S&P 500 Stocks Apr-Jun 2015 Quarter Seasonality

S&P 500 Stocks Apr-Jun 2015 Quarter Seasonality 

Stocks Seasonality

 “Just as the seasons change, so does investment sentiment toward various stocks and industries. The patterns and trends, which would seemingly be widely known and acted upon, repeat over and over and can be exploited by confident investors willing to research when stocks tend to rally and falter.”

 S&P 500 Stocks Apr-Jun 2015 Quarter Seasonality Excel Sheet 

Contains Apr-Jun , Quarterly Seasonality for all the S&P 500 Stocks since 1990 , with the following columns as shown below

Sample First 10 Columns ( in alphabetical order)  in the S&P  500 Stocks Apr-Jun , Quarterly Seasonality Excel Sheet

Symbol # Wins % Wins Avg % Med % Avg Win % Avg loss % Pay Off STDEVP Avg % for any Qtr T-test
A 15 9 60 1.95 3.19 15.88 -18.96 0.84 21.31 2.53 -0.11
AA 25 13 52 4.60 2.58 18.09 -10.00 1.81 18.21 2.42 0.60
AAL 9 5 56 2.90 2.31 27.75 -28.17 0.99 38.38 11.18 -0.65
AAPL 25 12 48 1.23 -2.60 20.84 -16.87 1.23 21.51 8.28 -1.64
ABBV 2 2 100 6.56 6.56 6.56 4.25 5.87 0.23
ABC 19 14 74 11.28 9.30 18.69 -9.45 1.98 25.58 6.32 0.85
ABT 25 16 64 5.33 6.07 11.54 -5.70 2.02 11.27 3.60 0.77
ACE 22 16 73 4.07 3.38 8.17 -6.86 1.19 9.77 4.18 -0.05
ACN 13 7 54 2.45 2.62 12.83 -9.66 1.33 13.29 5.48 -0.82
ACT 22 14 64 9.89 13.22 22.87 -12.84 1.78 20.19 5.65 0.99

Definitions

  • # Total number of instances
  • Wins Number of winning Months ( i’e number of months when returns are positive)
  • % Wins Percentage winning Months ( i’e number of months when returns are positive)
  • Avg % Average Monthly Returns in percentage
  • Med % Median Monthly Returns in percentage
  • Avg Win % Average % change if the returns in month are positive
  • Avg Loss % Average % change if the returns in month are negative
  • Pay Off Ratio of Average Win % divided by Average Loss% , A.k.a Pay-off Ratio.
  • STDEVP Standard deviation of the Monthly percentage returns , ( the lower the the better)
  • Avg for any Month Average percentage returns for any month
  • T-test Sqrt(number of instance) * (Avg for the month – Average for any month )/ Standard Deviation of Monthly returns look for a value above 1.8 or below -1.8 for a sample size of more than 20 , for the seasonal returns to be statistically significant
  • Monthly returns are calculated from the close of the last trading day of the previous month to the last trading of the current month
  • Quarterly returns are calculated from the close of the last trading day of the previous quarter to the last trading of the current quarter

Sample First 10 Columns ( in alphabetical order)  in the S&P  500 Stocks Apr Monthly Seasonality Excel Sheet 

Symbol # Wins % Wins Avg % Med % Avg Win % Avg loss % Pay Off STDEVP Avg for any Month T-test
A 15 8 53 2.03 1.31 11.27 -8.52 1.32 12.59 1.15 0.27
AA 25 13 52 4.45 2.57 13.04 -4.86 2.69 12.96 0.79 1.41
AAL 9 4 44 7.41 -0.42 24.38 -6.17 3.95 20.29 3.35 0.60
AAPL 25 14 56 2.89 0.47 10.11 -6.30 1.60 10.90 2.40 0.22
ABBV 2 2 100 8.10 8.10 8.10 5.87 2.38 1.38
ABC 20 12 60 2.56 2.86 9.09 -7.24 1.26 10.75 2.03 0.22
ABT 25 20 80 3.59 3.64 5.54 -4.21 1.32 5.13 1.20 2.33
ACE 22 17 77 3.62 3.86 5.55 -2.95 1.88 5.19 1.37 2.03
ACN 13 9 69 0.24 1.84 4.49 -9.33 0.48 7.60 1.50 -0.60
ACT 22 12 55 2.41 1.78 9.39 -5.97 1.57 9.75 1.94 0.22

Similarly the excel sheet contains seasonality for the months of May and June as well .

warning ! Seasonality alone never justifies a trade all by itself, but it deserves as yet another tool in trader’s toolbox for market timing .

price : Pay What You Want ( all the donations goes to Autism Charity cause ) 

( you might to do us a favor by click to tweet  pls) 

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

Leave a Reply