When SPY/S&P 500 Closes In the Bottom of Today’s Range
One of my favourite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience. Here is an example:...
View ArticleOpening Gaps in SPY/S&P 500, part 3, Anatomy of Fading Gaps
I decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to my search on the web. For me this is unknown...
View ArticleThe Importance of Good Data Sets
After ten years of daytrading, I have experienced the expensive way the importance of good data. The famous saying “garbage in, garbage out” is indeed true. I have probably lost tens of thousand...
View ArticleIntraday High And Low In Spy By Weekday
In a previous article I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until 1st og August 2012: #Number High Low High Low...
View ArticleSPY Sets Low Or High In The Last Hour – A Daytrading Strategy
I have previously written to articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something...
View ArticleNew 5 Day Low In SPY And Closes In The Low of The Range
I’m testing a lot of mean reversion strategies to find the most suitable one. Here is another twist: Todays close must be lower than 0.25 in this formula: (c-l)/(h-l) The close must be lower than the...
View Article5 Day Low and Gapped Down
Yesterday (on the 23rd) SPY closed below the previous day’s 5 day low. Even more, SPY gapped down and never traded over the previos day’s low. Some days back I wrote an article about a possible...
View ArticleDaytrading SPY: Returns In The First Hour, Middle of The Day and The Last Hour
Being a daytrader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last hour. Previously I have written two articles...
View ArticleA Momentum Strategy In SPY During The Last Hour
Here is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on the close? Previously I have written about the...
View ArticleSome Facts About The Last Trading Day Of The Month
Yesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and getting more and more fills, I...
View ArticleSome Facts About The First Trading Day Of The Month
Today is 1st of November and the start of a new month. I’m just trying to grab some stats on how the first trading day of the month has been from January 2005 until July 2012. Average opening from...
View ArticleReturn Per Trading Day Since 1970 in S&P 500
Below you can find a bar showing the average return per trading day in the S&P 500 since 1970, excluding dividends. Day 1 is simply the first trading day, not necessarily the 1st day of the...
View ArticleGap Down And Even More Downside From The Open in SPY
Today SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the longs. Looking at what has happened on similar days...
View ArticleTwo Big Down Days In A Row In SPY
On thursday we had the second “big” down day in a row in SPY, with two days in a row with more than 1% each day. This does not happen very often. Knowing that SPY tends to revert to the mean: Can we...
View ArticleWhen SPY Closes Near The Bottom of Its Range But Still Positive
During my early days as an investor/trader in the early 90′s I was told (in many books) that an up day that finishes near the low of the range is a bad sign. However, it’s always a good idea to test...
View ArticleHow To Make Money From The Close Until Tomorrow’s Open in SPY/S&P 500
This post have some simple suggestions on potential strategies from the close until tomorrows open in SPY (the test period is from October 2005 until present). This post is a summary of all several...
View ArticleA Simple Pair Trade Strategy In Liquid ETFs
This sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock exchanges in the world. I tested the...
View ArticleWhen SPY Diverges From Recent High And Low: A Daytrading Strategy
S&P 500 has historically a strong tendency to revert to the mean. I’m looking to find a way to fade the gap. My research has indicated that fading the gap is best after a strong move to either...
View ArticleSPY/S&P 500: Yesterday Was A Down Day And Today Opens Down
Some weeks ago I wrote about a potential daytrading strategy in XLP. This is the similar test done in SPY: Yesterday the formula (c-l)/(h-l) must have been lower than 0.1. Today SPY opens down. If...
View ArticleWhen SPY Falls 2 Times More Than Average Change
Here is a simple strategy in SPY: Calculat the absolute value of the % change from todays close from yesterday close (c2c) Calculate a 25 day average of number 1 When SPY falls more than two times the...
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