I would like to remind, that the time for entering a position is approaching for a well-known strategy, which is already profitable, least, 110 years. Who is not in the know, remind the rules — however, there are different options in different sources, but the essence is the same — someone enters behind 5-10 days before Catholic Christmas, comes out after him, someone enters behind 10-15 days before the new year, but comes out at the opening of the first session of the new year, etc.. and so on.
I decided to check which option is better at a distance 110 years (maximum Dow Jones history I have 30) and concluded that the maximum benefit from such a strategy at a distance 110 years would be if you enter a long position on the American index for 10 days before the new year and exit at the beginning of the session on the first day of next year.
Here is the result.. Everyone's favorite profit factor, at all, rolls over, aj 7,02. Do not pay attention to absolute values in dollar terms, since everyone will have their own. It is necessary to look at the interest.
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I.e, this year we open a position, for example, by SPY or index futures 18 December at the opening session, and close the position on Monday 4 January also at the opening of the session.
But I immediately warn you that I am not involved in this.. :)
