Posted by bluezango on 29th of Jan 2016 at 11:16 pm
Does anyone have the tools to backtest the performance of the
last day of each month and last day of each quarter for last 10-20
years? Just has seemed to be more often up days.
Theory is that people managing funds are forced to be invested,
likely have limits on how much cash the portfolio can have.
Customers pay mutual funds and asset managers to be invested, not
willing to pay percent of assets under management for cash. I
just sense they fudge a bit, especially in turbulent times, by
having more cash than "pledged", but, when the period end is there,
they have to be in something.
Actually, the last day of the month tends to be slightly weaker
whereas the first day of the month is when Mutual Fund flows
arrive. Again, trade what you see versus attempting to guess what
the market may do on a given day.
Last Day of Month or Quarter just seems to always be better - theory?
Posted by bluezango on 29th of Jan 2016 at 11:16 pm
Does anyone have the tools to backtest the performance of the last day of each month and last day of each quarter for last 10-20 years? Just has seemed to be more often up days.
Theory is that people managing funds are forced to be invested, likely have limits on how much cash the portfolio can have. Customers pay mutual funds and asset managers to be invested, not willing to pay percent of assets under management for cash. I just sense they fudge a bit, especially in turbulent times, by having more cash than "pledged", but, when the period end is there, they have to be in something.
Actually, the last day of
Posted by steve on 30th of Jan 2016 at 11:02 am
Actually, the last day of the month tends to be slightly weaker whereas the first day of the month is when Mutual Fund flows arrive. Again, trade what you see versus attempting to guess what the market may do on a given day.
Last day of Quarter since 1995 SPY index
Posted by iz_bs on 30th of Jan 2016 at 08:56 am
Last day of quarter look even worse - 84 trades - 31 winners
avg profit per winner 0.58 %
avg loss per looser -0.61 %
I can send you trades list for your reference.
last day of month test since 1995
Posted by iz_bs on 30th of Jan 2016 at 08:44 am
Last day of the month statistic doesn't look great - 103 winners from 253 trades
average winner 0.65% average looser -0.68 %