The Worst Week Of The Year For Stocks? (Flip For A Good Short?)

September is a poor month for stocks, especially the week after OPEX day, which is the third Friday of the month.

Trading Rules

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Let’s backtest to find out the performance for the week after OPEX day in September.

Amibroker code:

setOption("holdminbars",1);

Short=  DayOfWeek()==5 AND Day()>14 AND Day()<22 AND Month()==9  ;
shortPrice=Close;
Cover= DayOfWeek()==5; 
coverPrice=Close ;

ApplyStop(stopTypeNBar,stopModeBars,5,1);

We buy at the close of OPEX Friday, and we hold S&P 500 for five trading days or exit the next Friday:

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This seems to be a good week to be short (we flip it):

The average gain (if you are short) is 0.87% since 1960, and the win rate is 67%.