Workshop Details

This presentation investigates the profitability of a simple, yet effective day trading momentum strategy applied to SPY, one of the most liquid ETFs that tracks the S&P 500. This strategy initiates trend-following positions as soon as there is an indication of abnormal demand/supply imbalance in the intraday price action. Building on trading techniques commonly used by active day traders, we introduce the use of dynamic trailing stops to mitigate downside risks while allowing for unlimited upside potential. From 2007 to early 2024, the resulting intraday momentum portfolio achieved a total return of 1,985% (after commissions and fees), an annualized return of 19.6%, and a Sharpe Ratio of 1.33 which makes it an excellent trading strategy for active day traders and option traders.