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Investment Strategies / Mechanical Investing
No. of Recommendations: 15
Many moons ago, Jim shared a "Sell in June" seasonal strategy that improves on Sy Harding's original version by using Nasdaq NH-NL 5d EMA / 17d EMA as a trigger instead of MACD. The strategy goes to cash on the first day on or after June 5 that 5d EMA is below 17d EMA.
The Fool MI Board original post from 2009 is no longer accessible but I have a saved copy that you you are welcome to access here
https://drive.google.com/file/d/1eITh-ldXHrdwHQrHn... As of June 5 this year (Friday), by my calculations, the 5d EMA moved decisively below the 17d MA (it was already slightly below before). On a related note, Presidential Year 2 (this year) historically experiences significant drop in the summer leading to a major bottom in October.
No. of Recommendations: 12
The Fool MI Board original post from 2009 is no longer accessible but I have a saved copy that you you are welcome to access here
Wow, that's a blast from the past. There are investors younger than that post.
I'm not sure that the "sell in May" thing is the best way to invest your money, but if you're going to do it, I still have a fondness for the underlying logic of my tweak, which amounts to "sure, sell in May if you want, but at least wait till the current rally fades a bit".
Jim
No. of Recommendations: 4
Mungofitch said:
I'm not sure that the "sell in May" thing is the best way to invest your moneyCurious about your statement and why you seem to have changed your mind.
I did a quick "Out of Sample analysis" (since you published the post in 2009 - 17 years), but simply using the dates, i.e. sell on June 5, buy on June 14. No rally fading optimization using NHNL. Summer gain is ~9% vs. 4% in the winter. Full year-by-year details below. The advantage is likely bigger using your optimization method.
Bearish summer *sell on June 5)
From Start$ To End$ Profit Profit% Max rise Max drop
5-Jun-09 940.09 14-Oct-09 1092.02 151.93 16.16% 16.16% -6.48%
7-Jun-10 1050.47 14-Oct-10 1173.81 123.34 11.74% 12.15% -2.65%
6-Jun-11 1286.17 14-Oct-11 1224.58 -61.59 -4.79% 5.21% -14.53%
5-Jun-12 1285.5 15-Oct-12 1440.13 154.63 12.03% 14.02% 0.00%
5-Jun-13 1608.9 14-Oct-13 1710.14 101.24 6.29% 7.25% -2.23%
5-Jun-14 1940.46 14-Oct-14 1877.7 -62.76 -3.23% 3.65% -3.39%
5-Jun-15 2092.83 14-Oct-15 1994.24 -98.59 -4.71% 1.69% -10.76%
6-Jun-16 2109.41 14-Oct-16 2132.98 23.57 1.12% 3.83% -5.16%
5-Jun-17 2436.1 16-Oct-17 2557.64 121.54 4.99% 4.99% -1.08%
5-Jun-18 2748.8 15-Oct-18 2750.79 1.99 0.07% 6.62% -1.79%
5-Jun-19 2826.15 14-Oct-19 2966.15 140 4.95% 7.07% 0.00%
5-Jun-20 3193.93 14-Oct-20 3488.67 294.74 9.23% 12.11% -6.01%
7-Jun-21 4226.52 14-Oct-21 4438.26 211.74 5.01% 7.34% -1.42%
6-Jun-22 4121.43 14-Oct-22 3583.07 -538.36 -13.06% 4.46% -13.21%
5-Jun-23 4273.79 16-Oct-23 4373.63 99.84 2.34% 7.37% -1.04%
5-Jun-24 5354.03 14-Oct-24 5859.85 505.82 9.45% 9.45% -3.13%
5-Jun-25 5939.3 14-Oct-25 6644.31 705.01 11.87% 13.71% 0.00%
Average 4.09% 8.06% -4.29%
Bullish Winter (Buy on Oct 14)
From Start$ To End$ Profit Profit% Max rise Max drop
14-Oct-09 1092.02 7-Jun-10 1050.47 -41.55 -3.80% 11.47% -5.11%
14-Oct-10 1173.81 6-Jun-11 1286.17 112.36 9.57% 16.17% -0.67%
14-Oct-11 1224.58 5-Jun-12 1285.5 60.92 4.97% 15.88% -5.38%
15-Oct-12 1440.13 5-Jun-13 1608.9 168.77 11.72% 15.90% -6.03%
14-Oct-13 1710.14 5-Jun-14 1940.46 230.32 13.47% 13.47% -0.71%
14-Oct-14 1877.7 5-Jun-15 2092.83 215.13 11.46% 13.48% -0.81%
14-Oct-15 1994.24 6-Jun-16 2109.41 115.17 5.78% 5.79% -3.28%
14-Oct-16 2132.98 5-Jun-17 2436.1 303.12 14.21% 14.35% -2.24%
16-Oct-17 2557.64 5-Jun-18 2748.8 191.16 7.47% 12.32% -0.02%
15-Oct-18 2750.79 5-Jun-19 2826.15 75.36 2.74% 7.09% -14.53%
14-Oct-19 2966.15 5-Jun-20 3193.93 227.78 7.68% 14.16% -24.57%
14-Oct-20 3488.67 7-Jun-21 4226.52 737.85 21.15% 21.32% -6.27%
14-Oct-21 4438.26 6-Jun-22 4121.43 -316.83 -7.14% 8.07% -12.11%
14-Oct-22 3583.07 5-Jun-23 4273.79 690.72 19.28% 19.52% 0.00%
16-Oct-23 4373.63 5-Jun-24 5354.03 980.4 22.42% 22.42% -5.86%
14-Oct-24 5859.85 5-Jun-25 5939.3 79.45 1.36% 4.85% -14.97%
14-Oct-25 6644.31 5-Jun-26 7383.74 739.43 11.13% 14.53% -4.52%
Average 9.03% 13.58% -6.30%
No. of Recommendations: 3
Summer gain is ~4% vs. 9% in the winter. Sorry for the typo
No. of Recommendations: 0
Thanks for doing this.
Both periods gained ~ 1% per month, no?
:-)Shawn
No. of Recommendations: 3
Good point. Summer is ~131 days, winter is 234 days. A rough calculation gives summer ~11% and Winter 14% annual. So, closer returns. However, this does not include the key NHNL optimization.
No. of Recommendations: 9
Counter to this, it's become more of an anachronism than it was 15 years ago. Some summary stats:
Bearish or bullish signal being "right": 57% over the last 10 years. Close to a tossup.
.9% Avg bearish period return (Russell 2000) since dawn of tracking time (1979 in Zeelotes' NSB sheet)
6.7% last 10y avg bearish period return
10.23% Avg bullish period return (Russell 2000) since 1979
3.90% last 10y avg bullish period return (thanks to Covid & the 22 interest rate spike happening during November-May
Total return if you stayed invested (in Russell 2000) and ignored this indicator the last 10 years:
144.42%
Total return if you went to cash during the bearish periods: (Assuming ~2% tr over each of those)
68.65%
(these periods are not exactly the strict June 5th to 2nd week October boundaries, but more late April to mid-May depending on MACD per the old Seasonal Timing System.)
