Sell in May, Buy in October : it works!

Sell in May, Buy in October : it works!

Hi all !

We will check the well-known adage traded “Sell in May , Buy in October .”

So I decided to code the strategy and check on various indices.

You will be surprised at the results!

For example, the CAC40 : from 31/12/1987 to 21/08/2015 (my backtest data when I had realized the test) we have 70% winning trades, with higher earnings than average losses and a profit factor of 3.69.

And if you separate long and short positions, positions “long” only give 88.89 % success rate, with a profit factor of 5.03 !

You can check the strategy is clearly winning over as many indexes : DAX30, FTSE, S&P500, NIKKEI, NASDAQ Composite, Dow Jones.

So I give you the code of the backtest (excerpt from one of my e-books), you can test and verify for yourself.

Best Regards,

Marc (from France)

 

 

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

Find other exclusive trading pro-tools on ProRealCode Marketplace

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

avatar
03/21/2016

68 posts • 318 Followers
avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
avatar
YvesRobert Hello David, can you explain to me this strategy ? You calculate the difference between t...
avatar
davidelaferla The strategy calculates the variation between the body and the previous body (however in pro...
avatar
KumoNoJuzza Thanks David it looks great. I am playing with it to get familiar. Do you think it would b...
avatar
BaderBader Good day davidelaferla, Thank you for making your strategy available to the community, I do...
avatar
Anjuna Marine Thanks for sharing this. I've tested it over 13 years, and each year has been profitable. I ...
avatar
noisette Thank you for this code. looks robust and can easily be improved with trailing stop and adju...
avatar
phoentzs
1 year ago
M15 SP500 LowBuyHighSell
M15 SP500 LowBuyHighSell
#s&P500
9
Strategies
avatar
banjoo78 Which is the timezone's setting of USA SP 500? I've differents results and I don't know why....
avatar
pdrh I have runit in the UTC+2 TZ and got matching results
avatar
BaderBader Hey @banjoo78, maybe its because of your License for US Indices? Because I have the sa...
avatar
pdrh Bonjour WE ARE SOCIETY,Vous optimisez toujours votre Algo chaque
avatar
WE ARE SOCIETY Bonjour, je l'optimise et l'améliore chaque semaine en évitant au maximum les interdictions ...
avatar
dammon c'est un bien beau code que tu nous sors là. il m'a fallu du temps pour bien tout comprendre...
avatar
Germano77 hello, thx for sharing, but wich broker do you use? At IG I got the notification "automatic...
avatar
Musiar Hi Davide, You have done a great job: I modified a bit your strategy for Nasdaq, and now I ...
avatar
Maik2404 Musiar können sie den code des automatischen systems teilen.
avatar
sfl CAC on Weekly timeframe, long only, short dosent work. Defparam cumulateorders = false ...
avatar
superfalcio This kind of strategies coming from Connors research usually work well on timeframes from 1D...
avatar
AndyB72 Sbaglio o Short non fa nemmeno un'operazione ? Andare Long su SPY con la MM200 è praticament...
avatar
Stanko Ciao Crusoe, grazie per il commento: confermo che il trailing stop non funziona bene. Provo ...
avatar
taklause I was wondering, you said it works on the 1 min Chart, but you never use it in the code as t...
avatar
Stanko Ciao taklause. Utilizzando il grafico a 1 minuto e fino al grafico a 15 minuti il codice fun...
avatar
YvesRobert Hello davidelaferla, how do you put a stop loss and where exactly ? the moment you enter on ...
avatar
Hypersimo Buongiorno Davide a quale distanza inserire stop loss e tp nella strategia? grazie
avatar
beanpole Thank you for sharing the code. I applied it to the "CAC40 Index" on Euronext market on a da...
avatar
ProRealAlgos Hi Crusoe76. Do you mean that you would like a short version of this?
avatar
crusoe76 yes please
avatar
banjoo78 Hi, first of all thank you for your sharing. I'm new of ProRealTime and I can't replicate y...
avatar
ProRealAlgos Same here ;)
avatar
YvesRobert Hello, can someone explain this strategy because I don't understand what the program does ex...
avatar
andyfx79 l have been demoing for the past couple of weeks with great results , but during a bear mark...
avatar
ProRealAlgos.com Hi JohnScher. Yes I think you refer to the strategy called "Turnaround tuesday". This strate...
avatar
JohnScher I am not alluding to the turnaround tuesday. The general opinion is that Turnaroundtuesday ...
avatar
ProRealAlgos.com Yeah that's maybe not of importance. Anyway. Enjoy! :)
avatar
superfalcio Hello, very interesting. Do you have already some tested condiction including timeframe and ...
avatar
ThaNoizy Yes, you cannot use CFDs on IG for Weekly strats you need to use their Index Futures, they h...
avatar
KumoNoJuzza Thanks. I did not know IG had Futures. I am always missing an info or a detail. I used to th...
avatar
joaoarcher Hi, thank you for the this. Is it possible to create a screener from this indicator, so that...
avatar
JohnScher Short variant, see at https://www.prorealcode.com/topic/late-lunch-trade-dax40-strategy/
avatar
DANY Hi JohnScher, Thanks a lot for your contribution. Consider this release to avoid overfit...
avatar
JohnScher Thank you so much for exploring the Late Lunch Strategy. For discussion and in answer to yo...
avatar
BenJuice JohnScher, merci de partager ta stratégie. Je suis nouveau dans ce domaine, sur ton code q...
avatar
JohnScher As a percentage of the price, here 2%. StopLoss as well as TargetProfit. SL and TP come ...
avatar
Wilko I absolutely love the simplicity of this mean-reversion strategy. Well done!
avatar
Patrice210 bonjour STANKO, effectivement la première ligne apparait en anomalie et je ne comprend pas v...
avatar
KumoNoJuzza Hi guys, Thanks @Stanko and everyone for your contributions. I have been playing around ...
avatar
Stanko Hi KumoNoJuzza, thanks for the post. I also tried your code with Dax and the performance is ...
avatar
thomas2004ch Hi, Is this startegy suitable for daily SPY? Regards
avatar
ebous64 Je cherche à traiter des effets de bords avec un encadrement ajustable des variables. Vous a...
avatar
thomas2004ch What are the values for nbx, nby, pbx, pby, ptsup, stplos, stptg, tp, vsmax, vsmin?
avatar
JohnScher Postscript: It's running in the live right now. One position after the other is opened. ...
avatar
ullle73 nice!! how's it been since your last post on going live? :)
avatar
thomas2004ch Hi, Is this strategy suitable for daily SPY? Regards
avatar
adconsulting
3 years ago
japan 225 cash 1 h
japan 225 cash 1 h
#nikkei
28
Strategies
avatar
superfalcio Ora è tutto ok e gira correttamente!!! Grazie, mi sembra veramente notevole a prima simulazi...
avatar
Meta Signals Pro Hi @adconsulting, Thanks a lot for these contributions. I am currently running live 2 of y...
avatar
superfalcio Ciao @adconsulting, stavo rifacendo un check dei tuoi sistemi, quello su eurusd-30 min... on...

Top