Posted by frtaylor on 18th of May 2016 at 09:33 am
Here's an interesting, simple and very successful
rule-based/mechanical trade for SPY (but can be used for any stock)
that was posted on another site. Data is 25 back-tested trades on
SPY. No evidence it has been run in real time, so realize it's
hypothetical. Also, 25 trades is not that many, stat-wise.
1. a long-only trade
2. at the close, SPY (or ABC stock) down >= 1 std. deviation,
as measured by a 50-day moving average (not 20-day a la std
BB's).
3. buy at the close
4. sell at the first close that is higher than the entry,
otherwise close on the 5th day
The trade doesn't happen very often, only about 4x a year, so
it's not something you can use as a primary system (unless you
trade lots of stocks using it as well). The ave win is only 0.9%,
so you'd need to trade a large sum to make it worthwhile after
commissions.
Here's an interesting, simple and
Posted by frtaylor on 18th of May 2016 at 09:33 am
Here's an interesting, simple and very successful rule-based/mechanical trade for SPY (but can be used for any stock) that was posted on another site. Data is 25 back-tested trades on SPY. No evidence it has been run in real time, so realize it's hypothetical. Also, 25 trades is not that many, stat-wise.
1. a long-only trade
2. at the close, SPY (or ABC stock) down >= 1 std. deviation, as measured by a 50-day moving average (not 20-day a la std BB's).
3. buy at the close
4. sell at the first close that is higher than the entry, otherwise close on the 5th day
The trade doesn't happen very often, only about 4x a year, so it's not something you can use as a primary system (unless you trade lots of stocks using it as well). The ave win is only 0.9%, so you'd need to trade a large sum to make it worthwhile after commissions.
http://www.paststat.com/backtest-report/trading-strategy/SPY/Tuesday&Losers-with- 1Xstd(50)-down-move&/first-positive-close-5-days/2012-05-17/2016-05-17