Archive for the ‘Time-based’ Category
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger returns in the future. That’s as true today as it was […]
Filed under: Time-based | 3 Comments
As noted by Paststat, yesterday marked the Dow Jones Industrial Average’s 18th straight winning Tuesday. How rare an event is that? Very… The chart below shows the longest active day-of-week winning streaks for the DJIA since 1900 (regardless of the day of the week). The red arrow marks our current winning streak of 18. It […]
Filed under: Time-based | 8 Comments
There has been an abundance of “Sell in May” analysis out of the quantitative blogosphere this week. A quick roundup: – Turnkey Analyst – Doug Short – Bloodhound Exchange + follow up – Woodshedder – Paststat + follow up – UK Stock Market Almanac – MarketSci + follow up – Plus 99% of posts from […]
Filed under: Time-based | 1 Comment
Day of Month Seasonality for May
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger returns in the future. That’s as true today as it was […]
Filed under: Time-based | 1 Comment
In my previous post, I showed what I think is clear evidence that “sell in May” (i.e. trading the strongest contiguous 6 months of the year) is mostly bunk. In this post, using a simple walk-forward test to minimize hindsight bias, I’ll look at trading the strongest non-contiguous 6 months of the year (i.e. unlike […]
Filed under: Time-based, Trading Strategies | 9 Comments
