The following table details the results gotten by looking at the previous year's best quarterly strategy and applying it to the upcoming quarter.  The test begins in Q3 1994 (end of June 1994)  with longs, shorts, and the "general market" investing $1000.  Only "10 slice" strategies were considered.  Industry-based strategies are not examined.

After the fourth quarter of 2004, we will stop using last year's industry trends as predictors.  In other words, if semiconductors were the single best investment in q2 2004, we will not choose semiconductors as the best investment for the upcoming q2 2005.  Instead, we'll look to the next best non-industry indicator.  The reason is simple:  we've noticed that such an approach simply doesn't have much benefit.

It would appear that this strategy of mirroring only the previous year's best results is superior to that of mirroring the last three year's compounded results.  One might say that by the time you've locked in on some sort of long-term trend by compounding a number of years of data, it's time for the trend to diminish or reverse.

At the beginning of  Q3 1994, the Russell 3000 Index value was 255.  For the current value, use the symbol "^rua" at Yahoo.

 

Month/strategy	Long	Short	General Market
Q3 1994...buy 80-90% "yeargain", sell 10-20% "yeargain"	1061	930	1066
Q4 1994... buy lowest 10% "mov_ave20", sell lowest 10% "stdev"	982	949	1032
Q1 1995...buy lowest 10% "recent price", sell 80-90% "recent price"	1159	904	1118
Q2 1995...buy 10-20% "pstdev", sell highest 10% "slice3"	1249	803	1240
Q3 1995...buy highest 10% "high-close", sell lowest 10% "high-close"	1501	733	1371
Q4 1995...buy highest 10% "3monthgain", sell 10-20% "stock_ind"	1529	740	1389
Q1 1996...buy highest 10% "marketcap", sell highest 10% "1monthgain"	1582	698	1470
Q2 1996...buy lowest 10% "vskew", sell highest 10% "mov_ave5"	1690	618	1560
Q3 1996...buy highest 10% "yeargain", sell highest 10% "gain1"	1750	637	1581
Q4 1996...buy lowest 10% "stdev", sell 70-80% "stdev"	1879	611	1668
Q1 1997...buy 20-30% "vave", sell 30-40% "big_vslice"	1873	609	1675
Q2 1997...buy highest 10% "mov_ave100", sell lowest 10% "break_ave"	2122	462	1934
Q3 1997...buy 20-30% "gain1", sell top 10% "close-low"	2401	389	2193
Q4 1997...buy lowest 10% "stdev", sell highest 10% "vave"	2434	436	2002
Q1 1998...buy 20-30% "mov_ave20", sell highest 10% "mov_ave20"	2739	409	2194
Q2 1998...buy highest 10% "recent price", sell highest 10% "stdev"	2426	443	2019
Q3 1998...buy 70-80% "vtotal", sell highest 10% "stdev"	2081	536	1640
Q4 1998...buy lowest 10% "vstdev", sell highest 10% "break_ave"	1972	585	1691
Q1 1999...buy 60-70% "vtotal", sell lowest 10% "stdev"	2040	648	1637
Q2 1999...buy lowest 10% "recent price", sell lowest 10% "stdev"	2764	589	1887
Q3 1999...buy highest 10% "stdev", sell 10-20% "stdev"	2852	647	1792
Q4 1999...buy lowest 10% "mov_ave20", sell highest 10% "recent price"	3390	577	1986
First quarter 2000...buy cheapest 10% of stocks, sell lowest 10% of "stdev"	4387	602	2173
Second quarter 2000...buy 10-20% "1monthgain", sell top 10% "break_ave"	4330	665	2161
Third quarter 2000...buy cheapest 10% of stocks, sell 10-20% "stdev"	4806	615	2267
Fourth quarter 2000...buy highest 10% of "3monthgain", sell lowest 10% of "stdev"	4407	591	2129
First quarter 2001...buy 80-90% "yeargain", sell 10-20% "stdev"	3878	589	2082
Second quarter 2001...buy lowest 10% "stdev", sell highest 10% "recent price"	4305	562	2415
Third quarter 2001...buy lowest 10% "stdev", sell highest 10% "gain1"	4073	748	1934
Fourth quarter 2001...buy lowest 10% "vstdev", sell highest 10% "yeargain"	4313	611	2429
First quarter 2002...buy cheapest 10% of stocks, sell 10% most expensive stocks	5193	594	2597
Second quarter 2002...buy lowest 10% of "marketcap", sell highest 10% of "recent price"	5447	647	2350
Third quarter 2002...buy lowest 10% of "marketcap", sell highest 10% "recent price"	4091	744	1810
Fourth quarter 2002...buy lowest 10% "mov_ave20", sell highest 10% "mov_ave20"	5621	703	2023
First quarter 2003...buy lowest 10% "stdev", sell lowest 10% "ptotal"	5582	717	1910
Second quarter 2003...buy lowest 10% "marketcap", sell lowest 10% "break_ave"	7980	495	2440
Third quarter 2003...buy highest 10% "stdev", sell 50-60% "vtotal"	10008	462	2672
Fourth quarter 2003...buy lowest 10% "mov_ave20", sell highest 10% "mov_ave20"	12015	396	3074
First quarter 2004...buy lowest 10% "mov_ave5", sell 30-40% "stdev"	12978	374	3229
Second quarter 2004...buy lowest 10% "recent price", sell highest 10% "break_ave"	12136	377	3232
Third quarter 2004...buy recent_price[1], sell market_cap[10]	10549	387	3130
Fourth quarter 2004...buy industries 1 thru 17, sell stdev[10]	11518	305	3549
First quarter 2005...buy stdev[1], sell gain3[10]	11229	340	3325
Second quarter 2005...buy pstdev[10], sell stdev[1]	11669	333	3430
Third quarter 2005...buy vskew[1], sell big_pslice[10]	11903	325	3610
Fourth quarter 2005...buy stdev[1], sell stdev[10]	11942	314	3656
First quarter 2006...buy yeargain[9], sell yeargain[1]	13359	266	4071
Second quarter 2006...buy Dividend[10], sell gain3[1]	12924	282	3844
Third quarter 2006...buy gain3[1], sell ProfitMargin[10]	13113	274	3897
Fourth quarter 2006...buy 3monthgain[5], sell CurrentRatio[2]	14058	245	4257
First quarter 2007...buy pstdev[1], sell marketcap[10]	14008	241	4340
Second quarter 2007...buy BookValue/Price[10], sell PERatio[10]	14104	238	4495
Third Quarter 2007...buy stdev[1], sell prd_lastyear[10]	13921	245	4284
Fourth quarter 2007...buy stdev[2], sell  1monthgain[10]	13296	245	3966
First quarter 2008...buy resist3[3], sell ProfitMargin[10]	12512	257	3587
Second quarter 2008...buy prd_3yrs[10], sell Dividend[10]	12946	279	3465
Third Quarter 2008...buy BookValue[3], sell p/e ratio[1]	12047	284	3455

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