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Those of you who have TradeStation can easily do these studies
with the attached .ela . There is also a text file which is TS4/TS2k
compatible.
There is an attached .csv file that has all the data by doing an
optimization beginning with month 1 (January) and ending with
month 12 (December) and holding the DJIA for from 1 to 12
months.
There is also a picture of the results
As has been previously reported in other studies, you should
buy the DJIA on the first of October and hold it for 6,7, or 8
months and then take a vacation for the rest of the year.
You will be amazed at these results and it will make you
wonder why we screw with the market all year.
I'll look at some other things later but would encourage those
of you with TS to investigate this phenomena on various
futures and individual stocks.
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
----- Original Message -----
From: <jvc689@xxxxxxx>
To: <Realtraders@xxxxxxxxxxxxxxx>
Sent: Friday, March 05, 2004 8:58 PM
Subject: [RT] Historical Trends Revealed
> Some interesting insights.
>
> Sincerely,
>
> John
>
> > Historical Trends Revealed
> >
> > _____________________________________________________________________
> > ~ J.P. Morgan's classic retort
> > : " Stocks will fluctuate " is often
> > quoted. Many investors agree with this
> > statement. However while stocks do
> > fluctuate they do so in well defined
> > often predictable patterns. These
> > patterns recur too frequently to be
> > the result of chance or coincidence.
> > How else do you explain that since
> > 1950 practically all the gains in the
> > " MARKET " were made during: November
> > Thru April, compared to almost
> > nothing: May Thru October. this is
> > known as the Halloween Strategy, Get
> > in the Market on Oct 31 & get Out
> > right before Easter. this strategy
> > cuts your Risk in Half & Doubles your
> > Reward. Predicting the direction of
> > the market with a certain degree of
> > accuracy is indeed possible. It is
> > like predicting the weather, while it
> > is indeed possible to predict the
> > weather with a degree of certainty.
> > One must keep !
> > in mind
> > certain variables. Predicting the direction of the market is no
> > different. Their are random variables that must be taken in to account.
> > Weather wise look at the pattern of storms, the 15 year perfect storm,
> > etc... Now if in 1950 you had invested $ 10,000 in the Dow Jones
> > Industrials & Compounded the gains, Nov - April Strategy you would have
> > $ 461,774 profit !! & Had you been in the market May - October instead,
> > a $ 10,000 investment during these months since 1950, you would have a
> > debt, or loss of $1,625 !! Wow ! The S&P Results would be similar. Now
> > Thats say you add technical analysis to this system & the market was
> > trending up & you were to stay in & follow the trend to completion &
> > sell once the trend starts to reverse? & if the market was trending
> > down early you were to sell your position? Using the same time frame
> > from above & our same $10,000 investment compounded since 1950 , From
> > Nov thru April, or longer or shorter depending on the trend, how much
> > money would ! you have
> > ? Well instead of the $461,774 over a 53 period, you would have tripled
> > your return to: $1,308,314 !!! Wow !! However your loss from the worst
> > Months, May thru October your loss during that same period would have
> > deepened to a loss of $ 7,000 ( vs ) a $ 1,625 loss with out trending
> > !!! Impressive results for being in the market for 6 months & no Stock
> > picking. During a 6 1/2 month investment. Wow! Now Suppose you had
> > enhanced your portfolio with options !! as to indicator any trend
> > following indicator will do, MACD / RSI / MFI / ROC etc... I will
> > have a follow up Article this one titled What Should We Expect Based on
> > History. ~ Bill ~ if you liked this "ARTICLE" Pass it Along To a
> > Friend or Group that you believe will enjoy it !!!! & Also the clubs
> > Link! Remember we have the largest & Best Links of any Investment Club
> > !!! Also our Educational Articles, Economic & Market News Are The "
> > BEST " Link is below click on it & { Join Today } AA+Quants investment
> > club !!
> > :
> > http://www.groups.yahoo.com/group/AAQuants/join { Join Now !! }
> >
> >
> >
> > ---------------------------------
> > Do you Yahoo!?
> > Yahoo! Search - Find what you're looking for faster.
>
>
>
>
>
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
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Attachment:
DJIA_21-04_BUYEXIT_CertainMonths.gif
Description: GIF image
Attachment:
BUYEXIT_CERTAINMONTH.ELA
Description: Binary data
{Signal: BuyExit_CertainMonth
Purpose: Evaluate buy on first day of given month and
sell on last day of month forward by NumMonth.
Author: Clyde Lee, Copyright SYTECH Corporation, 2004
}
Input: MonthBuy (1), {In format xx define the Month -- MM01 to enter the market }
NumMonth (6); {In format xx define the Number of meonths to stay in market}
Vars: Thisyear(0), ThisMonth(0),
MonthAdd(iff(nummonth>12,12,NumMonth)),
SellMonth(Mod(MonthBuy-1+MonthAdd,12)+1),
SellMoDa(SellMonth*100+LastDayOfMonth(SellMonth)),
BuyMonth(MonthBuy),
BuyMoDa(BuyMonth*100+1),
BuyDate(0), SellDate(0);
ThisMonth= Month(Date);
If ThisMonth=MonthBuy and ThisMonth<>ThisMonth[1] then begin
ThisYear = Year(Date);
BuyDate = ThisYear*10000+BuyMoDa;
If SellMonth<BuyMonth then ThisYear=ThisYear+1;
SellDate=ThisYear*10000+SellMoDa;
End;
If Date>=BuyDate and Date[1]<BuyDate then Buy this bar on Close;
If Date>=SellDate and Date[1]<SellDate then ExitLong this bar on Close;
If LastBarOnChart then begin
ExitShort this bar at close;
ExitLong this bar at close;
End;
Attachment:
Description: ""
Attachment:
Description: ""
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