Go long on close and sell on open

October 29, 2009

(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

I found a description of supposed to be profitable strategy on Bloomberg. The strategy is simple – buy S&P500 index on close and sell it on next day open.

So, I tested this claim and got nice P/L curve:


Yes, since 1993 this strategy has generated the profit >300%. But, neither commissions or slippage are included:)

Let’s consider 0.0007% commissions+slippage(7$ per 10000 trade). There we go:


Is it good? I will look for somethig better…

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