The idea behind this strategy is simple: If the equity index has a negative performance on Monday, then Tuesday`s market action often shows a bullish turnaround. The strategy is backtested on SPY (the SPDR S&P 500 ETF) with a commission of 1% per trade and full capital investment.
Position Type
Long
Strategy Definition
Criteria for Opening a Position:
ticker(spy) and weekday(mon) and (close[0] < close[1])@sp500
Backtest Parameters
Initial Capital:
$10,000
Capital at Risk:
100%
per trade
Portfolio Max Size:
1 positions
Testing Model:
Close prices
Comm. per Trade:
1%
Stop Loss:
20%
Close position after:
1 trading days/bars
Period:
1/1/2019 - 12/31/2019
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