EZ Money

This is a gap fade trade on SPY you can have for free because its not something I want to trade. Some people make a good living on gaps, in my experience though its not my cup of tea. Simple strat, short 1% above the close of SPY cash index, buy 1% below. Exit on time based stop. The major parameters is % gap to fade and time loss. I ran an optimization on time stop and you can see two local maxima. I’m not sure why the X axis didn’t label properly but one of the maxima is at 88 mins. Apologies because I totally forgot the other one, I can rerun the report and find it if your really, really, really want to know. Finally the equity curve was based on my first test run on 60m stop loss. Enjoy.

60m Stop

Optimization Report

~ by largecaptrader on July 15, 2009.