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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 2009 (16 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: 14.50
Group Stdev: 9.47
Market Focus: 3.9+0.8
(na, 1.68)
Market Focus5: 2.5+0.5

The following three rows of data detail the strongest and weakest yearlong strategies over the period 1994 through 2008

Top Gaining Groups
123.86 recent_price 1.00 to 6.00 (1)+ big_vslice 16.00 to 21.00 (4)
120.52 recent_price 1.00 to 6.00 (1)+ vtotal 11.00 to 16.00 (3)
116.79 recent_price 1.00 to 6.00 (1)+ corr_f 1.00 to 5.01 (1)
112.38 recent_price 1.00 to 6.00 (1)+ vskew 21.00 to 26.00 (5)
110.69 recent_price 1.00 to 6.00 (1)+ pskew 31.00 to 36.00 (7)
107.25 vslice97 5.01 to 10.01 (2)+ prcvd_risk 46.00 to 50.01 (10)
106.29 vskew 21.00 to 26.00 (5)+ prcvd_risk 46.00 to 50.01 (10)
105.95 close-low 45.01 to 50.01 (10)+ high_moment 1.00 to 5.01 (1)
105.29 big_vslice 16.00 to 21.00 (4)+ prcvd_risk 46.00 to 50.01 (10)
105.22 recent_price 1.00 to 6.00 (1)+ vslice47 1.00 to 5.01 (1)
Losing Groups
-16.42 recent_price 45.01 to 50.01 (10)+ resist3 45.01 to 50.01 (10)
-16.39 recent_price 45.01 to 50.01 (10)+ yeargain 45.01 to 50.01 (10)
-15.71 recent_price 45.01 to 50.01 (10)+ prd_lastyear 45.01 to 50.01 (10)
-14.00 recent_price 40.01 to 45.01 (9)+ resist3 45.01 to 50.01 (10)
-13.93 recent_price 40.01 to 45.01 (9)+ prd_lastyear 45.01 to 50.01 (10)
-13.91 recent_price 40.01 to 45.01 (9)+ 1monthgain 46.00 to 50.01 (10)
-13.81 recent_price 45.01 to 50.01 (10)+ resist1 45.01 to 50.01 (10)
-13.42 recent_price 40.01 to 45.01 (9)+ yeargain 45.01 to 50.01 (10)
-13.37 prd_lastyear 45.01 to 50.01 (10)+ prcvd_risk 11.00 to 16.00 (3)
-13.32 yeargain 45.01 to 50.01 (10)+ prcvd_risk 11.00 to 16.00 (3)
Date(ymd): 931231
Average Gain: 15.01
Group Stdev: 6.69
Market Focus: 8.0+0.9
(0.0813, 0.1733)
Market Focus5: 2.8+0.3

Top Gaining Groups
84.66 recent_price 1.00 to 3.00 (1)
74.78 prcvd_risk 49.00 to 50.01 (25)
53.31 prcvd_risk 47.00 to 49.00 (24)
50.57 corr 1.00 to 3.00 (1)
49.35 yeargain 1.00 to 2.01 (1)
48.87 momentum 1.00 to 3.00 (1)
48.84 prd_lastyear 1.00 to 2.01 (1)
46.56 recent_price 3.00 to 5.00 (2)
45.19 prd_3yrs 4.01 to 6.01 (3)
44.96 high_moment 1.00 to 3.00 (1)
Losing Groups
-1.03 recent_price 46.01 to 48.01 (24)
2.04 industry 91.08 to 91.80 (22)
2.52 recent_price 31.00 to 33.00 (16)
2.79 recent_price 48.01 to 50.01 (25)
3.25 prcvd_risk 5.00 to 7.00 (3)
3.49 prcvd_risk 2.01 to 5.00 (2)
3.53 recent_price 38.01 to 40.01 (20)
3.71 prcvd_risk 1.00 to 2.01 (1)
4.29 prd_3yrs 49.00 to 50.01 (25)
4.34 industry 91.80 to 94.12 (23)
Date(ymd): 931231
Average Gain: 15.01
Group Stdev: 5.72
Market Focus: 6.4+1.2
(0.00150, 0.0003)
Market Focus5: 2.3+0.6

Top Gaining Groups
59.26 recent_price 1.00 to 6.00 (1)
57.51 prcvd_risk 46.00 to 50.01 (10)
37.15 corr 1.00 to 5.01 (1)
37.14 markcap_est 1.00 to 5.01 (1)
35.58 yeargain 1.00 to 6.00 (1)
35.42 prd_lastyear 1.00 to 6.00 (1)
35.16 prd_max 1.00 to 6.00 (1)
35.03 recent_std 46.00 to 50.01 (10)
32.60 open_moment 1.00 to 5.01 (1)
32.59 high_moment 1.00 to 5.01 (1)
Losing Groups
1.99 recent_price 45.01 to 50.01 (10)
3.28 prcvd_risk 1.00 to 6.00 (1)
4.50 recent_price 35.01 to 40.01 (8)
4.70 recent_price 40.01 to 45.01 (9)
5.05 prcvd_risk 6.00 to 11.00 (2)
5.58 recent_price 31.00 to 35.01 (7)
5.66 prd_3yrs 45.01 to 50.01 (10)
6.14 industry 86.98 to 92.40 (9)
6.28 prcvd_risk 11.00 to 16.00 (3)
6.46 prd_3yrs 40.01 to 45.01 (9)

 

Date(ymd): 931231
Average Gain: 842.86
Group Stdev: 415.52
Market Focus: 3.1+0.3
(49.88, 16.46)
Market Focus5: 1.6+0.2

The following three rows of data detail the strongest and weakest risk-adjusted yearlong strategies over the period 1994 through 2009

Top Gaining Groups
4617.17 recent_price 1.00 to 6.00 (1)+ big_vslice 16.00 to 21.00 (4)
4536.47 recent_price 1.00 to 6.00 (1)+ vtotal 11.00 to 16.00 (3)
4169.67 recent_price 1.00 to 6.00 (1)+ corr_f 1.00 to 5.01 (1)
4035.77 recent_price 1.00 to 6.00 (1)+ pstdev 1.00 to 5.01 (1)
3990.24 recent_price 1.00 to 6.00 (1)+ pair_dif 20.01 to 25.01 (5)
3974.27 recent_price 1.00 to 6.00 (1)+ gain4 21.00 to 25.01 (5)
3944.65 recent_price 1.00 to 6.00 (1)+ resist3 45.01 to 50.01 (10)
3850.22 recent_price 1.00 to 6.00 (1)+ stock_ind 35.01 to 41.00 (8)
3782.51 recent_price 1.00 to 6.00 (1)+ vskew 21.00 to 26.00 (5)
3765.08 corr 1.00 to 5.01 (1)+ vtotal 11.00 to 16.00 (3)
Losing Groups
-802.75 mov_ave100 40.01 to 45.01 (9)+ prcvd_risk 6.00 to 11.00 (2)
-790.87 recent_price 40.01 to 45.01 (9)+ resist3 45.01 to 50.01 (10)
-757.96 recent_price 45.01 to 50.01 (10)+ resist3 45.01 to 50.01 (10)
-739.07 recent_price 40.01 to 45.01 (9)+ prd_lastyear 45.01 to 50.01 (10)
-731.34 recent_price 40.01 to 45.01 (9)+ momentum 35.01 to 40.01 (8)
-706.62 recent_price 40.01 to 45.01 (9)+ yeargain 45.01 to 50.01 (10)
-677.49 open-yclose 46.00 to 50.01 (10)+ vstdev 41.00 to 46.00 (9)
-675.18 recent_price 26.00 to 31.00 (6)+ gain3 1.00 to 6.00 (1)
-662.34 prd_lastyear 45.01 to 50.01 (10)+ prcvd_risk 11.00 to 16.00 (3)
-649.98 recent_price 45.01 to 50.01 (10)+ yeargain 45.01 to 50.01 (10)
Date(ymd): 931231
Average Gain: 849.31
Group Stdev: 228.84
Market Focus: 6.0+1.0
(0.00330, 1.15)
Market Focus5: 1.3+-0.2

Top Gaining Groups
2924.19 recent_price 1.00 to 3.00 (1)
2240.72 corr 1.00 to 3.00 (1)
2104.84 markcap_est 1.00 to 3.00 (1)
1903.47 prcvd_risk 49.00 to 50.01 (25)
1833.98 open_moment 1.00 to 2.01 (1)
1814.42 recent_price 3.00 to 5.00 (2)
1783.66 open-yclose 1.00 to 3.00 (1)
1770.00 prcvd_risk 47.00 to 49.00 (24)
1693.40 afterhours_sta 1.00 to 2.01 (1)
1641.45 markcap_est 3.00 to 5.00 (2)
Losing Groups
49.39 recent_price 46.01 to 48.01 (24)
247.65 recent_price 31.00 to 33.00 (16)
272.66 pair_dif 20.01 to 22.01 (11)
311.62 prcvd_risk 5.00 to 7.00 (3)
327.05 industry 91.08 to 91.80 (22)
338.84 pstdev 46.01 to 48.01 (24)
362.18 vskew 2.01 to 5.00 (2)
366.15 break_ave 43.00 to 45.00 (22)
373.86 mov_ave20 41.00 to 43.00 (21)
391.67 volume3_10 33.00 to 35.00 (17)
Date(ymd): 931231
Average Gain: 849.60
Group Stdev: 172.85
Revised h/l prob: 0.0, 0.24
Market Focus: 5.5+1.2
(0.00135, 0.0493)
Market Focus5: 1.0+0.3

Top Gaining Groups
2175.79 recent_price 1.00 to 6.00 (1)
1788.30 corr 1.00 to 5.01 (1)
1738.49 markcap_est 1.00 to 5.01 (1)
1668.54 prcvd_risk 46.00 to 50.01 (10)
1403.12 open_moment 1.00 to 5.01 (1)
1357.12 prd_max 1.00 to 6.00 (1)
1326.91 afterhours_sta 1.00 to 5.01 (1)
1317.29 recent_price 6.00 to 11.00 (2)
1281.06 inertia 46.00 to 50.01 (10)
1243.11 volume1_3 46.00 to 50.01 (10)
Losing Groups
316.90 recent_price 45.01 to 50.01 (10)
431.51 recent_price 31.00 to 35.01 (7)
450.01 prcvd_risk 1.00 to 6.00 (1)
473.20 mov_ave20 41.00 to 46.00 (9)
481.24 recent_price 35.01 to 40.01 (8)
497.31 resist2 41.00 to 46.00 (9)
498.02 mov_ave100 40.01 to 45.01 (9)
510.54 recent_price 40.01 to 45.01 (9)
529.95 gain2 41.00 to 46.00 (9)
530.11 vskew 1.00 to 6.00 (1)

 

Date(ymd): 861231
Average Gain: 9.15
Group Stdev: 2.72
Revised h/l prob: 3.42, 38.83
Market Focus: 1.2+0.0
(0.3761, 49.18)
Market Focus5: 0.4+-0.3

The next two rows of data examine yearlong data for large caps only from 1987 through 2009

Top Gaining Groups
18.84 prcvd_risk 36.01 to 50.01 (10)
18.52 recent_price 18.00 to 26.00 (2)
18.25 momentum 1.00 to 7.01 (1)
17.90 markcap_est 45.00 to 47.00 (4)
16.54 stdev 43.00 to 50.01 (10)
16.23 mov_ave20 1.00 to 7.00 (1)
16.17 prd_max 1.00 to 8.00 (1)
15.93 vave 6.00 to 11.00 (2)
15.59 gain3 1.00 to 8.00 (1)
15.55 recent_price 1.00 to 18.00 (1)
Losing Groups
2.33 pave 1.00 to 4.01 (1)
2.49 open-yclose 21.00 to 25.01 (5)
3.03 prcvd_risk 1.00 to 2.01 (1)
3.16 recent_price 49.01 to 50.01 (10)
3.23 vstdev 46.00 to 50.01 (10)
3.43 slice3 16.01 to 21.01 (4)
3.45 slice47 46.00 to 50.01 (10)
3.49 vskew 1.00 to 5.00 (1)
3.73 recent_std 17.01 to 22.01 (5)
3.79 corr 1.00 to 20.00 (1)
Date(ymd): 861231
Average Gain: 9.14
Group Stdev: 2.09
Revised h/l prob: 0.0, 16.46
Market Focus: 1.8+0.3
(0.00100, 18.28)
Market Focus5: 0.5+-0.2

Top Gaining Groups
16.99 recent_price 1.00 to 26.00 (1)
15.84 prcvd_risk 29.01 to 50.01 (5)
15.24 stdev 37.00 to 50.01 (5)
14.43 momentum 1.00 to 12.00 (1)
14.31 industry 61.40 to 76.02 (4)
14.23 high_moment 1.00 to 11.00 (1)
14.07 markcap_est 41.00 to 47.00 (2)
14.06 recent_std 36.01 to 50.01 (5)
13.78 prd_3yrs 1.00 to 15.01 (1)
13.71 gain3 1.00 to 13.00 (1)
Losing Groups
4.15 recent_price 48.00 to 50.01 (5)
4.63 markcap_est 48.01 to 49.01 (4)
4.68 prcvd_risk 1.00 to 4.01 (1)
4.77 pave 1.00 to 8.00 (1)
5.06 open-yclose 21.00 to 30.01 (3)
5.18 big_pslice 1.00 to 11.01 (1)
5.27 gain2 21.00 to 29.01 (3)
5.42 vskew 1.00 to 10.00 (1)
5.63 prd_3yrs 42.01 to 50.01 (5)
5.65 ptotal 1.00 to 10.00 (1)

 

Date(ymd): 861231
Average Gain: 691.97
Group Stdev: 185.54
Revised h/l prob: 55.90, 1.63
Market Focus: 0.3+0.8
(23.28, 2.68)
Market Focus5: 0.0+-0.4

The next two rows of data examine risk-adjusted yearlong data for large caps only from 1987 through 2009

Top Gaining Groups
1194.38 markcap_est 45.00 to 47.00 (4)
1166.98 momentum 1.00 to 7.01 (1)
1159.81 ptotal 36.00 to 41.00 (8)
1142.32 markcap_est 31.01 to 41.00 (2)
1128.44 vave 6.00 to 11.00 (2)
1125.04 volume3_10 12.01 to 16.00 (4)
1109.13 open_moment 28.00 to 32.00 (6)
1107.65 vtotal 39.01 to 45.01 (9)
1092.15 gain2 13.00 to 17.00 (3)
1083.12 vslice3 10.00 to 15.00 (3)
Losing Groups
22.02 3monthgain 1.00 to 7.00 (1)
184.69 open-yclose 21.00 to 25.01 (5)
215.61 gain2 21.00 to 25.01 (5)
237.68 markcap_est 49.00 to 49.01 (8)
239.91 slice97 46.00 to 50.01 (10)
245.02 vslice3 15.00 to 19.00 (4)
257.34 break_ave 1.00 to 7.01 (1)
261.46 afterhours_sta 1.00 to 9.01 (1)
265.14 mov_ave100 1.00 to 7.00 (1)
265.45 high-close 7.01 to 12.00 (2)
Date(ymd): 861231
Average Gain: 691.96
Group Stdev: 133.57
Revised h/l prob: 16.54, 22.28
Market Focus: 0.5+0.2
(8.52, 26.68)
Market Focus5: -0.1+-0.3

Top Gaining Groups
1085.27 markcap_est 41.00 to 47.00 (2)
1034.51 3monthgain 31.01 to 40.00 (4)
1001.32 gain2 13.00 to 21.00 (2)
1000.35 momentum 1.00 to 12.00 (1)
999.29 vave 1.00 to 11.00 (1)
978.09 markcap_est 1.00 to 41.00 (1)
960.90 ptotal 30.01 to 41.00 (4)
947.31 vtotal 39.01 to 50.01 (5)
929.29 volume1_3 34.01 to 50.01 (5)
925.79 vstock_ind 31.00 to 41.00 (4)
Losing Groups
320.28 3monthgain 1.00 to 12.00 (1)
355.27 markcap_est 48.01 to 49.01 (4)
356.13 gain2 21.00 to 29.01 (3)
384.65 momentum 37.00 to 50.01 (5)
393.21 open-yclose 21.00 to 30.01 (3)
418.92 high_moment 36.00 to 50.01 (5)
423.64 recent_price 48.00 to 50.01 (5)
429.05 vstock_ind 1.00 to 10.01 (1)
432.47 leadership 41.01 to 50.01 (5)
436.04 break_ave 1.00 to 12.01 (1)

 

 

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