novacane32000
331 posts
msg #106766
- Ignore novacane32000
modified |
6/25/2012 9:15:31 PM
There are 2 strategies. One has you going long twice during the month.
The other is a bear strategy that has you go short once/month.
The long strategy would have you go long at the open tomorrow 6/26/12 and exit at the open on 7/3/12.
I just noticed you always exit on the same day you buy when you go long on either of the 2 bull startegies. Buy on Monday,exit following Monday,buy Tues sell Tues ect..
Same for the bear. Short on Tuesday 6/19/12 (13th trading day) Cover on Tuesday 6/26/12 (this one is a winner covering at the open tomorrow unless the market gaps up +3%).
|
wkloss
231 posts
msg #106853
- Ignore wkloss |
6/30/2012 12:57:08 PM
The strategy below:
Buying the 1st trading day between the 26th and 29th and selling the 6th trading day at the open resulted in a 0.0% gain
is thought to be developed by Norman Fosback of Market Logic. It was developed to capture most of the markets gains by only being in the market a few days a month, thus reducing risk. My experience is that it is also great at capturing the market's losses during those same few days if you are in a bear market. Over the years various researchers have found different combination of those days work best "for now". The concept of following money flow around the 1st of the month seems logical. A popular excuse I have read for why it stopped working is that too many people discovered it. ???
A variation that might be worth testing is whether it also works on foreign markets. I also wonder if it could be combined with a monthly relative strength (not RSI) system using foreign markets. If the system's signal says a particular country ETF is the monthly pick, add to the size of your trade (margin, options etc) for the 1st few days of the month.
|
novacane32000
331 posts
msg #106882
- Ignore novacane32000 |
7/4/2012 8:49:52 PM
Went back to 2008 and found:
The short strategy worked best Feb -May-June 12/15 winners
Long on the 10th worked best Feb-Sept-Oct 11/13 winners
Long on the 26th worked best March-Nov -Dec 12/12 winners and 1 breakeven
|