and here are the trading rules we applied to test that hypothesis.

  • Today is Monday & 
  • $SPY falls by more than 2% in the day 
  • Go Long at close & 
  • exit four days  later ( i.e exit the position by the weekend) 

Below the backtest performance summary for Go long when $SPY falls by more than 2% on Monday and exit four days later

 Long $ SPY and exit by weeknd on a 2% fall on a Monday , backtest report since 2000


Below the traded generated by Long $ SPY and exit by weekend on a 2% fall on a Monday ,  since 2000

Date Loss % Change after 4 days Change % after 4 days
15-Apr-13 -2.32 0.36 0.23
31-Oct-11 -2.41 -0.02 -0.02
03-Oct-11 -2.85 5.60 5.26
08-Aug-11 -6.51 5.64 5.22
17-Aug-09 -2.46 4.32 4.74
22-Jun-09 -2.99 2.37 2.87
15-Jun-09 -2.30 -0.32 -0.37
20-Apr-09 -4.19 2.97 3.87
30-Mar-09 -3.46 5.04 6.95
02-Mar-09 -4.50 -1.54 -2.39
23-Feb-09 -3.57 -0.66 -0.97
12-Jan-09 -2.41 -1.73 -2.18
01-Dec-08 -8.86 5.28 7.09
27-Oct-08 -3.55 11.68 15.34
06-Oct-08 -5.10 -14.71 -15.49
29-Sep-08 -7.84 -0.94 -0.93
22-Sep-08 -2.26 -0.42 -0.38
15-Sep-08 -4.76 4.28 3.95
25-Aug-08 -2.03 1.60 1.40
26-Nov-07 -2.21 6.85 5.47
19-May-03 -2.34 0.91 1.20
31-Mar-03 -2.26 2.85 4.10
24-Mar-03 -3.32 0.01 0.01
10-Mar-03 -2.41 2.30 3.46
09-Dec-02 -2.74 -0.13 -0.18
07-Oct-02 -2.07 4.09 6.36
05-Aug-02 -3.47 6.08 8.97
22-Jul-02 -2.96 2.75 4.13
03-Jun-02 -2.66 -0.83 -0.99
04-Feb-02 -2.50 0.20 0.23
29-Oct-01 -2.60 1.44 1.67
17-Sep-01 -5.23 -5.31 -6.38
02-Apr-01 -2.13 -0.72 -0.79
12-Mar-01 -4.28 -2.19 -2.34
24-Jan-00 -2.85 -3.50 -3.17

with an outlier adjusted factor of more than 2 , and despite loosing -15.5% on the largest single loosing trade , the average profit % per trade stands at 1.6% for a four day holding period , next time do keep an eye on those 2% or more drops on $SPY on Mondays when everyone else is panicking  !!

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