Re: [amibroker] Off Topic : (seasonal investing)strategy !

[Natasha M S <dynomitedoll_ddd@xxxxxxxxx>]

Joe Landry <jelandry@xxxxxxxxxxxxx> wrote:

Natasha - Welcome on board,  I don't consider it spam and I'm interested in comments about investment styles, seasonal trends... I guess you would call this effect seasonal.  Dec or early Jan is when the Dogs of the Dow get picked also.  What's the old addage - in by October and out by May?  Watch out for mid Jan, and April 15 are other key dates.

 

Usually I get  my education on trading ideas and strategies from other forums, but I would welcome some discussion in this area in the Amibroker community.  I note and read most of the time Yuki and Dimitris's comments on the N225 on this board, but that may be the only thread that goes on with general interest.

 

Best regards

JOE

 

                         $$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$

  Hi,              

             For those who are interested in seasonal investing strategies: (Just for info)

Most of the market’s gains occur during the months November through April. An analysis of the average gains for each month shows that November, December, January, March and April have been outstanding months since 1950. Add February and our “Best Six Months” strategy is born. These six consecutive months gained 9221.61 Dow points in 50 years while the remaining May through October months gained only 1299.03 points.Market timer Sy Harding, in his book, Riding The Bear, took our November-through-April strategy, enhanced it, and termed it the “Best mechanical system ever.” He simply used the MACD indicator developed by our old friend Gerald Appel to enter the “Best Six Months” period up to several weeks earlier, if the market was in an uptrend.

Gerald Appel recommends an 8-17-9 MACD to generate buy signals and a 12-25-9 MACD to confirm a sell signal for a stock, which has had a strong bullish move.

Actual Entry and Exit Dates : DOW

MACD	Worst 6 Months				MACD	Best 6 Months
Signal	May-October*		Investing		Signal	November-April*		Investing
Date	DJIA	% Change	10,000		Date	DJIA	% Change	10,000
22-Apr-50	213.90	7.3	10,730		14-Nov-50	229.54	13.3	11,330
10-May-51	260.07	0.1	10,741		13-Nov-51	260.41	1.9	11,545
5-Apr-52	265.44	1.4	10,891		31-Oct-52	269.23	2.1	11,788
30-Apr-53	274.75	0.2	10,913		23-Oct-53	275.34	17.1	13,804
14-May-54	322.50	13.5	12,386		5-Nov-54	366.00	16.3	16,054
29-Apr-55	425.65	7.7	13,340		21-Oct-55	458.47	13.1	18,157
9-Apr-56	518.52	-6.8	12,433		8-Oct-56	483.38	2.8	18,665
9-May-57	496.76	-12.3	10,904		29-Oct-57	435.76	4.9	19,580
16-May-58	457.10	17.3	12,790		6-Oct-58	536.29	16.7	22,849
5-May-59	625.90	1.6	12,994		6-Oct-59	636.06	-3.1	22,141
22-Apr-60	616.32	-4.9	12,358		7-Oct-60	586.42	16.9	25,883
21-Apr-61	685.26	2.9	12,716		9-Oct-61	705.42	-1.5	25,495
23-Apr-62	694.61	-15.3	10,771		10-Oct-62	588.14	22.4	31,205
1-May-63	719.67	4.3	11,234		18-Oct-63	750.60	9.6	34,201
14-Apr-64	822.95	6.7	11,986		9-Nov-64	878.08	6.2	36,322
19-May-65	932.12	2.6	12,298		26-Oct-65	956.32	-2.5	35,414
2-May-66	931.95	-16.4	10,281		17-Oct-66	778.89	14.3	40,478
12-May-67	890.03	-2.1	10,065		21-Nov-67	870.95	5.5	42,704
8-May-68	918.86	3.4	10,407		14-Oct-68	949.96	0.2	42,789
21-May-69	951.78	-11.9	9,169		16-Oct-69	838.77	-6.7	39,923
15-Apr-70	782.60	-1.4	9,040		6-Nov-70	771.97	20.8	48,226
3-May-71	932.41	-11.0	8,046		29-Nov-71	829.73	15.4	55,653
24-Apr-72	957.48	-0.6	7,998		25-Oct-72	951.38	-1.4	54,874
26-Apr-73	937.76	-11.0	7,118		11-Dec-73	834.18	0.1	54,929
26-Apr-74	834.64	-22.4	5,524		10-Oct-74	648.08	28.2	70,419
1-May-75	830.96	0.1	5,529		17-Oct-75	832.18	18.5	83,447
5-May-76	986.46	-3.4	5,341		28-Oct-76	952.63	-3.0	80,943
27-Apr-77	923.76	-11.4	4,732		31-Oct-77	818.35	0.5	81,348
9-May-78	822.07	-4.5	4,519		14-Nov-78	785.26	9.3	88,913
17-Apr-79	857.93	-5.3	4,280		5-Nov-79	812.63	7.0	95,137
20-Jun-80	869.71	9.3	4,678		10-Oct-80	950.68	4.7	99,609
1-May-81	995.59	-14.6	3,995		14-Oct-81	850.65	0.4	100,007
4-May-82	854.45	15.5	4,614		8-Oct-82	986.85	23.5	123,509
13-May-83	1218.75	2.5	4,729		21-Oct-83	1248.88	-7.3	114,493
11-May-84	1157.14	3.3	4,886		17-Oct-84	1195.89	3.9	118,958
1-May-85	1242.05	7.0	5,228		4-Oct-85	1328.74	38.1	164,281
25-Apr-86	1835.57	-2.8	5,081		6-Oct-86	1784.45	28.2	210,608
13-Apr-87	2287.07	-14.9	4,324		4-Nov-87	1945.29	3.0	216,926
10-May-88	2003.65	6.1	4,588		12-Oct-88	2126.24	11.8	242,523
8-May-89	2376.47	9.8	5,037		14-Nov-89	2610.25	3.3	250,527
20-Apr-90	2695.95	-6.7	4,700		22-Oct-90	2516.09	15.8	290,110
26-Apr-91	2912.38	4.8	4,926		17-Oct-91	3053.00	11.3	322,892
11-May-92	3397.58	-6.2	4,620		21-Oct-92	3187.10	6.6	344,203
26-Apr-93	3398.37	5.5	4,874		7-Oct-93	3583.63	5.6	363,478
13-Jun-94	3783.12	3.7	5,055		17-Oct-94	3923.93	13.1	411,094
23-May-95	4436.44	7.2	5,418		23-Oct-95	4755.48	16.7	479,747
17-Apr-96	5549.93	9.2	5,917		17-Oct-96	6059.20	21.9	584,811
27-May-97	7383.41	3.6	6,130		18-Nov-97	7650.82	18.5	693,001
24-Apr-98	9064.62	-12.4	5,370		13-Oct-98	7938.14	39.9	969,509
13-May-99	11107.19	-6.4	5,026		20-Oct-99	10392.36	5.1	1,018,954
13-Apr-00	10923.55	-6.0	4,725		23-Oct-00	10271.72	5.4	1,073,978
11-May-01	10821.31	-17.3	3,907		2-Oct-01	8950.59	15.8	1,243,666
1-Apr-02	10362.70	-25.2	2,923		2-Oct-02	7755.61	6.0	1,318,286
10-Apr-03	8221.33	16.4	3,402		3-Oct-03	9572.31	7.8	1,421,112
20-Apr-04	10314.50	-0.9	3,371		4-Oct-04	10216.54
		55-Year Loss	($6,629)				54-Year Gain	$1,411,112
* MACD generated entry and exit points (earlier or later)
can lengthen or shorten eight month periods

Actual Entry and Exit Dates : NASDAQ

MACD	Worst 4 Months				MACD	Best 8 Months
Signal	July 1-Oct 31*		Investing		Signal	Nov 1-June 30*		Investing
Date	NASDAQ	% Change	10,000		Date	NASDAQ	% Change	10,000
22-Apr-50	109.54	-3.6	9,640		4-Nov-71	105.56	24.1	12,410
7-Jun-72	131.00	-1.8	9,467		23-Oct-72	128.66	-22.7	9,593
25-Jun-73	99.43	-7.2	8,785		7-Dec-73	92.32	-20.2	7,655
3-Jul-74	73.66	-23.2	6,747		7-Oct-74	56.57	47.8	11,314
11-Jun-75	83.60	-9.2	6,126		7-Oct-75	75.88	20.8	13,668
22-Jul-76	91.66	-2.4	5,979		19-Oct-76	89.45	13.2	15,472
27-Jul-77	101.25	-4.0	5,740		4-Nov-77	97.21	26.6	19,587
7-Jun-78	123.10	-6.5	5,367		6-Nov-78	115.08	19.1	23,328
3-Jul-79	137.03	-1.1	5,308		30-Oct-79	135.48	15.5	26,944
20-Jun-80	156.51	26.2	6,698		9-Oct-80	197.53	11.2	29,962
4-Jun-81	219.68	-17.6	5,520		1-Oct-81	181.09	-4.0	28,764
7-Jun-82	173.84	12.5	6,209		7-Oct-82	195.59	57.4	45,274
1-Jun-83	307.95	-10.7	5,545		3-Nov-83	274.86	-14.2	38,845
1-Jun-84	235.90	5.0	5,822		15-Oct-84	247.67	17.3	45,565
3-Jun-85	290.59	-3.0	5,648		1-Oct-85	281.77	39.4	63,518
10-Jun-86	392.83	-10.3	5,066		1-Oct-86	352.34	20.5	76,539
30-Jun-87	424.67	-22.7	3,916		2-Nov-87	328.33	20.1	91,924
8-Jul-88	394.33	-6.6	3,658		29-Nov-88	368.15	22.4	112,514
13-Jun-89	450.73	0.7	3,683		9-Nov-89	454.07	1.9	114,652
11-Jun-90	462.79	-23.0	2,836		2-Oct-90	356.39	39.3	159,711
11-Jun-91	496.62	6.4	3,018		1-Oct-91	528.51	7.4	171,529
11-Jun-92	567.68	1.5	3,063		14-Oct-92	576.22	20.5	206,693
7-Jun-93	694.61	9.9	3,366		1-Oct-93	763.23	-4.4	197,598
17-Jun-94	729.35	5.0	3,534		11-Oct-94	765.57	13.5	224,274
1-Jun-95	868.82	17.2	4,142		13-Oct-95	1018.38	21.6	272,717
3-Jun-96	1238.73	1.0	4,184		7-Oct-96	1250.87	10.3	300,807
4-Jun-97	1379.67	24.4	5,204		3-Oct-97	1715.87	1.8	306,221
1-Jun-98	1746.82	-7.8	4,799		15-Oct-98	1611.01	49.7	458,413
1-Jun-99	2412.03	18.5	5,686		6-Oct-99	2857.21	35.7	622,067
29-Jun-00	3877.23	-18.2	4,651		18-Oct-00	3171.56	-32.2	421,761
1-Jun-01	2149.44	-31.1	3,205		1-Oct-01	1480.46	5.5	444,958
3-Jun-02	1562.56	-24.0	2,436		2-Oct-02	1187.30	38.5	616,267
20-Jun-03	1644.72	16.0	2,825		6-Oct-03	1907.85	3.5	637,836
21-Jun-04	1974.38	-1.6	2,780		1-Oct-04	1942.20
		34-Year Loss	($7,220)				33-Year Gain	$627,836
* MACD generated entry and exit points (earlier or later)
can lengthen or shorten eight month periods

Actual Entry and Exit Dates : S&P 500

MACD	Worst 6 Months				MACD	Best 6 Months
Signal	May-October*		Investing		Signal	November-April*		Investing
Date	S&P500	% Change	10,000		Date	S&P500	% Change	10,000
22-Apr-50	17.96	11.0	11,100		14-Nov-50	19.94	12.9	11,290
10-May-51	22.51	1.2	11,233		13-Nov-51	22.79	5.3	11,888
5-Apr-52	24.00	2.2	11,480		31-Oct-52	24.52	0.4	11,936
30-Apr-53	24.62	-1.1	11,354		23-Oct-53	24.35	18.3	14,120
14-May-54	28.80	13.6	12,898		5-Nov-54	32.71	16.1	16,394
29-Apr-55	37.96	12.2	14,472		21-Oct-55	42.59	14.1	18,705
9-Apr-56	48.61	-4.5	13,821		8-Oct-56	46.43	-0.2	18,668
9-May-57	46.36	-12.2	12,134		29-Oct-57	40.69	6.6	19,900
16-May-58	43.36	16.9	14,185		6-Oct-58	50.68	14.0	22,686
5-May-59	57.75	-1.1	14,029		6-Oct-59	57.09	-2.9	22,028
22-Apr-60	55.42	-2.5	13,678		7-Oct-60	54.03	21.7	26,808
21-Apr-61	65.77	3.3	14,130		9-Oct-61	67.94	0.9	27,049
23-Apr-62	68.53	-16.5	11,798		10-Oct-62	57.24	22.2	33,054
1-May-63	69.97	4.8	12,365		18-Oct-63	73.32	9.1	36,062
14-Apr-64	79.99	6.5	13,168		9-Nov-64	85.19	5.3	37,974
19-May-65	89.67	2.8	13,537		26-Oct-65	92.20	-1.4	37,442
2-May-66	90.90	-14.8	11,534		17-Oct-66	77.47	20.7	45,193
12-May-67	93.48	-0.4	11,488		21-Nov-67	93.10	6.2	47,995
8-May-68	98.91	4.5	12,004		14-Oct-68	103.32	1.1	48,522
21-May-69	104.47	-7.8	11,068		16-Oct-69	96.37	-10.0	43,670
15-Apr-70	86.73	-2.9	10,747		6-Nov-70	84.22	22.6	53,540
3-May-71	103.29	-9.6	9,715		29-Nov-71	93.41	15.8	61,999
24-Apr-72	108.19	2.3	9,939		25-Oct-72	110.72	-1.7	60,945
26-Apr-73	108.89	-11.8	8,766		11-Dec-73	96.04	-6.1	57,227
26-Apr-74	90.18	-21.1	6,917		10-Oct-74	71.14	23.8	70,848
1-May-75	88.10	0.9	6,979		17-Oct-75	88.86	13.5	80,412
5-May-76	100.88	0.7	7,028		28-Oct-76	101.61	-3.6	77,517
27-Apr-77	97.96	-5.7	6,627		31-Oct-77	92.34	3.9	80,540
9-May-78	95.90	-3.6	6,388		14-Nov-78	92.49	9.5	88,192
17-Apr-79	101.24	0.6	6,427		5-Nov-79	101.82	12.0	98,775
20-Jun-80	114.06	14.2	7,339		10-Oct-80	130.29	1.9	100,651
1-May-81	132.72	-10.5	6,569		14-Oct-81	118.80	-1.1	99,544
4-May-82	117.46	11.6	7,331		8-Oct-82	131.05	25.8	125,227
13-May-83	164.90	0.6	7,375		21-Oct-83	165.95	-4.5	119,591
11-May-84	158.49	3.6	7,640		17-Oct-84	164.14	8.7	129,996
1-May-85	178.37	2.5	7,831		4-Oct-85	182.78	32.6	172,374
25-Apr-86	242.29	-3.1	7,588		6-Oct-86	234.78	21.7	209,780
13-Apr-87	285.62	-12.8	6,617		4-Nov-87	248.96	3.5	217,122
10-May-88	257.62	6.4	7,041		12-Oct-88	273.98	11.7	242,525
8-May-89	306.00	10.5	7,780		14-Nov-89	337.99	-0.8	240,585
20-Apr-90	335.12	-6.1	7,305		22-Oct-90	314.76	20.4	289,664
26-Apr-91	379.02	3.4	7,554		17-Oct-91	391.92	6.8	309,361
11-May-92	418.49	-0.7	7,501		21-Oct-92	415.67	4.3	322,664
26-Apr-93	433.54	5.9	7,943		7-Oct-93	459.18	0.0	322,664
13-Jun-94	459.10	2.1	8,110		17-Oct-94	468.96	12.7	363,642
23-May-95	528.58	10.7	8,978		23-Oct-95	585.06	9.7	398,916
17-Apr-96	641.61	10.2	9,894		17-Oct-96	706.99	20.2	479,496
27-May-97	849.71	10.4	10,923		18-Nov-97	938.23	18.1	566,285
24-Apr-98	1107.90	-10.2	9,808		13-Oct-98	994.80	37.5	778,642
13-May-99	1367.56	-5.7	9,249		20-Oct-99	1289.43	11.7	869,743
13-Apr-00	1440.51	-3.1	8,963		23-Oct-00	1395.78	-10.8	775,811
11-May-01	1245.67	-15.6	7,564		2-Oct-01	1051.33	9.1	846,410
1-Apr-02	1146.54	-27.8	5,462		2-Oct-02	827.91	5.3	891,270
10-Apr-03	871.58	18.2	6,456		3-Oct-03	1029.85	8.6	967,919
20-Apr-04	1118.15	1.2	6,533		1-Oct-04	1131.50
		55-Year Loss	($3,467)				54-Year Gain	$957,919
* MACD generated entry and exit points (earlier or later)
can lengthen or shorten eight month periods

 

 

 Warm regards,

  Natasha

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