When $SPY closes on a 5 day low on Monday – currently 12 winning trades in row

When $SPY closes on a 5 day low on Monday

Below an overnight edge trading strategy ( a.k.a turn around Tuesday )  that triggered today at close , with a bullish bias

Here are the trading strategy rules that we employed

  • Today is Monday
  • $SPY closes at 5 day low ( needs to close below 170.24 , for this study to be triggered)
  • go Long at close ( i.e as on 23rd Sep 2013 ,close)
  • exit at market on open the next trading session ( i.e 24th Sep 2013, open)

Below the backtest perfromance summary of “When $SPY closes on a 5 day low on Monday ” trading strategy performance , since 2000.

Go Long at close and exit at next open , when $SPY closes on a 5 day low on Monday, trading strategy , backtest performance summary since 2000

Below the sum of all the trades year wise for the “Go Long at close and exit at next open , when $SPY closes on a 5 day low on Monday, trading strategy

Total P/L is the sum of all trades $SPY points gains , while Total P/L % is the sum of $SPY percentage gains , in each year .

Year Total P/L Total P/L %
2000 1.68 1.59
2001 2.25 2.55
2002 3.72 5.02
2003 0.69 0.90
2004 2.76 3.03
2005 1.48 1.46
2006 0.65 0.61
2007 5.08 4.07
2008 13.20 15.46
2009 3.43 5.29
2010 1.28 1.32
2011 1.72 1.50
2012 0.52 0.38
2013 4.96 3.23

ps: in other words the above trading strategy never had a loosing year since 2000, and in 2008 ( when the world was ending ) , it had 19 trades and produced 15.5% returns by being long !!

here are the last 25 trades for your reference.

Date Close Next Open Overnight Change Overnight Change %
23-Sep-13 169.93 * ?? ?? ??
19-Aug-13 163.97 164.24 0.27 0.17
12-Aug-13 168.29 168.59 0.3 0.18
24-Jun-13 156.3 157.71 1.41 0.9
15-Apr-13 153.56 154.71 1.15 0.75
18-Mar-13 153.41 153.73 0.32 0.21
25-Feb-13 146.84 147.55 0.71 0.49
04-Feb-13 147.38 148.17 0.79 0.54
24-Dec-12 140.29 140.58 0.29 0.2
24-Sep-12 142.53 142.83 0.3 0.21
23-Jul-12 131.5 131.6 0.1 0.07
09-Jul-12 131.72 132.39 0.67 0.51
25-Jun-12 127.83 128.2 0.37 0.29
04-Jun-12 124.05 123.81 -0.24 -0.19
14-May-12 129.87 129.78 -0.09 -0.07
23-Apr-12 132.46 132.58 0.12 0.09
09-Apr-12 133.85 133.59 -0.26 -0.2
05-Mar-12 131.85 130.5 -1.35 -1.03
30-Jan-12 126.66 127.28 0.62 0.49
19-Dec-11 115.98 117.8 1.82 1.57
21-Nov-11 114.64 114.39 -0.25 -0.22
03-Oct-11 105.32 103.81 -1.51 -1.44
08-Aug-11 107 108.73 1.73 1.62
01-Aug-11 122.75 121.82 -0.93 -0.76
18-Jul-11 124.49 125.19 0.7 0.56
169.93 *- at the time of writing

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One thought on “When $SPY closes on a 5 day low on Monday – currently 12 winning trades in row

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive When $SPX breaks 5-day non losing streak after a long time

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