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Jose
I do believe that this will be a sell in May and go away. In fact I am almost 80% cash right now. But I don't believe this is a general rule. In fact for the past few years and from 1930 until 2000 June would have been a good time to buy. The reason that this will be a sell in May year is that it is the year for Bi-elections in the US.
Martin Blain - Burlington Ontario -905.639.8191 Fax 905.639.5396
http://www.martinblain.com
http://www.saddleworx.com
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----- Original Message -----
From: pumrysh
To: equismetastock@xxxxxxxxxxxxxxx
Sent: Sunday, June 11, 2006 4:47 PM
Subject: [EquisMetaStock Group] Re: Seasonality and the stock markets
Jose,
Okay until further notice I'll be on vacation from June through
September of every year.
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva"
<josesilva22@xxx> wrote:
>
>
> 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@> 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
>
[Non-text portions of this message have been removed]
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