This system trades a variation of the “3 higher closes” strategy on the SPY index ETF. It trades from the long side only, using the following entry criteria:
Buy SPY at the close if
- It has closed higher three consecutive days in a row and each close > open.
- SMA50 > Close > SMA200.
- Yesterday’s volume > SMA50
The system holds for N days and exits at the close. Here’s a chart showing the reward/risk ratio vs hold time:
Some caveats include that backtest only generated 6 trades in over 10 years and the results didn’t include slippage/commission. Hardly statistically significant, but interesting nevertheless…
This article presents an interesting intraday trading strategy based on mean-reversion principles. Conceptually, its fairly simple: Trade a portfolio of ETFs and at the open of each day short the two with the largest volatility-normalized up gap, then exit at the close (MOC).
Its important to note that since the system ranks all stocks by their opening price, it cannot use market-on-open (MOO) entry orders (which are required by the exchanges to be entered >2min before the open), and therefore slippage might have a larger impact than expected. And the reported results do not include slippage or commission, so its quite possible that the system’s edge may be entirely artificial.
Slippage issues aside, the system’s performance unfortunately has been pretty flat since 2009. Nevertheless, it offers some interesting food for thought…