The following tables show the results of searching for indicators that predict gains and losses in the first two weeks of quarters (beginning Jan 1, Apr 1, Jul 1, and Oct 1).  All data was ranked.

We find a number of the results to be interesting.  While the single best "buy at the beginning of the month, sell at the end" strategy is simply to buy cheap stocks, the best strategy in the tables below is to buy stocks that were burned in the closing days of the previous month.  Depending on exactly how you played it, you could have averaged better than 4% gains in these two week periods since 1993 simply by buying stocks that were beaten up at the end of the prior quarters.

We also find it interesting that semiconductors made it into the gains tables...they tend to do well at the beginning of quarters.  Conversely, oils are weak.  One might speculate that such an effect is due to "window dressing"...the more speculative positions are reacquired at the beginnings of quarters, and the conservative/defensive ones are dumped.  Not surprisingly, the opposite is true in the last two weeks of quarters...oils are strong, semiconductors are weak.

The tables were generated in February 2004.

 

Date(ymd): 930331 Average Gain: 338.02 Group Stdev: 729.73 Market Focus: 1.2+1.4 (0.6536, 2.33) Market Focus5: 1.1+0.6 p = n = r = 10, period = 180 Dual risk-adjusted data

Top Gaining Groups 3846.45 slice3 26.00 to 31.00 (6)+ move_ave5 1.00 to 6.00 (1) 3844.45 open-yclose 41.00 to 46.00 (9)+ move_ave5 1.00 to 6.00 (1) 3832.05 close-low 1.00 to 6.00 (1)+ slice3 6.00 to 11.00 (2) 3828.26 mov_ave20 1.00 to 6.00 (1)+ t_vratio 36.00 to 41.00 (8) 3786.21 gain1 1.00 to 6.00 (1)+ vslice97 46.00 to 50.01 (10) 3688.49 big_vslice 16.00 to 21.00 (4)+ move_ave5 1.00 to 6.00 (1) 3651.99 close-low 1.00 to 6.00 (1)+ t_vratio 41.00 to 46.00 (9) 3549.72 close-low 21.00 to 26.00 (5)+ move_ave5 1.00 to 6.00 (1) 3541.80 move_ave5 6.00 to 11.00 (2)+ ptot_neg 41.00 to 46.00 (9) 3501.12 gain1 1.00 to 6.00 (1)+ ptot_neg 41.00 to 46.00 (9)

Losing Groups -3462.65 industry 92.11 to 101.97 (10)+ mov_ave100 36.00 to 41.00 (8) -2986.55 prd_lastyear 31.00 to 36.00 (7)+ gain1 46.00 to 50.01 (10) -2974.17 recent_price 46.00 to 50.01 (10)+ mov_ave100 46.00 to 50.01 (10) -2922.87 close-low 46.00 to 50.01 (10)+ vtotal 11.00 to 16.00 (3) -2882.18 industry 92.11 to 101.97 (10)+ 1monthgain 36.00 to 41.00 (8) -2834.45 gain1 46.00 to 50.01 (10)+ vave 31.00 to 36.00 (7) -2805.80 industry 92.11 to 101.97 (10)+ mov_ave20 36.00 to 41.00 (8) -2771.43 1monthgain 36.00 to 41.00 (8)+ pave 11.00 to 16.00 (3) -2750.52 close-low 46.00 to 50.01 (10)+ markcap_est 31.00 to 36.00 (7) -2728.23 high-close 1.00 to 6.00 (1)+ 1monthgain 46.00 to 50.01 (10)

Date(ymd): 930331 Average Gain: 344.29 Group Stdev: 413.62 Market Focus: 2.6+1.8 (0.00000, 0.00000) Market Focus5: 1.7+0.6 p = n = r = 10, period = 180 Risk-adjusted data

Top Gaining Groups 2389.87 move_ave5 1.00 to 3.00 (1) 2099.41 industry 69.57 to 72.62 (16) 1995.93 momentum 1.00 to 3.00 (1) 1989.55 gain1 1.00 to 3.00 (1) 1986.92 mov_ave20 1.00 to 3.00 (1) 1936.00 high-close 47.00 to 49.00 (24) 1743.07 high-close 49.00 to 50.01 (25) 1726.62 move_ave5 5.00 to 7.00 (3) 1719.71 industry 65.25 to 66.88 (14) 1689.14 recent_price 1.00 to 3.00 (1)

Losing Groups -1344.95 close-low 49.00 to 50.01 (25) -1333.61 gain1 49.00 to 50.01 (25) -1252.07 move_ave5 49.00 to 50.01 (25) -1106.17 high-close 3.00 to 5.00 (2) -854.53 high-close 7.00 to 9.00 (4) -845.61 momentum 49.00 to 50.01 (25) -844.01 break_ave 45.00 to 47.00 (23) -822.28 industry 94.01 to 94.80 (24) -788.25 gain1 43.00 to 45.00 (22) -684.64 momentum 45.00 to 47.00 (23)

Date(ymd): 930331 Average Gain: 343.80 Group Stdev: 345.15 Market Focus: 2.8+2.1 (0.00000, 0.00000) Market Focus5: 1.9+1.3 p = n = r = 10, period = 180 Risk-adjusted data

Top Gaining Groups 1863.78 move_ave5 1.00 to 6.00 (1) 1828.44 gain1 1.00 to 6.00 (1) 1720.55 high-close 46.00 to 50.01 (10) 1650.68 mov_ave20 1.00 to 6.00 (1) 1560.09 momentum 1.00 to 6.00 (1) 1484.29 recent_price 1.00 to 6.00 (1) 1472.05 close-low 1.00 to 6.00 (1) 1285.88 high-close 41.00 to 46.00 (9) 1238.86 move_ave5 6.00 to 11.00 (2) 1236.49 1monthgain 1.00 to 6.00 (1)

Losing Groups -965.15 close-low 46.00 to 50.01 (10) -915.96 gain1 46.00 to 50.01 (10) -750.67 momentum 46.00 to 50.01 (10) -707.59 move_ave5 46.00 to 50.01 (10) -703.92 high-close 1.00 to 6.00 (1) -698.44 high-close 6.00 to 11.00 (2) -520.34 move_ave5 41.00 to 46.00 (9) -517.67 mov_ave20 46.00 to 50.01 (10) -463.01 1monthgain 46.00 to 50.01 (10) -456.82 break_ave 46.00 to 50.01 (10)

Date(ymd): 930331 Average Gain: 7.53 Group Stdev: 22.45 Market Focus: 2.9+2.7 (50.00, 0.9174) Market Focus5: 1.6+1.9 p = n = r = 10, period = 180 Dual data

Top Gaining Groups 165.62 industry 69.57 to 75.12 (7)+ ptotal 36.00 to 41.00 (8) 151.54 slice3 26.00 to 31.00 (6)+ move_ave5 1.00 to 6.00 (1) 141.75 pstdev 46.00 to 50.01 (10)+ pskew 16.00 to 21.00 (4) 139.01 vave 46.00 to 50.01 (10)+ move_ave5 1.00 to 6.00 (1) 136.30 close-low 21.00 to 26.00 (5)+ move_ave5 1.00 to 6.00 (1) 134.16 industry 69.57 to 75.12 (7)+ mov_ave100 31.00 to 36.00 (7) 133.73 high-close 46.00 to 50.01 (10)+ close-low 21.00 to 26.00 (5) 132.48 momentum 1.00 to 6.00 (1)+ t_vratio 41.00 to 46.00 (9) 131.94 gain1 1.00 to 6.00 (1)+ vtotal 46.00 to 50.01 (10) 130.86 high-close 36.00 to 41.00 (8)+ industry 69.57 to 75.12 (7)

Losing Groups -132.91 close-low 46.00 to 50.01 (10)+ break_ave 46.00 to 50.01 (10) -128.55 slice97 1.00 to 6.00 (1)+ vave 1.00 to 6.00 (1) -122.57 close-low 46.00 to 50.01 (10)+ t_vratio 6.00 to 11.00 (2) -117.63 recent_price 46.00 to 50.01 (10)+ mov_ave100 46.00 to 50.01 (10) -114.93 close-low 46.00 to 50.01 (10)+ ptotal 26.00 to 31.00 (6) -110.61 gain1 46.00 to 50.01 (10)+ slice3 46.00 to 50.01 (10) -110.03 close-low 46.00 to 50.01 (10)+ open-yclose 31.00 to 36.00 (7) -109.19 break_ave 46.00 to 50.01 (10)+ ptot_neg 46.00 to 50.01 (10) -108.32 slice97 1.00 to 6.00 (1)+ vtotal 1.00 to 6.00 (1) -108.04 close-low 46.00 to 50.01 (10)+ markcap_est 31.00 to 36.00 (7)

Date(ymd): 930331 Average Gain: 7.96 Group Stdev: 13.49 Market Focus: 4.8+2.6 (0.00000, 0.00000) Market Focus5: 2.6+0.7 p = n = r = 10, period = 180

Top Gaining Groups 103.10 move_ave5 1.00 to 3.00 (1) 91.51 industry 69.57 to 72.62 (16) 84.05 momentum 1.00 to 3.00 (1) 74.10 gain1 1.00 to 3.00 (1) 72.88 mov_ave20 1.00 to 3.00 (1) 71.10 high-close 49.00 to 50.01 (25) 66.94 recent_price 1.00 to 3.00 (1) 64.14 high-close 47.00 to 49.00 (24) 58.68 gain1 3.00 to 5.00 (2) 58.42 mov_ave100 1.00 to 3.00 (1)

Losing Groups -57.36 close-low 49.00 to 50.01 (25) -55.46 gain1 49.00 to 50.01 (25) -48.22 move_ave5 49.00 to 50.01 (25) -34.53 high-close 3.00 to 5.00 (2) -31.12 momentum 49.00 to 50.01 (25) -28.84 high-close 7.00 to 9.00 (4) -25.30 high-close 5.00 to 7.00 (3) -24.94 industry 9.76 to 11.83 (2) -24.12 gain1 43.00 to 45.00 (22) -22.26 break_ave 45.00 to 47.00 (23)

Date(ymd): 930331 Average Gain: 7.96 Group Stdev: 11.30 Market Focus: 3.6+2.4 (0.00000, 0.00000) Market Focus5: 2.8+1.4 p = n = r = 10, period = 180

Top Gaining Groups 64.68 move_ave5 1.00 to 6.00 (1) 63.42 high-close 46.00 to 50.01 (10) 62.30 gain1 1.00 to 6.00 (1) 56.97 momentum 1.00 to 6.00 (1) 55.80 recent_price 1.00 to 6.00 (1) 52.21 industry 69.57 to 75.12 (7) 51.44 mov_ave20 1.00 to 6.00 (1) 39.59 high-close 41.00 to 46.00 (9) 38.97 pstdev 46.00 to 50.01 (10) 38.63 1monthgain 1.00 to 6.00 (1)

Losing Groups -36.84 close-low 46.00 to 50.01 (10) -30.78 gain1 46.00 to 50.01 (10) -26.21 high-close 6.00 to 11.00 (2) -25.66 move_ave5 46.00 to 50.01 (10) -25.30 high-close 1.00 to 6.00 (1) -23.97 momentum 46.00 to 50.01 (10) -21.51 break_ave 46.00 to 50.01 (10) -15.95 move_ave5 41.00 to 46.00 (9) -14.74 gain1 41.00 to 46.00 (9) -12.36 industry 1.11 to 17.10 (1)

Copyright © 2008 MarketSynopsis.com. All rights reserved.