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
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:
And the trade info:
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.
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: