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 tools in the trader’s toolbox.

Below are seasonally strong/weak days of the month for November, broken out by quartiles. Quartile 1 indicates the strongest days and quartile 4 the weakest.

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For readers new to this idea, 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.

The DOM calendar I present here uses a slightly different (better) methodology. Since beginning to share the calendar in October, 2012, the S&P 500 has averaged 0.11% (33% annualized) on the best half of days, versus 0.04% (10% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.09% (-21% annualized).

To reiterate, as I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

On a personal note, my blogging has been light as of late. I’ve been away working on other projects, for-profit and otherwise (but mostly otherwise). Eventually my drive to post often will return as it always does, but in the meantime, my trading (actual, real-time, and verifiable) continues to shine. To stay up to date on the performance of our strategies, visit MarketSci.com.

Happy Trading,
ms

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.


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 for October, broken out by quartiles. Quartile 1 indicates the strongest days and quartile 4 the weakest.

20130930.01

Real-time results since I began sharing the calendar in October, 2012 have run inline with the historical test.

The S&P 500 has averaged 0.09% (25% annualized) on the best half of days versus 0.04% (11% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.08% (-19% annualized).

As I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

On a personal note, my blogging has been light as of late. I’ve been away working on other projects, for-profit and otherwise (but mostly otherwise). Eventually my drive to post often will return as it always does, but in the meantime, my trading (actual, real-time, and verifiable) continues to shine. To stay up to date on the performance of our strategies, visit MarketSci.com.

Happy Trading,
ms

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.


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 for September, broken out by quartiles. Quartile 1 indicates the strongest days and quartile 4 the weakest.

20130830.01

The strategy was a real dog last month, but generally speaking, real-time results since I began sharing the calendar in October, 2012 have run inline with the historical test.

The S&P 500 has averaged 0.08% (23% annualized) on the best half of days versus 0.04% (12% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.09% (-21% annualized).

As I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

Happy Trading,
ms

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.


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 for August, broken out by quartiles. Quartile 1 indicates the strongest days and quartile 4 the weakest.

20130730.01

Real-time results since I began sharing the calendar in October, 2012 have run inline with the historical test.

The S&P 500 has averaged 0.12% (34% annualized) on the best half of days versus 0.05% (13% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.12% (-26% annualized).

As I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

Happy Trading,
ms

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.


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 in 1950.

Below is the DOM seasonality calendar for next month, broken out by quartiles (read why), with quartile 1 indicating the strongest days and quartile 4 the weakest.

20130701.01

Real-time results since I began sharing the calendar in October of last year have run inline with the historical test.

The S&P 500 has averaged 0.12% (34% annualized) on the best half of days versus 0.01% (4% annualized) on the worst half.

Quartile 4 days (the worst of days) have been particularly bad, with an average return of -0.16% (-33% annualized).

As I stressed when I introduced the concept, day-of-month seasonality never justifies a trade all by itself, but I do think it deserves to be one of many tools in the trader’s toolbox.

Happy Trading,
ms

. . . . .

To stay up to date with what’s happening at the MarketSci Blog, we recommend subscribing to our RSS Feed or Email Feed.