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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Seasonality effects |
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fwouters
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There are many seasonal effects in the stock market (January effect, September effect, etc ...). I would like to have the ability to test which of my ports/sims perform well during which month and have rules to exlude buying or selling in certain months. In one website I found the following: The stock market is now entering what has historically been the strongest half of the year. The attached chart illustrates that investing in the S&P 500 from the last trading day in October (therefore referred to as the Halloween indicator) through the end of April accounted for the vast majority of S&P 500 gains since 1950. While there are some noteworthy periods in which the Halloween indicator didn't produce (i.e. 1973-74 & 2000-01), the overall out performance is compelling. Any thoughts from the community? Marco, this could be an easy to implement improvement. ---------------------------------------- 
Halloween effect.gif
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(Download Count: 41)
---------------------------------------- Filip ---------------------------------------- [Edit 1 times, last edit by fwouters at Nov 8, 2006 6:25:32 PM] |
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