When end of month is down more than 1 pct, there is a 90% chance of making a profit in the next 5 days. On Dec 31, 2015, we were down almost 1%. I have taken out the stop loss for this test. The exit is based on the first profitable close or after holding the position for 5 days. The average win/loss ratio is 0.44. I have also taken the commision out of the testing. Attached is the detail stats. I have recently switched to use quantstrat in R so I have not quite figured out how to export the stats nicely yet. I can barely export the per trade stats in the link below in pdf. If you know an easy way for me to attach .csv file for people to download, please let me know. gambulator@gmail.com

down1pct

pertrans

 

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