Vertical Solutions

Notes on trading system design and the pursuit of automation

Riff'n on Fives

Below are three trading systems based on the number five:

a) if month of year = 5, and if day of week = 5(Fri) then
buy on the close of the day
and exit on the close of the next day w/ the highest high of the last 5 days:

23/28, 82%, avg $1536, sd 3899, z 2.1

b) if day of week = 5(Fri), and if the trading day of the month is evenly divisible by 5 then
buy on the close of the day
and exit on the close of the next day w/ the highest high of the last 5 days

74/103, 72%, avg $1472, sd 5585, z 2.7

c) if month of year = 5, and if day of week = 5(Fri), and if the trading day of the month is evenly divisible by 5 then buy on the close of the day and exit on the close of the next day w/ the highest high of the last 5 days

10/12, 83%, avg $2120, sd 2763, z 2.7

You can see why the Fibonacci guys got so excited, but the point of the exercise is that there's no bad inspiration for jumping into the data - serendipity abounds. PS Friday, 10/7/05, was the 5th trading day of the month, see 'b' above

Henry Carstens
Vertical Solutions
carstens@verticalsolutions.com