Would be nice to have a system for trading an index long and short, (EOD) say the SPY.
I'm thinking along the following lines:
buy when the gap between the close and the MA of the close is greater than x.
sell when the gap contracts.
short when gap between the close and the MA of the close is greater than x.
cover when the gap contracts.
SO far my tests aren't yielding anything.
Any suggestions please?