Buying N day market lows is generally profitable. The plot above shows the equity curve for buying SPY at 10 day lows and selling when the SPY is back above its 10 day moving average. The average return is 0.75% with an 80% change of a win. During the down market of 2000-2002, the equity curve was flat.
While probably not suitable as a stand alone trading method, this approach does illustrate the power of a simple method to capture a significant aspect of the markets behavior. Perhaps this method could be a component of your next short term trading system.
No comments:
Post a Comment