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16.5 years (1/Jan/1990 - 9/June/2006) of further testing
individual month's seasonality in the Dow index, yields the
following total profit results:
January: +8.3%
February: +9.8%
March: +6.2%
April: +35.4%
May: +20.8%
June: -9.1%
July: +1.1%
August: -22.8%
September: -30.7%
October: +30.4%
November: +37.0%
December: +24.9%
As a result, trading Dow stocks (or its index) between June and
September results in a loss of 50% over the last 16.5 years.
Trading the same securities only between October and May over the
same period, results in an accumulated net profit of 202%, or 12.
2%pa.
Anyone for holidays until 1st October? :)
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva"
<josesilva22@xxx> wrote:
>
> It is often stated that there is a historical period of
> seasonal weakness in US equities between May and October for
> each calendar year.
>
> Could this seasonal bias be the result of just a few past
> yearly anomalies?
>
> Is it relevant to the NASDAQ, or just the Dow and S&P 500
> indices?
>
> Is it relevant to any other markets?
>
> Does this bias exist at the security level, or is it present on
> just some major securities and indices?
>
>
> All these questions and more can be answered with the two
> profit % indicators and exploration below.
>
> Plot both seasonal profit indicators in the same window below
> your price chart, and compare their profit curves.
>
> Run the seasonal profit exploration on your universe of stocks,
> and sort columns according to exploration note instructions to
> determine median profit for each seasonal period.
>
>
> MetaStock -> Tools -> Indicator Builder -> New
> -> Copy and paste two formulae below.
>
> ===========================
> Seasonal Profit % - May-Oct
> ===========================
> ---8<------------------------------------------
>
> { Seasonal Buy & Hold.
> Long: May to Oct.
>
> System Profit Long % - fixed trade size - v2.2
> Basic code - Entry/Exit on Close of signal.
>
> ©Copyright 2005~2006 Jose Silva.
> The grant of this license is for personal use
> only - no resale or repackaging allowed.
> All code remains the property of Jose Silva.
> http://www.metastocktools.com }
>
> { User inputs }
> start:=Input("Start trading at start of Nth month [1-12]",
> 1,12,5);
> end:=Input("End trading at end of Nth month [1-12]",1,12,10);
> cost:=Input("Total Transaction costs (Brokerage + Slippage) %:
> ",0,100,.2)/200;
> plot:=Input("plot: [1]%Profit curve, [2]Trade signals",1,2,1
> );
>
> { Trade Long period }
> trade:=((Month()>=start)-(Month()<=end))<>0;
> trade:=If(start>end,trade,1-trade);
>
> { Entry Long }
> entry:=trade;
>
> { Exit Long }
> exit:=trade=0;
>
> { Trade Binary & clean Entry/Exit signals }
> init:=Cum(IsDefined(entry+exit))=1;
> flag:=ValueWhen(1,entry-exit<>0 OR init,entry);
> entry:=flag*(Alert(flag=0,2)
> OR entry*Cum(entry)=1);
> exit:=(flag=0)*(Alert(flag,2)
> OR exit*Cum(exit)=1);
>
> { Profit % curve }
> EntryVal:=ValueWhen(1,entry,C*(1+cost));
> Profit:=C*(1-cost)/EntryVal-1;
> ProfitPer:=(flag*Profit+Cum(exit*Profit))*100;
>
> { Plot in own window below chart }
> If(plot=1,ProfitPer,entry-exit)
>
> ---8<------------------------------------------
>
>
> =============================
> Seasonal Profit % - Nov-April
> =============================
> ---8<------------------------------------------
>
> { Seasonal Buy & Hold.
> Long: November to April.
>
> System Profit Long % - fixed trade size - v2.2
> Basic code - Entry/Exit on Close of signal.
>
> ©Copyright 2005~2006 Jose Silva.
> The grant of this license is for personal use
> only - no resale or repackaging allowed.
> All code remains the property of Jose Silva.
> http://www.metastocktools.com }
>
> { User inputs }
> start:=Input("Start trading at start of Nth month [1-12]",
> 1,12,11);
> end:=Input("End trading at end of Nth month [1-12]",1,12,4);
> cost:=Input("Total Transaction costs (Brokerage + Slippage) %:
> ",0,100,.2)/200;
> plot:=Input("plot: [1]%Profit curve, [2]Trade signals",1,2,1
> );
>
> { Trade Long period }
> trade:=((Month()>=start)-(Month()<=end))<>0;
> trade:=If(start>end,trade,1-trade);
>
> { Entry Long }
> entry:=trade;
>
> { Exit Long }
> exit:=trade=0;
>
> { Trade Binary & clean Entry/Exit signals }
> init:=Cum(IsDefined(entry+exit))=1;
> flag:=ValueWhen(1,entry-exit<>0 OR init,entry);
> entry:=flag*(Alert(flag=0,2)
> OR entry*Cum(entry)=1);
> exit:=(flag=0)*(Alert(flag,2)
> OR exit*Cum(exit)=1);
>
> { Profit % curve }
> EntryVal:=ValueWhen(1,entry,C*(1+cost));
> Profit:=C*(1-cost)/EntryVal-1;
> ProfitPer:=(flag*Profit+Cum(exit*Profit))*100;
>
> { Plot in own window below chart }
> If(plot=1,ProfitPer,entry-exit)
>
> ---8<------------------------------------------
>
>
>
> MetaStock -> Tools -> The Explorer -> New
> -> Copy and paste formula below.
>
> ===============
> Seasonal profit
> ===============
> ---8<---------------------------
> Notes:
> -----
>
> 1) Click on columns A or B profit % headers
> to rank results by profitability;
>
> 2) Select the middle profit % result,
> so that clicking again on the column header
> (and reversing the profitability order)
> does not change the position of the
> selected result.
>
> Exploration references default values in
> following two indicators:
> "Seasonal Profit % - May-Oct"
> "Seasonal Profit % - Nov-April"
>
> ©Copyright 2004~2006 Jose Silva.
> The grant of this license is for personal use
> only - no resale or repackaging allowed.
> All code remains the property of Jose Silva.
> http://www.metastocktools.com
>
> ------------------
> ------------------
>
> Column A: May-Oct
>
> { May-October seasonal profit % }
> Fml("Seasonal Profit % - May-Oct")
>
> ------------------
> ------------------
>
> Column B: Nov-Apr
>
> { November-April seasonal profit % }
> Fml("Seasonal Profit % - Nov-April")
>
> ------------------
> ------------------
>
> Filter:
>
> colA<>0 OR colB<>0
>
> ---8<---------------------------
>
>
>
> Note for owners of the MACDH Divergence & URSC kits
> ---------------------------------------------------
>
> http://www.metastocktools.com/MACDH/MACDHdiverg.htm
> http://www.metastocktools.com/URSC/URSC.htm
>
>
> To adapt your risk-normalized and annualized profit indicators:
>
>
> 1) Copy "... Profit Long %" & "... Profit Long pa%" indicators.
>
>
> 2) In the "... Profit Long %" indicator,
>
> Change the original code:
>
> ---8<-------------------
> ...
> {* Entry Long *}
> x:=...;
> entry:=x=1;
>
> {* Exit Long *}
> exit:=x=-1;
>
> {* Variable Trade Size % formula *}
> VarSize:=...
>
> ---8<-------------------
>
>
> To new code:
>
> ---8<-------------------
> ...
> {Trade period}
> start:=11;{start}
> VarSize:=4;{end}
> exit:=((Month()>=start)-(Month()<=VarSize))<>0;
> exit:=If(start>VarSize,exit,1-exit);
>
> {Entry/Exit}
> entry:=exit;
> exit:=exit=0;
>
> {Var Size % formula}
> VarSize:=0;
> ...
> ---8<-------------------
>
>
> jose '-)
> http://www.metastocktools.com
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