This strategy based on last day analysis of SPY ETF. The algorithm tries to detect optimal moment to buy using leverage. On other days follows the market. The characteristics are:
- long-only trades;
- capital scalability;
- leverage used when profit potential is high;
- returns reinvested.
The algorithm strongly outperforms the market over 14 years and able to operate within wide range of initial capital. Commission and slippage included. This strategy had a low drawdown even in crisis of 2007-2009 years.
