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 full capital investment.
Type of Positions
Criteria for Opening a Position:
ticker(spy) and weekday(mon) and (close < close)@sp500
Order Execution Model:
Capital at Risk:
Portfolio Max Size:
Comm. per Trade:
Avg Bid-Ask Spread:
Close position after:
1 trading days/bars
1/1/2020 - 12/31/2020
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Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.