Thursday, July 26, 2007

Time for a test

A slight variation of this trading strategy discussed a short while back is giving a buy sign right now.

I'm curious to see the outcome. Current status of SPY - the exchange traded index of the S&P500:
- Down Day
- Down market trend vs both 20day and 40day intervals
- 4 or more of last 7 trading days have closed down
- Sentiment indicator Neutral

In the 40 instances the market has had this setup since 2004, after 4 days the SPY has closed up 83% of the time, with an average gain of 1.32%. SPY is at 148.02 in after hours trading right now. Lets see if closes next Thursday up from this point, and by how much. I'm unsure if there are any dividends between here and there, but if so we'll adjust the prices to account for them.

Still investigating how to get the leverage to make these types of expected moves play out, but it's interesting to think about.

1 comment:

Redeye Malone said...

This test didn't work out very well. SPY closed Thurs 8-2 at 147.62, down 0.27% from the 148.02 it closed at last Thursday.