The following tables detail the results of scouring 30,000 lines of data (about 10 years of results) for the best all-season strategies for a five day gain, short or long.  The data was ranked (see our presentation page for an explanation of the logic here) on a scale of 1-50).

Several interesting patterns emerge here.  For one, our software identified a couple of industry-specific trends.  Combining biotech stocks with a high "slice47" value resulted in gains of better than 4% per week, with strong significance.  Also, on a risk-adjusted basis, financial stocks seem to have a strong  tendency to bounce back following large single day losses.

As is often the case, the data says "skillful bottom fishing can pay off"...stocks with low 100 day moving averages, low momentum values, etc., seem to fare well.  In general, stocks that trade well below major resistance levels (as identified by our software) tend to bounce back, though it does seem that there are also ways to short such stocks.

Note that one chart below offers "threefold" data...we combined three indicators in search of significant patterns.  Not surprisingly (to us, at least), statistical significance was lost in the process, leading us to conclude (again) that approaches that attempt to combine large numbers of indicators ( like neural nets and genetic algorithms) may be lacking.

If investing real money, it would probably be best to ignore the proprietary indicators, since they were "tuned" for five-day data, as opposed to one day, 20 day, or 60 day data that we post on our site.  If you want current five day data with the proprietary indicators below, contact us.

 

Date(ymd): 030821 Average Gain: 531.20 Group Stdev: 836.17 Market Focus: 0.8+-0.0 (19.67, 50.54) Market Focus5: 0.2+-0.6 p = n = r = 1, period = 30 Dual risk-adjusted data

Top Gaining Groups 4787.87 volume10_60 47.01 to 50.01 (10)+ pskew 12.00 to 17.00 (3) 4543.67 stdev 1.00 to 6.01 (1)+ resist2 6.01 to 12.00 (2) 4405.59 resist1 6.01 to 12.00 (2)+ volume10_60 47.01 to 50.01 (10) 4265.72 volume10_60 11.01 to 16.01 (3)+ move_ave5 1.00 to 6.01 (1) 4231.87 volume3_10 22.00 to 27.00 (5)+ break_ave 12.00 to 17.00 (3) 4202.06 close-low 1.00 to 6.01 (1)+ vslice97 32.00 to 37.01 (7) 4196.13 volume10_60 47.01 to 50.01 (10)+ pstdev 27.00 to 32.00 (6) 4059.69 pstdev 27.00 to 32.00 (6)+ pskew 12.00 to 17.00 (3) 4055.32 slice47 27.00 to 32.01 (6)+ move_ave5 37.00 to 42.00 (8) 4035.57 gain1 1.00 to 6.01 (1)+ gain2 6.01 to 11.01 (2)

Losing Groups -3107.66 high-close 11.01 to 16.01 (3)+ pkurt 17.00 to 22.00 (4) -2975.01 high-close 11.01 to 16.01 (3)+ ptot_neg 11.01 to 17.00 (3) -2755.62 recent_price 17.00 to 22.00 (4)+ move_ave5 47.01 to 50.01 (10) -2747.44 recent_price 17.00 to 22.00 (4)+ close-low 47.01 to 50.01 (10) -2660.57 high-close 1.00 to 6.01 (1)+ stock_ind 32.00 to 37.00 (7) -2562.40 vave 32.00 to 37.01 (7)+ t_pratio 27.00 to 32.00 (6) -2561.10 volume3_10 37.01 to 42.01 (8)+ vstdev 37.01 to 42.01 (8) -2483.27 gain2 22.00 to 27.00 (5)+ pkurt 17.00 to 22.00 (4) -2450.85 1monthgain 11.01 to 17.00 (3)+ stock_ind 32.00 to 37.00 (7) -2447.57 3monthgain 27.00 to 32.00 (6)+ vstock_ind 11.01 to 16.01 (3)

Date(ymd): 030821 Average Gain: 531.90 Group Stdev: 469.02 Market Focus: 0.7+0.9 (28.05, 13.28) Market Focus5: 0.3+0.4 p = n = r = 1, period = 30 Dual risk-adjusted data

Top Gaining Groups 2617.28 industry 87.55 to 101.98 (5)+ gain1 1.00 to 11.01 (1) 2512.50 high-close 42.00 to 50.01 (5)+ markcap_est 1.00 to 11.01 (1) 2456.01 close-low 1.00 to 11.01 (1)+ resist2 1.00 to 12.00 (1) 2450.92 1monthgain 1.00 to 11.01 (1)+ markcap_est 1.00 to 11.01 (1) 2435.39 high-close 42.00 to 50.01 (5)+ volume3_10 22.00 to 32.00 (3) 2415.40 open-yclose 42.01 to 50.01 (5)+ move_ave5 1.00 to 11.01 (1) 2325.08 high-close 42.00 to 50.01 (5)+ open-yclose 12.00 to 22.00 (2) 2309.16 volume10_60 42.01 to 50.01 (5)+ pskew 12.00 to 22.00 (2) 2308.53 close-low 1.00 to 11.01 (1)+ slice47 42.01 to 50.01 (5) 2296.83 3monthgain 1.00 to 12.00 (1)+ vstdev 42.01 to 50.01 (5)

Losing Groups -1400.51 best_p 42.01 to 50.01 (5)+ markcap_est 42.00 to 50.01 (5) -1350.91 close-low 42.01 to 50.01 (5)+ stdev 22.00 to 32.00 (3) -1335.47 industry 87.55 to 101.98 (5)+ break_ave 42.01 to 50.01 (5) -1191.25 best_p 42.01 to 50.01 (5)+ recent_price 42.00 to 50.01 (5) -1171.82 close-low 42.01 to 50.01 (5)+ resist2 22.00 to 32.01 (3) -1157.01 open-yclose 22.00 to 32.01 (3)+ resist3 32.00 to 42.01 (4) -1140.51 recent_price 42.00 to 50.01 (5)+ gain2 42.00 to 50.01 (5) -1089.18 close-low 42.01 to 50.01 (5)+ open-yclose 22.00 to 32.01 (3) -1080.34 open-yclose 1.00 to 12.00 (1)+ momentum 42.00 to 50.01 (5) -1059.20 close-low 42.01 to 50.01 (5)+ volume10_60 1.00 to 11.01 (1)

Date(ymd): 030821 Average Gain: 534.95 Group Stdev: 438.94 Revised h/l prob: 7.41, 20.95 Market Focus: 0.6+0.3 (31.08, 42.40) Market Focus5: 0.0+-0.3 p = n = r = 1, period = 30 Risk-adjusted data

Top Gaining Groups 2056.77 high-close 48.01 to 50.00 (24) 2009.93 recent_price 3.01 to 5.01 (2) 1859.00 mov_ave100 1.00 to 3.01 (1) 1852.66 high-close 50.00 to 50.01 (25) 1830.98 close-low 1.00 to 3.01 (1) 1811.00 high-close 40.00 to 42.00 (20) 1802.57 gain2 19.01 to 22.00 (10) 1802.07 mov_ave100 7.01 to 9.01 (4) 1783.28 gain1 1.00 to 3.01 (1) 1772.02 yeargain 1.00 to 3.01 (1)

Losing Groups -914.39 momentum 50.00 to 50.01 (25) -904.28 high-close 1.00 to 3.01 (1) -689.46 move_ave5 50.00 to 50.01 (25) -653.53 mov_ave20 50.00 to 50.01 (25) -650.52 resist2 34.00 to 36.00 (17) -581.26 volume10_60 17.01 to 19.01 (9) -523.66 volume3_10 24.00 to 25.01 (12) -514.79 recent_price 46.01 to 48.01 (23) -492.55 resist3 38.00 to 40.00 (19) -491.79 gain1 46.01 to 48.01 (23)

Date(ymd): 030821 Average Gain: 534.74 Group Stdev: 309.04 Revised h/l prob: 0.0, 11.19 Market Focus: 1.9+0.7 (0.0565, 35.76) Market Focus5: 0.5+0.0 p = n = r = 1, period = 30 Risk-adjusted data

Top Gaining Groups 1901.00 high-close 47.01 to 50.01 (10) 1612.34 move_ave5 1.00 to 6.01 (1) 1493.68 volume10_60 47.01 to 50.01 (10) 1476.74 recent_price 1.00 to 6.01 (1) 1472.44 close-low 1.00 to 6.01 (1) 1465.67 gain1 1.00 to 6.01 (1) 1459.38 mov_ave20 1.00 to 6.01 (1) 1386.53 1monthgain 1.00 to 6.01 (1) 1353.42 pave 1.00 to 6.01 (1) 1321.53 resist2 1.00 to 6.01 (1)

Losing Groups -370.53 high-close 1.00 to 6.01 (1) -227.96 momentum 47.01 to 50.01 (10) -222.65 mov_ave20 47.01 to 50.01 (10) -172.62 resist2 32.01 to 37.01 (7) -171.20 recent_price 42.00 to 47.01 (9) -88.46 break_ave 47.01 to 50.01 (10) -68.01 gain4 42.01 to 47.01 (9) -62.99 high-close 11.01 to 16.01 (3) -60.57 gain2 37.00 to 42.00 (8) -60.04 break_ave 42.01 to 47.01 (9)

Date(ymd): 030821 Average Gain: 14.82 Group Stdev: 29.19 Market Focus: 1.5+0.3 (0.0546, 42.56) Market Focus5: 1.2+0.0 p = n = r = 1, period = 30 Threefold data

Top Gaining Groups 213.63 stdev 42.01 to 50.01 (5)+ vslice3 32.00 to 42.01 (4)+ break_ave 12.00 to 22.00 (2) 209.82 momentum 1.00 to 11.01 (1)+ vskew 1.00 to 11.01 (1)+ t_vratio 11.01 to 22.00 (2) 209.44 industry 60.83 to 72.01 (3)+ pkurt 1.00 to 12.00 (1)+ mov_ave20 1.00 to 11.01 (1) 209.08 momentum 1.00 to 11.01 (1)+ big_vslice 22.00 to 32.00 (3)+ vskew 1.00 to 11.01 (1) 205.28 momentum 1.00 to 11.01 (1)+ vslice3 22.00 to 32.00 (3)+ vskew 1.00 to 11.01 (1) 204.98 high-close 42.00 to 50.01 (5)+ big_vslice 11.01 to 22.00 (2)+ pkurt 1.00 to 12.00 (1) 202.72 high-close 42.00 to 50.01 (5)+ markcap_est 1.00 to 11.01 (1)+ pstdev 42.01 to 50.01 (5) 200.93 1monthgain 1.00 to 11.01 (1)+ gain2 1.00 to 11.01 (1)+ resist1 32.00 to 42.01 (4) 196.56 high-close 42.00 to 50.01 (5)+ markcap_est 32.00 to 42.00 (4)+ vkurt 32.00 to 42.01 (4) 194.25 vskew 1.00 to 11.01 (1)+ move_ave5 1.00 to 11.01 (1)+ t_vratio 11.01 to 22.00 (2)

Losing Groups -137.86 close-low 42.01 to 50.01 (5)+ volume3_10 22.00 to 32.00 (3)+ t_vratio 1.00 to 11.01 (1) -136.91 resist1 42.01 to 50.01 (5)+ slice3 11.01 to 22.00 (2)+ pkurt 22.00 to 32.00 (3) -133.40 markcap_est 42.00 to 50.01 (5)+ vslice47 1.00 to 11.01 (1)+ move_ave5 42.00 to 50.01 (5) -131.90 high-close 1.00 to 11.01 (1)+ gain3 1.00 to 11.01 (1)+ t_vratio 42.01 to 50.01 (5) -131.28 high-close 11.01 to 21.01 (2)+ stdev 32.00 to 42.01 (4)+ gain3 32.00 to 42.01 (4) -129.63 stdev 42.01 to 50.01 (5)+ volume10_60 21.01 to 32.00 (3)+ vkurt 32.00 to 42.01 (4) -128.17 momentum 42.00 to 50.01 (5)+ vslice97 32.00 to 42.01 (4)+ vstock_ind 32.01 to 42.01 (4) -128.16 recent_price 22.00 to 32.00 (3)+ industry 72.01 to 87.55 (4)+ slice97 11.01 to 22.00 (2) -127.29 recent_price 42.00 to 50.01 (5)+ gain4 42.01 to 50.01 (5)+ pkurt 22.00 to 32.00 (3) -125.72 close-low 42.01 to 50.01 (5)+ vave 11.01 to 22.00 (2)+ vstdev 22.00 to 32.00 (3)

Date(ymd): 030821 Average Gain: 15.03 Group Stdev: 26.18 Market Focus: 2.6+0.6 (0.00485, 33.77) Market Focus5: 0.7+-0.0 p = n = r = 1, period = 30 Dual data

Top Gaining Groups 204.46 industry 60.83 to 64.89 (5)+ slice47 42.01 to 47.01 (9) 175.90 recent_price 1.00 to 6.01 (1)+ volume1_3 32.00 to 37.00 (7) 163.67 vskew 1.00 to 6.01 (1)+ move_ave5 1.00 to 6.01 (1) 157.42 recent_price 1.00 to 6.01 (1)+ close-low 6.01 to 11.01 (2) 156.71 recent_price 1.00 to 6.01 (1)+ stock_ind 11.01 to 16.01 (3) 155.87 stdev 47.01 to 50.01 (10)+ ptot_neg 37.00 to 42.01 (8) 155.17 resist2 1.00 to 6.01 (1)+ pkurt 42.00 to 47.01 (9) 153.57 recent_price 1.00 to 6.01 (1)+ vskew 1.00 to 6.01 (1) 151.72 stdev 47.01 to 50.01 (10)+ vave 22.00 to 27.00 (5) 151.63 markcap_est 1.00 to 6.01 (1)+ move_ave5 1.00 to 6.01 (1)

Losing Groups -110.57 high-close 1.00 to 6.01 (1)+ resist3 1.00 to 6.01 (1) -102.69 resist1 47.01 to 50.01 (10)+ t_pratio 27.00 to 32.00 (6) -95.29 close-low 47.01 to 50.01 (10)+ volume10_60 1.00 to 6.01 (1) -94.83 recent_price 17.00 to 22.00 (4)+ close-low 47.01 to 50.01 (10) -94.52 close-low 47.01 to 50.01 (10)+ pskew 32.00 to 37.00 (7) -93.01 inertia 6.01 to 11.01 (2)+ move_ave5 47.01 to 50.01 (10) -92.24 industry 72.01 to 76.07 (7)+ t_pratio 42.01 to 47.01 (9) -91.73 recent_price 17.00 to 22.00 (4)+ move_ave5 47.01 to 50.01 (10) -84.91 vkurt 32.00 to 37.01 (7)+ mov_ave100 47.01 to 50.01 (10) -84.72 slice3 11.01 to 17.00 (3)+ mov_ave100 47.01 to 50.01 (10)

Date(ymd): 030821 Average Gain: 15.17 Group Stdev: 15.60 Market Focus: 1.7+0.6 (0.0989, 29.06) Market Focus5: 1.1+0.1 p = n = r = 1, period = 30 Dual data

Top Gaining Groups 95.19 high-close 42.00 to 50.01 (5)+ markcap_est 1.00 to 11.01 (1) 88.44 recent_price 1.00 to 12.00 (1)+ volume10_60 42.00 to 50.01 (5) 88.36 1monthgain 1.00 to 11.01 (1)+ markcap_est 1.00 to 11.01 (1) 87.51 high-close 42.00 to 50.01 (5)+ inertia 11.01 to 22.00 (2) 85.81 high-close 42.00 to 50.01 (5)+ volume3_10 22.00 to 32.00 (3) 85.66 open-yclose 42.01 to 50.01 (5)+ move_ave5 1.00 to 11.01 (1) 84.77 gain1 1.00 to 11.01 (1)+ volume10_60 42.00 to 50.01 (5) 81.15 markcap_est 1.00 to 11.01 (1)+ mov_ave20 1.00 to 11.01 (1) 80.90 close-low 1.00 to 11.01 (1)+ resist2 1.00 to 12.00 (1) 79.88 high-close 42.00 to 50.01 (5)+ slice3 22.00 to 32.00 (3)

Losing Groups -44.46 volume10_60 11.01 to 21.01 (2)+ move_ave5 42.00 to 50.01 (5) -42.86 recent_price 42.00 to 50.01 (5)+ gain2 42.00 to 50.01 (5) -41.21 momentum 42.00 to 50.01 (5)+ volume10_60 11.01 to 21.01 (2) -37.16 close-low 42.01 to 50.01 (5)+ volume10_60 1.00 to 11.01 (1) -36.29 close-low 42.01 to 50.01 (5)+ resist2 22.00 to 32.01 (3) -35.06 open-yclose 1.00 to 12.00 (1)+ momentum 42.00 to 50.01 (5) -34.91 close-low 42.01 to 50.01 (5)+ stdev 22.00 to 32.00 (3) -34.84 close-low 42.01 to 50.01 (5)+ open-yclose 22.00 to 32.01 (3) -34.63 vslice47 1.00 to 11.01 (1)+ move_ave5 42.00 to 50.01 (5) -33.40 close-low 42.01 to 50.01 (5)+ 1monthgain 11.01 to 22.00 (2)

Date(ymd): 030821 Average Gain: 15.49 Group Stdev: 14.73 Revised h/l prob: 0.0, 10.31 Market Focus: 2.8+0.4 (0.00096, 41.04) Market Focus5: 2.3+-0.3 p = n = r = 1, period = 30

Top Gaining Groups 94.77 mov_ave100 1.00 to 3.01 (1) 91.49 3monthgain 1.00 to 3.01 (1) 87.39 1monthgain 1.00 to 3.01 (1) 86.57 yeargain 1.00 to 3.01 (1) 86.52 recent_price 3.01 to 5.01 (2) 78.79 gain1 1.00 to 3.01 (1) 78.03 resist1 1.00 to 3.01 (1) 75.56 high-close 50.00 to 50.01 (25) 74.40 recent_price 1.00 to 3.01 (1) 73.06 high-close 48.01 to 50.00 (24)

Losing Groups -30.83 momentum 50.00 to 50.01 (25) -29.20 mov_ave20 50.00 to 50.01 (25) -24.79 move_ave5 50.00 to 50.01 (25) -22.72 high-close 1.00 to 3.01 (1) -21.38 volume10_60 17.01 to 19.01 (9) -16.90 high-close 3.01 to 5.01 (2) -15.74 best_p 30.00 to 32.00 (15) -15.34 mov_ave20 22.00 to 24.00 (11) -15.13 mov_ave20 16.00 to 18.00 (8) -14.40 open-yclose 26.00 to 28.01 (13)

Date(ymd): 030821 Average Gain: 15.49 Group Stdev: 11.08 Revised h/l prob: 0.0, 5.12 Market Focus: 2.9+0.7 (0.00089, 35.03) Market Focus5: 1.5+0.2 p = n = r = 1, period = 30

Top Gaining Groups 71.52 high-close 47.01 to 50.01 (10) 68.84 recent_price 1.00 to 6.01 (1) 64.63 move_ave5 1.00 to 6.01 (1) 56.87 mov_ave20 1.00 to 6.01 (1) 56.40 3monthgain 1.00 to 6.01 (1) 55.78 mov_ave100 1.00 to 6.01 (1) 54.55 gain1 1.00 to 6.01 (1) 54.40 1monthgain 1.00 to 6.01 (1) 51.36 resist2 1.00 to 6.01 (1) 48.76 momentum 1.00 to 6.01 (1)

Losing Groups -13.23 high-close 1.00 to 6.01 (1) -10.86 recent_price 42.00 to 47.01 (9) -8.70 momentum 47.01 to 50.01 (10) -8.54 mov_ave20 47.01 to 50.01 (10) -7.10 move_ave5 47.01 to 50.01 (10) -6.30 resist2 32.01 to 37.01 (7) -5.14 gain1 22.00 to 27.00 (5) -4.64 open-yclose 22.00 to 27.00 (5) -3.97 high-close 11.01 to 16.01 (3) -3.90 yeargain 12.00 to 17.00 (3)

Copyright © 2008 MarketSynopsis.com. All rights reserved.