Every year I post these, been doing that since 2005, here's the
updated stat table, looks like this version will be going on a sell
signal today as the MACD is crossing. This version uses a
standard MACD cross 12/26/9 to exit starting from April 21st
(Instead of May 1st), and a MACD cross to enter back into the
market starting on Oct 16th vs Nov 1st. On the table I show
the dates using the MACD cross, and statistics for the other 6
month time of year.
I don't trade off this stuff, but I always find it intriguing
how all the money in the market has been made in one 6 month time
of year. For example 10,000 turned into 1.89 Million, but
10,000 invested during the other 6 months dropped to $5100,
amazing.
Note this is a big table, you should open it up as a separate
window by clicking on the 'Open in new tab' link on the bottom left
of the image, because in lightbox it will be too small to read.
When it's opened as an image, you can zoom in on it to full
size etc. In fact to make it easier here's a direct link to
the table full size image
always amazes me how during the good 6 months your money gained
97 times it's value
but in the bad 6 months it lost 40%, just nuts
anyway For those of you who have Tradestation I wrote a
basic strategy for this, you can set your own dates, I used the
standard MACD length here but you can set different MACD lengths
for buy and sells, I also threw in an ADX and RSI indicator that
one could use for filters so that you can play around.
If you want it let me know, I'll give you to you with a
workspace
Here's a new Sell in May and go away stats table, I added the
buy and hold and fixed a few typos. I discuss in the weekend
general market newsletter which I just finished
My only curiosity is, how much did capital gains neutralize this
disparity in seasonality? It is something to consider at least in
the staunch difference in the numbers. Obviously capital gains are
less far apart these days...
Buy and hold makes sense for many because of the tax
implications working in favor of those retail investors.
Posted by frtaylor on 25th of Apr 2016 at 08:50 am
This is a great question/point. (For an IRA, of course, it
doesn't matter.) I would think selling at, or just out of, the
money vertical call spreads during the bad six months would be a
good approach, but you'd need to research and develop a specific
set of rules. Or, sell SSO or UPRO (possibly on margin). So it
becomes more complicated if you want to negate the tax
disincentive.
as far as tax issue I don't see a problem, most people have
401K's at jobs that they have invested in mutual funds by Fidelity
or some other place that their company works with. They have
the liberty to move funds to other products (usually once a month)
such as money market or bonds without incurring tax because it's
already in a 401K, by selling out of a market fund that is tied to
the SPX or large cap stocks does not mean removing the funds from
the tax free account, just moving to money market or bonds inside
the tax free vehicle
it's not meant as a system guys - listen to what I state I
actually say in the newsletter, I say that I don't consider this as
a system, but as an interesting statistic anomaly that shows how
most of the gains in the market have been made in one 6 month time
frame of the year.
you probably didn't listen to that part of the newsletter
always amazes me how during the good 6 months your money gained
97 times it's value
but in the bad 6 months it lost 40%, just nuts
anyway For those of you who have Tradestation I wrote a basic
strategy for this, you can set your own dates, I used the standard
MACD length here but you can set different MACD lengths for buy and
sells, I also threw in an ADX and RSI indicator that one could use
for filters so that you can play around.
If you want it let me know, I'll give you to you with a
workspace
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
Updated Sell in May Stats for fun
Posted by matt on 22nd of Apr 2016 at 11:39 am
Every year I post these, been doing that since 2005, here's the updated stat table, looks like this version will be going on a sell signal today as the MACD is crossing. This version uses a standard MACD cross 12/26/9 to exit starting from April 21st (Instead of May 1st), and a MACD cross to enter back into the market starting on Oct 16th vs Nov 1st. On the table I show the dates using the MACD cross, and statistics for the other 6 month time of year.
I don't trade off this stuff, but I always find it intriguing how all the money in the market has been made in one 6 month time of year. For example 10,000 turned into 1.89 Million, but 10,000 invested during the other 6 months dropped to $5100, amazing.
Note this is a big table, you should open it up as a separate window by clicking on the 'Open in new tab' link on the bottom left of the image, because in lightbox it will be too small to read. When it's opened as an image, you can zoom in on it to full size etc. In fact to make it easier here's a direct link to the table full size image
Sell in May Full Image
always amazes me how during the good 6 months your money gained 97 times it's value
but in the bad 6 months it lost 40%, just nuts
anyway For those of you who have Tradestation I wrote a basic strategy for this, you can set your own dates, I used the standard MACD length here but you can set different MACD lengths for buy and sells, I also threw in an ADX and RSI indicator that one could use for filters so that you can play around.
If you want it let me know, I'll give you to you with a workspace
Updated Sell in May Stats
Posted by bobhug on 25th of Apr 2016 at 11:03 am
Matt:
Please paste this update into this same section in "Market Lab". Thanks!
Bob
I will be Bob, we
Posted by matt on 25th of Apr 2016 at 02:08 pm
I will be Bob, we have to revamp that who market lab section anyway
Here's a new Sell in
Posted by matt on 24th of Apr 2016 at 08:30 pm
Here's a new Sell in May and go away stats table, I added the buy and hold and fixed a few typos. I discuss in the weekend general market newsletter which I just finished
General Market Newsletter
Love the work you put into this,
Posted by zitron on 24th of Apr 2016 at 10:52 pm
My only curiosity is, how much did capital gains neutralize this disparity in seasonality? It is something to consider at least in the staunch difference in the numbers. Obviously capital gains are less far apart these days...
Buy and hold makes sense for many because of the tax implications working in favor of those retail investors.
This is a great question/point.
Posted by frtaylor on 25th of Apr 2016 at 08:50 am
This is a great question/point. (For an IRA, of course, it doesn't matter.) I would think selling at, or just out of, the money vertical call spreads during the bad six months would be a good approach, but you'd need to research and develop a specific set of rules. Or, sell SSO or UPRO (possibly on margin). So it becomes more complicated if you want to negate the tax disincentive.
as far as tax issue
Posted by matt on 25th of Apr 2016 at 09:35 am
as far as tax issue I don't see a problem, most people have 401K's at jobs that they have invested in mutual funds by Fidelity or some other place that their company works with. They have the liberty to move funds to other products (usually once a month) such as money market or bonds without incurring tax because it's already in a 401K, by selling out of a market fund that is tied to the SPX or large cap stocks does not mean removing the funds from the tax free account, just moving to money market or bonds inside the tax free vehicle
Of course, and same w/
Posted by frtaylor on 25th of Apr 2016 at 09:37 am
Of course, and same w/ IRA. Just agreeing w/ zitron that for a regular account it's a factor.
it's not meant as a
Posted by matt on 25th of Apr 2016 at 12:06 am
it's not meant as a system guys - listen to what I state I actually say in the newsletter, I say that I don't consider this as a system, but as an interesting statistic anomaly that shows how most of the gains in the market have been made in one 6 month time frame of the year.
you probably didn't listen to that part of the newsletter
That is amazing Matt, thank
Posted by kwalling on 22nd of Apr 2016 at 01:05 pm
That is amazing Matt, thank you so much for putting this together and sharing!
always amazes me how during
Posted by matt on 22nd of Apr 2016 at 11:51 am
always amazes me how during the good 6 months your money gained 97 times it's value
but in the bad 6 months it lost 40%, just nuts
anyway For those of you who have Tradestation I wrote a basic strategy for this, you can set your own dates, I used the standard MACD length here but you can set different MACD lengths for buy and sells, I also threw in an ADX and RSI indicator that one could use for filters so that you can play around.
If you want it let me know, I'll give you to you with a workspace