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First of all, for a fresh look at the "sell in May" strategy, click here.  When you look at the myriad ways a handy profit could have been made in the "sell in May" period of the last 13 years, it's almost criminal for brokers, analysts, and commentators to recommend that one stay on the sidelines during this period.  But some do.

Next, we've crunched data for full years beginning in January and ending in December in several ways.  Below, on this page, you'll see the results of compounding yearlong data from 1994 to 2007 (14 periods of one year) and looking for the best general predictors of gains and losses for the next year.  All data is ranked.  Risk-adjusted and non-adjusted data is shown (see our presentation page for more info on ranking and risk-adjustment).

At the bottom of this page you also see several studies where we focused on the S&P 500 index going back to 1987.

For the results of an experiment where the yearlong gains and losses were ranked (in addition to the indicators), look here.  The rationale for ranking the results as well as predictors is explained on the page.

For summaries of market behavior in each year from 1985 through 2007, look here (no risk-adjustment) and here (risk-adjusted).

Finally, for a look at charts of the Dow Index for every three year interval since 1970, look here.  The idea would be to compare the current chart to historical charts, though we don't make any claims that such an approach might or might not be productive.

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Looking to the tables below, one very obvious trend emerges:  cheaply-priced stocks dominate the percentage-gains tables.  The statistical significance is often outrageous.  The question, "Does this dominance represent a long term cycle that is set to reverse in coming years?", must be answered by the individual investor.  Conversely, expensive stocks often find themselves in the loss columns.  Bear in mind that stocks with major single-day gains or losses were tossed from the underlying data to make sure it wouldn't be skewed by stock splits or large dividends.

Given the fact that the stock market has made some nice gains over the period examined, the strategy of simply buying and holding volatile stocks has worked well, as these stocks tend to gain and lose in excess of the general market.  These volatile stocks disappear off the tables after risk-adjustment...we believe these tables offer a better idea as to which stocks might perform best regardless of market conditions.  

Stocks of low market-capitalization have done well on both risk-adjusted and non-adjusted basis.

Stocks with poor performances toward the end of the year also tend to do well in the upcoming year.   

Looking at the S&P 500 tables at the bottom of the page, the results are quite similar.  Note that while the strategy of buying stocks that performed well over the parallel time period in the previous year works shows up as a strong strategy in numerous shorter-term tests on our website, this sort of strategy is a recipe for underperformance on longer-term scales.

 
Date(ymd): 931231
Average Gain: 16.47
Group Stdev: 9.79
Market Focus: 4.4+0.6
(na, 7.72)
Market Focus5: 2.2+-0.1

The following three rows of data detail the strongest and weakest yearlong strategies over the period 1994 through 2007

Top Gaining Groups
134.83 recent_price 1.00 to 6.00 (1)+ vslice3 25.01 to 30.01 (6)
131.15 vslice3 25.01 to 30.01 (6)+ prcvd_risk 45.01 to 50.01 (10)
131.08 recent_price 1.00 to 6.00 (1)+ vtotal 11.00 to 16.00 (3)
116.51 leadership 20.01 to 25.01 (5)+ recent_price 1.00 to 6.00 (1)
113.56 recent_price 1.00 to 6.00 (1)+ big_vslice 10.01 to 16.00 (3)
112.46 recent_price 1.00 to 6.00 (1)+ pkurt 21.00 to 26.00 (5)
106.75 recent_price 1.00 to 6.00 (1)+ ptotal 36.00 to 41.00 (8)
106.10 slice97 45.01 to 50.01 (10)+ prcvd_risk 45.01 to 50.01 (10)
104.43 recent_price 1.00 to 6.00 (1)+ slice97 45.01 to 50.01 (10)
102.79 big_vslice 10.01 to 16.00 (3)+ prcvd_risk 45.01 to 50.01 (10)
Losing Groups
-12.62 prd_lastyear 46.00 to 50.01 (10)+ slice3 31.00 to 35.01 (7)
-8.47 recent_price 46.00 to 50.01 (10)+ resist3 46.00 to 50.01 (10)
-8.19 yeargain 46.00 to 50.01 (10)+ slice3 31.00 to 35.01 (7)
-6.57 pair_dif 6.00 to 11.00 (2)+ resist2 40.01 to 46.00 (9)
-6.24 resist1 25.01 to 31.00 (6)+ move_ave5 46.00 to 50.01 (10)
-6.13 afterhours_sta 46.00 to 50.01 (10)+ slice47 1.00 to 5.01 (1)
-5.81 high-close 6.00 to 11.00 (2)+ resist3 6.00 to 11.00 (2)
-5.50 recent_price 30.01 to 36.00 (7)+ vslice47 26.00 to 31.00 (6)
-5.43 slice47 1.00 to 5.01 (1)+ vtotal 41.00 to 46.00 (9)
-4.97 recent_price 46.00 to 50.01 (10)+ open_moment 41.00 to 46.00 (9)
Date(ymd): 931231
Average Gain: 16.95
Group Stdev: 6.62
Market Focus: 7.7+0.6
(0.2273, 2.82)
Market Focus5: 2.1+0.4

Top Gaining Groups
85.12 recent_price 1.00 to 3.00 (1)
68.76 prcvd_risk 49.00 to 50.01 (25)
51.85 momentum 1.00 to 2.01 (1)
49.06 recent_price 3.00 to 5.00 (2)
47.95 high_moment 1.00 to 2.01 (1)
47.53 prcvd_risk 46.01 to 49.00 (24)
46.88 markcap_est 1.00 to 3.00 (1)
46.84 prd_3yrs 5.00 to 7.00 (3)
45.98 1monthgain 1.00 to 3.00 (1)
45.20 open-yclose 1.00 to 2.01 (1)
Losing Groups
3.37 recent_price 30.01 to 33.00 (16)
3.70 prcvd_risk 9.00 to 11.00 (5)
3.71 recent_price 46.01 to 48.01 (24)
4.59 recent_price 48.01 to 50.01 (25)
4.64 industry 94.08 to 94.82 (24)
4.94 recent_price 45.00 to 46.01 (23)
5.43 prcvd_risk 1.00 to 3.00 (1)
5.64 prcvd_risk 3.00 to 5.00 (2)
5.65 move_ave5 31.00 to 33.00 (16)
5.87 recent_price 39.00 to 41.00 (20)
Date(ymd): 931231
Average Gain: 16.95
Group Stdev: 5.60
Market Focus: 6.4+1.1
(0.00306, 0.0008)
Market Focus5: 2.4+0.7

Top Gaining Groups
61.04 recent_price 1.00 to 6.00 (1)
52.70 prcvd_risk 45.01 to 50.01 (10)
39.39 corr 1.00 to 5.01 (1)
39.06 prd_max 1.00 to 5.01 (1)
38.55 markcap_est 1.00 to 6.00 (1)
37.14 recent_std 46.00 to 50.01 (10)
36.36 stdev 46.00 to 50.01 (10)
34.69 prd_lastyear 1.00 to 6.00 (1)
33.56 open_moment 1.00 to 5.01 (1)
33.03 resist3 1.00 to 6.00 (1)
Losing Groups
4.14 recent_price 46.00 to 50.01 (10)
5.83 prcvd_risk 1.00 to 5.01 (1)
6.47 recent_price 30.01 to 36.00 (7)
6.53 prcvd_risk 5.01 to 11.00 (2)
6.70 recent_price 36.00 to 41.00 (8)
7.33 prcvd_risk 11.00 to 16.00 (3)
7.81 prcvd_risk 21.00 to 26.00 (5)
7.82 prcvd_risk 16.00 to 21.00 (4)
7.84 recent_price 41.00 to 46.00 (9)
8.19 recent_price 26.00 to 30.01 (6)

 

Date(ymd): 931231
Average Gain: 1072.43
Group Stdev: 462.21
Market Focus: 2.3+0.2
(50.00, 28.75)
Market Focus5: 0.9+0.0

The following three rows of data detail the strongest and weakest risk-adjusted yearlong strategies over the period 1994 through 2007

Top Gaining Groups
5249.60 recent_price 1.00 to 6.00 (1)+ 3monthgain 16.00 to 20.01 (4)
5200.35 recent_price 1.00 to 6.00 (1)+ vslice3 25.01 to 30.01 (6)
5179.73 recent_price 1.00 to 6.00 (1)+ vtotal 11.00 to 16.00 (3)
4777.06 recent_price 1.00 to 6.00 (1)+ move_ave5 10.01 to 15.01 (3)
4597.96 recent_price 6.00 to 10.01 (2)+ stdev 16.00 to 21.00 (4)
4553.53 recent_price 1.00 to 6.00 (1)+ resist2 16.00 to 20.01 (4)
4468.32 recent_price 1.00 to 6.00 (1)+ corr_f 1.00 to 6.00 (1)
4434.20 close-low 46.00 to 50.01 (10)+ break_ave 35.01 to 41.00 (8)
4355.48 recent_std 6.00 to 11.00 (2)+ ptotal 31.00 to 36.00 (7)
4233.88 recent_price 1.00 to 6.00 (1)+ big_vslice 10.01 to 16.00 (3)
Losing Groups
-528.13 prd_3yrs 41.00 to 45.01 (9)+ gain1 41.00 to 46.00 (9)
-491.20 open-yclose 46.00 to 50.01 (10)+ 1monthgain 26.00 to 31.00 (6)
-433.71 corr 45.01 to 50.01 (10)+ ptotal 46.00 to 50.01 (10)
-424.65 recent_price 30.01 to 36.00 (7)+ stock_ind 26.00 to 31.00 (6)
-408.99 prd_lastyear 46.00 to 50.01 (10)+ slice3 31.00 to 35.01 (7)
-407.24 prcvd_risk 1.00 to 5.01 (1)+ ptotal 46.00 to 50.01 (10)
-390.41 big_vslice 46.00 to 50.01 (10)+ pave 1.00 to 6.00 (1)
-346.51 industry 92.29 to 101.99 (10)+ ptotal 46.00 to 50.01 (10)
-336.84 pair_dif20 46.00 to 50.01 (10)+ vave 25.01 to 30.01 (6)
-330.28 open_moment 46.00 to 50.01 (10)+ vstdev 11.00 to 16.00 (3)
Date(ymd): 931231
Average Gain: 1077.06
Group Stdev: 254.77
Revised h/l prob: 0.0, 11.02
Market Focus: 5.3+0.4
(0.0124, 14.77)
Market Focus5: 0.9+-0.1

Top Gaining Groups
3213.02 recent_price 1.00 to 3.00 (1)
2720.76 markcap_est 1.00 to 3.00 (1)
2569.54 recent_price 3.00 to 5.00 (2)
2275.23 corr 1.00 to 2.01 (1)
2102.68 inertia 45.00 to 47.00 (23)
2061.51 leadership 1.00 to 3.00 (1)
1967.87 open-yclose 1.00 to 2.01 (1)
1953.80 prcvd_risk 49.00 to 50.01 (25)
1903.52 prd_max 1.00 to 3.00 (1)
1887.84 3monthgain 22.01 to 24.01 (12)
Losing Groups
395.53 recent_price 30.01 to 33.00 (16)
472.46 vslice3 13.00 to 14.01 (7)
475.74 open_moment 41.00 to 43.00 (21)
483.02 recent_price 46.01 to 48.01 (24)
533.44 recent_price 45.00 to 46.01 (23)
535.93 corr 38.01 to 40.01 (20)
538.35 volume10_60 29.00 to 31.00 (15)
552.64 afterhours_sta 47.00 to 49.00 (24)
555.31 markcap_est 30.01 to 32.01 (16)
559.53 move_ave5 31.00 to 33.00 (16)
Date(ymd): 931231
Average Gain: 1077.05
Group Stdev: 194.85
Revised h/l prob: 0.0, 0.70
Market Focus: 5.9+0.8
(0.00117, 0.8681)
Market Focus5: 1.3+0.0

Top Gaining Groups
2644.96 recent_price 1.00 to 6.00 (1)
2126.52 markcap_est 1.00 to 6.00 (1)
1929.49 corr 1.00 to 5.01 (1)
1833.07 leadership 1.00 to 6.00 (1)
1745.30 prd_max 1.00 to 5.01 (1)
1733.60 prcvd_risk 45.01 to 50.01 (10)
1675.98 open_moment 1.00 to 5.01 (1)
1626.06 recent_price 6.00 to 10.01 (2)
1556.58 3monthgain 16.00 to 20.01 (4)
1521.23 move_ave5 10.01 to 15.01 (3)
Losing Groups
564.08 recent_price 46.00 to 50.01 (10)
584.76 recent_price 30.01 to 36.00 (7)
660.46 recent_price 26.00 to 30.01 (6)
712.67 volume10_60 10.01 to 16.00 (3)
719.68 pave 1.00 to 6.00 (1)
723.62 recent_price 36.00 to 41.00 (8)
729.76 vslice3 10.01 to 15.01 (3)
729.84 close-low 26.00 to 31.00 (6)
745.57 big_pslice 11.00 to 16.00 (3)
747.10 open-yclose 41.00 to 46.00 (9)

 

Date(ymd): 861231
Average Gain: 9.97
Group Stdev: 2.19
Revised h/l prob: 19.40, 50.02
Market Focus: 0.4+0.1
(15.57, 43.78)
Market Focus5: -0.6+-0.6

The next two rows of data examine yearlong data for large caps only from 1987 through 2007

Top Gaining Groups
18.03 stdev 43.00 to 50.01 (10)
17.78 momentum 1.00 to 7.00 (1)
17.78 prcvd_risk 37.00 to 50.01 (10)
16.11 big_pslice 40.01 to 46.00 (9)
15.78 vskew 28.01 to 34.00 (7)
15.67 prd_3yrs 11.00 to 15.01 (2)
15.58 prd_max 1.00 to 8.00 (1)
15.42 recent_price 18.00 to 26.00 (2)
15.24 pkurt 5.01 to 11.00 (2)
15.11 gain4 1.00 to 8.00 (1)
Losing Groups
3.76 gain2 20.01 to 25.01 (5)
4.00 vslice97 1.00 to 5.01 (1)
5.15 prcvd_risk 1.00 to 2.01 (1)
5.17 gain3 38.00 to 43.01 (9)
5.17 recent_price 48.00 to 49.01 (9)
5.36 volume1_3 26.01 to 30.01 (7)
5.59 stdev 10.00 to 14.01 (3)
5.65 corr 26.01 to 32.01 (3)
5.77 vtotal 40.01 to 45.01 (9)
5.80 afterhours_sta 1.00 to 10.00 (1)
Date(ymd): 861231
Average Gain: 9.97
Group Stdev: 1.54
Revised h/l prob: 2.42, 54.81
Market Focus: 1.4+0.1
(0.1902, 40.57)
Market Focus5: -0.3+-0.5

Top Gaining Groups
16.19 stdev 37.01 to 50.01 (5)
15.66 prcvd_risk 29.01 to 50.01 (5)
14.61 recent_price 1.00 to 26.00 (1)
14.04 prd_3yrs 1.00 to 15.01 (1)
13.70 momentum 1.00 to 11.01 (1)
13.43 industry 61.74 to 76.11 (4)
12.94 3monthgain 40.01 to 50.01 (5)
12.87 pave 38.00 to 50.01 (5)
12.79 prd_max 1.00 to 14.01 (1)
12.75 move_ave5 1.00 to 11.00 (1)
Losing Groups
5.96 recent_price 48.00 to 50.01 (5)
6.22 prcvd_risk 1.00 to 4.01 (1)
6.78 gain3 38.00 to 50.01 (5)
6.84 high_moment 35.01 to 50.01 (5)
6.93 vslice3 41.00 to 50.01 (5)
6.97 gain2 20.01 to 29.01 (3)
7.12 inertia 26.00 to 37.00 (4)
7.14 vslice97 1.00 to 10.00 (1)
7.15 prd_max 44.01 to 50.01 (5)
7.27 vslice47 1.00 to 10.01 (1)

 

Date(ymd): 861231
Average Gain: 811.46
Group Stdev: 177.13
Revised h/l prob: 56.30, 0.0
Market Focus: 0.1+1.5
(39.16, 0.0407)
Market Focus5: -0.4+-0.5

The next two rows of data examine risk-adjusted yearlong data for large caps only from 1987 through 2007

Top Gaining Groups
1307.61 vskew 28.01 to 34.00 (7)
1284.60 vave 1.00 to 6.01 (1)
1243.83 leadership 1.00 to 6.01 (1)
1220.05 big_pslice 40.01 to 46.00 (9)
1208.57 prd_lastyear 31.01 to 36.00 (7)
1197.44 mov_ave100 36.00 to 39.01 (8)
1190.30 vkurt 30.00 to 35.00 (7)
1185.92 open_moment 28.00 to 32.00 (6)
1185.00 recent_std 1.00 to 5.00 (1)
1184.49 pair_dif20 20.00 to 25.01 (5)
Losing Groups
8.50 3monthgain 1.00 to 7.00 (1)
111.39 break_ave 1.00 to 7.01 (1)
189.32 mov_ave100 1.00 to 7.00 (1)
294.51 gain2 20.01 to 25.01 (5)
365.04 slice47 26.00 to 31.00 (6)
371.25 pair_dif20 1.00 to 6.01 (1)
378.44 resist1 1.00 to 6.01 (1)
392.98 vslice97 1.00 to 5.01 (1)
398.63 prd_lastyear 1.00 to 7.01 (1)
423.90 pave 22.00 to 26.01 (6)
Date(ymd): 861231
Average Gain: 810.85
Group Stdev: 123.10
Revised h/l prob: 67.47, 1.74
Market Focus: -0.1+1.2
(56.79, 0.5823)
Market Focus5: -0.5+0.3

Top Gaining Groups
1112.34 leadership 1.00 to 11.01 (1)
1088.61 mov_ave100 31.00 to 39.01 (4)
1087.98 3monthgain 31.00 to 40.01 (4)
1083.39 gain2 13.00 to 20.01 (2)
1064.04 stdev 1.00 to 10.00 (1)
1044.20 markcap_est 40.00 to 46.01 (2)
1034.52 3monthgain 22.01 to 31.00 (3)
1033.52 break_ave 31.01 to 40.01 (4)
1027.77 volume3_10 1.00 to 9.00 (1)
1020.34 high_moment 18.01 to 26.01 (3)
Losing Groups
346.91 3monthgain 1.00 to 12.00 (1)
412.08 break_ave 1.00 to 12.01 (1)
458.93 yeargain 1.00 to 12.01 (1)
458.98 prd_lastyear 1.00 to 12.01 (1)
462.76 mov_ave100 1.00 to 12.00 (1)
534.59 high_moment 35.01 to 50.01 (5)
534.75 1monthgain 1.00 to 11.00 (1)
536.37 resist1 1.00 to 11.01 (1)
572.88 open_moment 40.00 to 50.01 (5)
581.35 pair_dif20 1.00 to 11.00 (1)

 

 

 

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