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| Seasonal Investment Strategies: Monthly Test |
The following two tables examine the strategy of looking back to the best strategy for the same month in the previous year, and applying that strategy to the upcoming month. For example, below you see that the best strategy for Feb 1999 (NOT 2000) was to buy the top 80-90% of stocks ranked by our "marketcap" statistic, and the best short strategy was to sell the 10-20% most volatile stocks (stocks with relatively low volatility). We then applied that strategy to February 2000. Then we move on to the next month.
The first table shows gains via a risk-adjusted strategy. The second ignores risk adjustment. The difference between the two strategies is rather dramatic, and strongly indicates that a risk-adjusted approach is the one for our system. For more on the topic of risk-adjustment, scan our "method of presentation" page.
"Market in General" is drawn from our universe of about 3000 stocks. The makeup is roughly the same as the Russell 3000, but it doesn't weight stocks (in the Russell 3000, big caps are "heavier" than small caps). Surprisingly, our "Market in General" actually eked out a gain over the period of the experiment, a choppy one for indexes like the Dow. That's because small caps didn't do so poorly during the period. Looking at the real Russell 3000, it lost about 37% over the period.
After December of 2004, we decided to ignore industry groupings for consideration in the table below. That's simply because we've found the approach to produce mediocre results on numerous occasions. Thus, if last year's best gaining group in February was biotechs, we'd look to the second best gaining group as a predictor of gains in the next February.
After generating this page, we decided to look back further in time and test more risk-adjusted data. Click here for the results from May 1994 through Jan 2000. The results are impressive. To calculate results from May 1994 to present (as opposed to Feb 2000 to present), multiply the most current results in the blue table below (long, short, and general market) by 3.703, .748, and 1.942. As of Aug 31, 2003, we've outperformed our "Market in General" by a factor of 4.0 ($13053 vs. $3257), and the Russell 3000 by a factor of 5.9. The shorts stand at $951.
Our experiment begins with longs, shorts, and the "Market in General" investing $1000.
|
Month...buy/sell strategy (risk adjusted) |
Long gain |
Short gain |
Market in General |
|
Feb 2000...buy 80-90 percentile of "marketcap", sell 10-20% "stdev" |
1119 |
1069 |
1079 |
|
Mar 2000...buy top 10% of "ptot_neg", sell 50-60 percentile of "t_pratio" |
1080 |
1034 |
1126 |
|
Apr 2000...buy 10-20 percentile "break_ave", sell top 10% "mov_ave5" |
1097 |
1087 |
1111 |
|
May 2000...buy 10-20 percentile of cheapest stocks, sell top 10% "break_ave" |
1065 |
1198 |
1061 |
|
June 2000...buy highest "yeargain", sell lowest "stdev" |
1392 |
1174 |
1146 |
|
July 2000...buy cheapest 10% of stocks, sell highest 5 day moving ave |
1460 |
1256 |
1148 |
|
Aug 2000...buy highest 10% of 3monthgain, sell 10-20 percentile of stdev |
1580 |
1220 |
1230 |
|
Sep 2000...buy top 80-90 percentile of mov_ave100, sell lowest 10% of stdev |
1636 |
1179 |
1218 |
|
Oct 2000...buy 80-90 percentile of marketcap, sell 50-60 percentile of vstdev |
1516 |
1176 |
1146 |
|
Nov 2000...buy highest 10% of yeargain, sell lowest 10% of stdev |
1198 |
1163 |
1148 |
|
Dec 2000...buy highest 3monthgain, sell lowest vstdev |
1285 |
1080 |
1230 |
|
Jan 2001...buy cheapest 10% of stocks, sell top 10% of break_ave |
1850 |
1170 |
1282 |
|
Feb 2001...buy highest 10% 3monthgain, sell 10-20 percentile of stdev |
1751 |
1153 |
1202 |
|
March 2001...buy lowest 10% of 3monthgain, sell highest 10% of 1monthgain |
1465 |
1196 |
1129 |
|
April 2001...buy lowest 10% of stdev, sell 10% most expensive stocks |
1501 |
1129 |
1253 |
|
May 2001...buy 80-90 percentile of "big_pslice", sell top 10% of yeargain |
1673 |
1059 |
1345 |
|
Jun 2001...buy highest 10% of stdev, sell 80-90% of vslice3 |
1673 |
1052 |
1361 |
|
Jul 2001...buy lowest 10% of stdev, sell highest 10% yeargain |
1677 |
1053 |
1329 |
|
Aug 2001...buy top 10% yeargain, sell lowest 10% stdev |
1602 |
1038 |
1300 |
|
Sep 2001...buy lowest 10% stdev, sell lowest 10% of "break_ave" |
1524 |
1219 |
1148 |
|
Oct 2001...buy 30-40 percentile "ptot_neg", sell top 10% "ptot_neg" |
1630 |
1089 |
1280 |
|
Nov 2001...buy 10-20 percentile stdev, sell top 10% yeargain |
1713 |
1026 |
1414 |
|
Dec 2001...buy lowest 10% stdev, sell top 10% of "close-low" |
1764 |
913 |
1510 |
|
Jan 2002...buy cheapest 10% of stocks, sell highest 10% of "break_ave" |
1827 |
952 |
1495 |
|
Feb 2002...buy lowest 10% of vstdev, sell highest 10% of vstdev |
1883 |
1050 |
1491 |
|
Mar 2002...buy lowest 10% marketcap, sell top 10% most expensive stocks |
2100 |
1005 |
1630 |
|
Apr 2002...buy lowest 10% 3monthgain, sell 80-90 percentile mov_ave20 |
1871 |
1012 |
1603 |
|
May 2002...buy lowest 10% of marketcap, sell top 10% of marketcap |
1840 |
1038 |
1550 |
|
Jun 2002...buy lowest 10% "pkurt", sell highest 10% of marketcap |
1792 |
1157 |
1460 |
|
Jul 2002...buy lowest 10% of marketcap, sell highest 10% of 5 day moving ave |
1613 |
1362 |
1270 |
|
Aug 2002...buy lowest 10% of vstdev, sell lowest 10% of ptotal |
1608 |
1350 |
1267 |
|
Sep 2002...buy highest 10% vtotal, sell 30-40 percentile yeargain |
1514 |
1515 |
1145 |
|
Oct 2002...buy highest 10% vstdev, sell lowest vstdev |
1801 |
1529 |
1199 |
|
Nov 2002...buy lowest 3monthgain, sell highest 10% break_ave |
2400 |
1486 |
1349 |
|
Dec 2002...buy highest "big_pslice", sell highest 10% "marketcap" |
2283 |
1603 |
1264 |
|
Jan 2003...buy lowest 10% marketcap, sell highest 10% vave |
2195 |
1671 |
1214 |
|
Feb 2003...buy lowest 10% of "stdev", sell lowest 10% of "ptotal" |
2220 |
1752 |
1185 |
|
Mar 2003...buy lowest 10% of "stdev", sell highest 10% of "break_ave" |
2241 |
1757 |
1194 |
|
Apr 2003...buy lowest 10% "marketcap", sell lowest 10% "break_ave" |
2577 |
1540 |
1316 |
|
May 2003...buy lowest 10% "close-low", sell highest 10% "gain1" |
2849 |
1271 |
1480 |
|
June 2003...buy lowest 10% "marketcap", sell highest 10% "marketcap" |
3034 |
1256 |
1521 |
|
July 2003...buy highest 10% "high-close", sell 10-20% "high-close" |
3347 |
1217 |
1600 |
|
August 2003...buy 50-60% "marketcap", sell lowest 10% "marketcap" |
3525 |
1158 |
1677 |
|
September 2003...buy highest 10% "yeargain", sell 10-20% "break_ave" |
3501 |
1147 |
1665 |
|
Oct 2003...buy lowest 10% of mov_ave20, sell industries 92-101 |
3853 |
1098 |
1789 |
|
Nov 2003...buy lowest 10% of "yeargain", sell lowest 10% "vave" |
3955 |
1053 |
1849 |
|
Dec 2003...buy lowest 10% "stdev", sell highest 10% "mov_ave20" |
4049 |
1053 |
1890 |
|
Jan 2004...buy lowest 10% of "recent_price", sell industries 18-38 |
4527 |
1055 |
1962 |
|
Feb 2004...buy lowest 10% of "stdev", sell industries 18 through 36 |
4644 |
1032 |
1987 |
|
Mar 2004...buy industries 52 through 61, sell industries 89 to 92 |
4647 |
1033 |
1992 |
|
Apr 2004...buy mov_ave20[1], sell industries 1 through 17 |
4438 |
1055 |
1909 |
| May 2004...buy recent price[1], sell break_ave[9] | 4428 | 1047 | 1933 |
| Jun 2004...buy gain1[1], sell industries 86 through 91 | 4591 | 1019 | 1998 |
| Jul 2004...buy high-close[10], sell industries 1 through 17 | 4172 | 1019 | 1877 |
| Aug 2004...buy inds 66-72, sell industries 86 -91 | 4012 | 993 | 1868 |
| Sep 2004...buy recent_price[1], sell break-ave[10] | 4168 | 956 | 1940 |
| Oct 2004...buy ProfitMargin[10], sell prd_lastyear[1] | 4286 | 961 | 1983 |
| Nov 2004...buy industries 92 thru 101, sell prd_lastyear[8] | 4526 | 895 | 2131 |
| Dec 2004...buy industries 1 thru 17, sell resist2[10] | 4507 | 873 | 2210 |
| Jan 2005...buy recent_price[1], sell break_ave[10] | 4054 | 895 | 2116 |
| Feb 2005...buy stdev[1], sell stdev[10] | 4081 | 907 | 2144 |
| March 2005...buy NumInstitution[6], sell marketcap[10] | 3985 | 930 | 2087 |
| Apr 2005...buy corr[1], sell stdev[1] | 3717 | 949 | 1978 |
| May 2005...buy corr[10], sell marketcap[1] | 3930 | 899 | 2094 |
| June 2005...buy stdev[5], sell resist2[1] | 4049 | 871 | 2156 |
| July 2005...buy leadership[10], sell prd_lastyear[10] | 4397 | 812 | 2305 |
| Aug 2005...buy stdev[1], sell gain2[10] | 4344 | 826 | 2270 |
| Sep 2005...buy slice97[10], sell resist2[1] | 4330 | 839 | 2277 |
| Oct 2005...buy prd_3yrs[10], sell yeargain[10] | 4204 | 878 | 2212 |
| Nov 2005...buy leadership[1], sell stdev[10] | 4426 | 824 | 2306 |
| Dec 2005...buy mov_ave100[2], sell mov_ave100[9] | 4500 | 824 | 2307 |
| Jan 2006...buy corr[1], sell yeargain[1] | 4902 | 738 | 2479 |
| Feb 2006...buy corr[10], sell recent_price[1] | 4728 | 724 | 2488 |
| Mar 2006...buy QuickRatio[2], sell gain1[1] | 4828 | 707 | 2571 |
| April 2006...buy Dividend[10], sell break_ave[2] | 4737 | 715 | 2563 |
| May 2006...buy leadership[10], sell 3monthgain[1] | 4523 | 762 | 2444 |
| Jun 2006...buy vslice3[1], sell mov_ave100[1] | 4450 | 768 | 2433 |
| July 2006...buy NumInstitution[10], sell resist1[10] | 4306 | 824 | 2359 |
| Aug 2006...buy resist1[10], sell Dividend[10] | 4352 | 801 | 2426 |
| Sep 2006...buy pair_dif20[10], sell vstdev[1] | 4403 | 791 | 2460 |
| Oct 2006...buy gain3[2], sell big_vslice[1] | 4589 | 750 | 2577 |
| Nov 2006...buy prcvd_risk[1], sell corr[1] | 4682 | 743 | 2637 |
| Dec 2006...buy mov_ave20[1], sell ProfitMargin[10] | 4706 | 738 | 2651 |
| Jan 2007...buy gain3[10], sell pstdev[10] | 4803 | 729 | 2705 |
| Feb 2007...buy resist2[4], sell move_ave5[10] | 4741 | 738 | 2688 |
| Mar 2007...buy inertia[7], sell marketcap[10] | 4762 | 733 | 2696 |
| Apr 2007...buy NumInstitution[4], sell PE_ratio[10] | 4983 | 705 | 2757 |
| May 2007...buy QuickRatio[3], sell Debt/Equity[2] | 5195 | 679 | 2846 |
| Jun 2007...buy corr[10], sell prd_max[1] | 4916 | 687 | 2794 |
| Jul 2007...buy stdev[1], sell close-low[10] | 4654 | 738 | 2612 |
| Aug 2007...buy stdev[1], sell yeargain[10] | 4726 | 740 | 2629 |
| Sep 2007...buy corr[3], sell gain4[1] | 4802 | 753 | 2660 |
| Oct 2007...buy Dividend[10], sell stdev[10] | 4793 | 781 | 2687 |
| Nov 2007...buy corr[10], sell prcvd_risk[10] | 4509 | 874 | 2496 |
| Dec 2007...buy 3monthgain[3], sell mov_ave20[10] | 4365 | 902 | 2459 |
| Jan 2008...buy prcvd_risk[1], sell marketcap[2] | 4099 | 950 | 2334 |
| Feb 2008...buy recent_price[2], sell ProfitMargin[10] | 3895 | 1011 | 2243 |
| Mar 2008...buy gain3[10], sell resist3[2] | 3851 | 1028 | 2231 |
| Apr 2008...buy marketcap[10], sell NumInstitution[9] | 4087 | 1038 | 2305 |
| May 2008...buy stdev[1], sell prcvd_risk[10] | 4201 | 1020 | 2384 |
| Jun 2008...buy QuickRatio[7], sell corr[10] | 3849 | 1159 | 2126 |
| Jul 2008...buy 3monthgain[10], sell stdev[1] | 3650 | 1137 | 2197 |
| Aug 2008...buy Dividend[9], sell recent_price[1] | 3786 | 1095 | 2280 |
| Sep 2008...buy prcvd_risk[1], sell resist3[1] | 3536 | 1196 | 2099 |
The following table shows non-risk adjusted data...
|
Month Examined...long strategy/short strategy |
Long gain |
Short gain |
Gain on stocks in general |
|
Feb 2000...buy "pskew" between -1.16 to -0.38, sell stocks in the 70-80 percentile of "stdev" |
953 |
820 |
1079 |
|
March 2000...buy top 10% of "ptot_neg" stocks, sell" t_pratio" between 50 and 60% |
920 |
802 |
1126 |
|
April 2000...buy cheapest 10% of stocks, sell lowest 10% of "high-close" |
922 |
812 |
1111 |
|
May 2000...buy lowest 100 day ave, sell highest "break_ave" |
839 |
895 |
1061 |
|
June 2000...buy highest 10% of "yeargain", sell lowest 10% of "stdev" |
1097 |
877 |
1146 |
|
July 2000...buy cheapest 10% of stocks, sell highest 10% of 5 day moving average |
1150 |
938 |
1148 |
|
August 2000...buy highest 10% of "3monthgain", sell lowest "gain3)" |
1295 |
819 |
1230 |
|
Sep 2000...buy top 80-90% of "mov_ave100", sell 30-40% of "vstdev" |
1340 |
816 |
1218 |
|
Oct 2000..buy top 10% of "yeargain", sell lowest 10-20% of "marketcap" |
1164 |
858 |
1146 |
|
Nov 2000...buy highest 10% "vstdev", sell lowest 10%" of "vstdev" |
900 |
856 |
1075 |
|
Dec 2000...buy highest 10% vstdev, sell lowest vstdev |
915 |
794 |
1157 |
|
Jan 2001...buy cheapest 10% of stocks, sell 40-50% of "gain3" |
1317 |
751 |
1282 |
|
Feb 2001...buy highest 10% of "3monthgain", sell lowest 20-30% of stdev |
1247 |
754 |
1202 |
|
Mar 2001...buy lowest "mov_ave100", sell highest 1monthgain |
1019 |
782 |
1129 |
|
Apr 2001...buy lowest stdev, sell highest stdev |
1044 |
533 |
1253 |
|
May 2001...buy highest 80-90% of "big_pslice", sell highest 10% of "yeargain" |
1163 |
500 |
1345 |
|
June 2001...buy top 10% stdev, sell 80-90% "vslice3" |
1163 |
497 |
1361 |
|
Jul 2001...buy top 10% of "high-close", sell top 10% of "yeargain" |
1159 |
496 |
1329 |
|
Aug 2001...buy lowest 10% "gain4", sell lowest 10% "stdev" |
1126 |
488 |
1300 |
|
Sep 2001...buy lowest 10% "big_pslice", sell lowest 10% "pave" |
946 |
589 |
1148 |
|
Oct 2001...buy 30-40% percentile of "ptot_neg", sell highest "vstdev" |
1011 |
358 |
1280 |
|
Nov 2001...buy 10-20 percentile of stdev, sell highest 10% stdev |
1063 |
260 |
1414 |
|
Dec 2001...buy lowest 10% "vave", sell highest 10% "close-low" |
1129 |
231 |
1510 |
|
Jan 2002...buy lowest 10% "yeargain", sell highest 10% "break_ave" |
1062 |
241 |
1495 |
|
Feb 2002...buy lowest 10% "vstdev", sell highest "vstdev" |
1094 |
266 |
1491 |
|
March 2002...buy lowest 10% marketcap, sell lowest 10% "break_ave" |
1220 |
232 |
1630 |
|
April 2002...buy lowest 10% "mov_ave100", sell lowest 10% "vstdev" |
1086 |
228 |
1603 |
|
May 2002...buy cheapest 10% of stocks, sell highest 10% "marketcap" |
1042 |
234 |
1550 |
|
Jun 2002...buy cheapest 10% of stocks, sell highest 10% of "marketcap" |
938 |
261 |
1460 |
|
Jul 2002...buy lowest 10% marketcap, sell highest 10% "mov_ave5" |
844 |
307 |
1270 |
|
Aug 2002...buy lowest 10% "marketcap", sell highest 10% "vstdev" |
808 |
303 |
1267 |
|
Sep 2002...buy highest 10% "t_pratio", sell lowest 10% "pave" |
687 |
338 |
1145 |
|
Oct 2002...buy highest 10% "vstdev", sell lowest "stdev" |
817 |
342 |
1199 |
|
Nov 2002...buy lowest 10% "yeargain", sell lowest 10% "stdev" |
1206 |
336 |
1349 |
|
Dec 2002...buy cheapest 10% of stocks, sell highest 10% "marketcap" |
1031 |
362 |
1264 |
|
Jan 2003...buy cheapest 10% of stocks, sell highest "move_ave5" |
1060 |
377 |
1214 |
|
Feb 2003...buy lowest 10% of "stdev", sell lowest 10% of "mov_ave100" |
1072 |
405 |
1185 |
|
Mar 2003...buy lowest 10% "recent price", sell highest 10% "break_ave" |
1057 |
406 |
1194 |
|
April 2003...buy lowest 10% "marketcap", sell highest 10% "vtotal" |
1215 |
330 |
1316 |
|
May 2003...buy lowest 10% "close-low", sell highest 10% "gain1" |
1343 |
272 |
1480 |
|
June 2003...buy lowest 10% "pskew", sell lowest 10% "yeargain" |
1370 |
252 |
1521 |
|
July 2003...buy lowest 10% "vstdev", sell 10-20% "recent price" |
1415 |
233 |
1600 |
|
August 2003...buy lowest 10% "mov_ave100", sell 70-80% "stock_ind" |
1490 |
221 |
1677 |
|
Sept 2003...buy 70-80% "t_vratio", sell lowest 10% of "yeargain" |
1460 |
222 |
1665 |
|
Oct 2003...buy lowest 10% "mov_ave20", sell lowest 10% "stdev" |
1607 |
214 |
1789 |
|
Nov 2003...buy lowest 10% "yeargain", sell lowest 10% "vave" |
1650 |
205 |
1849 |
|
Dec 2003...buy lowest 10% of "stdev", sell highest 10% "mov_ave20" |
1689 |
205 |
1890 |
|
Jan 2004...buy lowest 10% of "recent_price", sell 80-90% "mov_ave5" |
1888 |
198 |
1962 |
|
Feb 2004...buy 70-80% "yeargain", sell lowest 10% "resist3" |
1907 |
197 |
1987 |
|
Mar 2004...buy industries 51 through 61, sell highest 10% "vstdev" |
1908 |
199 |
1992 |
|
Apr 2004...buy vstdev[10], sell stdev[1] |
1690 |
210 |
1909 |
|
May2004...buy recent price[1], sell pstdev[2] |
1686 | 205 | 1933 |
|
Jun 2004... buy gain1[1], sell industries 86 through 91 |
1748 | 199 | 1998 |
|
Jul 2004 ...buy mov_ave100[1], sell industries 1 through 17 |
1556 |
199 |
1875 |
|
Aug 2004...buy industries 66-72, sell industries 86-91 |
1496 | 194 | 1866 |
|
Sep 2004...buy recent_price[1], sell break-ave[10] |
1554 | 187 | 1940 |
| Oct 2004...buy industries 66-72, sell stdev[1] | 1638 | 183 | 1983 |
| Nov 2004...buy industries 62 thru 66, sell break_ave[1] | 1808 | 165 | 2131 |
| Dec 2004...buy industries 1 thru 17, sell resist2[10] | 1800 | 161 | 2210 |
| Jan 2005...buy recent_price[1], sell break_ave[10] | 1619 | 165 | 2116 |
| Feb 2005...buy big_pslice[10], sell stdev[10] | 1636 | 167 | 2144 |
| Mar 2005...buy pe_ratio[1], sell stdev[10] | 1582 | 179 | 2087 |
| Apr 2005...buy corr[2], sell prcvd_risk[10] | 1497 | 198 | 1978 |
| May 2005...buy pair_dif20[1], sell gain4[10] | 1628 | 188 | 2094 |
| June 2005...buy resist2[10], sell resist2[1] | 1711 | 182 | 2156 |
| July 2005...buy stdev[1], sell prcvd_risk[10] | 1776 | 159 | 2305 |
| Aug 2005...buy pave[10], sell gain1[10] | 1775 | 161 | 2270 |
| Sep 2005...buy 1monthgain[1], sell stdev[1] | 1754 | 161 | 2277 |
| Oct 2005...buy prd_3yrs[10], sell yeargain[10] | 1701 | 168 | 2212 |
| Nov 2005...buy break_ave[1], sell stdev[1] | 1803 | 164 | 2306 |
| Dec 2005...buy yeargain[1], sell mov_ave100[9] | 1835 | 164 | 2307 |
| Jan 2006...buy corr[1], sell yeargain[1] | 1999 | 147 | 2479 |
| Feb 2006...buy corr[10], sell recent_price[1] | 1928 | 144 | 2488 |
| Mar 2006...buy QuickRatio[2], sell PE_ratio[10] | 1969 | 138 | 2571 |
| April 2006...buy Dividend[10], sell prcvd_risk[10] | 1932 | 140 | 2563 |
| May 2006...buy prcvd_risk[10], sell stdev[1] | 1773 | 142 | 2444 |
| June 2006...buy resist2[10], sell pskew[3] | 1764 | 143 | 2433 |
| July 2006...buy PE_ratio[10], sell stdev[1] | 1627 | 140 | 2359 |
| Aug 2006...buy ProfitMargin[3], sell QuickRatio[2] | 1674 | 136 | 2426 |
| Sep 2006...buy pair_dif20[10], sell 3monthgain[1] | 1694 | 131 | 2460 |
| Oct 2006...buy PE_ratio[3], sell ProfitMargin[1] | 1765 | 123 | 2577 |
| Nov 2006...buy afterhours_stat[9], sell NumInstitution[10] | 1802 | 122 | 2637 |
| Dec 2006...buy 1monthgain[1], sell Debt/Equity[4] | 1836 | 120 | 2651 |
| Jan 2007...buy PEratio[10], sell prcvd_risk[1] | 1864 | 116 | 2705 |
| Feb 2007...buy resist2[4], sell prd_3yrs[10] | 1840 | 116 | 2688 |
| Mar 2007...buy prcvd_risk[10], sell stdev[1] | 1854 | 115 | 2696 |
| Apr 2007...buy QuickRatio[3], sell PE_ratio[10] | 1882 | 111 | 2757 |
| May 2007...buy stdev[1], sell prcvd_risk[10] | 1938 | 108 | 2846 |
| Jun 2007...buy corr[10], sell close-low[10] | 1834 | 112 | 2794 |
| Jul 2007...buy stdev[1], sell prcvd_risk[10] | 1736 | 122 | 2612 |
| Aug 2007...buy break_ave[1], sell yeargain[10] | 1707 | 122 | 2629 |
| Sep 2007...buy corr[3], sell gain4[1] | 1734 | 124 | 2660 |
| Oct 2007...buy high-close[10], sell break_ave[9] | 1754 | 122 | 2687 |
| Nov 2007...buy corr[10], sell slice47[10] | 1650 | 132 | 2496 |
| Dec 2007...buy NumInstitution[10], sell gain2[10] | 1632 | 136 | 2459 |
| Jan 2008...buy resist1[10], sell marketcap[2] | 1460 | 143 | 2334 |
| Feb 2008...buy ProfitMargin[4], sell ProfitMargin[10] | 1438 | 152 | 2243 |
| Mar 2008...buy gain3[10], sell mov_20[1] | 1422 | 159 | 2231 |
| Apr 2008...buy gain4[10], sell NumInstitution[9] | 1481 | 161 | 2305 |
| May 2008...buy vskew[1], sell QuickRatio[10] | 1557 | 160 | 2384 |
| Jun 2008...buy QuickRatio[7], sell corr[10] | 1427 | 182 | 2126 |
| Jul 2008...buy recent_price[10], sell mov_ave20[1] | 1370 | 168 | 2197 |
| Aug 2008...buy shorts[10], sell recent_price[1] | 1423 | 162 | 2280 |
| Sep 2008...buy yeargain[10], sell resist3[1] | 1219 | 177 | 2099 |
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