Posted by sbaxman111 on 31st of Jul 2017 at 12:02 pm
So far in 2017 when the Russell 2000 index has been down on
the last day of the month, there has been a gain on the following
first trading day of the month. Using the 200% leveraged funds that
I like to trade with, this approach is up +11.96% going into
tomorrow. Employing no leverage for these trades would be half of
that - not bad for being in the market for just five days. The 200%
Mid Cap funds are up +9.66% on those same days. TNA is up +17.48%
on these five days.
The RUT months involved are the first days of Jan, March,
May, June, and July.
This is likely a result of new pension money contributions
entering the market on the first day of a new month, and especially
when the underlying trend in the market is positive. At the moment,
the RUT is closing the month with four down days in a row within an
underlying positive trend. Without actually checking yet, I'm going
to guess that the odds of tomorrow being a positive first day of
the month are pretty good.
So far in 2017, the SPX and NDX have seen declines on the
last trading day of the month for every month. The only first day
of the month loss for SPX occurred in April - NDX lost very modest
amounts in both April and in July. The 200% RYVYX fund is up
+7.065% on the year taking these first day of the month
trades.
At the moment, my short-term 60 min chart would certainly
indicate an oversold market today, and daily RSI-2 levels are in
single digits for the RUT and Mid....the NDX is right around 10.
SPX is around 25.
Of course, just writing about this today could jinx the
whole idea!!! LOL
Very nice stats sbaxman! I try following - take only months with
positive return (close/close[22]>1) and with negative last
trading day (close/close[1]<1) I run this backtest on SPY since
inception (1995) and result is quite good.
Sorry Sbaxman - I didn't provide complete setup yesterday:
buy at close of the last day of the positive month
(close>close[22]) and today close<today open. Exit at the
close of next trading day. Average yearly return is
2.54% with only -2.79% draw down and only 2 years with
negative return (since 1995). Number of winners:77 average win:0.9%
max consecutive winner 13. Number of losers:22 average loss:-0.57%
max consecutive loser 3. If you interested I can send you
report for this setup in html.
Negative days on the last day of the trading month
Posted by sbaxman111 on 31st of Jul 2017 at 12:02 pm
So far in 2017 when the Russell 2000 index has been down on the last day of the month, there has been a gain on the following first trading day of the month. Using the 200% leveraged funds that I like to trade with, this approach is up +11.96% going into tomorrow. Employing no leverage for these trades would be half of that - not bad for being in the market for just five days. The 200% Mid Cap funds are up +9.66% on those same days. TNA is up +17.48% on these five days.
The RUT months involved are the first days of Jan, March, May, June, and July.
This is likely a result of new pension money contributions entering the market on the first day of a new month, and especially when the underlying trend in the market is positive. At the moment, the RUT is closing the month with four down days in a row within an underlying positive trend. Without actually checking yet, I'm going to guess that the odds of tomorrow being a positive first day of the month are pretty good.
So far in 2017, the SPX and NDX have seen declines on the last trading day of the month for every month. The only first day of the month loss for SPX occurred in April - NDX lost very modest amounts in both April and in July. The 200% RYVYX fund is up +7.065% on the year taking these first day of the month trades.
At the moment, my short-term 60 min chart would certainly indicate an oversold market today, and daily RSI-2 levels are in single digits for the RUT and Mid....the NDX is right around 10. SPX is around 25.
Of course, just writing about this today could jinx the whole idea!!! LOL
Very nice stats sbaxman! I
Posted by iz_bs on 31st of Jul 2017 at 02:13 pm
Very nice stats sbaxman! I try following - take only months with positive return (close/close[22]>1) and with negative last trading day (close/close[1]<1) I run this backtest on SPY since inception (1995) and result is quite good.
Neg Days
Posted by sbaxman111 on 31st of Jul 2017 at 02:16 pm
Good to know - Thanks
One more improvement - witch
Posted by iz_bs on 31st of Jul 2017 at 02:52 pm
One more improvement - witch nearly double all relevant parameters (profit factor, inverse drawdown...) - instead close/close[1]<1 I use close/open<1.
One more improvement
Posted by sbaxman111 on 31st of Jul 2017 at 10:12 pm
Can you provide more detail please into what ideas you have. Thanks
NEG DAYS
Posted by iz_bs on 1st of Aug 2017 at 11:26 am
Sorry Sbaxman - I didn't provide complete setup yesterday: buy at close of the last day of the positive month (close>close[22]) and today close<today open. Exit at the close of next trading day. Average yearly return is 2.54% with only -2.79% draw down and only 2 years with negative return (since 1995). Number of winners:77 average win:0.9% max consecutive winner 13. Number of losers:22 average loss:-0.57% max consecutive loser 3. If you interested I can send you report for this setup in html.
Thanks
Posted by sbaxman111 on 1st of Aug 2017 at 11:59 am
Thanks
Interesting stats -- thanks for
Posted by mphailey on 31st of Jul 2017 at 01:41 pm
Interesting stats -- thanks for sharing Sbaxman