Months with biggest gain and loss by Eugene

This is a seasonal counter-trend strategy. The idea is to enter during a month with the biggest decline (as of last N years) and exit after the month of the the biggest rally. Sort of "Sell in May and go away" where the %May% is determined dynamically every month and for every symbol on a rolling basis.

Works on monthly data only. It also plots a chart of the average return % by month (for last N years - configurable in "Strategy Parameters").

System rules

Short at the end of the month with the biggest gain
Cover at the end of the month with the biggest loss
Buy at the end of the month with the biggest loss
Sell at the end of the month with the largest gain

Author: Eugene
Category: Seasonal
Creation Date: 8/13/2019
Licence: Freeware
Availability: Globally
Instructions for Script Download
  1. In Wealth-Lab client software, open the Strategy Explorer (Ctrl+O)
  2. Click the "Download..." button
  3. Click "Begin Download"
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