Buy the E-mini SP 500 on Mondays. Statistics. Becktest.
In the book “Long-Term Secrets of Short-Term Trading,” Larry Williams devoted a lot of time to testing the history of various TDW applications, including finding that the best day to buy the index is Monday. Since then, nothing has changed and Monday has remained the best day to buy the index, in terms of profitability and win rate.
Trading systems
Since Larry offered many options for filtering purchases on Mondays, it was decided to check them all:
1. Based on the statistics of purchases at the opening price and output at the closing price of each Monday.
2. Buy Mondays if on Friday the candle closed in short
3. Buy Mondays if there was an opening with a heap down
4. Buy Mondays if there was an opening with a heap down, below the low of the previous day
5. Buy Mondays with a breakdown of 5% of the range of the previous day added to the opening.
6. Buy Mondays with a breakdown of 180% of the unsuccessful 4-day swing added to the opening. As in the GSV system
7. Purchase every 1 day of the month
Trading Results
Stop set $ 3500 or 70 points. All systems enter at the opening and exit at the end of the day at the closing price of Monday. Testing was conducted on a time interval of 2000-2020.
The worst result for the Mondays buying system is 180% of failed fluctuations in the last 4 days. I believe this is due to the high volatility that sometimes takes place and greatly increases the magnitude of unsuccessful fluctuations.
The best result is for the basic purchase system on Mondays without additional conditions, system № 1. Winrate for various system modifications is not very different and equals approximately 53% -55%, the average loss is approximately equal to the average profit, which forces you to trade every Monday, without exception. The yield curve at the beginning of the path periodically dived below 0.
Adding a filter by bonds, about which Larry wrote in the book, it is possible to improve the results and winrate, system № 6 with a breakdown of 180% will begin to plus in this case. In general, the result does not change significantly, on average + 3% to winrate and a slight profit in the overall result, with a decrease in the number of transactions by 2 times or less.
Decreasing stop increases overall profitability, the leader is also system number 1.
Issue
For 20 years of backtest, the maximum profitability of the most profitable of the systems amounted to about 664 points. Compared with the simplest “buy and hold” system, some years in the index brought more profitability when buying at the beginning of the year and exit at the end.
If the same income can be obtained for 1 year holding a position in SP, perhaps there is no sense in active speculation for 20 consecutive years?
Findings
Larry took statistics and the best day to buy an index, which is Monday and began to tie additional conditions to it in order to reduce the number of negative transactions and increase winrate. Time has shown that the point in buying the index on Mondays remains, but all the awnings offered by Larry did not pass the test of time and only worsened the results of an initially good idea.
It also passed the test of time 1 trading day of the month(TDOM 1), as it was profitable in the days of Larry Williams and remained. But it is very rare, 12 times a year.
Trading systems
Since Larry offered many options for filtering purchases on Mondays, it was decided to check them all:
1. Based on the statistics of purchases at the opening price and output at the closing price of each Monday.
2. Buy Mondays if on Friday the candle closed in short
3. Buy Mondays if there was an opening with a heap down
4. Buy Mondays if there was an opening with a heap down, below the low of the previous day
5. Buy Mondays with a breakdown of 5% of the range of the previous day added to the opening.
6. Buy Mondays with a breakdown of 180% of the unsuccessful 4-day swing added to the opening. As in the GSV system
7. Purchase every 1 day of the month
Trading Results
Stop set $ 3500 or 70 points. All systems enter at the opening and exit at the end of the day at the closing price of Monday. Testing was conducted on a time interval of 2000-2020.
The worst result for the Mondays buying system is 180% of failed fluctuations in the last 4 days. I believe this is due to the high volatility that sometimes takes place and greatly increases the magnitude of unsuccessful fluctuations.
The best result is for the basic purchase system on Mondays without additional conditions, system № 1. Winrate for various system modifications is not very different and equals approximately 53% -55%, the average loss is approximately equal to the average profit, which forces you to trade every Monday, without exception. The yield curve at the beginning of the path periodically dived below 0.
Adding a filter by bonds, about which Larry wrote in the book, it is possible to improve the results and winrate, system № 6 with a breakdown of 180% will begin to plus in this case. In general, the result does not change significantly, on average + 3% to winrate and a slight profit in the overall result, with a decrease in the number of transactions by 2 times or less.
Decreasing stop increases overall profitability, the leader is also system number 1.
Issue
For 20 years of backtest, the maximum profitability of the most profitable of the systems amounted to about 664 points. Compared with the simplest “buy and hold” system, some years in the index brought more profitability when buying at the beginning of the year and exit at the end.
If the same income can be obtained for 1 year holding a position in SP, perhaps there is no sense in active speculation for 20 consecutive years?
Findings
Larry took statistics and the best day to buy an index, which is Monday and began to tie additional conditions to it in order to reduce the number of negative transactions and increase winrate. Time has shown that the point in buying the index on Mondays remains, but all the awnings offered by Larry did not pass the test of time and only worsened the results of an initially good idea.
It also passed the test of time 1 trading day of the month(TDOM 1), as it was profitable in the days of Larry Williams and remained. But it is very rare, 12 times a year.