best trading system

F

Free Thinker

mark hurlbert recently said this is one of the best systems he ever followed.



The first two rules outline the two types of seasonality that the system hopes to exploit, while the third deals with exceptions:

1.To exploit positive seasonality around the turns of each month: Buy at the close of the third-to-last trading of each month, and sell at the close of the fifth trading session of the following month.

2.To exploit positive pre-holiday seasonality: Buy at the close of the third-to-last trading day prior to exchange holidays, and sell at the close of the last trading day before a holiday.

3.Exceptions: If the holiday falls on a Thursday, sell at Friday's close rather than Wednesday's. Also, if the last day before a holiday is the first trading day of the week, don't sell until the day after the holiday. Finally, never sell on the first trading day after options expire; instead wait an extra day.


http://cbs.marketwatch.com/news/story.asp?guid={FD9F6CF8-AA59-49C9-B37E-6E4FFFAF98C8}&siteid=mktw&
 
If its a Thursday, dont BUY unless the month DOESN't have an 'R' in it, UNLESS the number of days in the month minus the current price in cents is NOT less than the minimum of either the 20 day roi divided by the 15 period ema, and the adx is higher than yesterday's seasonally adjusted p.o.v. subtracted from the 2nd Tuesday's close (unless its Shrove Tuesday, obviously).

This, in a nutshell (and notice the word 'nut' at the start of that phrase) is the 'Murrey Mirth' technique, outlined by Oddiburro (the great man) in the Trading thread 'Murrey Math'.

Seriously dude, u sound like something out of Monty Python's 'Meaning of Life'.
 
I don't think this idea is so crazy at all. I have not gone through it in detail, but it is just a fact that there is a seasonal bias. Or perhaps "they" just decided to break the market last May and run it up this October. There is a definite end of month and pre-holiday bias as well. Not sure if they are holding up as well in the bear market, but they were reliable money makers for a long time. There is a book called the Stokc Market Almanac that goes into them in detail.
 
"1.To exploit positive seasonality around the turns of each month: Buy at the close of the third-to-last trading of each month, and sell at the close of the fifth trading session of the following month."

i think this works over time because we know that funds mark up at the end of the month and funds also tend get their monthly contributions in the first week of the month so they put it to work.
 
Quote from vhehn:

"1.To exploit positive seasonality around the turns of each month: Buy at the close of the third-to-last trading of each month, and sell at the close of the fifth trading session of the following month."

i think this works over time because we know that funds mark up at the end of the month and funds also tend get their monthly contributions in the first week of the month so they put it to work.
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Except for June, July, and November, the indices got smoked the last few days of each month last year.
 
Quote from Mark Conway:



Except for June, July, and November, the indices got smoked the last few days of each month last year.
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i havent done any work on this. it was just a general observation. it would be interesting if someone with backtesting software and a lot of free time would test it out.
 
Quote from vhehn:



i havent done any work on this. it was just a general observation. it would be interesting if someone with backtesting software and a lot of free time would test it out.
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Okay, we can do a quick TS test and post results here...

MC
 
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