Risk-adjusted and non-adjusted summaries for stock performance on the last day of the year.  The data shows a strong tendency for recent losers to gain.  It also shows that you could get a small head start on the January effect by purchasing cheap stocks.   The day averages around a 0.8% gain.

 

Date(ymd): 021230 Average Gain: 6255.13 Group Stdev: 3673.89 Market Focus: 2.1+0.3 (0.00000, 0.00000) Market Focus5: 0.8+0.0 p = n = r = 1, period = 30

Top Gaining Groups 28748.33 best_p 26.00 to 31.00 (6)+ mov_ave20 1.00 to 6.00 (1) 24759.70 mov_ave20 1.00 to 6.00 (1)+ vstock_ind 6.00 to 11.00 (2) 24240.18 industry 1.08 to 17.30 (1)+ move_ave5 1.00 to 6.00 (1) 24040.93 momentum 1.00 to 6.00 (1)+ pkurt 21.00 to 26.00 (5) 24030.83 pkurt 21.00 to 26.00 (5)+ move_ave5 1.00 to 6.00 (1) 23722.87 momentum 1.00 to 6.00 (1)+ t_pratio 26.00 to 31.00 (6) 23586.34 mov_ave20 1.00 to 6.00 (1)+ t_pratio 26.00 to 31.00 (6) 23516.40 mov_ave20 1.00 to 6.00 (1)+ t_vratio 11.00 to 16.00 (3) 23503.42 ptotal 46.00 to 50.01 (10)+ stock_ind 46.00 to 50.01 (10) 23313.68 close-low 1.00 to 6.00 (1)+ mov_ave20 1.00 to 6.00 (1)

Losing Groups -9892.99 yeargain 11.00 to 16.00 (3)+ 1monthgain 26.00 to 31.00 (6) -9796.33 markcap_est 46.00 to 50.01 (10)+ t_pratio 46.00 to 50.01 (10) -9636.01 open-yclose 21.00 to 26.00 (5)+ break_ave 36.00 to 41.00 (8) -8635.95 markcap_est 46.00 to 50.01 (10)+ stock_ind 11.00 to 16.00 (3) -8624.60 markcap_est 46.00 to 50.01 (10)+ pkurt 36.00 to 41.00 (8) -8579.71 markcap_est 46.00 to 50.01 (10)+ big_vslice 46.00 to 50.01 (10) -8448.64 markcap_est 46.00 to 50.01 (10)+ vslice47 46.00 to 50.01 (10) -7923.45 recent_price 46.00 to 50.01 (10)+ 3monthgain 21.00 to 26.00 (5) -7888.96 pave 41.00 to 46.00 (9)+ pstdev 6.00 to 11.00 (2) -7645.81 markcap_est 46.00 to 50.01 (10)+ ptotal 31.00 to 36.00 (7)

Date(ymd): 021230 Average Gain: 6324.29 Group Stdev: 2257.30 Market Focus: 2.2+3.2 (0.00000, 0.00000) Market Focus5: 1.2+0.3 p = n = r = 1, period = 30

Top Gaining Groups 16273.21 momentum 1.00 to 3.00 (1) 15797.98 mov_ave20 1.00 to 3.00 (1) 15754.94 1monthgain 1.00 to 3.00 (1) 15152.94 mov_ave20 3.00 to 5.00 (2) 14108.80 yeargain 3.00 to 5.00 (2) 13995.34 recent_price 1.00 to 3.00 (1) 13972.38 gain1 1.00 to 3.00 (1) 13874.93 move_ave5 1.00 to 3.00 (1) 13500.42 high-close 49.00 to 50.01 (25) 13286.24 volume3_10 49.00 to 50.01 (25)

Losing Groups -5822.06 markcap_est 49.00 to 50.01 (25) -1945.01 markcap_est 47.00 to 49.00 (24) 40.34 mov_ave20 27.00 to 29.00 (14) 381.39 markcap_est 45.00 to 47.00 (23) 792.95 industry 38.08 to 44.04 (7) 930.87 yeargain 49.00 to 50.01 (25) 1006.03 break_ave 49.00 to 50.01 (25) 1013.88 volume3_10 15.00 to 17.00 (8) 1017.44 recent_price 47.00 to 49.00 (24) 1143.67 recent_price 49.00 to 50.01 (25)

Date(ymd): 021230 Average Gain: 6326.08 Group Stdev: 1868.51 Market Focus: 2.8+3.4 (0.00000, 0.00000) Market Focus5: 1.8+0.5 p = n = r = 1, period = 30

Top Gaining Groups 14279.42 mov_ave20 1.00 to 6.00 (1) 13369.61 momentum 1.00 to 6.00 (1) 13131.27 move_ave5 1.00 to 6.00 (1) 12606.03 1monthgain 1.00 to 6.00 (1) 12386.07 mov_ave100 1.00 to 6.00 (1) 12183.92 high-close 46.00 to 50.01 (10) 12075.57 recent_price 1.00 to 6.00 (1) 11519.58 yeargain 1.00 to 6.00 (1) 11178.29 gain1 1.00 to 6.00 (1) 11159.78 resist1 1.00 to 6.00 (1)

Losing Groups -3031.62 markcap_est 46.00 to 50.01 (10) 1097.74 recent_price 46.00 to 50.01 (10) 2317.86 break_ave 46.00 to 50.01 (10) 2422.87 markcap_est 41.00 to 46.00 (9) 2465.48 best_p 46.00 to 50.01 (10) 2688.20 vstdev 1.00 to 6.00 (1) 2726.97 recent_price 41.00 to 46.00 (9) 2827.26 close-low 16.00 to 21.00 (4) 2875.40 mov_ave100 46.00 to 50.01 (10) 2995.58 mov_ave20 31.00 to 36.00 (7)

Date(ymd): 021230 Average Gain: 190.65 Group Stdev: 130.53 Market Focus: 4.0+2.3 (0.00000, 0.00000) Market Focus5: 2.4+0.6 p = n = r = 1, period = 30

Top Gaining Groups 1270.66 best_p 26.00 to 31.00 (6)+ mov_ave20 1.00 to 6.00 (1) 1075.36 3monthgain 1.00 to 6.00 (1)+ inertia 46.00 to 50.01 (10) 1070.28 inertia 46.00 to 50.01 (10)+ mov_ave100 1.00 to 6.00 (1) 1065.89 close-low 1.00 to 6.00 (1)+ pstdev 46.00 to 50.01 (10) 1062.06 momentum 1.00 to 6.00 (1)+ pkurt 21.00 to 26.00 (5) 1039.94 close-low 1.00 to 6.00 (1)+ yeargain 1.00 to 6.00 (1) 1039.07 gain1 46.00 to 50.01 (10)+ mov_ave20 1.00 to 6.00 (1) 1012.33 mov_ave20 1.00 to 6.00 (1)+ t_vratio 11.00 to 16.00 (3) 1004.57 resist2 1.00 to 6.00 (1)+ inertia 46.00 to 50.01 (10) 996.47 mov_ave20 1.00 to 6.00 (1)+ vstock_ind 6.00 to 11.00 (2)

Losing Groups -503.02 gain4 46.00 to 50.01 (10)+ markcap_est 46.00 to 50.01 (10) -360.68 stdev 46.00 to 50.01 (10)+ markcap_est 46.00 to 50.01 (10) -317.75 momentum 46.00 to 50.01 (10)+ markcap_est 46.00 to 50.01 (10) -309.91 markcap_est 46.00 to 50.01 (10)+ mov_ave100 6.00 to 11.00 (2) -287.50 gain2 41.00 to 46.00 (9)+ markcap_est 46.00 to 50.01 (10) -270.97 markcap_est 46.00 to 50.01 (10)+ slice3 1.00 to 6.00 (1) -264.02 3monthgain 6.00 to 11.00 (2)+ markcap_est 46.00 to 50.01 (10) -258.56 markcap_est 46.00 to 50.01 (10)+ vslice47 46.00 to 50.01 (10) -241.80 markcap_est 46.00 to 50.01 (10)+ pkurt 36.00 to 41.00 (8) -236.53 markcap_est 46.00 to 50.01 (10)+ t_pratio 46.00 to 50.01 (10)

Date(ymd): 021230 Average Gain: 196.36 Group Stdev: 92.76 Market Focus: 4.4+2.5 (0.00000, 0.00000) Market Focus5: 3.4+0.3 p = n = r = 1, period = 30

Top Gaining Groups 768.75 1monthgain 1.00 to 3.00 (1) 763.57 mov_ave20 1.00 to 3.00 (1) 728.07 recent_price 1.00 to 3.00 (1) 716.59 momentum 1.00 to 3.00 (1) 680.07 resist3 1.00 to 3.00 (1) 647.06 mov_ave100 1.00 to 3.00 (1) 641.48 yeargain 1.00 to 3.00 (1) 611.81 yeargain 3.00 to 5.00 (2) 611.80 move_ave5 1.00 to 3.00 (1) 597.52 high-close 49.00 to 50.01 (25)

Losing Groups -177.45 markcap_est 49.00 to 50.01 (25) -23.10 markcap_est 47.00 to 49.00 (24) -19.19 recent_price 49.00 to 50.01 (25) 19.32 recent_price 43.00 to 45.00 (22) 21.01 markcap_est 45.00 to 47.00 (23) 21.44 recent_price 45.00 to 47.00 (23) 23.75 break_ave 49.00 to 50.01 (25) 24.82 vstdev 1.00 to 3.00 (1) 30.64 pstdev 1.00 to 3.00 (1) 30.66 recent_price 47.00 to 49.00 (24)

Date(ymd): 021230 Average Gain: 196.46 Group Stdev: 81.86 Market Focus: 3.9+2.3 (0.00000, 0.00000) Market Focus5: 3.1+0.7 p = n = r = 1, period = 30

Top Gaining Groups 607.07 mov_ave20 1.00 to 6.00 (1) 576.20 recent_price 1.00 to 6.00 (1) 559.86 momentum 1.00 to 6.00 (1) 553.78 1monthgain 1.00 to 6.00 (1) 542.32 move_ave5 1.00 to 6.00 (1) 537.43 mov_ave100 1.00 to 6.00 (1) 533.86 yeargain 1.00 to 6.00 (1) 505.36 3monthgain 1.00 to 6.00 (1) 489.10 high-close 46.00 to 50.01 (10) 473.10 vave 46.00 to 50.01 (10)

Losing Groups -74.95 markcap_est 46.00 to 50.01 (10) -0.64 recent_price 46.00 to 50.01 (10) 38.52 vstdev 1.00 to 6.00 (1) 50.46 stdev 1.00 to 6.00 (1) 51.19 recent_price 41.00 to 46.00 (9) 55.13 pstdev 1.00 to 6.00 (1) 67.89 break_ave 46.00 to 50.01 (10) 73.67 markcap_est 41.00 to 46.00 (9) 75.68 mov_ave20 31.00 to 36.00 (7) 90.74 1monthgain 26.00 to 31.00 (6)