Subject: OT-Jim's 15-year old system - "Sell in J
Hello. Like many hear, I have been a follower of Jim for many, many years (over 20 I guess). Fifteen years ago he posted a seasonal system "Sell in June and go away". It's based on a very well documented "Halloween" seasonality, with ~Oct-May capturing basically all the year's return. Jim version is similar to Sy Harding's (he links to it in the post but Sy has long passed and the link is broker. see the link below for a copy I saved in my archives).

The earliest possible sell date is next Wednesday, June 5th.

With 15 full years passing since Jim made the post, it would be very interesting to look at the performance over such a robust out-of-sample period.

Jim's post: http://www.datahelper.com/mi/s...

Sy Harding's system (my PDF copy): https://1drv.ms/b/s!Agk8-mgCL2...