Most traders have heard the saying "Sell in May and go away". I decided to investigate a number of different variations of that edge, and specifically investigate those on the German DAX40 index. Here is what I found works best.
The image below shows a buy & hold strategy compared to the equity curve of a strategy that goes short on the first trading day after July 23rd every year, and then reverses to a long position on the first trading day after October 3rd every year.
Both strategies have a 100% time in market.
I think it's worth nothing that this strategy only has 5 negative years out of the 37 years it has been backtested on. A buy and hold strategy over that same period would have twice as many negative years (10).
It's also worth noting that the total gain is close to 2.5 times bigger than the buy & hold starategy 17078 points versus 38381 points.
Statistics (Nov 1987 - today)
73.97% winrate
73 trades
38381 points gained
5347 points max drawdown
100% time in market
4.9 Gain/Loss Ratio
Positive returns in 32 of 37 years
So, do you want to stay 100% in the market but make 2 times the money? Then you should follow this strategy.
The ProRealTime™ code
DEFPARAM CumulateOrders=False
IF MONTH = 7 and DAY >= 24 THEN
SELLSHORT 1 share AT MARKET
ELSIF MONTH >= 10 and DAY >= 3 THEN
BUY 1 share AT MARKET
ENDIF
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