The following tables show the best predictors of gains and losses in the final two weeks of a quarter, using data for the second half of December, March, June, and September from 1993 to December of 2003.

The results are interesting:  yearlong gainers and stocks trading well over their prevalent resistance levels are favored...these indicators certainly aren't the best "all purpose" indicators for continued gains, but they make a nice showing at the end of quarters.  Stocks that fared well in the same period last year tend to fare well yet again.  Stocks whose average 10 day volume significantly exceeds the average 60 day volume do well (this is our single favorite indicator...the indicator fares nicely after risk-adjustment as well).  Biotechs are strong.

On a risk-adjusted basis, oils do well, particularly those with increasing volume.

On the short side, nothing amazing emerges.  One would best avoid materials processers (paper, food, wood, etc.).  Semiconductors are weak.

On both the long and short side, our proprietary indicators are also heavily represented...don't ignore them.

 

Date(ymd): 930315 Average Gain: 660.39 Group Stdev: 616.06 Market Focus: 1.0+0.3 (0.00000, 11.56) Market Focus5: 0.5+-0.2 p = n = r = 10, period = 180

Top Gaining Groups 3767.47 pstdev 1.00 to 6.00 (1)+ ptotal 41.00 to 46.00 (9) 3501.65 stdev 1.00 to 6.00 (1)+ ptotal 41.00 to 46.00 (9) 3428.69 industry 1.03 to 17.25 (1)+ volume10_60 46.00 to 50.01 (10) 3417.73 gain1 31.00 to 36.00 (7)+ t_vratio 46.00 to 50.01 (10) 3409.46 best_p 46.00 to 50.01 (10)+ t_vratio 46.00 to 50.01 (10) 3365.85 stdev 1.00 to 6.00 (1)+ t_vratio 46.00 to 50.01 (10) 3278.77 big_pslice 46.00 to 50.01 (10)+ vkurt 1.00 to 6.00 (1) 3273.92 open-yclose 26.00 to 31.00 (6)+ mov_ave20 1.00 to 6.00 (1) 3227.22 markcap_est 26.00 to 31.00 (6)+ vave 1.00 to 6.00 (1) 3169.78 3monthgain 16.00 to 21.00 (4)+ big_pslice 46.00 to 50.01 (10)

Losing Groups -2090.48 pave 1.00 to 6.00 (1)+ t_pratio 6.00 to 11.00 (2) -2000.42 t_pratio 6.00 to 11.00 (2)+ ptot_neg 46.00 to 50.01 (10) -1822.85 high-close 6.00 to 11.00 (2)+ vstdev 36.00 to 41.00 (8) -1767.62 recent_price 46.00 to 50.01 (10)+ 3monthgain 11.00 to 16.00 (3) -1726.57 recent_price 46.00 to 50.01 (10)+ t_vratio 1.00 to 6.00 (1) -1697.89 resist1 11.00 to 16.00 (3)+ volume10_60 16.00 to 21.00 (4) -1684.55 gain4 31.00 to 36.00 (7)+ t_vratio 6.00 to 11.00 (2) -1675.65 prd_lastyear 1.00 to 6.00 (1)+ vstock_ind 46.00 to 50.01 (10) -1665.83 break_ave 46.00 to 50.01 (10)+ t_vratio 1.00 to 6.00 (1) -1643.92 gain1 6.00 to 11.00 (2)+ mov_ave20 31.00 to 36.00 (7)

Date(ymd): 930315 Average Gain: 660.27 Group Stdev: 316.29 Revised h/l prob: 1.51, 9.67 Market Focus: 0.9+0.6 (1.03, 8.07) Market Focus5: -0.2+-0.2 p = n = r = 10, period = 180

Top Gaining Groups 1872.72 volume10_60 49.00 to 50.01 (25) 1712.53 gain4 29.00 to 31.00 (15) 1683.02 big_pslice 47.00 to 49.00 (24) 1549.65 mov_ave20 3.00 to 5.00 (2) 1526.36 slice3 23.00 to 25.00 (12) 1511.04 gain4 3.00 to 5.00 (2) 1510.38 yeargain 49.00 to 50.01 (25) 1500.24 t_vratio 49.00 to 50.01 (25) 1468.45 gain2 21.00 to 23.00 (11) 1448.09 big_vslice 45.00 to 47.00 (23)

Losing Groups -380.35 big_pslice 11.00 to 13.00 (6) -263.78 gain4 47.00 to 49.00 (24) -208.48 slice97 11.00 to 13.00 (6) -188.39 gain4 37.00 to 39.00 (19) -148.93 yeargain 1.00 to 3.00 (1) -146.50 close-low 49.00 to 50.01 (25) -119.70 industry 38.33 to 44.15 (7) -57.31 markcap_est 49.00 to 50.01 (25) -44.35 t_vratio 3.00 to 5.00 (2) -42.69 gain1 47.00 to 49.00 (24)

Date(ymd): 930315 Average Gain: 660.94 Group Stdev: 231.26 Revised h/l prob: 0.0, 9.76 Market Focus: 1.4+0.4 (0.0363, 14.17) Market Focus5: 0.1+-0.1 p = n = r = 10, period = 180

Top Gaining Groups 1509.98 big_pslice 46.00 to 50.01 (10) 1466.33 volume10_60 46.00 to 50.01 (10) 1425.10 t_vratio 46.00 to 50.01 (10) 1223.54 ptotal 41.00 to 46.00 (9) 1202.72 close-low 1.00 to 6.00 (1) 1202.43 industry 92.28 to 101.98 (10) 1199.18 momentum 6.00 to 11.00 (2) 1194.36 mov_ave20 1.00 to 6.00 (1) 1174.91 ptotal 46.00 to 50.01 (10) 1171.41 vave 1.00 to 6.00 (1)

Losing Groups 36.57 gain4 46.00 to 50.01 (10) 37.36 industry 32.35 to 46.10 (3) 72.03 markcap_est 46.00 to 50.01 (10) 108.62 big_pslice 16.00 to 21.00 (4) 144.03 slice97 1.00 to 6.00 (1) 147.66 big_vslice 31.00 to 36.00 (7) 150.29 industry 70.71 to 75.45 (7) 164.67 recent_price 46.00 to 50.01 (10) 173.89 t_vratio 1.00 to 6.00 (1) 177.67 gain1 46.00 to 50.01 (10)

Date(ymd): 930315 Average Gain: 17.18 Group Stdev: 17.58 Market Focus: 2.1+0.8 (2.33, 1.67) Market Focus5: 1.5+0.4 p = n = r = 10, period = 180

Top Gaining Groups 129.27 high-close 46.00 to 50.01 (10)+ pave 21.00 to 26.00 (5) 123.62 resist1 1.00 to 6.00 (1)+ pkurt 26.00 to 31.00 (6) 121.06 stdev 46.00 to 50.01 (10)+ stock_ind 6.00 to 11.00 (2) 120.29 open-yclose 26.00 to 31.00 (6)+ mov_ave20 1.00 to 6.00 (1) 119.77 stdev 46.00 to 50.01 (10)+ big_pslice 46.00 to 50.01 (10) 116.04 big_pslice 46.00 to 50.01 (10)+ mov_ave20 46.00 to 50.01 (10) 114.34 markcap_est 26.00 to 31.00 (6)+ vave 1.00 to 6.00 (1) 113.83 gain1 1.00 to 6.00 (1)+ t_vratio 46.00 to 50.01 (10) 113.79 big_pslice 46.00 to 50.01 (10)+ vstdev 46.00 to 50.01 (10) 111.78 momentum 1.00 to 6.00 (1)+ t_vratio 46.00 to 50.01 (10)

Losing Groups -71.39 best_p 21.00 to 26.00 (5)+ ptotal 1.00 to 6.00 (1) -70.74 t_pratio 6.00 to 11.00 (2)+ ptot_neg 46.00 to 50.01 (10) -69.72 pave 1.00 to 6.00 (1)+ t_pratio 6.00 to 11.00 (2) -66.52 stdev 46.00 to 50.01 (10)+ slice97 1.00 to 6.00 (1) -63.59 vstdev 46.00 to 50.01 (10)+ vkurt 36.00 to 41.00 (8) -63.07 stdev 46.00 to 50.01 (10)+ break_ave 26.00 to 31.00 (6) -62.73 high-close 6.00 to 11.00 (2)+ vstdev 36.00 to 41.00 (8) -62.57 close-low 46.00 to 50.01 (10)+ volume3_10 11.00 to 16.00 (3) -61.43 recent_price 1.00 to 6.00 (1)+ slice97 1.00 to 6.00 (1) -60.01 stdev 41.00 to 46.00 (9)+ ptotal 21.00 to 26.00 (5)

Date(ymd): 930315 Average Gain: 17.33 Group Stdev: 9.27 Revised h/l prob: 0.0, 27.13 Market Focus: 1.7+0.4 (0.00000, 14.13) Market Focus5: 0.5+0.0 p = n = r = 10, period = 180

Top Gaining Groups 59.35 volume10_60 49.00 to 50.01 (25) 53.71 industry 58.87 to 61.57 (11) 51.20 resist1 49.00 to 50.01 (25) 50.77 yeargain 49.00 to 50.01 (25) 48.74 resist3 47.00 to 49.00 (24) 48.44 prd_lastyear 49.00 to 50.01 (25) 46.52 high-close 49.00 to 50.01 (25) 46.28 vave 1.00 to 3.00 (1) 45.19 gain1 1.00 to 3.00 (1) 45.12 vtotal 49.00 to 50.01 (25)

Losing Groups -9.80 big_pslice 11.00 to 13.00 (6) -9.12 slice97 3.00 to 5.00 (2) -8.92 ptotal 1.00 to 3.00 (1) -7.01 t_vratio 3.00 to 5.00 (2) -6.03 close-low 49.00 to 50.01 (25) -5.87 yeargain 1.00 to 3.00 (1) -5.31 gain4 47.00 to 49.00 (24) -4.41 volume10_60 39.00 to 41.00 (20) -3.08 pave 1.00 to 3.00 (1) -2.87 3monthgain 9.00 to 11.00 (5)

Date(ymd): 930315 Average Gain: 17.36 Group Stdev: 6.96 Revised h/l prob: 0.0, 2.78 Market Focus: 1.9+0.8 (0.00000, 1.18) Market Focus5: 1.3+-0.0 p = n = r = 10, period = 180

Top Gaining Groups 44.00 resist1 46.00 to 50.01 (10) 41.32 big_pslice 46.00 to 50.01 (10) 41.22 vave 1.00 to 6.00 (1) 39.78 yeargain 46.00 to 50.01 (10) 39.28 resist2 46.00 to 50.01 (10) 38.77 vtotal 46.00 to 50.01 (10) 38.51 mov_ave20 1.00 to 6.00 (1) 38.12 momentum 1.00 to 6.00 (1) 37.98 volume10_60 46.00 to 50.01 (10) 37.27 ptotal 46.00 to 50.01 (10)

Losing Groups -1.92 slice97 1.00 to 6.00 (1) -0.45 big_vslice 31.00 to 36.00 (7) 2.46 t_vratio 1.00 to 6.00 (1) 2.87 gain4 46.00 to 50.01 (10) 3.64 ptotal 1.00 to 6.00 (1) 3.91 big_pslice 16.00 to 21.00 (4) 4.23 high-close 6.00 to 11.00 (2) 4.24 mov_ave20 31.00 to 36.00 (7) 5.08 markcap_est 46.00 to 50.01 (10) 5.52 industry 32.35 to 46.10 (3)

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