Archive for the ‘Time-based’ Category

I’m considering whether to discontinue these monthly day-of-month seasonality posts. I’ve been doing these for 16 months now with excellent results: the S&P 500 on the best half of days has returned more than double the worst half of days (26% versus 10% annualized). Those numbers are real-time, not backtested. But I worry that MarketSci […]


Last year, 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 future returns. That’s as true today as it was in 1950. Read more, more, and more. Below are seasonally strong/weak days of the month […]


Last year, 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 future returns. That’s as true today as it was in 1950. Read more, more, and more. Below are seasonally strong/weak days of the month […]


The out-of-sample performance of the day-of-month seasonality idea I began sharing over a year ago has been impressive, with the “best half” of days about 3 times as bullish as the “worst half”. I still don’t see DOM seasonality as a strategy by itself, but I do think it deserves to be one of many […]


Last year, 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 future returns. That’s as true today as it was in 1950. Read more, more, and more. Below are seasonally strong/weak days of the month […]