Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
This paper investigates a simple yet effective intraday momentum strategy for SPY, a highly liquid ETF tracking the S&P500. Unlike typical studies that limit trading to the last 30 minutes, our model initiates trades based on intraday demand/supply imbalances. Using techniques from active day traders and dynamic trailing stops, the strategy achieved a 1,985% total return (net of costs), 19.6% annualized return, and a 1.33 Sharpe Ratio from 2007 to early 2024. We analyze its performance across market volatility regimes, day-of-the-week effects, and compare it to other technical patterns, considering the impact of commissions and slippage.
A Profitable Day Trading Strategy For The U.S. Equity Market
This paper examines the effectiveness of the 5-minute Opening Range Breakout (ORB) strategy for day trading U.S. stocks, focusing on its performance from 2016 to 2023. It highlights the advantages of trading “Stocks in Play,” which are highly active due to significant news, demonstrating how they significantly outperform regular stocks. Our comprehensive analysis, the first of its kind, details the strategy’s returns across various time frames and provides specific data on the top and bottom 25 performers.
The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People
This paper explores the use of the Martingale system in financial scams, tracing the evolution of fraud from coin clipping to Ponzi schemes. It uses statistical analysis to show how these scams falsely promise high returns, aiming to help investors and regulators recognize and prevent such tactics.