The following table details the results of following the best monthly strategies gotten by compiling the greatest number of years of data we have available at the time.  If it's May of 2006, we look at data compiled from May 1993-2005.  The strategies come from our risk-adjusted "10-slice" tables (though, in the early going at least, it seems clear that using "25-slice" data would give even more impressive results).

We start with $1000 in long, short, and "general market" portfolios.

 

Month/strategy	Long result	Short result	General Market
May 2003...buy lowest 10% of "recent price", sell highest 10% "mov_ave5"	1335	820	1124
June 2003...buy highest 10% "yeargain", sell highest 10% "vave"	1387	785	1155
July 2003...buy "high-close" (10), sell "gain1" (10)	1530	745	1215
Aug 2003...buy "mov_ave5" (1), sell "ptotal" (3)	1634	717	1273
Sep 2003...buy industries 58-63, sell "gain1" (8)	1660	730	1264
Oct 2003...buy "1monthgain" (1), sell industries 92-101	1806	699	1358
Nov 2003...buy "yeargain" (1), sell industries 1-17	1854	673	1403
Dec 2003...buy "stdev" (1), sell "yeargain" (1)	1898	622	1432
Jan 2004...buy "recent price" (1), sell "momentum" (9)	2122	602	1487
Feb 2004...buy mov_ave5[1], sell t_pratio[1]	2115	600	1505
March 2004...buy industries 1 to 17, sell industries 59 through 63	2138	601	1509
April 2004...buy gain1[1], sell mov_ave5[10]	2015	632	1446
May 2004...buy recent price[1], sell recent_price[10]	2010	628	1464
June 2004...buy yeargain[10], sell recent_price[9]	2101	607	1513
July 2004...buy industries 86 through 91, sell industries 1 through 16	2030	607	1420
Aug 2004...buy 1 monthgain[1], sell industries 92-101	1967	586	1413
Sep 2004...buy industries 58 through 63, sell inertia[1]	2026	570	1468
Oct 2004...buy 1monthgain[1], sell industries 92 through 101	2095	557	1501
Nov 2004...buy big_pslice[10], sell industries 1 thru 16	2283	498	1613
Dec 2004...buy vstdev[1], sell industries 45 thru 57	2334	479	1673
Jan 2005...buy recent_price[1], sell momentum[8]	2099	496	1601
Feb 2005...buy vstdev[1], sell ptotal[1]	2105	490	1622
Mar 2005...buy industries 1 thru 15, sell industries 29 thru 44	2032	508	1579
Apr 2005...buy gain1[1], sell resist3[9]	1875	535	1497
May 2005...buy break_ave[2], sell mov_ave100[9]	2045	513	1585
Jun 2005...buy resist1[10], sell yeargain[2]	2147	497	1632
July 2005...buy gain1[1], sell gain1[9]	2376	463	1745
Aug 2005...buy momentum[1], sell pkurt[1]	2351	470	1719
Sep 2005...buy vave[1], sell recent_price[10]	2366	464	1724
Oct 2005...buy 1monthgain[1], sell break_ave[10]	2280	491	1674
Nov 2005...buy big_pslice[10], sell break_ave[10]	2384	462	1745
Dec 2005...buy vstdev[1], sell recent_std[10]	2385	461	1746
Jan 2006...buy recent_price[1], sell momentum[9]	2693	427	1876
Feb 2006...buy mov_ave5[1], sell big_pslice[1]	2737	432	1882
Mar 2006...buy prd_max[10], sell recent_price[10]	2837	420	1944
Apr 2006...buy close-low[1], sell high-close[1]	2862	428	1938
May 2006...buy leadership[9], sell close-low[10]	2712	451	1848
June 2006...buy stdev[1], sell resist2[1]	2727	457	1840
July 2006...buy gain1[1], sell high-close[2]	2651	478	1784
Aug 2006...buy high-close[10], sell high-moment[9]	2750	472	1835
Sep 2006...buy high-close[10], sell prd_max[1]	2766	460	1860
Oct 2006...buy marketcap[10], sell high_moment[10]	2836	434	1948
Nov 2006...buy prd_max[10], sell pair_dif[9]	2906	424	1993
Dec 2006...buy stdev[1], sell stdev[10]	2959	424	2003
Jan 2007...buy recent_price[1], sell momentum[9]	3043	414	2044
Feb 2007...buy stdev[1], sell gain1[10]	3034	420	2031
Mar 2007...buy prd_lastyear[10], sell prd_lastyear[1]	3035	420	2037
Apr 2007...buy gain1[1], sell high-close[1]	3137	420	2083
May 2007...buy prcvd_risk[10], sell recent_price[10]	3231	403	2150
Jun 2007...buy close-low[1], sell yeargain[1]	3158	411	2111
Jul 2007...buy gain1[1], sell mov_ave5[10]	2817	431	1974
Aug 2007...buy high-close[10], sell high-close[2]	2760	427	1987
Sep 2007...buy high-close[10], sell prd_3yrs[4]	2766	426	2011
Oct 2007...buy corr[9], sell gain1[10]	2729	424	2032
Nov 2007...buy corr_f[1], sell high-close[1]	2531	454	1888
Dec 2007...buy stdev[1], sell close-low[10]	2526	470	1860
Jan 2008...buy recent_price[1], sell prcvd_risk[4]	2353	490	1765
Feb 2008...buy gain1[2], sell gain1[10]	2305	536	1696
Mar 2008...buy slice97[1], sell break_ave[9]	2257	531	1687
Apr 2008...buy close-low[1], sell high-close[2]	2295	510	1743
May 2008...buy recent_price[1], sell resist2[9]	2390	492	1803
Jun 2008...buy resist3[10], sell yeargain[1]	2357	588	1608
Jul 2008...buy marketcap[1], sell high_moment[9]	2482	576	1662
Aug 2008...buy mov_ave5[5], sell high_moment[8]	2563	559	1725
Sep 2008...buy yeargain[10], sell prd_max[1]	2196	623	1588

Copyright © 2008 MarketSynopsis.com. All rights reserved.