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%.