S&P 500 After a 2% Drop: 56.8% Win Rate
No better than luck
Small profit, too noisy to call an edge
- trades tested
- 105
- per trade after costs
- +14.86bp
- winners
- 56%
- years of data
- 15.9
Buy the S&P 500 at the close of any day it fell at least 2% from the prior close, then sell at the close a fixed number of trading days later (1 to 10 days measured). The headline result is the 1-day hold: up 56.8% of the time, average +0.31%.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1d | Direction: long
- 02LONG when: ret1 <= -2
- 03Entry: market at the signal bar's close
- 04Stop: none (as taught - the trade closes only on its exit rule)
- 05Time exit after 1 bars
- 06Entry fills at the signal bar's close (market-on-close)
- 07Exit signals fill at that bar's close (market-on-close)