SPY Sets Low or High in the Last Hour – An Intriguing Day Trading Strategy

We try to find something tradeable out of these simple numbers but it’s not easy. However, the “boring” buying on weakness and selling on strength seems to work pretty well. Entry is at the open next day and exit is at 1130 the same day (only day trades). Buying on the close gives approximately the same results. However, drawdowns are a lot bigger. So using this approach you don’t get paid for holding overnight (from yesterday’s close).

The equity curve for all trades going long if low is in the last hour and going short if high is in the last hour looks like the image shown below.

We have the data-driven results from January 2010 until August 2012. Check out more here;

https://www.quantifiedstrategies.com/spy-sets-low-or-high-in-the-last-hour-a-daytrading-strategy/