S&P 500 Stocks bearish high odds seasonal trades for December

S&P 500 Stocks bearish high odds seasonal trades for December

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image courtesy : ashdenizen.blogspot.com/2008/05/there-are-various-blogs-discussing.html

here are four S&P 500 Stocks that meet the following criteria of high odds seasonal trades of loosing in the month of November from seasonal perspective.

With the aid of ” S&P 500 Stocks December Month Seasonality” Excel Working Sheet

  • Current S&P 500 Constituents and the stock is trading since 1990 ( or with a minimum trading history of 20 years)
  • The Average loss in December is more than1%
  • Percentage win rate for December is less than or equal to 40% , in other words the loosing rate is more than 60%
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) less  than 1

below the four most bearish S&P 500 stocks which qualifies for the “bearish  high odds seasonal trades “ for December

Symbol Company Name Month # Avg # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
BBY Best Buy Co. Inc. Dec 23 -6.24 8 12.49 15 -16.23 35 0.77
HAS Hasbro Inc. Dec 23 -1.46 9 5.47 14 -5.91 39 0.92

High Odds Seasonal Trades definitions

  • # : Total number of instances
  • Avg: Average December Monthly Returns in percentage
  • Max : Best December Monthly returns in percentage
  • Min: Worst December Monthly returns in percentage
  • # Wins : Number of winning December Months ( i’e number of months when returns are positive)
  • Avg if Win : Average % change if the returns in December month are positive
  • # Loss: Number of loosing December Months ( i’e number of months when returns are negative)
  • Avg if Loss : Average % change if the returns in December month are negative
  • % Wins: Percentage times that December Month had given positive returns.
  • Avg Win/ Avg Loss: Ratio of Average Win % divided by Average Loss% , a.k.a Pay-off Ratio.

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

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One thought on “S&P 500 Stocks bearish high odds seasonal trades for December

  1. Pingback: Daily Quant Ideas from Paststat » Blog Archive December 2013 Seasonal Trades Walkforward Performance

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