yellow jacket trading strategy

Discussion in 'Trading' started by trader999, Jul 30, 2019.

  1. ph1l

    ph1l

    I've heard of the proverb, "Good things come to those who wait." So I tried the same strategy delayed one week:

    If (today is the fourth Friday of the month) or (today is the day before the fourth Friday of the month and the market is closed tomorrow),
    Then enter long at the close today. Exit at the close the following Friday or the next trading day if the market is closed the following Friday.

    The results were much better. For July 22, 1983 through July 5, 2019, the same statistics on the simulated trade results in S&P 500 points without accounting for trading costs were:
    numValues 432
    sum 1688.290964
    prod -Inf
    min -114.04004
    max 127.609863
    mean 3.90808093518518
    sampleStdDev 25.3388719411513
    median 2.8250275
    medianAbsDev 9.52000450000001
    geomean NaN
    skewness 0.0814835093665896
    excessKurtosis 4.3138012900674
    >Thresh_0_Pct 62.73


    The attached enter_long_week_after_optexp_one_week.xls has individual trade results as before except I added a column for log(exitPrice / entryPrice). This makes it easier to calculate the compounded return of 515 percent for an annual growth rate of 5.18 percent. This doesn't look that bad considering the strategy had market exposure of 2,084 out of 9,063 trading days (in market 23 percent of the time).
     
    #31     Aug 1, 2019
  2. ironchef

    ironchef

    :D:D:D See my post: 3 > 2 > 1

     
    #32     Aug 1, 2019
  3. ph1l

    ph1l

    I saw that post, but I was reading left-to-right and thought one would need help from one of
    upload_2019-8-1_20-48-11.png
    to trade them:D.
     
    #33     Aug 1, 2019
  4. ironchef

    ironchef

    :thumbsup::thumbsup::thumbsup:

    From reading your posts, you really know what you are doing, better than most of us here.
     
    #34     Aug 1, 2019