Saturday, May 24, 2014

thinkscript included: sdi_seasonalstgy rev:1.2.0 & next 4 day hold on spy

i am hearing from this or that news outlet that the 4-day week following memorial day is bearish. so i am using this opportunity to show to you the best data i can muster regarding this and to improve the study i use to evaluate seasonality. so here is the picture:
p&l of $10k worth of spy buy 'n hold for next 4 days, over last 20 years. 
there are a number of improvements in this version of the study:

  1. the study allows for the input of specific target trading days instead of just the current.
  2. the study defaults to evaluating the next trading day of the year instead of the current. this reduces the influence of open positions on the p&l graph.
  3. the strategy reports on the chart the trading day it bought-to-open a position and the number of trading days it held it when it sold-to-close.
  4. the chart label reports the percentage wins and the number of trades.
  5. the chart label reports the average p&l per trade.
as always i maintain the revised studies on the original release blog here.

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