The following table details the results of looking back on the previous year's best strategies, half month by half month, to predict this year's half month results.  In other words, we would look at the best predictors of gains in last April's first two weeks to choose stocks for this April's first two weeks.  All strategies come from our tables of "risk-adjusted" half-month data and, for simplicity's sake, involve only tables where the data has been partitioned into 10 slices. 

The general results roughly parallel the results gotten in our scan of best monthly strategies, but slightly under-perform it, especially on the short side  What's more, the longer term strategies involve fewer transaction costs.  Nevertheless, there are some interesting results here...pay particular attention to periods where big jumps occur.

After August of 2004, we decided to discontinue industry-based data as predictors of future gains.  Thus if software stocks had the highest gains in, say, the first half of February last year, we won't select software stocks as the group most likely to gain in the upcoming February h1.

The strategy has resulted in a quintupling of our initial cash position as we write (April 2007).  The "portfolios" began with $1000 in November of 1999.

 

Strategy	Long result	Short result	Market result
First half of November 1999...buy the cheapest 10% of stocks, sell the 70-80 percentile of "break_ave"	1070	964	1039
Second half of November 1999...buy highest 10% of "yeargain", sell highest 10% of "vave"	1103	938	1043
First half of December 1999...buy 80-90% of "big_pslice", sell lowest 10% of "vskew"	1102	905	1045
Second half of December 1999...buy 70-80% of "yeargain", sell lowest 10% of "3monthgain"	1179	811	1114
First half of January 2000...buy the cheapest 10% of stocks, sell the lowest 10% of "stdev"	1259	813	1127
Second half of January 2000...buy highest 10% of "marketcap", sell lowest 10% of "stdev"	1207	825	1096
First half of Feb 2000...buy highest 10% of "high-close", sell lowest 10% of "stdev"	1401	842	1138
Second half of Feb 2000...buy highest 10% of "volume3_10", sell 30-40% of "big_vslice"	1442	821	1171
First half of Mar 2000...buy highest 10% of "marketcap", sell lowest 10% of "volume10_60"	1380	824	1163
Second half of Mar 2000...buy highest 10% of "pstdev", sell lowest 10% of "stdev"	1241	805	1170
First half of April 2000...buy 20-30% of "stdev", sell lowest 10% of "pave"	1207	1030	1054
Second half of April 2000...buy lowest 10% of "stdev", sell highest 10% of "break_ave"	1222	971	1077
First half of May 2000...buy 10-20% of "mov_ave100", sell highest 10% of "break_ave"	1220	1004	1072
Second half of May 2000...buy highest 10% of "t_pratio", sell most expensive 10% of stocks	1201	1076	1029
First half of Jun 2000...buy lowest 10% of "gain1", sell lowest 10% of "stdev"	1360	1054	1091
Second half of Jun 2000...buy 80-90% "vtotal", sell lowest 10% of "vstdev"	1356	1057	1103
First half of July 2000...buy lowest 10% of "gain1", sell lowest 10% of "high-close"	1526	1029	1162
Second half of July 2000...buy cheapest 10% of stocks, sell highest 10% of stocks	1496	1180	1106
First half of Aug 2000...buy lowest 10% of "vtotal", sell 10-20% of "vstdev"	1572	1161	1150
Second half of Aug 2000...buy highest 10% of "vstdev", sell 30-40% of "vstdev"	1681	1145	1187
First half of Sep 2000...buy highest 10% "3monthgain", sell lowest 10% of "stdev"	1656	1107	1190
Second half of Sep 2000...buy 40-50% of "vstock_ind", sell 80-90% most expensive stocks	1630	1117	1175
First half of Oct 2000...buy highest 10% of "yeargain", sell highest 10% of "gain1"	1409	1235	1096
Second half of Oct 2000...buy 80-90% "marketcap", sell 80-90% "move_ave5"	1524	1192	1171
First half of Nov 2000...buy highest 10% of "pstdev", sell lowest 10% of "vstdev"	1505	1193	1159
Second half of Nov 2000...buy highest 10% of "high-close", sell lowest 10% of "stdev"	1209	1187	1068
First half of Dec 2000...buy highest 10% of "3monthgain", sell lowest 10% of "stdev"	1222	1164	1112
Second half of Dec 2000...buy lowest 10% "mov_ave100", sell 50-60% "3monthgain"	1187	1097	1153
First half of Jan 2001...buy 10% cheapest stocks, sell highest 10% "pskew"	1513	1082	1211
Second half of Jan 2001...buy highest 10% "stdev", sell lowest 10-20% "stdev"	1626	1062	1267
First half of Feb 2001...buy highest 10% "3monthgain", sell 10-20% "stdev"	1630	1038	1256
Second half of Feb 2001...buy highest 10% "mov_ave100", sell 10-20% "break_ave"	1543	1132	1190
First half of Mar 2001...buy lowest 10% "1monthgain", sell highest 10% "mov_ave100"	1337	1172	1141
Second half of Mar 2001...buy highest 70-80% "ptotal", sell highest 10% "break_ave"	1355	1159	1163
First half of April 2001...buy lowest 10% "stdev", sell highest 10% "break_ave"	1351	1153	1173
Second half of April 2001...buy lowest 10% "slice97", sell lowest 10% "yeargain"	1501	933	1290
First half of May 2001...buy 50-60% "pstdev", sell highest 10% "ptotal"	1546	896	1313
Second half of May 2001...buy lowest 10% of "big_vslice", sell lowest 10% of "big_pslice"	1566	882	1331
First half of Jun 2001...buy lowest 10% of "3monthgain", sell highest 10% "ptotal"	1533	884	1323
Second half of Jun 2001...buy highest 10% "vstdev", sell 10-20% "pstdev"	1694	858	1382
First half of July 2001...buy lowest 10% of "gain1", sell highest 10% of "gain1"	1729	941	1338
Second half of July 2001...buy lowest 10% of "vstdev", sell highest 10% of "yeargain"	1736	941	1334
First half of Aug 2001...buy highest 10% of "t_pratio", sell highest 10% of "gain1"	1669	986	1300
Second half of Aug 2001...buy highest 10% of "yeargain", sell lowest 10% of "stdev"	1602	1020	1244
First half of Sep 2001...buy lowest 10% of "stdev", sell highest 10% of "recent price"	1503	1136	1066
Second half of Sep 2001...buy highest 10% of "pave", sell lowest 10% of "3monthgain"	1427	1244	1025
First half of Oct 2001...buy lowest 10% of "marketcap", sell lowest 10% of "pave"	1499	1133	1107
Second half of Oct 2001...buy 10-20% of "break_ave", sell highest 10% of "mov_ave5"	1516	1098	1121
First half of Nov 2001...buy lowest 10% of "mov_ave5", sell highest 10% of "recent price"	1738	1055	1204
Second half of Nov 2001...buy lowest 10% of "vstdev", sell highest 10% of "vstdev"	1742	990	1243
First half of Dec 2001...buy lowest 10% of "mov_ave20", sell highest 10% of "momentum"	1785	961	1269
Second half of Dec 2001...buy 10-20% "vstdev", sell highest 10% of "vstdev"	1837	907	1328
First half of Jan 2002...buy lowest 10% of "recent price", sell highest 10% of "break_ave"	1917	936	1324
Second half of Jan 2002...buy highest 10% of "big_pslice", sell highest 10% of "break_ave"	1961	913	1349
First half of Feb 2002...buy 40-50% "best_p", sell highest 10% "vstdev"	1921	987	1324
Second half of Feb 2002...buy lowest 10% of "vstdev", sell lowest 10% of "break_ave"	1942	1030	1310
First half of Mar 2002...buy lowest 10% of "marketcap", sell lowest 10% of "break_ave"	2053	928	1383
Second half of Mar 2002...buy lowest 10% of "pstdev", sell 80-90% "3monthgain"	2091	901	1413
First half of Apr 2002...buy lowest 10% of "mov_ave20", sell highest 10% of "mov_ave20"	2018	897	1419
First half of May 2002...buy lowest 10% of "marketcap", sell highest 10% of "marketcap"	2032	886	1428
Second half of May 2002...buy lowest 10% of "marketcap", sell highest 10% of "marketcap"	1987	924	1382
First half of Jun 2002...buy lowest 10% of "vstdev", sell 80-90% "marketcap"	1941	995	1287
Second half of Jun 2002...buy 10-20% "marketcap", sell highest 10% of "marketcap"	2024	1036	1300
First half of Jul 2002...buy lowest 10% of "gain1", sell lowest 10% of "break_ave"	1897	1113	1163
Second half of Jul 2002...buy lowest 10% of "marketcap", sell highest 10% of "pstdev"	1782	1258	1121
First half of Aug 2002...buy lowest 10% of "pstdev", sell lowest 10% of "break_ave"	1884	1045	1249
Second half of Aug 2002...buy 70-80% "stdev", sell highest 10% of "t_vratio"	1670	1094	1168
First half of Sep 2002...buy highest 10% of "stdev", sell 30-40% "yeargain"	1630	1123	1147
Second half of Sep 2002...buy lowest 10% of "vstdev", sell 80-90% "vave"	1570	1280	1057
First half of Oct 2002...buy lowest 10% of "1monthgain", sell lowest 10% of "vstdev"	1507	1323	1020
Second half of Oct 2002...buy lowest 10% of "recent price", sell lowest 10% "stdev"	1808	1324	1069
First half of Nov 2002...buy lowest 10% of "gain3", sell highest 10% of "3monthgain"	1990	1259	1115
Second half of Nov 2002...buy lowest 10% of "1monthgain", sell 80-90% "break_ave"	2150	1212	1199
First half of Dec 2002...buy 30-40% "marketcap", sell highest 10% "recent price"	2058	1258	1139
Second half of Dec 2002...buy lowest 10% of "t_vratio", sell lowest 10% of "gain2"	2087	1237	1148
First half of Jan 2003...buy lowest 10% of "recent price", sell highest 10% of "recent price"	2368	1220	1196
Second half of Jan 2003...buy lowest 10% of "vskew", sell highest 10% "vstdev"	2226	1373	1119
First half of Feb 2003...buy lowest 10% of "stdev", sell lowest 10% "yeargain"	2188	1474	1071
Second half of Feb 2003...buy lowest 10% of "stdev", sell highest 10% of "vstdev"	2234	1407	1096
First half of Mar 2003...buy lowest 10% of "yeargain", sell highest 10% of "vtotal"	2074	1460	1048
Second half of Mar 2003...buy lowest 10% of "vstdev", sell highest 10% of "vstdev"	2121	1408	1080
First half of April 2003...buy lowest 10% of "stdev", sell lowest 10% of "break ave"	2169	1331	1124
Second half of April 2003...buy lowest 10% of "marketcap", sell lowest 10% of "break_ave"	2391	1245	1195
First half of May 2003...buy 70-80% "vol10_60", sell highest 10% "mov_ave20"	2528	1126	1269
Second half of May 2003...buy lowest 10% "pstdev", sell highest 10% "gain3"	2605	1048	1334
First half of June 2003...buy highest 10% "3monthgain", sell 20-30% "mov_ave100"	2680	1025	1370
Second half June 2003...buy lowest 10% of "marketcap", sell highest 10% "marketcap"	2666	1061	1346
First half July 2003...buy lowest 10% "3monthgain", sell lowest 10% "stdev"	2833	1036	1431
Second half July 2003...buy lowest 10% "stdev", sell 10-20% "yeargain"	2866	1009	1466
First half August 2003...buy 10-20% "pstdev", sell 20-30% "yeargain"	2877	1017	1458
Second half August 2003...buy lowest 10% "mov_ave100", sell highest 10% "mov_ave100"	3089	925	1536
First half Sept 2003...buy highest 10% "yeargain", sell lowest 10% "vstdev"	3220	912	1572
Second half Sept 2003...buy 80-90% "yeargain", sell highest 10% "vslice3"	3024	948	1506
First half October 2003...buy highest 10% "marketcap", sell lowest 10% "high-close"	3269	901	1636
Second half October 2003...buy lowest 10% "mov_ave100", sell highest 10% "1monthgain"	3308	878	1663
First half Nov 2003...buy lowest 10% "yeargain", sell lowest 10% "slice97"	3341	869	1686
Second half Nov 2003...buy highest 10% "vave", sell lowest 10% "vave"	3351	858	1701
First half Dec 2003...buy lowest 10% "stdev", sell highest 10% "mov_ave20"	3409	869	1712
Second half Dec 2003...buy lowest 10% "pstdev", sell highest 10% "mov_ave100"	3464	828	1784
First half of Jan 2004...buy industry groups 66-72, sell stocks with the lowest 10% "t_vratio"	3897	810	1862
Second half Jan 2004...buy cheapest 10% of stocks, sell 20-30% "stdev"	3908	809	1853
First half of Feb 2004...buy stdev[1], sell vstdev[10]	3974	823	1874
Second half of Feb 2004...buy industries 18 through 37, sell vstdev[10]	3947	860	1857
First half of March 2004...buy top 10% of "vslice97", sell marketcap_est[8]	3891	874	1841
Second half of March 2004...buy 60-70% "marketcap", sell lowest 10% "marketcap"	3997	866	1873
First half of April 2004...buy industries 92-101, sell "momentum"[10]	3697	869	1851
Second half of April 2004...buy vtotal[1], sell high-close[1]	3565	890	1781
First half of May 2004...buy "big_pslice[10]", sell "break_ave[9]"	3466	910	1729
Second half of May 2004...buy stdev[1], sell pskew[9]	3614	869	1803
First half of Jun 2004...buy momentum[2], sell industries 66 through 72	3629	890	1805
Second half of Jun 2004...buy yeargain[1], sell recent_price[10]	3688	879	1837
First half of Jul 2004...buy industries 66-72, sell industries 1-18	3224	874	1750
Second half of Jul 2004...buy industries 61 through 66, sell vslice3[10]	3159	874	1737
First half of Aug 2004...buy industries 1 through 17, sell the 70-80% most volatile stocks	2997	942	1636
Second half of Aug 2004...buy industries 66-72, sell industries 87 -91	3109	917	1686
First half of Sep 2004...buy recent_price[1], sell break_ave[10]	3214	897	1740
Second half of Sep 2004...buy stdev[1], sell close-low[9]	3198	898	1736
First half of Oct 2004...buy big_pslice[10], sell vave[10]	3165	911	1718
Second half of Oct 2004...buy mov_ave20[8], sell CashPerShare[1]	3265	894	1765
First half of Nov 2004...buy stdev[1], sell vtotal[9]	3414	842	1875
Second half of Nov 2004...buy Institutions[2], sell close-low[10]	3453	830	1897
First half of Dec 2004...buy stdev[2], sell vave[1]	3526	831	1933
Second half of Dec 2004...buy yeargain[1], sell marketcap[2]	3651	811	1969
First half of Jan 2005...buy prd_lastyear[10], sell stdev[1]	3354	834	1870
Second half of Jan 2005...buy vstdev[1], sell 1monthgain[8]	3381	828	1884
First half of Feb 2005...buy stdev[1], sell vstdev[10]	3446	824	1916
Second half of Feb 2005...buy vstdev[1], sell vtotal[10]	3395	811	1908
First half of March 2005...buy big_pslice[1], sell marketcap[10]	3354	811	1906
Second half of March 2005...buy momentum[5], sell CurrentRatio[2]	3306	818	1883
First half of April 2005...buy gain1[4], sell big_pslice[1]	3196	842	1819
Second half of April 2005...buy recent_std[1], sell mov_ave5[1]	3240	858	1812
First half of May 2005...buy mov_ave20[1], sell corr[3]	3238	853	1826
Second half of May 2005...buy corr[10], sell pstdev[1]	3419	822	1897
First half of Jun 2005...buy stdev[3], sell resist3[1]	3517	805	1948
Second half of Jun 2005...buy vol10_60[7], sell corr[2]	3507	806	1935
First half of Jul 2005...buy period_lastyear[1], sell prd_lastyear[10]	3813	775	2018
Second half of Jul 2005...buy mov_ave20[2], sell big_pslice[1]	3937	757	2069
First half of Aug 2005...buy vave[10], sell prd_max[1]	3828	775	2020
Second half of Aug 2005...buy stdev[1], sell resist3[2]	3832	766	2048
First half of Sep 2005...buy leadership[1], sell vave[10]	3811	767	2051
Second half of Sep 2005...buy yeargain[10], sell yeargain[2]	3870	786	2037
First half of Oct 2005...buy stock_ind[8], sell big_vslice[7]	3698	821	1939
Second half of Oct 2005...buy pave[2], sell gain3[1]	3779	815	1975
First half of Nov 2005...buy stdev[1], sell stdev[10]	3859	789	2025
Second half of Nov 2005...buy gain1[1], sell vave[10]	4007	765	2083
First half of Dec 2005...buy mov_ave100[2], sell resist2[10]	4105	749	2127
Second half of Dec 2005...buy 3monthgain[2], sell recent_std[10]	4057	747	2098
First half of Jan 2006...buy corr[1], sell corr[10]	4262	706	2184
Second half of Jan 2006...buy momentum[10], sell prcvd_risk[10]	4459	670	2254
First half of Feb 2006...buy corr[10], sell prcvd_rsk[9]	4256	683	2230
Second half of Feb 2006...buy yeargain[10], sell vstdev[1]	4431	663	2289
First half of Mar 2006...buy stdev[2], sell vstdev[10]	4478	659	2302
Second half of Mar 2006...buy gain3[2], sell ProfitMargin[10]	4576	656	2348
First half of Apr 2006...buy close-low[1], sell break_ave[2]	4522	677	2294
Second half of Apr 2006...buy Dividend[10], sell corr[1]	4624	667	2333
First half of May 2006...buy 3monthgain[2], sell vtotal[1]	4466	685	2266
Second half of May 2006...buy yeargain[10], sell market_cap[1]	4296	685	2228
First half of Jun 2006...buy corr[10], sell mov_ave100[1]	4096	735	2110
Second half of Jun 2006...buy pair_dif20[1], sell 1monthgain[8]	4282	721	2172
First half of Jul 2006...buy prd_lastyear[1], sell resist2[10]	4005	785	2042
Second half of Jul 2006...buy marketcap[1], sell gain2[8]	4148	754	2107
First half of Aug 2006...buy vave[1], sell Dividend[10]	4004	762	2058
Second half of Aug 2006...buy high-close[10], sell resist3[3]	4137	753	2094
First half of Sep 2006...buy close-low[1], sell high-close[1]	4174	742	2126
Second half of Sep 2006...buy pair_dif20[10], sell PE_ratio[2]	4199	738	2121
First half of Oct 2006...buy 3month_gain[1], sell stdev[1]	4463	721	2215
Second half of Oct 2006...buy ProfitMargin[10], sell prcvd_risk[10]	4452	714	2225
First half of Nov 2006...buy vave[10], sell vave[1]	4541	695	2272
Second half of Nov 2006...buy prcvd_risk[10], sell break_ave[7]	4489	695	2262
First half of Dec 2006...buy vave[1], sell vtotal[1]	4592	692	2288
Second half of Dec 2006...buy corr[1], sell ProfitMargin[10]	4647	694	2273
First half of Jan 2007...buy 3monthgain[2], sell vtotal[1]	4681	691	2287
Second half of Jan 2007...buy prd_lastyear[10], sell market_cap[10]	4785	687	2320
First half of Feb 2007...buy move_ave5[1], sell corr[10]	4907	679	2367
Second half of Feb 2007...buy stdev[1], sell break_ave[1]	4832	696	2313
First half of Mar 2007...buy prcvd_risk[1], sell yeargain[1]	4786	735	2251
Second half of Mar 2007...buy NumInstitution[10], sell prcvd_risk[1]	4893	720	2314
First half of Apr 2007...buy vave[1], sell pe_ratio[10]	5071	689	2394
Second half of Apr 2007...buy Dividend[9], sell PE_ratio[10]	5019	710	2358
First half of May 2007...buy ProfitMargin[4], sell QuickRatio[10]	5043	713	2375
Second half of May 2007...buy marketcap[2], sell recent_price[10]	5200	695	2446
First half of Jun 2007...buy recent_std[1], sell yeargain[10]	5178	701	2419
Second half of Jun 2007...buy corr[10], sell vol10_60[1]	4932	719	2374
First half of Jul 2007...buy stdev[1], sell marketcap[1]	4976	725	2411
Second half of Jul 2007...buy stdev[1], sell yeargain[1]	4649	801	2209
First half of Aug 2007...buy recent_std[1], sell prd_3yrs[1]	4605	820	2144
Second half of Aug 2007...buy recent_price[1], sell recent_price[10]	4782	796	2177
First half of Sep 2007...buy gain4[9], sell gain4[1]	4698	826	2135
Second half of Sep 2007...buy marketcap[10], sell high_moment[9]	4850	804	2181
First half of Oct 2007...buy gain1[1], sell stdev[10]	5044	786	2257
Second half of Oct 2007...buy prd_lastyear[4], sell prd_lastyear[10]	5023	791	2255
First half of Nov 2007...buy slice47[3], sell ptotal[10]	4726	827	2125
Second half of Nov 2007...buy Dividend[10], sell NumInstitution[9]	4693	835	2114
First half of Dec 2007...buy 3monthgain[3], sell PEratio[10]	4509	848	2070
Second half of Dec 2007...buy NumInstitution[10], sell corr[10]	4552	848	2082
First half of Jan 2008...buy prcvd_risk[1], sell marketcap[2]	4297	933	1880
Second half of Jan 2008...buy leadership[1], sell leadership[9]	4241	887	1960
First half of Feb 2008...buy stdev [2], sell NumInstitution[9]	4188	902	1929
Second half of Feb 2008...buy Dividend[5], sell ProfitMargin[10]	4102	924	1882
First half of March 2008...buy break_ave[10], sell resist1[3]	3986	972	1799
Second half of March 2008...buy stdev[2], sell stdev[10]	4124	903	1873
First half of April 2008...buy break_ave[7], sell stdev[10]	4064	895	1850
Second half of April 2008...buy recent_price[10], sell corr_f[1]	4066	894	1866
First half of May 2008...buy stdev[1], sell recent_price[1]	4134	871	1915
Second half of May 2008...buy high_moment[1], sell recent_std[1]	4101	870	1913
First half of Jun 2008...buy break_ave[10], sell Dividend[10]	4126	909	1852
Second half of Jun 2008...buy QuickRatio[7], sell corr[10]	3783	999	1680
First half of Jul 2008...buy prcvd_risk[1], sell marketcap[1]	3644	1054	1583
Second half of Jul 2008...buy stdev[10], sell stdev[1]	3882	1040	1627
First half of Aug 2008...buy Shorts[10], sell recent_price[1]	4112	984	1721
Second half of Aug 2008...buy big_vslice[3], sell momentum[10]	4087	993	1697

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