Description
The Halloween strategy is based on a well known principle “sell in May and go away". Backtesting of this principle showed successful results, based on research of futures data on period from April 1982 to April 2003. The Halloween strategy is described in October 2012 issue of Technical Analysis of Stocks & Commodities by Gerald Gardner. In his article, Gardner uses the leveraged ETFs DDM and DBC to display the correlation between the stock equities and commodities, however, in TOS Charts users can apply this strategy to any chartable product.
Long Entry signal is generated for the first bar in October which has price greater than its SMA.
Long Exit signal is generated for the first bar in May.
Input Parameters
| Parameter | Description |
|---|---|
price
|
The price used in calculations. |
length
|
The number of bars used in calculation of SMA. |
Further Reading
1. "A Seasonal Strategy with Leveraged ETFs" by Gerald Gardner. Technical Analysis of Stocks & Commodities, October 2012.