The 5-Day Low Overnight Trading Strategy focuses on trading the S&P 500 when it opens at a 5-day low but closes higher than its opening price. This strategy involves entering trades at the close and exiting when the market opens the next day.
This post looks at the performance of the overnight session when the S&P 500 opens at a 5-day low but at the same time, the close is higher than the open.
We backtest the following trading rules:
- SPY must open at a 5 day low.
- The close must be lower than the open.
- If 1 and 2 are true, then enter on the close.
- Exit tomorrow’s close.
We backtest the trading rules on the S&P 500 by using the ETF with the ticker code SPY from 1993 until today (Image shown below)
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/5-day-low-overnight-trading-strategy/
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