ISM Manufacturing Index PMI — (Backtest)
The ISM Manufacturing Index, or PMI is an important indicator of the health of the US manufacturing sector. The index is based on a survey of manufacturing purchasing managers and measures factors such as production, new orders, employment, and supplier deliveries. A reading above 50 indicates that the manufacturing sector is expanding, while a reading below 50 indicates that it is contracting.
We backtest the following trading rules:
When the readings are above 50, we buy the open of the month (S&P 500),
We sell at the open the next month (thus holding for one month)
The equity curve looks like the image shown below.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/ism-manufacturing-index-pmi/
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