Seasonality Service:  Further Backtesting of Monthly Seasonal Trends

 

Month...strategy	Long result	Short result	General Market
May 1996...buy lowest 20% "close-low" + highest 20% "vstock_ind", sell 60-70% "gain2"	1036	966	1034
June 1996...buy 40-50% "gain1", sell 52-56% "gain3"	1016	988	1003
July 1996...buy highest 10% "high-close", sell 40-50% "1monthgain"	916	1064	921
Aug 1996...buy lowest 10% "stdev", sell highest 10% "break_ave"	951	1000	978
Sep 1996...buy highest 10% "yeargain", sell 20-40% "mov_ave100" + lowest 20% "break_ave"	1045	952	1026
Oct 1996...buy highest 10% "marketcap", sell lowest 20% "mov_ave100" + highest 20% "t_pratio"	1032	961	1022
Nov 1996...buy highest 20% "ptot_neg" + highest 20% "stock_ind", sell highest 20% "best_p" + lowest 20% "big_pslice"	1110	910	1083
Dec 1996...buy lowest 4% "stdev", sell highest 10% "stdev"	1149	927	1094
Jan 1997...buy 60-80% "vskew" + lowest 20% "mov_ave20", sell highest 20% "close-low" + highest 20% "break_ave"	1180	940	1126
Feb 1997...buy lowest 10% "mov_ave5", sell 80-90% "momentum"	1168	963	1113
Mar 1997...buy highest 10% "marketcap", sell 40-44% "best_p"	1110	972	1067
Apr 1997...buy lowest 4% "mov_ave5", sell lowest 20% "high-close" + lowest 20% "stdev"	1081	981	1044
May 1997...buy 10-20% "close-low", sell 26-30% "high-close"	1198	896	1148
June 1997...buy 40-50% "gain1", sell 50-60% "gain3"	1223	853	1196
July 1997...buy top 20% "vtotal" + lowest 20% "vftotal", sell 40-60% "ptotal" + 60-80% "stock_ind"	1315	795	1267
Aug 1997...buy 20-24% "3monthgain", sell 20-30% "high-close"	1332	804	1285
Sep 1997...buy lowest 20% "stdev" + lowest 20% "ptotal", sell lowest 20% "vtotal" + 60-80% "vftotal"	1355	757	1365
Oct 1997...buy highest 10% "marketcap", sell lowest 10% yeargain	1241	783	1290
Nov 1997...buy 20-40% "gain2" + top 20% "marketcap", sell  20-40% "best_p" + top 20% "yeargain"	1333	789	1296
Dec 1997...buy lowest 4% "stdev", sell top 10% of "gain3"	1366	819	1264
Jan 1998...buy lowest 10% "mov_ave5", sell highest 10% "mov_ave20"	1428	863	1256
Feb 1998...buy 30-40% "1monthgain", sell highest 10% "stdev"	1540	778	1350
Mar 1998...buy highest 10% "marketcap", sell 36-40% "best_p"	1576	740	1399
April 1998...buy lowest 20% "mov_ave5" + highest 20% "mov_ave100", sell lowest 10% "stdev"	1564	768	1395
May 1998...buy highest 20% "vtotal" + highest 20% "vftotal", sell lowest 4% "t_vratio"	1497	846	1316
June 1998...buy 30-40% "pftotal", sell 80-90% "pave"	1452	868	1278
July 1998...buy highest 20% "yeargain" + 20-40% "gain1", sell 40-60% "ptotal" + 60-80% "stock_ind"	1367	905	1199
Aug 1998...buy lowest 20% "close-low" + 40-60% "mov_ave20", sell highest 20% "break_ave" + lowest 20% "vftotal"	1201	1074	1027
Sep 1998...buy lowest 20% "stdev" + highest 20% "t_pratio", sell highest 10% "mov_ave20"	1270	1044	1121
Oct 1998...buy lowest 20% "pstdev" + lowest 20% "vave", sell highest 20% "close-low" + highest 20% "break_ave"	1053	1234	1054
Nov 1998...buy lowest 10% "stdev", sell highest 20% "ptotal" + highest 20% "pftotal"	1070	1117	1121
Dec 1998...buy lowest 10% "stdev", sell highest 20% "marketcap" + highest 20% "vtotal"	1077	989	1154
Jan 1999...buy lowest 10% "mov_ave5", sell 80-90% "1monthgain"	1203	975	1170
Feb 1999...buy lowest 10% "close-low", sell lowest 20% "ptotal" + highest 20% "vftotal"	1148	1026	1101
March 1999...buy 60-80% "yeargain" + lowest 20% "pstdev", sell lowest 10% "break_ave"	1125	997	1108
April 1999...buy lowest 20% "vslice3" + highest 20% "vstdev", sell lowest 10% "stdev"	1226	930	1222
May 1999...buy highest 20% "vtotal" + highest 20% "vftotal", sell 30-40% "gain1"	1257	898	1254
June 1999...buy 44-48% "gain1", sell 40-50% "gain4"	1275	872	1297
July 1999...buy top 20% "ptotal" + 60-80% "stock_ind", sell 20-40% "pstdev" + top 20% "mov_ave20"	1251	891	1285
Aug 1999...buy highest 60-80% "vtotal" + top 20% "vstock_ind", sell 20-40% "ptotal" + 60-80% "stock_ind"	1207	932	1249
Sep 1999...buy lowest 20% "stdev" + highest 20% "t_pratio", sell highest 10% "mov-ave20"	1159	931	1216
Oct 1999...buy top 20% "pave" + 60-80% "vave", sell top 4% "recent price"	1165	919	1209
Nov 1999...buy lowest 20% "stdev" + highest 20% "big_pslice", sell highest 20% "ptotal" + highest 20% "pftotal"	1121	879	1269
Dec 1999...buy lowest 10% "pstdev", sell 20-40% "open-yclose" + 60-80% "stdev"	1086	824	1339
Jan 2000...buy lowest 4% "momentum", sell lowest 10% "stdev"	1088	836	1318
Feb 2000...buy 40-44% "gain1", sell top 20% "yeargain" + top 20% "vftotal"	1098	462	1417
Mar 2000...buy 40-60% "stdev" + lowest 20% "mov_ave20", sell highest 4% "slice3"	1187	426	1480
Apr 2000...buy 36-40% "gain3", sell 12-16% "vskew"	1156	430	1465
May 2000...buy 28-32% "gain2", sell 30-40% "gain1"	1132	433	1399
June 2000...buy 44-48% "gain1", sell 40-50% "gain4"	1184	420	1508
July 2000...buy highest 20% "ptotal" + 60-80% "stock_ind", sell 20-40% "mov_ave100" + lowest 20% "break_ave"	1155	455	1510
Aug 2000...buy highest 10% "stdev", sell 10-20% "stdev"	1310	442	1610
Sep 2000...buy 48-52% "gain1", sell highest 20% "recent price" + lowest 20% "gain1"	1295	472	1594
Oct 2000...buy lowest 10% "mov_ave100", sell highest 10% "recent price"	1169	525	1501
Nov 2000...buy highest 20% "vol1_3" + highest 20% "vstdev", sell highest 20% "break_ave" + highest 20% "vtotal"	965	582	1410
Dec 2000...buy highest 20% "yeargain" + 40-60% "t_pratio", sell 20-30% "yeargain"	1035	534	1517
Jan 2001...buy lowest 10% "recent price", sell lowest 10% "stdev"	1489	525	1681
Feb 2001...buy lowest 20% "mov_ave5" + highest 20% "mov_ave100", sell lowest 4% "stdev"	1495	523	1578
March 2001...buy lowest 20% "break_ave" + lowest 20% "ptotal", sell highest 10% "mov_ave5"	1256	559	1481
Apr 2001...buy lowest 20% "3monthgain" + lowest 20% "t_pratio", sell highest 20% "recent price" + highest 20% "vstdev"	1099	586	1458

home page

Copyright © 2010 MarketSynopsis.com. All rights reserved.