810 B
810 B
Overnight Bot
This strategy was taken from chapter 7 of Short Term Trading Strategies That Work (2008) by Larry Connors.
Rules
- Go long SPY on the close.
- Sell on the following open.
Parameters
Use Trend Filter: Whether to use a trend filter to decide when to enter long positions. (Default: false)
Long Term Trend Period: The period of the trend filter as measured using a simple moving average. (Default: 200)
Backtest Results
The backtests in the book ranged from 1995-2007.
The 1-minute data necessary for this strategy currently only goes back to 2007 as per my data provider.
SPY
