Sorry if I gave that impression; I definitely believe that simple strategies can work (I've traded them and totally agree anything with a low parameters/samples ratio is preferable). But I doubt blatantly obvious ones will yield much of an edge, especially a statistically significant one. And, as you said, there should be in underlying basis for the market behavior you're trying to exploit. I just don't see it in something that simply buys an index at the open each day and sells at the close; That would imply that the market on average has a positive intraday drift, closing north of the open each day. My past backtesting shows this isn't the case; Over the long run, such a system results in a zero expectation (sans commish), which is exactly what one would expect. I'd be surprise if SPY and ES were so inefficient. But heck, if the OP has done some backtesting that shows otherwise, he should post some details and humble all of us skeptics
Thanks for the feedback, it is good to hear different perspectives, which is why I started the thread. I am still working on manually backtesting a longer time period, and have found so far that after commissions the expectation is pretty much flat. The market has been in a bull run for some time now, but that is sure to end. When it does, a system going only long would not work. The idea of reversing when stopped out is a possibility, as is reducing the stop loss to increase profitability. I am also looking at using the open price in relation to previous days close to determine direction of entry, i.e. sell an open below previous close, buy an open above.
if you short intraday fridays (ie short the open,and cover on the close) it has the best edge of day of the week systems. If thursday is up day overall it makes it better. not big edges though, if thursday is a up day the edge is only .58 ES pts with 43% wins since 2008 using SPY for backtesting. There are some better edges for options expiration weeks.
Toby Crabel had done a number of S&P open to close and close to open pattern studies of so many up/downs and alternating closes in his book, but I think it was over 7 years. Problem is the sample size was too little, and did not take any consideration of long term trend. I don't recall the books, but a number of gap studies been also done, and Mark Browns "Oops" was simple enough, but don't remember long tem benefits. And of course "LSS" by Taylor comes to mind based on lower close then lower open to buy pattern. I had developed a method long ago taking so many lower closes in uptrend, then taking up day (close above open), and find ave between open and low, buying so many ticks before the day session open, thereby using extremely tight stop and exiting MOC, that did well for a number of years. I had done this on a number of other markets.
Dude...get Tradestation, this is super easy to Code and you can backtest this going back to 1980 and you will see it is a big loser.
The ES appears to be set to open above the 4/13 close of 1365, thanks to the positive retail sales numbers at 8:30. Looking at the longer term (Daily) trend, 4/12 was almost a perfect 50% retracement from the high on 4/2 of 1417.75, this was followed by a major selloff on 4/13, and would indicate to me that there is more downside to come. One thing is for certain, that after a pretty narrow range in the first quarter of 2012, volatility seems to have returned to the market. I will post today's VSS entry at the open.
Stopped out at 63.50 -10. Cumulative P/L= -20 Interesting that the market rallied on the news at 8:30, then dropped like a rock after the open. So much for the "strong" retail sales...:eek: