3 Days Down Overnight Trading Strategy — S&P 500, Nasdaq, Rules, Performance Analysis
3 Days Down Overnight Trading Strategy works monitoring the S&P 500 index for three consecutive days of decline. If this pattern occurs, a trade is entered at the close of the third day and exited at the following day’s open. Here is a simple mean reversion twist in SPY that holds the S&P 500 just one day (from the close to the next day’s open or close). It’s an overnight trading strategy, the lowest-hanging fruit in the stock market.
We backtest the following trading rules:
SPY must be down three days in a row (from close to close).
Entry on close on the 3rd down day.
Exit the next day open.
Below is the equity curve from 1993 for SPY, which tracks S&P 500, until today (backtest done in Amibroker).
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/3-days-down-overnight-trading-strategy/