I found on the net this: http://www.quantumcharts.com/qcsc/OldFaithfulReport.pdf
It basically says:
The Rules:
1. The close of the day before the first calendar day is at least 3.00 points below the
previous day's high
2. Don't trade in August I thought: OK, I can't believe it's true but I'll try coding it.... it basically never trades....
There are two topics previously discussed here related to this concept. One is that all, and I do mean all, positive returns for the SPY occur out of session (close to open).
The other is that the end of month trade is real:
http://www.evernote.com/l/ACPLTIhwvNNB1I69NDoCRR7M3nALsywF8FA/
As for your strat, you'll have to try various combinations of date rules and period deltas. Try just entering on the end of the month -- without the high - close test.
def initialize(context):
context.stock = symbol('SPY')
schedule_function(EnterLong,
date_rule=date_rules.month_end(days_offset=2),
time_rule=time_rules.market_close(hours=0, minutes=5))
schedule_function(ClosePosition,
date_rule=date_rules.month_start(days_offset=1),
time_rule=time_rules.market_close(hours=0, minutes=5))
def handle_data(context, data):
pass
def EnterLong(context, data):
order_target_percent(context.stock, 1.0)
print("EnterLong")
def ClosePosition(context, data):
if context.portfolio.positions[context.stock].amount > 0:
order_target_percent(context.stock, 0.0)
print("ClosePosition") 
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