Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)

We introduce a new, highly effective intraday momentum strategy for trading SPY, a premier ETF tracking the S&P 500. Unlike traditional strategies that focus on the last 30 minutes of trading, our approach captures momentum throughout the day by identifying abnormal demand and supply imbalances. This strategy employs dynamic trailing stops to minimize losses while maximizing gains. Between 2007 and early 2024, our intraday momentum strategy achieved an impressive total return of 1,985% (net of costs), with an annualized return of 19.6% and a Sharpe Ratio of 1.33. We rigorously test its performance across different market volatility regimes, analyze daily profitability concerning day-of-the-week effects, and compare it against established technical patterns. Additionally, we examine the impact of commissions and slippage on overall profitability. Join us to explore how this innovative strategy can enhance your trading performance.