Stock Trading strategy

In the article written by James Altucher titled “10 things I learned while trading for Victor Niederhoffer”, James presents a stock trading strategy that is intriguing and I wanted to test and validate.

Below is a summary of the stock trading strategy  from the article:

“7.) The First Day of the Month. It’s probably the most important trading day of the month, as inflows come in from 401(k) plans, 1RAs, etc. and mutual fund have to go out there and put this new money into stocks. Over the past 16 years, buying the close on SPY (the S&P 500 ETF) on the last day of the month and selling one day later would result in a successful trade 63% of the time with an average return of 0.37% (as opposed to 0.03% and a 50%-50% success rate if you buy any random day during this period). Various conditions take place that improve this result significantly. For instance, one time I was visiting Victor’s office on the first day of a month and one of his traders showed me a system and said, “If you show this to anyone we will have to kill you.” Basically, the system was: If the last half of the last day of the month was negative and the first half of the first day of the month was negative, buy at 11 a.m. and hold for the rest of the day. “This is an ATM machine” the trader told me. I leave it to the reader to test this system.”

Since 1982 when buying at the open then selling at the close on the 1st trade day of the month there were 352 occurrences with 60% wins and the average trade made .17%. Below is the performance report of trading 1 S&P futures contract since 1982

Altucher mentions hearing a tip for a  trading strategy of buying if  ” the last half of the last day of the month was negative and the first half of the first day of the month was negative, buy at 11 a.m. and hold for the rest of the day. “

Since 1982 when buying at the open after the Trading strategy tipped from Neiderhoofers trader then selling at the close on the 1st trade day of the month there were 77 occurrences with 58.4% wins and the average trade made .27%. Below is the performance report of trading 1 S&P futures contract since 1982

 

Here is an optimized stock trading strategy for the 1st day of the month. Using the 60 minute bar charts.

IF Next Bar Trading DayOfMonth = 1 And Next Bar Time in NY = 10:30 And Close < Close 3 bars prior  And Close Of tq > Close of 2bars prior Of tq And Next Bar Month <> 8 And Next Bar Month <> 1  Then Buy at market and sell at the close

Since 1982 when buying after the setup mentioned above then selling at the close on the 1st trade day of the month there were 110 occurrences with 66.4% wins and the average trade made .4%. Below is the performance report of trading 1 S&P futures contract since 1982

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