SPY 5/9 Moving Average Scalping with Volume and Session Filters

Summary

This intraday SPY strategy uses crossovers between 5-period and 9-period simple moving averages to generate long and short entries. A signal is allowed only when current volume exceeds the previous bar’s volume and the crossover occurs during the specified New York morning session, from 9:32 to 11:12. The strategy description also mentions use on a three-minute chart and applying the signals through zero-day-to-expiration SPY options.

For open positions, exits use fixed underlying-price moves: a $0.40 favorable move for profit taking and a $0.50 adverse move for the stop, with the same distances applied in the opposite direction for shorts. The document supplies the rules and script but no performance results, transaction costs, option-specific pricing or risk analysis. The stated dollar exits are based on SPY’s price, so they do not directly define an options contract’s profit or loss; results may also depend on execution and market conditions.

Key ideas

• The strategy enters long or short when the 5-period simple moving average crosses the 9-period average.
• Entry signals require volume to exceed the previous bar’s volume.
• New entries are restricted to the New York session from 9:32 to 11:12.
• Positions use a $0.40 take-profit move and a $0.50 stop-loss move in the underlying.
• The description suggests three-minute SPY charts and zero-day-to-expiration options but provides no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.