Has anyone created a strategy for Sell in May using the MACD signal as outlined in traders almanac?

What are the strategy's exact trading rules? Is there a link describing them in detail? The links below seem to outline the concept:

stocktradersalmanac.com
fidelity.com

The link you provided is the strategy that I was referring to. As for the exact trading rules, I don't know them but I did find this link which seems to explain it pretty well. http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:six_month_cycle_macd

There are variations on when to enter/exit based on calendar dates
Calendar date
Entry
Oct 1 or Oct15 (Stock Almanac/Sy Harding)
Exit
April1 or April 20 (Stock Almanac/Harding), May 1 also mentioned

MACD
Entry 8/17/9
Exit 12/26/9

If you are going to create a strategy, I suggest making these variables fluid ( to accommodate various permutations).

Almanac discreetly uses MACD settings proposed by Gerald Apple where as Harding described these in his Book.

@gandalf

Since the system appears trivial, I strongly recommend you a DIY excercise using Rules. They are powerful enough. To approach it you need to drop several conditions together:



Calendar date
This should be a pair of After and Before dates. For example, for entry you'd take After (1,10) and Before (15,10).

MACD
The choice of MACD entry rule is up to you: MACD turns up, crosses zero etc. Be careful: including a MACD condition for the exit may delay exit for a year (or even years).

I'm not really a programmer but I have done a little with Excel's visual basic. Thanks for the tips, I will give it a shot.

I created the strategy exactly as shown. For Calendar dates I used : entry after 1,10 before 1,11 for sell I used after 20,4 and before 14,5. It is not clear to me why I need before and after dates, but I assume the trade will only happen if it's between those dates AND MACD is above or below zero. However the strategy does not behave as I expected. For example the last trade on QQQ was to buy on 10/29/2014. It should have sold about 5/5/15 and bought on or about 10/6/15. Can you help?

I changed the MACD from above or below zero to turns up and turns down, it seems to work OK although I don't know why above and below zero did not work correctly.

There may be different reasons for that, primarily:

1. Skipped trade due to insufficient capital. Choose a Raw Profit mode position size, then check out the User Guide and Wiki FAQ for more.
2. A difference in the data (I used Yahoo!).
3. Possibly insufficient data loading range.

"MACD above zero" does work correctly, producing an entry signal on 10/29/2014: