|
PureBytes Links
Trading Reference Links
|
I agree, Martin - there are many seasonal influences at work.
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Martin Blain" <marty@xxx>
wrote:
>
> 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
>
>
> --------------------------------------------------------------------
------------------
>
>
>
> ----- 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@> 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
------------------------ Yahoo! Groups Sponsor --------------------~-->
Get to your groups with one click. Know instantly when new email arrives
http://us.click.yahoo.com/.7bhrC/MGxNAA/yQLSAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|