Best play for Friday’s OPEX close Long or Short for a 10 days on $SPY..

For fun I have run the numbers on buying and shorting Friday OPEX closes that exceed 2% pullbacks.

 

So here’s the question.. would I be better off buying or shorting into Friday’s close looking at a 10 day window and what are the parameters for doing so. 

 

My strategy inputs are:

Long or Short

Profit Target

Days to Hold

On SPY since 1993 we have had only 12 occurrences of OPEX Friday’s down more than 2%.  The optimized answer running through the data is:

 

Go Long, Hold for six days or a profit target of 2.75%

 

Of the 11 trades three expired on time for  losses (-1.2%, –3.04% and –2.74%).

 

75% of this trade ended in a profit.

 

Here is the performance curve:

 

image

And the trade info:

image

But what about the short side?

 

The best that the short side could do was a 50% trade with a profit target of 3% and a hold of 7 days.

 

Performance Chart:

image

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So for the patient the long side from Friday has a better swing payout…  Just beware that you could be in for a 10% intraday drawdown to get there.

 

For the TradeStation gang and members.. here it the strategy ELD to do you own testing:

 

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