As we promised, here are the results of being long the indexes every year from November 2 through the following May 1, and then flipping and holding a short position from May 2 through November 1.  The length of the trades necessitate that we get as much data as available â€" from the beginning of each contract through Nov 19, 2005.  Again, we have to contain our enthusiasm a bit.  We see, for example, that very recent performances are not holding up well, although as several "Market Beaters" noted, there is no reason to assume that tomorrow is going to look more like today than two years ago.  Also, it would obviously be hard to follow this as a stand-alone system.  (The risk is off the page, for one thing.)  As always, though, we can start thinking in terms of how we can apply it in combination with other elements. 

Among the good news:

1.  The parameters are in line with what we know to be true.  September-October is the well-known bugaboo period â€" the time of most of the harrowing market crashes. There is also a frequent malaise in the summer months.  Our shorts reflect this.  Conversely, we're long through the traditional Santa Claus rally and yearly rollover.  Sometimes common knowledge does work out.

2. All four markets conform.  There is not only consistent net profit across the board, but even an annual periodic breakdown suggests that the profit periods more or less emanate from the entire field. 

Figure 1: Life of Contract

Figure 2: Year-by-Year Breakdown

DISCLAIMER: It should not be assumed that the methods, techniques, or indicators presented in this column will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. Examples presented in this column are for educational purposes only. These set-ups are not solicitations of any order to buy or sell. The author, Tiger Shark Publishing LLC, and all affiliates assume no responsibility for your trading results. There is a high degree of risk in trading.

Art Collins is the author of Market Beaters, a collection of interviews with renowned mechanical traders. Much of Art's TigerSharkTrading.com material will be expanded upon in his upcoming book that is scheduled to be released later this year.  E-mail him at artcollins@ameritech.net.