halloween
Function Name: halloween
Tags: None
Category: Cycles
The exploitation of the Halloween indicator is a simple and effective strategy. The stocks are purchased on October 1 then retained until May 1 of the following year.
Selecting ETFs: The two exchange traded funds (ETFs) used in my system are PowerShares DB Commodity Index Tracking (DBC) and the ProShares Ultra Dow30 (DDM). The commodity fund DBC tracks a basket of commodities and the DDM fund provides twice the return of the Dow 30 index. Both funds are highly volatile, and investing in each produces drawdowns of more than 50%. Yet allocating equal portions to each reduces volatility and provides superior returns when used with seasonal factors.
A model for trading: This model consists of two ideas: begin looking for ETFs on October 1, but don't buy until the price of the ETF surpasses its 50-day moving average. For any ETF bought, hold it until May 1 of the next calendar year.
Author: Trent Gardner
Source: Stocks & Commodities, December 2012: "A Seasonal Strategy With Leveraged ETFs"
SMAPeriod |
|
|
Default Value: 50 | Minimum: 1 | Maximum: 999 |
|
Type: Numeric |