TLT typically trades contrary to SPY, so how does it perform on the Sell Friday setup? One way to find out is to revise our code and specify SPY as Data2. Then we can see more precisely how TLT reacts to SPY dynamics and we reverse our > and
The results mirror the SPY Sell Friday setup noted yesterday only this time we’re trading TLT and still have 2 max consecutive losers…long or short. Keeping with our “do the opposite theme” the TLT system Sells Monday’s close and exits Wednesday’s open and Buys Thursday’s’ close and exits Tuesday’s open. The TLT equity curve is consistently upslope and in our 64 week backtest window the system traded 46 times. Nothing says you have to take all the signals and the LONG trades have impressive risk/reward metrics while the Short trades are for more risk oriented traders.
