The following table details the gains gotten by using the previous 3 year's best quarterly indicators to predict upcoming quarterly stock behavior.  That is, we compound the previous 3 years of data, search for the best indicators of big gains and losses, and used these indicators to make future forecasts.

We have long and short strategies, and have tested "10 slice" and "dual" strategies against the general market.  The 10 slice data tends to be more significant than the dual data, but the dual data always gives higher gains and losses from a retrospective point of view.  The question arises whether it's better to go with significance or the higher gains, so here we'll have a chance to test that. 

The testing begins in the third quarter of 1996.

 

Quarter/strategies	Long result...10 slice data	Short Result...10 slice data	Dual Strategy	Long result	Short result	General Market
Q3 1996...buy 50-60% "t_vratio", sell lowest 10% of "break_ave"	1035	1009	buy lowest 20% "recent price" + 20-40% "pskew", sell 20-40% "gain3" + 20-40% "vol1_3"	1012	970	1013
Q4 1996...buy 80-90% "t_pratio", sell 60-70% "gain2"	1089	981	buy 40-60% "break_ave" + top 20% "t_pratio", sell lowest 20% "pstdev" + 60-80% "t_pratio"	1091	864	1069
Q1 1997...buy 30-40% "gain3", sell top 10% "mov_ave5"	1085	1057	buy lowest 20% "slice_97" + 60-80% "ptotal", sell highest 20% "close-low" + highest 20% "break_ave"	1065	924	1073
Q2 1997...buy 50-60% "gain1", sell lowest 10% "break_ave"	1251	802	buy 60-80% "pskew" + top 20% "mov_ave100", sell top 20% "pskew" + lowest 20% "ptotal"	1164	718	1238
Q3 1997...buy 50-60% "t_pratio", sell 40-50% "gain2"	1438	691	buy 40-60% "pskew" + 40-60% "t_pratio", sell 60-80% "t_pratio" + lowest 20% "vftotal"	1319	627	1404
Q4 1997...buy 40-50% "gain4", sell lowest 10% "mov_ave100"	1327	747	buy 60-80% "best_p" + lowest 20% "vstdev", sell lowest 20% "break_ave" + highest 20% "pftotal"	1388	695	1282
Q1 1998...buy highest 10% "marketcap", sell highest 10% "mov_ave5"	1454	676	buy 20-40% "stdev" + lowest 20% "break_ave", sell highest 20% "gain1" + highest 20% "break_ave"	1529	634	1405
Q2 1998...buy 80-90% "slice97", sell 70-80% "slice3"	1349	730	buy lowest 20% "momentum" + highest 20% "marketcap", sell lowest 20% "pave" + lowest 20% "vave"	1446	698	1293
Q3 1998...buy 60-70% "gain3", sell top 10% "mov_ave5"	1116	924	buy top 20% "best_p" + lowest 20% "stdev", sell highest 20% "ptotal" + lowest 20% "vftotal"	1233	869	1050
Q4 1998...buy lowest 10% "stdev", sell 60-70% "t_pratio"	1100	868	buy 20-40% "pskew" + lowest 20% "stock_ind", sell highest 20% "recent price" + highest 20% "mov_ave100"	1248	1032	1083
Q1 1999...buy 20-30% "mov_ave20", sell top 10% "momentum"	1024	933	buy 40-60% "momentum" + 20-40% "pftotal", sell highest 20% "recent price" + highest 20% "momentum"	1125	1154	1049
Q2 1999...buy 80-90% "slice97", sell 40-50% "slice97"	1225	780	buy lowest 20% "vave" + 40-60% "t_pratio", sell lowest 20% "vstdev" + 20-40% "ptot_neg"	1332	1002	1209
Q3 1999...buy 40-50% "gain2", sell 30-40% "gain2"	1132	786	buy lowest 20% "vave" + highest 20% "t_vratio", sell 20-40% "t_vratio" + 20-40% "ptot_neg"	1341	1044	1148
Q4 1999...buy lowest 10% "stdev", sell 60-70% "t_pratio"	1077	678	buy 20-40% "pskew" + lowest 20% "stock_ind", sell highest 20% "recent price" + highest 20% "mov_ave100"	1579	679	1272
Q1 2000...buy top 10% "marketcap", sell lowest 10% "stdev"	1254	706	buy highest 20% "pskew" + 20-40% "vskew", sell lowest 20% "vstdev" + 20-40% "vftotal"	1642	670	1391
Q2 2000... buy 80-90% "slice97", sell  40-50% "slice97"	1231	724	buy 20-40% "pskew" + 40-60% "stock_ind", sell top 20% "break_ave" + lowest 20% "t_pratio"	1610	734	1384
Q3 2000...buy 40-50% "gain2", sell 40-50% "gain3"	1305	682	buy 60-80% "break_ave" + top 20% "t_vratio", sell lowest 20% "big_vslice" + 20-40% "pskew"	1595	693	1451
Q4 2000...buy top 10% "t_pratio", sell top 10% "recent price"	1291	852	buy lowest 20% "big_pslice" + lowest 20% "vtotal", sell 60-80% "t_pratio" + top 20% "vtotal"	1649	677	1362
Q1 2001...buy lowest 10% "recent price", sell lowest 10% "stdev"	1810	847	buy 20-40% "vskew" + highest 20% "ptot_neg", sell lowest 20% "stdev" + highest 20% "big_pslice"	1775	698	1332
Q2 2001...buy 30-40% "slice97", sell highest 10% "recent price"	2029	808	buy highest 20% "slice97" + lowest 20% "ptotal", sell highest 20% "break_ave" + lowest 20% "t_pratio"	2203	644	1547
Q3 2001...buy lowest 10% "recent price", sell highest 10% "recent price"	1750	978	buy highest 20% "big_pslice" + 20-40% "t_vratio", sell highest 20% "slice3" + 20-40% "vtotal"	1687	762	1239
Q4 2001...buy 80-90% "break_ave", sell top 10% "recent price"	1973	907	buy highest 20% "t_pratio" + lowest 20% "ptot_neg", sell lowest 20% "t_pratio" + 60-80% "ptot_neg"	2064	388	1556
First quarter 2002...buy cheapest 10% of stocks, sell lowest 10% of "stdev"	2375	844	Buy highest 20% "slice97" + highest 20% "mov_ave100", sell lowest 20% "stdev" + lowest 20% "vtotal"	2277	362	1665
Second quarter 2002...buy lowest 10% of "stdev", sell 10% most expensive stocks	2380	918	Buy lowest 20% "marketcap" + highest 20% "ptotal", sell highest 20% "recent price" + highest 20% "stdev"	2311	443	1507
Third quarter 2002...buy cheapest 10% of stocks, sell 10% most expensive stocks	1696	1056	Buy highest 20% "t_pratio" + 20-40% "t_vratio", sell 60-80% "big_pslice" + top 20% "pkurt"	1957	529	1160
Fourth quarter 2002...buy highest 10% "vstdev", sell highest 10% "recent price"	2346	1030	Buy lowest 20% "big_pslice" + lowest 20% "mov_ave20", sell 20-40% "slice3" + highest 20% "vtotal"	2820	391	1297
First quarter 2003...buy lowest 10% of "recent price", sell lowest 10% of "stdev"	2266	1036	Buy highest 20% "slice97" + highest 20% "mov_ave100", sell lowest 20% "stdev" + lowest 20% "vtotal"	2625	400	1224
Second quarter 2003...buy lowest 10% of "marketcap", sell highest 10% of "marketcap"	3240	847	Buy 60-80% "3monthgain" + lowest 20% "marketcap", sell lowest 20% "3monthgain" + lowest 20% "vtotal"	3169	180	1564
Third quarter 2003...buy highest 10% "slice97", sell 80-90% "slice97"	3604	796	Buy highest 20% "pskew" + lowest 20% "vftotal", sell 20-40% "pskew" + highest 20% "t_pratio"	3431	164	1712
Fourth quarter 2003...buy lowest 10% "yeargain", sell highest 10% "break_ave"	4259	706	Buy highest 20% "pstdev" + 60-80% "pskew", sell highest 20% "big_pslice" + highest 20% "vtotal"	4052	137	1970
First quarter 2004...buy cheapest 10% of stocks, sell highest 10% "break_ave"	4536	674	Buy lowest 20% "marketcap" plus highest 20% "ptot_neg", sell highest 20% "break_ave" + highest 20% "t_pratio"	4136	130	2070
Second quarter 2004...buy marketcap[1], sell marketcap[10]	4480	675	Buy big_pslice[1] + vave[5], sell vave[5] + t_vratio[1]	4207	136	2072
(Discontinued)

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