No. of Recommendations: 22
For anybody interested in this approach, you'd go long tonight at close or tomorrow at open.

The strategy: Be long the Russell 2000 (I tested using futures) for the
"superior six" days around the ends of the 8 months per year October
through May inclusive and cash the rest of the year.
So, you're long only 48 days a year which is about 19% of the time.
The superior six are defined here as the last 4 calendar days of one month and the first two of the next.
So, you'd buy at close on the fifth-last trading day of the month (today)
and sell at close on the second trading day of the following month (next Friday).

The end October period is historically about the best of the bunch.
To the extent that there is any statistical support at all, you could
even go another couple of days into November and do well.

It works about as well in bear markets as it does in bull markets.

The last post on the subject
http://boards.fool.com/how-robust-is-it-when-nh-nl-is-negati...

Jim
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