Date: Wednesday, Dec. 28, 2011.
Entry: Long the S&P 500 ETF (SPY) at 124.83.
Reason for trade/setup: This paper trade was based on anticipation of seasonal bullishness and a “symmetrical” buy setup outlined in “Seeking performance in simplicity” (Active Trader, July 2011). That article found a daily high-to-high up move of 0.60 percent or more, followed two days later by a low-to-low down move of -0.60 percent or more (gray arrows in chart) had favorable probabilities of being followed by a multi-day rally in SPY between February 1993 and May 2011. Eight of the 11 signals that triggered in June through October (after the article was published) were profitable over a one- to three-day holding period.
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