Unsupportable Fervor Requires An ETF Wish List [View article]
My research may indicate entries can be random.
However, it is generally better to buy a stock when it is down than when it is up, which I thought is the main point of this article.
I'm not sure ABC... understands my comment but that isn't his fault. I was simply pointing out that it is better to buy stocks below a given average price than above. I was surprised that selling when the price returns to a given average works as well as it does.
Unsupportable Fervor Requires An ETF Wish List [View article]
I worked on a strategy in the 1980s to sell overbought and buy underbought markets where the over and under was defined by the percentage of stocks over or under a given moving average. This stopped working in the mid 80s.
Simple moving average systems (like a 10 day crossing a 40 day) stopped working in the early 80s I think.
Now, moving average systems are better to play backwards. That is, it is better to buy when a stock goes below a given moving average and sell when it crosses above than the reverse. I think this is sort of what the article is discussing.
I've been planning on writing an article about this.
So How Is 'Sell In May, Go Away' Working Out This Year? [View article]
Thanks for linking one of my rare articles.
Something I discovered after the fact was that the median return was substantially lower than the average. I'm not sure what that means except that it suggests that sell in May is a little less good than I thought.
My guess for the current year is that it is good to hold. I think the giant triple top in the S&P from 2000 through now will break to the upside which would give the S&P 500 a possibility of over 2100.(and the Indus 17,000). Who knows, but it's worth a shot.
Higher Yielding Income ETFs Pull Back... Are Stock ETFs Next? [View article]
Thanks for the interesting article.
As you imply, HYG also outperformed LQD during December and January so a return to the mean is not unreasonable.
Personally, I was looking for a yield play in early January and even things like PFF made ridiculous looking jumps on Jan 2. So it seemed advisable to wait. HYG (and JNK) has since retreated to almost its 50 day MA while PFF is on its 20 day. These things seem like decent short term buy ideas at the moment as they are all around support areas.
Why I'm Not Selling In May And Going Away [View article]
Using that logic, when you buy when prices are above the mean you will lose money. I have my doubts that that is true, but a guy pocketing a cool 2.5% every year doesn't need to worry about details.
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
It turned out I used an old spreadsheet for my analysis which had a bug. This can be seen in the EWG detail above where 3/01/05 is the buy date but the sell date is 5/21/12. This is a tough business if one is overly sensitive to making mistakes.
The US ETFs do better with the Sell strategies than the foreign ones.
Fred's strategy works best for US ETFs, while the Buy in October strategy (without the Sell in January) works best for the foreign ones. The Buy in November (no sell in January) seems to be a little worse than Buy in October.
EWG is an interesting choice in that it is one of the worst performers for B&H, however there are other excellent possibilities.
These are impressive numbers as SIM beats B&H for every etf.
My third article http://seekingalpha.co... uses a simple Sell in May Buy in November and gets slightly worse results.
Other than the return discrepancy, my concern is whether the January sell is curve fitting in addition to the October instead of the November buy. I'll check those out a little.
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
In addition to the 2006 Varan mentions with SH, TLT has been around since July 2002 so it couldn't have been bought in 2001. GLD was introduced in late 2005, yet it seems to play a key role in article 2. That doesn't make it easy to accept the analysis.
I've also written a trilogy on this topic so have followed this with some interest.
I cannot agree with the 639% return for trading EWG alone. I think the correct result is 379%.
The table below shows my impression of the strategy - Buy in March, Sell in May, Buy in October, Sell in January
This shows the results of each transaction. The last column shows a running profit and loss. The $4,786,710 in the last row is the total profit. As I found from painful experience, the percent profit is 379% as we must subtract the $1 million initial investment.
Buying in October has been better than November for the last ten years, and selling in January has also worked for that period however it is not clear that the author's use of it is just curve fitting.
Interesting analysis though, but it requires some work to evaluate it.
JPMorgan's (JPM) losses from its disastrous trades could reach $5B or more, the WSJ reports, as the bank struggles to unwind its positions. Major problems include increasing worries about Greece and the the EU economy. Meanwhile, the CFTC becomes the latest government agency to open a probe into the debacle, the NYT reports. [View news story]
As De Niro says in Ronin
I never walk into a place I don't know how to walk out of.
or
Whenever there is any doubt, there is no doubt.
Personally, I don't recall any losses going 2,5,6. You guys are optimists.
A Sell In May Vs. Buy And Hold Investing Comparison Using Key ETFs [View article]
Thanks for your feedback.
In my defense, one could point out that etfs emerged on the scene recently so there is limited data.
The thing of some value here (at least to me) is the algorithm that does the buying and selling.
I'm testing an improvement which also does buying in May and selling in November in addition to analyzing back to 1996. Hopefully something can be submitted later this week.
Unsupportable Fervor Requires An ETF Wish List [View article]
However, it is generally better to buy a stock when it is down than when it is up, which I thought is the main point of this article.
I'm not sure ABC... understands my comment but that isn't his fault. I was simply pointing out that it is better to buy stocks below a given average price than above. I was surprised that selling when the price returns to a given average works as well as it does.
Unsupportable Fervor Requires An ETF Wish List [View article]
Simple moving average systems (like a 10 day crossing a 40 day) stopped working in the early 80s I think.
Now, moving average systems are better to play backwards. That is, it is better to buy when a stock goes below a given moving average and sell when it crosses above than the reverse. I think this is sort of what the article is discussing.
I've been planning on writing an article about this.
So How Is 'Sell In May, Go Away' Working Out This Year? [View article]
Something I discovered after the fact was that the median return was substantially lower than the average. I'm not sure what that means except that it suggests that sell in May is a little less good than I thought.
My guess for the current year is that it is good to hold. I think the giant triple top in the S&P from 2000 through now will break to the upside which would give the S&P 500 a possibility of over 2100.(and the Indus 17,000). Who knows, but it's worth a shot.
Higher Yielding Income ETFs Pull Back... Are Stock ETFs Next? [View article]
As you imply, HYG also outperformed LQD during December and January so a return to the mean is not unreasonable.
Personally, I was looking for a yield play in early January and even things like PFF made ridiculous looking jumps on Jan 2. So it seemed advisable to wait. HYG (and JNK) has since retreated to almost its 50 day MA while PFF is on its 20 day. These things seem like decent short term buy ideas at the moment as they are all around support areas.
When This Indicator Hits 19, Stocks Always Rally [View article]
The statistical critiques seem baseless.
The current bottom is certainly playable from a swing trading perspective.
If anything, the comments here make me more bullish. Thanks for bringing this interesting indicator to my attention.
Why I'm Not Selling In May And Going Away [View article]
I guess the question is what is the mean.
Not every fool can figure that out.
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
Here are my corrected results:
B&H Fred BIO BIN
EWA 298 238 251 198
EWC 173 105 155 176
EWG 38 351 235 176
EWH 96 101 115 94
EWJ 0 41 22 50
EWS 177 134 181 214
EWT 35 173 241 221
EWU 42 147 97 77
EWW 427 359 383 386
EWY 353 425 473 437
EWZ 388 377 709 560
IWM 96 197 166 161
MDY 122 184 206 201
QQQ 44 200 167 68
SPY 38 121 92 85
XLB 119 206 213 185
XLE 164 167 247 236
XLF -29 78 16 36
XLI 51 218 142 141
XLK 15 176 113 37
XLP 62 63 53 56
XLU 65 104 53 81
XLV 53 103 95 116
XLY 97 217 185 145
Avg 122 187 192 172
All strategies work better than B&H
Breaking out the Foreign ETFs
EWA 298 238 251 198
EWC 173 105 155 176
EWG 38 351 235 176
EWH 96 101 115 94
EWJ 0 41 22 50
EWS 177 134 181 214
EWT 35 173 241 221
EWU 42 147 97 77
EWW 427 359 383 386
EWY 353 425 473 437
EWZ 388 377 709 560
184 223 260 235
The US ETFs
IWM 96 197 166 161
MDY 122 184 206 201
QQQ 44 200 167 68
SPY 38 121 92 85
XLB 119 206 213 185
XLE 164 167 247 236
XLF -29 78 16 36
XLI 51 218 142 141
XLK 15 176 113 37
XLP 62 63 53 56
XLU 65 104 53 81
XLV 53 103 95 116
XLY 97 217 185 145
69 156 134 119
The US ETFs do better with the Sell strategies than the foreign ones.
Fred's strategy works best for US ETFs, while the Buy in October strategy (without the Sell in January) works best for the foreign ones. The Buy in November (no sell in January) seems to be a little worse than Buy in October.
EWG is an interesting choice in that it is one of the worst performers for B&H, however there are other excellent possibilities.
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
The Sell Amount is the actual amount and that is $5,786,709 on the last line. This is already subtracted in the P&L.
Therefore the profit is 479% not 379%.
Here are my results for 24 popular etfs using your parms
B&H SIM
EWA 298 484
EWC 173 241
EWG 38 479
EWH 96 218
EWJ 0 32
EWS 177 373
EWT 35 257
EWU 42 160
EWW 427 1096
EWY 353 835
EWZ 388 1273
IWM 96 327
MDY 122 345
QQQ 44 457
SPY 38 189
XLB 119 328
XLE 164 370
XLF -29 1
XLI 51 327
XLK 15 342
XLP 62 181
XLU 65 203
XLV 53 168
XLY 97 375
Average 122 377
These are impressive numbers as SIM beats B&H for every etf.
My third article http://seekingalpha.co... uses a simple Sell in May Buy in November and gets slightly worse results.
Other than the return discrepancy, my concern is whether the January sell is curve fitting in addition to the October instead of the November buy. I'll check those out a little.
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
It is easy to make mistakes in these things.
Regarding the inferred prices... that occured to me, still one might think it was interesting or important enough to bring up..
Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
I've also written a trilogy on this topic so have followed this with some interest.
I cannot agree with the 639% return for trading EWG alone. I think the correct result is 379%.
The table below shows my impression of the strategy - Buy in March, Sell in May, Buy in October, Sell in January
Buy Date Buy Sell Sell Date Shares
03/01/01 16.44 15.65 05/01/01 60827
10/01/01 11.11 13.44 12/31/01 85684
03/01/02 12.78 13.30 05/01/02 90109
10/01/02 8.55 8.86 12/31/02 140169
02/28/03 8.21 9.72 05/01/03 151267
10/01/03 11.65 14.77 12/31/03 126207
03/01/04 15.00 14.06 04/30/04 124272
10/01/04 14.68 17.18 12/31/04 119023
03/01/05 17.07 20.45 05/21/12 119790
09/30/05 17.92 18.83 12/30/05 136703
03/01/06 20.72 22.35 05/01/06 124233
09/29/06 22.28 24.94 12/29/06 124623
03/01/07 25.15 29.30 05/01/07 123583
10/01/07 32.51 33.35 12/31/07 111380
02/29/08 29.15 31.19 05/01/08 127428
10/01/08 22.17 18.16 12/31/08 179273
02/27/09 12.74 16.46 05/01/09 255542
10/01/09 20.86 21.88 12/31/09 201640
03/01/10 19.81 20.86 04/30/10 222710
10/01/10 21.66 23.34 12/31/10 214485
03/01/11 24.91 28.06 04/29/11 200966
09/30/11 18.27 19.22 12/30/11 308654
03/01/12 23.22 22.65 05/01/12 255484
My algorithm invests $1 million initially and reinvests the Sell Amount at the next buy point
Buy Date Buy Amt Sell Amt P/L P/L
03/01/01 1000000 951946 -48054 -48054
10/01/01 951946 1151589 199643 151590
03/01/02 1151589 1198446 46857 198446
10/01/02 1198446 1241898 43452 241898
02/28/03 1241898 1470310 228412 470311
10/01/03 1470310 1864075 393765 864076
03/01/04 1864075 1747260 -116815 747261
10/01/04 1747260 2044818 297558 1044819
03/01/05 2044818 2449709 404891 1449710
09/30/05 2449709 2574108 124399 1574109
03/01/06 2574108 2776608 202500 1776609
09/29/06 2776608 3108106 331498 2108107
03/01/07 3108106 3620974 512868 2620975
10/01/07 3620974 3714533 93559 2714535
02/29/08 3714533 3974487 259954 2974488
10/01/08 3974487 3255601 -718886 2255603
02/27/09 3255601 4206216 950615 3206218
10/01/09 4206216 4411889 205673 3411891
03/01/10 4411889 4645735 233846 3645736
10/01/10 4645735 5006069 360334 4006070
03/01/11 5006069 5639113 633044 4639114
09/30/11 5639113 5932335 293222 4932336
03/01/12 5932335 5786709 -145626 4786710
This shows the results of each transaction. The last column shows a running profit and loss. The $4,786,710 in the last row is the total profit. As I found from painful experience, the percent profit is 379% as we must subtract the $1 million initial investment.
Buying in October has been better than November for the last ten years, and selling in January has also worked for that period however it is not clear that the author's use of it is just curve fitting.
Interesting analysis though, but it requires some work to evaluate it.
Gold: The Fate That Awaits Once Fed Stimulus Ends [View article]
It would be easier to take this wisdom more seriously if someone could find a less used word.
Why I'm Not Selling In May And Going Away [View article]
Data on 320 companies going back to 1996 is used.
JPMorgan's (JPM) losses from its disastrous trades could reach $5B or more, the WSJ reports, as the bank struggles to unwind its positions. Major problems include increasing worries about Greece and the the EU economy. Meanwhile, the CFTC becomes the latest government agency to open a probe into the debacle, the NYT reports. [View news story]
I never walk into a place I don't know how to walk out of.
or
Whenever there is any doubt, there is no doubt.
Personally, I don't recall any losses going 2,5,6. You guys are optimists.
A Sell In May Vs. Buy And Hold Investing Comparison Using Key ETFs [View article]
In my defense, one could point out that etfs emerged on the scene recently so there is limited data.
The thing of some value here (at least to me) is the algorithm that does the buying and selling.
I'm testing an improvement which also does buying in May and selling in November in addition to analyzing back to 1996. Hopefully something can be submitted later this week.
A Sell In May Vs. Buy And Hold Investing Comparison Using Key ETFs [View article]
A gold salesman called me yesterday and I got severely Bernankied, so it's difficult to stay unemotional in this area.
I'll change my algorithm to buy another security instead of going flat in May and will let you know the results.