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JTH's Account Talk
- Thread starter JTH
- Start date
JTH
Well-known member
Wednesday
Good morning
Long-term investors who perhaps only want to do 2 trades a year, may want to consider a Sell In May & Go Away strategy. At face value, (without indicators) the best 6 months are in fact better than the worst 6 months, with over 80% of the yearly average gains occurring from November to April. Outlined in the Stock Trader's Almanac with a good illustration in Stockcharts.com you might improve upon this strategy by adding an additional trigger (in this example a weekly MACD). I have not backtested the results myself, but I can tell you it appears this strategy (as I interpreted it) has recently triggered a sell signal.
Additional stats for the month of May can be found in my latest blog Stats for May, thanks for reading…Jason
Good morning
Long-term investors who perhaps only want to do 2 trades a year, may want to consider a Sell In May & Go Away strategy. At face value, (without indicators) the best 6 months are in fact better than the worst 6 months, with over 80% of the yearly average gains occurring from November to April. Outlined in the Stock Trader's Almanac with a good illustration in Stockcharts.com you might improve upon this strategy by adding an additional trigger (in this example a weekly MACD). I have not backtested the results myself, but I can tell you it appears this strategy (as I interpreted it) has recently triggered a sell signal.
Additional stats for the month of May can be found in my latest blog Stats for May, thanks for reading…Jason
JTH
Well-known member
Where The Money Is Made & Lost
Good morning (Mini-Blog Series)
Our Top & Bottom 20% cover a range of 151 months each, while the middle 60% covers the remaining 454 months. If you’ve ever wondered why so few traders can consistently outperform the benchmark S&P 500 index, the chart below illustrates an edge towards the winners.
To truncate, if you avoid the worst month, you might sidestep a -5.54% loss, but if you misstep the best month, you will have lost out on a 6.29% gain. In the meantime the middle months (where most of our time is spent) have a strong upside bias.
-The Top 20% has an average monthly gain of 6.29% and cumulative gain of 950%
-The Bottom 20% has an average loss of -5.54% and cumulative loss of -836%
-This difference gives the Top 20% a monthly edge of .75% and cumulative total edge of 114%.
- The Middle 60% has an impressive 67% win ratio, average gain of .88%, and cumulative gain of 399%.
So at face value, even if we could avoid a Bottom 20% month, the risk of also avoiding a Middle 60% month or a Top 20% month puts us at a statistical disadvantage.
Bonus: April 2024’s -4.16% loss ranks as the 91st worst month, so it does fall within the bottom 20%, but I did not include 2024 data in the study above.
After a Bottom 20% month, the following month had a 60.9% win ratio with an average gain of 1.13%. This is higher than the 63-Year average monthly gain of .68%
Cheers...Jason
Good morning (Mini-Blog Series)
Our Top & Bottom 20% cover a range of 151 months each, while the middle 60% covers the remaining 454 months. If you’ve ever wondered why so few traders can consistently outperform the benchmark S&P 500 index, the chart below illustrates an edge towards the winners.
To truncate, if you avoid the worst month, you might sidestep a -5.54% loss, but if you misstep the best month, you will have lost out on a 6.29% gain. In the meantime the middle months (where most of our time is spent) have a strong upside bias.
-The Top 20% has an average monthly gain of 6.29% and cumulative gain of 950%
-The Bottom 20% has an average loss of -5.54% and cumulative loss of -836%
-This difference gives the Top 20% a monthly edge of .75% and cumulative total edge of 114%.
- The Middle 60% has an impressive 67% win ratio, average gain of .88%, and cumulative gain of 399%.
So at face value, even if we could avoid a Bottom 20% month, the risk of also avoiding a Middle 60% month or a Top 20% month puts us at a statistical disadvantage.
Bonus: April 2024’s -4.16% loss ranks as the 91st worst month, so it does fall within the bottom 20%, but I did not include 2024 data in the study above.
After a Bottom 20% month, the following month had a 60.9% win ratio with an average gain of 1.13%. This is higher than the 63-Year average monthly gain of .68%
Cheers...Jason
Last edited:
JTH
Well-known member
You're welcome, I had originally intended to be a programmer, but I didn't have the skill-set, motivation, or talent
My step dad was a programmer starting in the 70s, he bought me my first PC the Commodore 64, I programed around with Basic (bought the game programing mags), but then puberty hit (started chasing girls) and I didn't get back into computers until 97. I did end up working & retiring out of Cyber Security, but it wasn't my bag, I was a much better manager than technician.
My biggest problem with working in this field was knowing a great deal of everything I learned today, would become obsolete tomorrow. While I've forgotten more than most of the younger guys might learn, if I stepped back in today, I'd be a dinosaur. The whole "Continuous Education" and constantly chasing the next certification didn't make me happy, so here I am plugging away at excel sheets (simple but relaxing).
Thanks for keeping that SSA Sh!t together, I don't even want to imagine how many holes have to be plugged to keep us all from sinking...
JTH
Well-known member
Sunday
Good morning
Our 27-day win ratios are below average, but the 11-day timeframe has picked up some momentum. The G-Fund payout is higher, but this 4.81% estimate does move around from week to week.
On the 1-27 day performance scale, we are in the green up to day 15 with the I-Fund leading at 2.09%.
This week there are only minor fluctuations on the AutoTracker’s Top-600.
For myself, I’m still allocated at 90% in the C-Fund. Over the past 13 sessions I’ve gone from -1.18% YTD to 1.73% YTD, so at least I’m back in the green and have slides back into the Top-600.
Have a great Sunday…Jason
Good morning
Our 27-day win ratios are below average, but the 11-day timeframe has picked up some momentum. The G-Fund payout is higher, but this 4.81% estimate does move around from week to week.
On the 1-27 day performance scale, we are in the green up to day 15 with the I-Fund leading at 2.09%.
This week there are only minor fluctuations on the AutoTracker’s Top-600.
For myself, I’m still allocated at 90% in the C-Fund. Over the past 13 sessions I’ve gone from -1.18% YTD to 1.73% YTD, so at least I’m back in the green and have slides back into the Top-600.
Have a great Sunday…Jason
JTH
Well-known member
Monday
Good morning
We are 11 sessions off the 19-April -5.91% pullback. Of the past 11 sessions, all have closed in the direction of their opening gap.
Of the last 27 times the the index gaped down at the open, 23 sessions closed down giving us an 85% success rate.
Three days into May, at 1.83% MTD, we’re off to a good start, it’s the 3rd best May of 21 years & 8th best of 63 years.
Good morning
We are 11 sessions off the 19-April -5.91% pullback. Of the past 11 sessions, all have closed in the direction of their opening gap.
Of the last 27 times the the index gaped down at the open, 23 sessions closed down giving us an 85% success rate.
Three days into May, at 1.83% MTD, we’re off to a good start, it’s the 3rd best May of 21 years & 8th best of 63 years.
JTH
Well-known member
Monday's Close
From 1961 to 2023 the Month of May has closed up 38 of 63 times giving us an average gain of 2.50% In May-2024 terms, 2.50% is SPX 5162. Today, we've closed above this level at 5180.73
Also, we are now 4 days into May, at 2.83% MTD, currently on track for the 2nd best May over the previous 21 years.
From 1961 to 2023 the Month of May has closed up 38 of 63 times giving us an average gain of 2.50% In May-2024 terms, 2.50% is SPX 5162. Today, we've closed above this level at 5180.73
Also, we are now 4 days into May, at 2.83% MTD, currently on track for the 2nd best May over the previous 21 years.
JTH
Well-known member
Tuesday
Good morning
Here's part 2 of this mini series.
Where The Money Is Made & Lost: Presidential Cycles
Good morning
Here's part 2 of this mini series.
Where The Money Is Made & Lost: Presidential Cycles
JTH
Well-known member
Max/Min
An alternative View
This is the month of May, with a 21-Year view of our Maximum & Minimum MTD Values (Green & Red Lines) with 66% Max/Min Values (Green & Red Areas). Our highest historical Max MTD is 6.46% which is Trading Day-6 (today), with 66% of Max at 4.27%, and a total Max MTD average at 4.25%
As an example, yesterday's Trading Day-5 closed at 3.02% which is above the 66% Max threshold, but below the MTD Max & Total Max Average.
An alternative View
This is the month of May, with a 21-Year view of our Maximum & Minimum MTD Values (Green & Red Lines) with 66% Max/Min Values (Green & Red Areas). Our highest historical Max MTD is 6.46% which is Trading Day-6 (today), with 66% of Max at 4.27%, and a total Max MTD average at 4.25%
As an example, yesterday's Trading Day-5 closed at 3.02% which is above the 66% Max threshold, but below the MTD Max & Total Max Average.
JTH
Well-known member
Re: Sunday
Yea, I agree, there's just no way I could Tik Tok this. I'm always looking for ways to simplify data but it's difficult to convey in an abbreviated format. When I'm the passenger in the car, I never know where the hell I'm at or remember how I got there
Yea, I agree, there's just no way I could Tik Tok this. I'm always looking for ways to simplify data but it's difficult to convey in an abbreviated format. When I'm the passenger in the car, I never know where the hell I'm at or remember how I got there
JTH
Well-known member
The Four Quarters
Good morning
Here's part 3 of this mini series.
Where The Money Is Made & Lost: The Four Quarters
Previously
Part 1: Where The Money Is Made & Lost
Part 2: Presidential Cycles
Good morning
Here's part 3 of this mini series.
Where The Money Is Made & Lost: The Four Quarters
Previously
Part 1: Where The Money Is Made & Lost
Part 2: Presidential Cycles
JTH
Well-known member
Re: Sunday
Buying and selling by IFT noon, but settling for End of day prices has always been a challenge, perhaps more so now than ever before.
About a third of all S&P 500 stock trades are now executed in the final 10 minutes of the session, according to data compiled by BestEx Research, a developer of trading algorithms. That’s up from 27% in 2021.
Buying and selling by IFT noon, but settling for End of day prices has always been a challenge, perhaps more so now than ever before.
About a third of all S&P 500 stock trades are now executed in the final 10 minutes of the session, according to data compiled by BestEx Research, a developer of trading algorithms. That’s up from 27% in 2021.
JTH
Well-known member
Sunday
Good Afternoon
The I-Fund has been doing a good job of keeping up with the C-Fund.
On the 1-27 day performance scale, we have green skies from day 5 to 22.
Per the recent norm, this week there’s only minor fluctuations on the AutoTracker’s Top-600.
For myself, it’s now 18 sessions at 90% C-Fund with a YTD high of 3.47%.
Have a great Sunday…Jason
Good Afternoon
The I-Fund has been doing a good job of keeping up with the C-Fund.
On the 1-27 day performance scale, we have green skies from day 5 to 22.
Per the recent norm, this week there’s only minor fluctuations on the AutoTracker’s Top-600.
For myself, it’s now 18 sessions at 90% C-Fund with a YTD high of 3.47%.
Have a great Sunday…Jason
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