NO COMMON SENSE SYSTEM

[victor]

Have you heard about lunar cycles, the superbowl prediction, the elliot waves, and so on...?

Well here comes another system as stupid as described above... and it works. (Until the day it won't)

I use to trade it very very very lightly from one and a half year ago.

First I post the results of the last 10 years:

Year 1996: 4.2% Winning trades: 83% Drawdown: -1.1%
Year 1997: 0.3% Winning trades: 50% Drawdown: -5.7%
Year 1998: 4.3% Winning trades: 67% Drawdown: -8.9%
Year 1999: 14.0% Winning trades: 75% Drawdown: -1.6%
Year 2000: 12.0% Winning trades: 75% Drawdown: -2.5%
Year 2001: -4.7% Winning trades: 33% Drawdown: -4.7%
Year 2002: -1.3% Winning trades: 33% Drawdown: -8.2%
Year 2003: 9.3% Winning trades: 67% Drawdown: -2.7%
Year 2004: 7.9% Winning trades: 83% Drawdown: -1.9%
Year 2005: 7.0% Winning trades: 83% Drawdown: -0.6%

It works as follows:
The last day of each month you buy one contract of Ibex future near the close (Ibex: is the main index of Spain SE. The results posted are similar for the more popular Eurostoxx future in Eurex).
The first day of each month you sell that future near the close.
So, you just stay 12 days a year in the market.

Have to say that I haven't discovered this pattern. I knew about it in www.bolsamania.com, credit to them so.

Take care with this kind of systems.

victor

[victor]

paper about calendar effects

http://www.studyfinance.com/jfsd/pdffiles/v8n1/boudreau.pdf

[nodoodahs]

I may be mixing my metaphors, as "burying the evidence" is something mutual fund and hedge fund managers often do with stocks. Just before month end they will dump a lot of non-performing stocks so that their managers and investors don't see what they bought (that went down). Hence down day(s) at the end of the month.
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I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[victor]

I don't have intraday data (as except this trading "system" I don't daytrade), so I can’t prove that the following is true.

The last trading day of each month is usual to see how after a rather boring trading day the market (mainly in Eurostoxx and Dax futures) starts to drop. It’s difficult to see any reason behind that, this is any macro or corporate news. Simply the market falls like a stone.
The next day (first of month) the market resumes its gains and all the news, rumours whatever that generated the previous drop is forgotten.

I've read 2 main points of view about why this is happening again and again:

1. Some say that many of the the big boys have a limit on how many futures contracts can hold at the end of the month. When the month is ending they simply unload their excess just to come back early next moth.

2. Others say that there is a huge amount of structurated products depending on the monthly variation of the Eurostoxx. The amount involved in those products is so large that it pays the price to manipulate the monthly closing even if that trading is made at a loss.

Sincerely, I don’t know what is happening. I’m not convinced by 1) neither by 2). (Why to wait until last trading hours to manipulate or whatever?)

Therefore, I’m not going to risk a lot of money in something I don’t understand.

Sorry, but I haven’t get you in “burying the evidence”.

[nodoodahs]

Do you think this is the result of fund managers "burying the evidence" at month-end? If so, it will probably continue to work ...
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I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.