The following table details the following two monthly strategies:  1) find the most significant monthly strategy over the last 3 years and apply it to the upcoming month and 2) use the best dual monthly strategy over the last 3 years and apply it to the upcoming month.  For example, to find the most significant strategy for the month of May 2001, go here and check out the tables that compound data from 1998-2000.

The logic behind this test is this:  it's tempting to always go with the "dual" indicator tables since the best results in those tables are inevitably a bit eye-popping.  On the other hand, it might be better to stay with the most significant results regardless of how puny the historical results might be.  Though the measured period below is rather short, there's a large gap between the two approaches for both long and short strategies.  It seems that it's better to go with the most significant results from our historical tables.

After making this page, we decided to look back further in time and test more data starting from May 1996.  From May 1996 to April 2001, the long and short strategies (the same as the second and third columns below), and the general market generated gains of 9.9%, -42%, and 45.8%, meaning that these strategies actually underperformed the general market over that period.  To calculate the overall gains from 1996 to present, multiply the present long, short, and general figures by 1.099, .586, and 1.458.  Given the strong results below, however, we ultimately outperformed the market quite nicely (by a factor of 3.65 at the end of the test...March 1, 2004).

The general lesson...three year compounded monthly data is less effective than simply looking at the best results from the previous year only.  Our feeling is that the three years compounded data isn't "responsive" enough to changes in the current investment climate.  In a long term bull or bear market, the data might be especially effective, but in a choppier environment, compounded data seems to lose its value.  On the other hand, we wouldn't rule out the strategy of looking at monthly data that was compounded over an even longer period.

 Click here to look at a test of following only last year's data as a basis for buys and sells.

The strategies come from our risk-adjusted tables.  All strategies begin with $1000 at the beginning of May 2001.

 

Month/strategy	Long...use most significant strategy	Short...use most significant strategy	Dual Strategy	Long...use best dual strategy	Short...use best dual strategy	General Market
May 2001...buy lowest 10% of stocks, sell highest 10% of stocks	1195	978	buy lowest 20% "momentum" + lowest 20% "big_vslice", sell highest 20% "recent price" + highest 20% "gain2"	1068	988	1073
Jun 2001...buy highest 20% "yeargain"+ lowest 20% "mov_ave100", sell highest 10% "recent price"	1218	1006	buy highest 20% "yeargain"+ lowest 20% "mov_ave100", sell highest 20% "3monthgain" + 20-40% "pstdev"	1089	995	1086
July 2001...buy highest 4% "high-close", sell highest 10% "mov_ave5"	1238	1113	buy lowest 20% "marketcap" + lowest 20% "mov_ave20", sell highest 20% "recent price" + 20-40% "pskew"	1157	1026	1060
Aug 2001...buy 64-70% "gain4", sell highest 20% "pftotal" + lowest 20% "t_pratio"	1209	1123	buy lowest 20% "big_vslice" + lowest 20% "vave", sell highest 20% "pftotal" + lowest 20% "t_pratio"	1159	1035	1037
Sep 2001...buy 52-58% "gain1", sell highest 20% "recent price" + 20-40% "mov_ave100"	1076	1207	buy highest 20% "3monthgain" + lowest 20% "vslice3", sell highest 20% "recent price" + 20-40% "mov_ave100"	1027	1112	918
Oct 2001...buy lowest 4% "momentum", sell highest 4% "recent price"	1531	1181	buy lowest 20% "yeargain" + highest 20% "marketcap", sell lowest 20% "pstdev" + highest 20% "mov_ave100"	1380	1136	1022
Nov 2001...buy lowest 20% "slice97" + highest 20% "vstdev", sell highest 20% "recent price" + highest 20% of "stdev"	1809	1084	buy lowest 20% "slice97" + highest 20% "vstdev", sell highest 20% "recent price" + highest 20% of "stdev"	1631	1043	1129
Dec 2001...buy highest 4% "ptotal", sell lowest 10% "marketcap"	2205	1012	buy highest 20% "high-close" + highest 20% "mov_ave100", sell lowest 20% "open-yclose" + 40-60% "1monthgain"	1755	958	1205
Jan 2002...buy lowest 4% "recent price", sell highest 20% "recent price" + lowest 20% "vstdev"	2373	1017	buy highest 20% "big_vslice" + highest 20% "vave", sell highest 20% "recent price" + lowest 20% "vstdev"	1650	963	1192
Feb 2002...buy lowest 20% "mov_ave5" + highest 20% "mov_ave100", sell lowest 10% "break_ave"	2165	1046	.buy lowest 20% "mov_ave5" + highest 20% "mov_ave100", sell lowest 20% "pstdev" + highest 20% "vftotal"	1505	942	1190
March 2002...buy 20-40% "stdev" + lowest 20% "mov_ave100", sell highest 10% "recent price"	2297	1003	buy 20-40% "stdev" + lowest 20% "mov_ave100", sell 20-40% "yeargain" + lowest 20% "vtotal"	1597	843	1302
April 2002...buy lowest 10% "stdev", sell highest 10% "close-low"	2310	1040	buy highest 20% "pskew" + highest 20% "ptotal", sell highest 20% "recent price" + highest 20% "vstdev"	1585	883	1282
May 2002...buy lowest 10% "recent price", sell highest 10% "recent price"	2212	1060	buy lowest 20% "stdev" + lowest 20% "ptot_neg", sell highest 20% "recent price" + highest 20% "vstdev"	1556	932	1239
June 2002...buy lowest 4% "stdev", sell highest 20% "break_ave" + lowest 20% "vtotal"	2217	1089	buy highest 20% "yeargain" + lowest 20% "3monthgain", sell highest 20% "break_ave" + lowest 20% "vtotal"	1473	957	1167
July 2002...buy lowest 10% of "gain1", sell highest 10% "mov_ave5"	1990	1279	buy lowest 20% of "recent price" + lowest 20% "close-low", sell highest 20% "recent price" + highest 20% "mov_ave5"	1273	1061	1016
Aug 2002...buy highest 10% "high-close", sell 56-60% "gain3"	2037	1301	buy highest 20% "yeargain" + highest 20% "gain4", sell 60-80% "close-low" + lowest 20% "stdev"	1274	1061	1014
Sep 2002...buy 80-90% "mov_ave100", sell lowest 20% "t_pratio" + highest 20% "ptot_neg"	1910	1380	buy lowest 20% "t_vratio" + lowest 20% "vftotal", sell lowest 20% "t_pratio" + highest 20% "ptot_neg"	1128	1125	917
Oct 2002...buy lowest 10% "momentum", sell lowest 4% "stdev"	2218	1399	buy highest 20% "open-yclose" + lowest 20% "mov_ave5", sell 20-40% "stdev" + highest 20% "momentum"	1292	1119	961
Nov 2002...buy lowest 20% of "mov_ave100" + lowest 20% "t_vratio", sell highest 20% "recent price" + highest 20% "stdev"	3019	1288	buy lowest 20% of "mov_ave100" + lowest 20% "t_vratio", sell highest 20% "recent price" + highest 20% "stdev"	1759	1030	1080
Dec 2002...buy highest 4% "ptotal", sell lowest 10% "marketcap"	2640	1382	buy highest 20% "big_vslice" + highest 20% "pstdev", sell lowest 20% "1monthgain" + 40-60% "gain4"	1463	1052	1013
Jan 2003...buy lowest 4% "recent price", sell highest 10% "recent price"	2868	1446	buy lowest 20% "mov_ave100" + 20-40% "break_ave", sell 20-40% "pstdev" + highest 20% "break_ave"	1400	1107	974
Feb 2003...buy highest 20% "big_pslice" + highest 20% "mov_ave100", sell lowest 10% "break_ave"	2816	1502	buy highest 20% "big_pslice" + highest 20% "mov_ave100", sell highest 20% of "mov_ave5" + 20-40% "mov_ave100"	1375	1132	937
Mar 2003...buy lowest 20% "pstdev" + highest 20% "ptotal", sell highest 4% "break_ave"	2881	1515	buy lowest 20% "pstdev" + highest 20% "ptotal", sell lowest 20% "ptotal" + 40-60% "stock_ind"	1407	1163	944
April 2003...buy lowest 20% of "yeargain" + lowest 20% "big_pslice", sell highest 10% "gain1"	3440	1306	buy lowest 20% of "yeargain" + lowest 20% "big_pslice", sell highest 20% "gain1" + highest 20% "marketcap"	1680	1000	1040
May 2003...buy lowest 4% "recent price", sell lowest 4% "break_ave"	4697	1103	buy 20-40% "recent price"+ lowest 20% "stdev", sell 20-40% "big_pslice" + highest 20% "vtotal"	1839	877	1169
June 2003...buy highest 20% "yeargain" + lowest 20% "3monthgain", sell highest 10% "marketcap"	4820	1090	buy highest 20% "yeargain" + lowest 20% "3monthgain", sell highest 20% "marketcap" + highest 20% "t_pratio"	1887	868	1202
July 2003...buy lowest 4% "gain1", sell 60-80% "ptot_neg" + highest 20% "stock_ind"	5435	1038	buy highest 20% "high-close" + 20-40% "vstdev", sell 60-80% "ptot_neg" + highest 20% "stock_ind"	2002	826	1264
Aug 2003...buy lowest 10% "mov_ave5", sell 80-90% "break_ave"	5806	989	buy highest 20% "yeargain" + lowest 20% "mov_ave20", sell highest 20% "momentum" + highest 20% "pstdev"	2155	767	1324
Sep 2003...buy lowest 20% "t_vratio" + lowest 20% "vftotal", sell lowest 20% "t_pratio" + highest 20% "ptot_neg"	5772	1000	buy lowest 20% "t_vratio" + lowest 20% "vftotal", sell lowest 20% "t_pratio" + highest 20% "ptot_neg"	2142	776	1315
Oct 2003...buy lowest 4% "mov_ave5", sell lowest 4% "stdev"	6501	972	buy lowest 20% "3monthgain" + highest 20% "stock_ind", sell highest 20% "ptot_neg" + lowest 20% "stock_ind"	2276	726	1413
Nov 2003...buy lowest 4% "recent_price", sell highest 20% "vave" + highest 20% "t_vratio"	6788	938	buy highest 20% "vave" + lowest 20% "ptot_neg", sell highest 20% "vave" + highest 20% "t_vratio"	2366	701	1460
Dec 2003...buy 60-80% "1monthgain" + lowest 20% "pstdev", sell highest 10% "vstdev"	6921	943	buy 60-80% "1monthgain" + lowest 20% "pstdev", sell lowest 20% "t_vratio" + highest 20% "vftotal"	2412	687	1492
Jan 2004...buy lowest 20% "3monthgain" + lowest 20% "ptotal", sell highest 10% "break_ave"	7405	934	buy lowest 20% "3monthgain" + lowest 20% "ptotal", sell lowest 20% "stdev" + highest 20% "break_ave"	2581	681	1549
Feb 2004...buy lowest 10% "stdev", sell highest 10% "vstdev"	7597	964	buy lowest 20% "stdev" + highest 20% "t_pratio", sell highest 20% "marketcap" + highest 20% "vstdev"	2649	681	1568

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