Systematic equity
Turnaround Tuesday on SPY and QQQ shares
Index mean reversion
What it is
Turnaround Tuesday on SPY and QQQ shares, in a sub-book of the DAILY Alpaca paper account: it buys at a Monday's close after two down closes, and sells at the first close above the previous session's high. Its trades come from the account's trade journal.
The rule
- Instruments: SPY and QQQ, each decided on its own dividend-adjusted daily bars, with today's bar taken from the 5-minute snapshot at about 15:40, its range the day's so far.
- Entry: buy at a Monday's close when it is below the previous session's close, and that close is below the one before. A week whose Monday is a holiday has no entry.
- Exit: sell at the first close above the previous session's high.
- Size: half of the sub-book in each fund it holds, in whole shares at the snapshot price, held to the exit.
- Top-up: a position an entry left short of its size can be topped up to it at the owner's request, at a later close while the rule still holds it. tr200's SPY was, at the 2026-10-02 close.
- Orders: decided at about 15:40 ET on that day's 5-minute snapshot, only between 15:25 and 15:50 and never on a session that closes early, then netted per symbol with the other sub-books' orders and worked into the close: from 15:55 each rests as a limit order at the midpoint of IEX's quote, and from 15:59 what is left goes at market; nothing is sent after 15:59:45. On the first session, 2026-09-30, they went as market-on-close orders instead, and Alpaca's paper account filled about 15% of their value.
- Fills: shares one sub-book buys and another sells at the same close meet inside the account at the official close; every leg on the larger side then gets one average of that price and Alpaca's fill. An entry left unfilled, or the unfilled part of one, is dropped and the sub-book holds less; an exit left unfilled goes again at the next close.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| MONDAY | 0 | weekday, Monday = 0 | syseq/strategy/turnaround.py:21 | tests/test_turnaround.py:39 |
| INSTRUMENTS | SPY, QQQ | — | syseq/alpaca_books.py:34 | tests/test_alpaca_books.py:49 |
| HALF | 0.5 | of the sub-book per fund held | syseq/alpaca_books.py:37 | tests/test_alpaca_books.py:49 |
| WORK_FROM | 15:55 | ET | syseq/execution/close_worker.py:36 | tests/test_close_worker.py:210 |
| LAST_ATTEMPT | 15:59 | ET | syseq/execution/close_worker.py:37 | — |
| LAST_SEND | 15:59:45 | ET | syseq/execution/close_worker.py:38 | — |
| OWNER_COMMISSION | 0.007 | USD a share a side, an estimate | syseq/journal/common.py:13 | tests/test_journal.py:651 |
Its read
Record so far
The book's value — data table
| Session | NAV |
|---|---|
| Sep 30, 2026 | $100,000.00 |
| Oct 1, 2026 | $100,000.00 |
| Oct 2, 2026 | $100,000.00 |
| Oct 5, 2026 | $100,000.00 |
| Oct 6, 2026 | $100,000.00 |
| Oct 7, 2026 | $100,000.00 |
| Oct 8, 2026 | $100,000.00 |
| Oct 9, 2026 | $100,000.00 |
| Oct 12, 2026 | $100,000.00 |
| Oct 13, 2026 | $100,000.00 |
| Oct 14, 2026 | $100,000.00 |
| Oct 15, 2026 | $100,000.00 |
Cost model
Alpaca paper fills, with no commission. In the DAILY account, shares one sub-book buys and another sells at the same close meet inside the account at the official close, and every leg on the larger side gets one average of that price and Alpaca's fill. Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it, without dividends; the P&L, the total with dividends, the return and the P&L in basis points of the sub-book are before it. An open trade is marked at the latest official close, before commission, with the dividends paid so far beside it.
Trades
0 trades
No trade yet.
Where the research is
- The daily account (findings systematic-equity/DESIGN/170)
- The trade journal (findings systematic-equity/DESIGN/190)
- The futures paper book (findings systematic-equity/DESIGN/150)
- Where the rule came from (findings systematic-equity/RESEARCH/250)