Long SP500 after it rose the previous day has been very profitable, however...

[syswizard]

Some of the lower performance might be because of the faster, cheaper trading available now. Many times the market moves up a large percentage quickly after a drop. So buying at the close has lost most of the move's gains.

Equity curve is a disaster after year 2000. So much for that strategy.

 

[Quiet1]

It's a while since I've seen it tested but if memory serves it at least used to be profitable to sell the (regular session) open S&P500 futs and buy the close every day - probably not very much so after transactions and slippage but the point stands: all the gains come over night, the day session is net negative. This may no longer hold but it was true maybe 10-ish years ago?

 

[Option_Attack]

Yeah, buying at the open the day after a drop actually made some money, but not much.

Equity curve is a disaster after year 2000. So much for that strategy.

 

[murray t turtle]

Its odd that the system wins and then fails. Certainly worth a little study to understand what changed.

On the other hand, this is a system based on a fallacy anyway. While its a fact that stock indices (not stock index members) have an upward buoyancy due to membership revisions, that doesn't extend downwards to the individual daily performance level. Even in consistent and long-running uptrends, the ratio of up days to down days is not much different from 50-50.

%%
True;
but as the Stock Trader Almanac[Hirsch]notes, its still an upward bias, like JAN. BUT DOW has a tendency to go down more in JAN; dont know what its doing now, SDOW was up nicely this week- not likely it will be up like in 2018, due to DOW downtrends.

Even something like SPY+ related =up 70%of the time past 10 years, [JAN]was nicely down 30%[3 Jans out of 10 JANS]
YHOO data is not a big problem; just be sure to have 1 or 2 other reliable sources, especially charts!!,,50 years is plenty of data; but look @ all data, because you[any ] can't predict. They call it weather forecasts, not weather prediction.

 

[ajensen]

You can start by looking at an index, but then you must test on something tradeable, such as SPY or S&P futures.

 

[misterkel]

Its odd that the system wins and then fails. Certainly worth a little study to understand what changed.

On the other hand, this is a system based on a fallacy anyway. While its a fact that stock indices (not stock index members) have an upward buoyancy due to membership revisions, that doesn't extend downwards to the individual daily performance level. Even in consistent and long-running uptrends, the ratio of up days to down days is not much different from 50-50.

I think your analysis fails to account for the full concept here. This appears to calculate short-term momentum. It's an interesting concept - an up day leads to a greater likelihood of a following up day. Market psychology would definitely allow this possibility. Do short-term uptrends tend to last several days essentially? Which would mean short-term downtrends last for several days, I suppose, if the 50-50 distribution is indeed accurate.

It seems quite possible that, especially after a reversal, the movement will statistically continue for longer than a single day, which should apply to either direction theoretically.
I like it!

 

[misterkel]

You cannot buy based on today’s close price after you know today’s close price. Close price isn’t known even when the market closes, and may vary substantially from expected closing price after the closing price is published a few seconds to minutes after market closes. Orders for the closing auction are submitted all day, while the closing price is reported after the market closes. The closing price may vary substantially from what it was if you’d issued an order before the market closed. Also, there is a cutoff time for submitting closing orders.

"Globex opens on Sunday at 5 and closes on Friday at 3:15." Can't you just trade futures after the market closes?