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Author Topic: Month End Rallies and Santa Rallies  (Read 1521 times)
pftq
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« on: October 30, 2012, 06:27:04 PM »

A nice use of Tech Trader to de-bunk (or maybe confirm depending on your risk tolerance) the myths on these.

For buying at month's end, there's a slight bias to the long side, but not enough to trade on.  If you wanted to play the strategy, the approximate best times are going in 1 day before the month end and holding for 3 days.  The hitrate is about 60% - more details and the raw data here if you want to also mess around with it: https://www.pftq.com/stocks/images/2012-10-30_16-00,_SPY_MonthEnd.csv

 
Also thought about testing out how effective "Santa Rallies" have been, just choosing Thanksgiving weekend as the ballpark starting point and optimizing on best entry + exit.  It's about the same conclusion - nothing substantial enough to be trading on imo.  Hitrate is 78% if you buy in 6 trading days before Thanksgiving and hold for 25 trading days.  Data is here if you want to play with it: https://www.pftq.com/stocks/images/2012-10-30_16-00,_SPY_SantaRallies.csv

« Last Edit: November 19, 2012, 03:11:59 PM by pftq » Logged
wd1040
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« Reply #1 on: October 30, 2012, 06:30:36 PM »

Is it possible to email us privately one of these codes, just so I can see how it is written (or rather, draws lines)? So more like the trendline drawing indicator.
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pftq
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« Reply #2 on: November 17, 2012, 10:22:39 PM »

The holiday rally signal for this year finally kicked in on Thursday.
Strategy is based on if you buy in 6 trading days before Thanksgiving and hold for 25 trading days.
Just interesting to watch - 78% hitrate and the fact it's just a seasonal anomoly don't really make it worth trading.

https://www.pftq.com/stocks/images/2012-11-16_16-00,_HolidayRallies.csv
« Last Edit: November 19, 2012, 03:12:13 PM by pftq » Logged
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