Best play for Friday’s OPEX close Long or Short for a 10 days on $SPY..

For fun I have run the numbers on buying and shorting Friday OPEX closes that exceed 2% pullbacks.

So here’s the question.. would I be better off buying or shorting into Friday’s close looking at a 10 day window and what are the parameters for doing so. 

My strategy inputs are:

Long or Short

Profit Target

Days to Hold

On SPY since 1993 we have had only 12 occurrences of OPEX Friday’s down more than 2%.  The optimized answer running through the data is:

Go Long, Hold for six days or a profit target of 2.75%

Of the 11 trades three expired on time for  losses (-1.2%, –3.04% and –2.74%).

75% of this trade ended in a profit.

Here is the performance curve:

And the trade info:

But what about the short side?

The best that the short side could do was a 50% trade with a profit target of 3% and a hold of 7 days.

Performance Chart:

So for the patient the long side from Friday has a better swing payout…  Just beware that you could be in for a 10% intraday drawdown to get there.

For the TradeStation gang and members.. here it the strategy ELD to do you own testing:

Tags: Daily, strategy, tradestation strategy, Tweet

This entry was posted on July 18, 2010 at 4:53 pm and is filed under Headline, Indicator, Strategy. You can follow any responses to this entry through the RSS 2.0 feed.