The SPY has had an open to close range of less than 0.2% the last seven trading days in a row. What does this portend for the future?
7 is an interesting number, and I find it especially interesting that the last 7 days of market action has seen each day trade in a very tight open to close range. In fact, the past 7 days is the ONLY time in all of SPY history that this has happened.
In order to get a large enough sample size, I had to loosen the criteria to a daily open to close range of less than 0.4% There were about 30 samples for the SPY and almost 500 for $SPX.
Buy Rules
- Buy the close if each of the last 7 days has traded within an open to close range of less than 0.4% (0.5% for $SPX)
- Sell the close X days later
- No commissions or slippage included
- All SPY history used. For the $SPX, tests start in 1960
Results Using SPY:
Results Using $SPX:
Summary:
- Appears to work significantly better when trading beneath the 50 day simple moving average.
- SPY results show that we might expect some weakness over the next 10 trading days.
- Odds favor a lower close the day following the setup.
I’m brain dead and having trouble with any more in depth analysis of these results. I may update the post tomorrow when I’m fresh. Feel free to leave your thoughts on the results in the comments section.
