Monday, December 12, 2011

The Mooost Wonderful Tiiiiiiime of the Yearrrrrrrrr!

Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. I demonstrated this most recently in the the blog exactly a year ago. I’ve updated that study below to include last year’s stats.

The stats still appear extremely strong. I normally only show equity curves in my subscriber letter, but I'm in a good mood this morning, so below is a curve using a 5-day holding period.

Aside from the big pullback in 2000, it has been a strong steady move higher. This would seem to confirm the bullish edge.

1 comment:

StrategyTrader said...

Hi Rob. I have bought the swing trading system from you before so I do admire the work you do. I have a couple of questions:

1) What current settings do you use for the various ETFs for the swing system?

2) Also, I tried something else and was wondering if you had any comments. I combined many different studies you have published around a year ago and then looked at the "combined strategy performance" going forward around 12-18months. I found that they traded largely sideways and I was therefore wondering whether you had done similar or had a similar experience and whether you thought the market was becoming much more dynamic thereby eroding historicals and trends and patterns etc