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The following tables show the best "buy at the beginning of the month, sell at the end" strategies.

Looking through the tables, the strategy of simply buying the cheapest 4% of the Russell 3000 stands out in terms of significance.  Other strong strategies involve the purchase of stocks that lost in a big way at the end of the prior month.

All tables use ranked data from the period May 1993 through Jan 2004.

 
Date(ymd): 930430
Average Gain: 1167.81
Group Stdev: 385.40
Market Focus: 0.7+1.7
(0.00000, 0.00000)
Market Focus5: 0.3+-0.3
p = n = r = 20, period = 180

Dual risk-adjusted data
Top Gaining Groups
2989.31 volume3_10 46.00 to 50.01 (10)+ ptotal 46.00 to 50.01 (10)
2868.29 close-low 1.00 to 6.00 (1)+ gain2 6.00 to 11.00 (2)
2863.88 recent_price 1.00 to 6.00 (1)+ slice3 11.00 to 16.00 (3)
2843.39 recent_price 1.00 to 6.00 (1)+ big_vslice 31.00 to 36.00 (7)
2833.36 recent_price 1.00 to 6.00 (1)+ volume10_60 41.00 to 46.00 (9)
2786.49 recent_price 1.00 to 6.00 (1)+ t_vratio 26.00 to 31.00 (6)
2763.87 mov_ave20 1.00 to 6.00 (1)+ ptot_neg 21.00 to 26.00 (5)
2761.13 recent_price 1.00 to 6.00 (1)+ 1monthgain 41.00 to 46.00 (9)
2744.63 recent_price 1.00 to 6.00 (1)+ mov_ave100 41.00 to 46.00 (9)
2744.54 recent_price 1.00 to 6.00 (1)+ close-low 1.00 to 6.00 (1)
Losing Groups
-1070.56 high-close 1.00 to 6.00 (1)+ break_ave 46.00 to 50.01 (10)
-378.58 move_ave5 41.00 to 46.00 (9)+ t_pratio 6.00 to 11.00 (2)
-313.57 open-yclose 11.00 to 16.00 (3)+ momentum 41.00 to 46.00 (9)
-301.14 momentum 46.00 to 50.01 (10)+ resist2 21.00 to 26.00 (5)
-293.89 recent_price 36.00 to 41.00 (8)+ momentum 46.00 to 50.01 (10)
-285.21 vstdev 1.00 to 6.00 (1)+ t_vratio 16.00 to 21.00 (4)
-272.18 resist2 41.00 to 46.00 (9)+ big_vslice 6.00 to 11.00 (2)
-271.59 open-yclose 46.00 to 50.01 (10)+ break_ave 46.00 to 50.01 (10)
-269.67 move_ave5 41.00 to 46.00 (9)+ ptotal 6.00 to 11.00 (2)
-264.61 close-low 36.00 to 41.00 (8)+ resist1 26.00 to 31.00 (6)
Date(ymd): 930430
Average Gain: 1171.18
Group Stdev: 196.75
Revised h/l prob: 0.51, 7.11
Market Focus: 1.1+0.3
(0.3227, 19.65)
Market Focus5: 0.5+-0.1
p = n = r = 20, period = 180

Risk-adjusted data
Top Gaining Groups
1965.21 recent_price 1.00 to 3.00 (1)
1924.48 momentum 3.00 to 5.00 (2)
1890.84 gain1 1.00 to 3.00 (1)
1889.46 move_ave5 1.00 to 3.00 (1)
1843.55 close-low 3.00 to 5.00 (2)
1805.46 high-close 47.00 to 49.00 (24)
1794.91 close-low 5.00 to 7.00 (3)
1792.05 move_ave5 3.00 to 5.00 (2)
1779.48 vkurt 3.00 to 5.00 (2)
1776.39 recent_price 3.00 to 5.00 (2)
Losing Groups
524.58 1monthgain 39.00 to 41.00 (20)
562.13 gain1 37.00 to 39.00 (19)
602.26 momentum 45.00 to 47.00 (23)
603.99 gain1 45.00 to 47.00 (23)
609.72 move_ave5 45.00 to 47.00 (23)
615.54 break_ave 45.00 to 47.00 (23)
619.88 recent_price 37.00 to 39.00 (19)
628.14 momentum 47.00 to 49.00 (24)
632.41 momentum 41.00 to 43.00 (21)
654.11 gain1 43.00 to 45.00 (22)
Date(ymd): 930430
Average Gain: 1171.44
Group Stdev: 161.87
Revised h/l prob: 0.0, 0.20
Market Focus: 2.8+0.8
(0.00000, 0.3564)
Market Focus5: 1.4+0.6
p = n = r = 20, period = 180

Risk-adjusted data
Top Gaining Groups
1945.79 recent_price 1.00 to 6.00 (1)
1793.85 gain1 1.00 to 6.00 (1)
1770.36 close-low 1.00 to 6.00 (1)
1737.81 move_ave5 1.00 to 6.00 (1)
1713.26 momentum 1.00 to 6.00 (1)
1667.78 mov_ave20 1.00 to 6.00 (1)
1662.03 high-close 46.00 to 50.01 (10)
1565.99 volume10_60 46.00 to 50.01 (10)
1565.03 move_ave5 6.00 to 11.00 (2)
1534.96 mov_ave100 1.00 to 6.00 (1)
Losing Groups
685.57 break_ave 46.00 to 50.01 (10)
717.15 momentum 46.00 to 50.01 (10)
719.67 move_ave5 46.00 to 50.01 (10)
728.19 momentum 41.00 to 46.00 (9)
732.29 high-close 1.00 to 6.00 (1)
744.17 gain1 41.00 to 46.00 (9)
763.07 1monthgain 36.00 to 41.00 (8)
774.56 move_ave5 41.00 to 46.00 (9)
791.09 high-close 6.00 to 11.00 (2)
795.99 gain1 46.00 to 50.01 (10)
Date(ymd): 930430
Average Gain: 30.49
Group Stdev: 13.74
Market Focus: 3.0+0.8
(0.00000, 0.00000)
Market Focus5: 2.6+-0.1
p = n = r = 20, period = 180

Dual Data
Top Gaining Groups
125.63 recent_price 1.00 to 6.00 (1)+ slice3 11.00 to 16.00 (3)
125.40 recent_price 1.00 to 6.00 (1)+ 1monthgain 41.00 to 46.00 (9)
124.02 recent_price 1.00 to 6.00 (1)+ big_vslice 31.00 to 36.00 (7)
121.13 recent_price 1.00 to 6.00 (1)+ yeargain 46.00 to 50.01 (10)
120.11 stdev 46.00 to 50.01 (10)+ vstock_ind 6.00 to 11.00 (2)
117.43 stdev 46.00 to 50.01 (10)+ stock_ind 16.00 to 21.00 (4)
117.02 recent_price 1.00 to 6.00 (1)+ pskew 6.00 to 11.00 (2)
116.12 recent_price 1.00 to 6.00 (1)+ volume10_60 41.00 to 46.00 (9)
113.38 recent_price 1.00 to 6.00 (1)+ volume1_3 46.00 to 50.01 (10)
112.63 recent_price 1.00 to 6.00 (1)+ t_vratio 26.00 to 31.00 (6)
Losing Groups
-23.24 high-close 1.00 to 6.00 (1)+ break_ave 46.00 to 50.01 (10)
-19.62 recent_price 36.00 to 41.00 (8)+ momentum 46.00 to 50.01 (10)
-12.55 best_p 16.00 to 21.00 (4)+ high-close 1.00 to 6.00 (1)
-11.71 momentum 46.00 to 50.01 (10)+ markcap_est 46.00 to 50.01 (10)
-11.00 big_vslice 11.00 to 16.00 (3)+ break_ave 46.00 to 50.01 (10)
-10.98 pave 1.00 to 6.00 (1)+ t_pratio 6.00 to 11.00 (2)
-10.97 recent_price 36.00 to 41.00 (8)+ move_ave5 46.00 to 50.01 (10)
-10.22 high-close 1.00 to 6.00 (1)+ 1monthgain 16.00 to 21.00 (4)
-10.05 gain1 41.00 to 46.00 (9)+ big_vslice 6.00 to 11.00 (2)
-9.85 gain3 46.00 to 50.01 (10)+ break_ave 1.00 to 6.00 (1)
Date(ymd): 930430
Average Gain: 31.08
Group Stdev: 9.09
Market Focus: 5.2+0.6
(0.00000, 0.8768)
Market Focus5: 2.4+0.1
p = n = r = 20, period = 180
Top Gaining Groups
95.17 recent_price 1.00 to 3.00 (1)
73.69 move_ave5 1.00 to 3.00 (1)
71.17 mov_ave100 1.00 to 3.00 (1)
70.94 recent_price 3.00 to 5.00 (2)
70.21 gain1 1.00 to 3.00 (1)
69.72 high-close 49.00 to 50.01 (25)
68.81 mov_ave20 1.00 to 3.00 (1)
67.85 vstdev 47.00 to 49.00 (24)
67.74 high-close 47.00 to 49.00 (24)
67.72 1monthgain 1.00 to 3.00 (1)
Losing Groups
8.53 recent_price 49.00 to 50.01 (25)
10.07 recent_price 37.00 to 39.00 (19)
10.79 stdev 1.00 to 3.00 (1)
12.39 industry 93.77 to 94.76 (24)
12.45 yeargain 29.00 to 31.00 (15)
12.72 gain1 37.00 to 39.00 (19)
13.23 recent_price 47.00 to 49.00 (24)
14.07 vstdev 1.00 to 3.00 (1)
14.15 momentum 41.00 to 43.00 (21)
14.21 recent_price 39.00 to 41.00 (20)
Date(ymd): 930430
Average Gain: 31.08
Group Stdev: 8.17
Market Focus: 5.2+1.1
(0.00000, 0.00000)
Market Focus5: 2.7+0.8
p = n = r = 20, period = 180
Top Gaining Groups
82.19 recent_price 1.00 to 6.00 (1)
63.93 high-close 46.00 to 50.01 (10)
62.91 stdev 46.00 to 50.01 (10)
62.45 momentum 1.00 to 6.00 (1)
61.83 gain1 1.00 to 6.00 (1)
60.24 vstdev 46.00 to 50.01 (10)
59.77 move_ave5 1.00 to 6.00 (1)
58.82 mov_ave20 1.00 to 6.00 (1)
58.62 mov_ave100 1.00 to 6.00 (1)
58.45 pstdev 46.00 to 50.01 (10)
Losing Groups
12.74 recent_price 46.00 to 50.01 (10)
13.45 recent_price 36.00 to 41.00 (8)
13.50 stdev 1.00 to 6.00 (1)
15.07 vstdev 1.00 to 6.00 (1)
15.71 high-close 11.00 to 16.00 (3)
16.16 recent_price 41.00 to 46.00 (9)
16.34 pstdev 1.00 to 6.00 (1)
16.75 vstdev 6.00 to 11.00 (2)
17.19 high-close 1.00 to 6.00 (1)
17.32 pstdev 6.00 to 11.00 (2)

 

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