anyone familiar with this strategy? is it buy spx on close on opex friday and sell the following friday?
Buy just before the close every day and close it @ the open of next day https://www.nytimes.com/2018/02/02/your-money/stock-market-after-hours-trading.html
I saw this before but didn't think then of flipping it. See, I will always be long on the Dow index if the Dow's in an uptrend - but I never short it. All indices of similar construction have an upward bias so I'd rather deploy cash into forex when the Dow is bearish. However, maybe this overnight strategy might be good for me to short the US indices. Worth a punt.
Yeah, this one probably backtests well, especially since 2009, simply due to the market's upward bias. The question is whether there's any edge over buy and hold. There's plenty of backtesting software that could give metrics on that. If there is any edge, it would still probably work best if you used a long-term trend filter (as you alluded to). I don't think I'd want to trade it in 2008 or 2002.
I'm almost always going to be long the Dow because of the upward bias. Not buy-and-hold but buy and exit next week and buy next day and exit the week after. I never short the Dow but I will take a punt on shorting it from close to open next time it gets into a bear mode.
Since 1/1? How about since OPEX Fridays began? One year in a major bull market isn't going to reveal nearly enough data.