Sleepy method

[badtrader]

Here is another method for you. I got 30 different methods which I have looked at over the years. I am posting this because like the moon river method I give, nobody will trade it, although it has not had a loosing years since 1994

The first of the month. You only trade Long, buy on the 1st of any month. and get out on the close based on the Dow..... that's it, simple or what. I call it sleepy method

 

[Bigbusiness]

I make that +2118 points since the 1/7/99. Will look at other days, to compare, a bit later. This might take advantage of the pension fund money that hits the market on the first of every month. Can't be down to the bull market, as the markets are slightly lower than at they were in 1999.

 

[Bigbusiness]

Taking the close of the previous day as the entry and the close of the current day as the exit, with no stop or slippage:-

1st of Month +2118
2end of Month +499
3rd of Month +987
4th of Month +643
5th of Month -840

 

[JonnyT]

Anyone who trades such a curve fitted method must be absolutely bonkers.

JonnyT

 

[bundbaby]

very interesting Gents
(coincides with something i am working on) -
is the idea to run positions no matter haw far offfside you go?
i assume obvious descretion in the event of major shocks(eg Sept 01)?
further comments appreciated
BB

 

[trendie]

Anyone who trades such a curve fitted method must be absolutely bonkers.

JonnyT

possibly;
but my copy of JJ Murphys Tech-An of Fin markets mentions the "28-day Trading Cyle in Commodities", on chapter on Time Cycles.

It also mentions seasonal cycles , mostly for crops.

I have read somewhere about buying in the last week of the month, and closing in the first week of the new month as well, but cant find the reference. ( possibly related to optins volatility ? )

A cycle or a pattern is a cycle or a pattern.
Whether we can explain it or not doesnt invalidate it, it just means we cant explain it - yet.

 

[JonnyT]

I fully accept the argument for seasonals, but the Dow, come on.

JonnyT

 

[Tuffty]

The issue I have with all seasonal tendencies is the low number of trades you get. One may be in draw down for a long time. Last week the Investors chronicle pointed out the housebuilding sector seasonal rally. The issue for me is it's only one trade per year which also drastically limits any decent back testing as market structure changes over time. I'm not saying they won't/don't work it's just that for me I need greater number of trades to assess if there's an edge or not.

 

[stevespray]

According to statistics, the best time to be long of the Dow is from the week before Thanksgiving until the first week of the New Year.

There are some other very interesting statistics which I cant remember right now but I'll dig them out.

Steve.

 

[Bigbusiness]

Isn't there a good fundamental reason for the 1st to be bullish? I have seen people mention the pension funds money going in to the markets on the 1st day of the month. Don't know if this is true but it might be the reason why the 1st of the month is bullish, when compared to other days.

 

[trendie]

badtrader,

why dont you post ALL 30 of your methods here, so we can test them for you :cheesy: :cheesy:

 

[barjon]

A Fosback and Merrrill study on the S&P500 for the period 1928 to 1994 showed a bullish bias during the last trading day and first 4 trading days of each month and the 2 days prior to market holidays. A hypothetical $10,000 initial investment grew to $4.6m using these days in the period tested. In stark contrast a $10,000 investment during the remaining 72% of trading days DECREASED to $569 by the end of 1994.

make of that what you will

good trading

jon

 

[stevespray]

A Fosback and Merrrill study on the S&P500 for the period 1928 to 1994 showed a bullish bias during the last trading day and first 4 trading days of each month and the 2 days prior to market holidays. A hypothetical $10,000 initial investment grew to $4.6m using these days in the period tested. In stark contrast a $10,000 investment during the remaining 72% of trading days DECREASED to $569 by the end of 1994.

make of that what you will

good trading

jon

Jon.....Thats the one I was looking for. In simple terms, an investment, over the five days that you mention, actually outperforms the overall market. This also means that the remain 72% has a negative expectation.

Steve.

 

[stevespray]

PS....

With regard to my earlier post, a friend of mine informs me that over 40% of Dow gains have occured between the week before Thanksgiving and the first 5 sessions of the New Year.

Statistically that is 40% of all gains occuring in a period of about 6 weeks (which is about 11% of total trading days). Surely, if nothing else, these statistics show you the times when market movement is likely to be more random and other times when it maybe more likely to trend. As most systems only work well in one or other type of market it could be useful info.

Steve.

 

[trendie]

thanks barjon for posting that reference -saves me digging out my pdfs.

 

[barjon]

Jon.....Thats the one I was looking for. In simple terms, an investment, over the five days that you mention, actually outperforms the overall market. This also means that the remain 72% has a negative expectation.

Steve.

steve

That's what Fosback found. He also established that the one and a half month trading period starting two days before Thanksgiving and ending with the fifth trading day in January has accounted for 40% of the markets entire price return over the last 70 years (from when he did the study).

jon

 

[barjon]

oh ithat was in your ps - sorry

 

[Tuffty]

The end of quarter up bias in the Russell 2000 was a very strong seasonal tendency.......until it wasn't. It seemed to weaken in 2000 ish and then fall apart in 2003 ish. It had been consistently strong tendency (or fluke) from 1987. (Rule is be long on last day of quarter when the window dressers do their thing.)

 

[badtrader]

badtrader,

why dont you post ALL 30 of your methods here, so we can test them for you :cheesy: :cheesy:

I have given 2 methods. the Moon River and Sleepy Method 28 methods to go, one at a time.trendie

 

[osho67]

Here is another method for you. I got 30 different methods which I have looked at over the years. I am posting this because like the moon river method I give, nobody will trade it, although it has not had a loosing years since 1994

The first of the month. You only trade Long, buy on the 1st of any month. and get out on the close based on the Dow..... that's it, simple or what. I call it sleepy method

Some clarification please, you buy on the 1st of any month and then get out on the close of the Dow for the same day, the trade is opened and closed on the same day, or you buy on the 1st of any month and close at the end of the month ?

Thanks