![]() Reverting to a 5-day holding period I found that the edge has been profitable on 52% of S&P 100 stocks with an average profit of 0.07% per trade. S&P 100 StocksĬontinuing with a 10-day holding period I found that the edge has been profitable on 62% of S&P 100 stocks over the last 20 years with an average profit of 0.23% per trade. Most of the markets were profitable and SPY was a consistent strong performer. Results shown are for the whole data series that I have available from Norgate Premium Data: 1 Day Holding PeriodĪs you can see, our results improved with time in the market. I therefore decided to test this on a range of different ETFs in order to see if the edge holds up over different markets.įollowing you can see some results when applying this edge to eight large ETFs with a holding period of 1, 5 and 10 days. ![]() ![]() I coded this strategy up in Amibroker and got almost identical results. But the best performance came from a 10 day holding period where the authors recorded a net profit of $58,392, an 84% win rate and a profit factor of 5.52. The article shows performance is positive for every holding period from 1 bar up to 10 bars. Such a scenario occurred just the other day and looks like it could be another profitable result: ![]() In other words, we are looking for a persistent trending market that finally pulls back and gives us a chance to re-enter the trend. “After closing at a 50-day high yesterday and higher for at least five days in a row, SPX closes down but above it’s 200-day MA, buy on the close. The exact rules are described as follows: Last week the guys at Quantifiable Edges presented an interesting trading edge which buys one day pullbacks in the S&P 500 during strong up trends. By Joe Marwood Amibroker Stocks Strategies/ Systems January 16, 2018 ![]()
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