Sounds like Frankenstein talking, but here’s a simple SPY system that Sells Thursday’s close and exits Monday at the open. It also Buys Monday’s close and exits Friday at the open. By selling the Thursday close we get a little edge on typical Friday weakness and improve our net return considerably. I’ve added a little MA filter to keep the trades on the right side of the trend and this also improves results considerably. Thoughtful traders can apply their own favorite filters and further improve the equity curve. The max consecutive losers is only 2 , either long or short, and this is one of the most critical metrics that I consider when evaluating a system. The code is TradeStation 2000i where day of week is formatted as Monday=1, Friday=5, etc. Adjust the code language to fit your own platform accordingly.
