January 2014 Seasonal Trades Walk forward performance

January 2014 Seasonal Trades Walk forward performance

Four_seasons

Here the performance figures in 100/30 Long /Short portfolio methodology for Jaunary 2014 Seasonal Trades

Bearish Seasonal Trades for January Performance 

ps: the performance is adjusted for dividend pay-outs 

Symbol Company Name Dec Jan P/L%
BF-B Brown-Forman Corporation 75.57 77.00 -1.89
CPB Campbell Soup Co. 42.97 41.21 4.10
KO The Coca-Cola Company 41.31 37.82 8.45
PGR Progressive Corp. 25.63 23.24 9.33
    Average 4.99

Bullish Seasonal Trades  for January Performance 

Symbol Company Name Dec Jan P/L%
HRS Harris Corp. 69.81 69.34 -0.67
LLTC Linear Technology Corp. 45.55 44.54 -2.22
ROK Rockwell Automation Inc. 118.16 114.84 -2.81
Average -1.90

100/30 Long /Short Portfolio of S&P 500 Stocks Seaonal Trades for January – 2014 performance

(-1.9*100+(4.99)*30)/130 = -0.31% against -3.52% for $SPY

3.22% out-performance !

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S&P 500 Stocks bearish high odds seasonal trades for January 2014

S&P 500 Stocks bearish high odds seasonal trades for January 2014

Four_seasons

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

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

With the aid of ” Paststat Seaonality Search ” 

  • 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 January is at-least -2%
  • Percentage win rate for January is less than or equal to 30%
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) more than 1

below the three most bullish S&P 500 stocks which qualifies for the bearish high odds seasonal trades for January 

Symbol Company Name # # Wins % Wins Avg Avg Win # Loss Avg Loss Pay Off Max Min
BF-B Brown-Forman Corporation 24 6 25 -4.09 2.69 18 -4.54 0.59 4.62 -16.12
CPB Campbell Soup Co. 24 7 29 -3.49 3.62 17 -6.42 0.56 6.92 -17.71
KO The Coca-Cola Company 24 7 29 -2.09 3.59 17 -4.43 0.81 10 -10.85
PGR Progressive Corp. 24 6 25 -4.09 7.6 18 -7.99 0.95 13.66 -26.25

High Odds Seasonal Trades definitions

  • # : Total number of instances
  • Avg: Average January Monthly Returns in percentage
  • Max : Best January Monthly returns in percentage
  • Min: Worst January Monthly returns in percentage
  • # Wins : Number of winning January Months ( i’e number of months when returns are positive)
  • Avg if Win : Average % change if the returns in January month are positive
  • # Loss: Number of loosing January Months ( i’e number of months when returns are negative)
  • Avg if Loss : Average % change if the returns in January month are negative
  • % Wins: Percentage times that January 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 .

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

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

have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?

S&P 500 Stocks bullish high odds seasonal trades for October

S&P 500 Stocks bullish high odds seasonal trades for October

Four_seasons

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

here are three S&P 500 Stocks that meet the following criteria of high odds seasonal trades of gaining in the month of October from seasonal perspective.

With the aid of ” S&P 500 Stocks October 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 gain in October is at-least 2%
  • Percentage win rate for October is at-least 74% ( well to accommodate $AAPL which has 74% win rate in October)
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) more than 1

below the fifteen most bullish S&P 500 stocks which qualifies for the bullish high odds seasonal trades for October

Symbol Company Name # Avg Max Min # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
AAPL Apple Inc. 23 7.39 35.25 -24.03 17 13.9 6 -11.09 74 1.25
ADBE Adobe Systems Inc. 23 8.39 26.54 -32.51 18 13.3 5 -9.42 78 1.42
ADM Archer Daniels Midland Company 23 5.58 27.62 -7.09 17 8.78 6 -3.46 74 2.54
CA CA Technologies 23 9.6 54.7 -12.65 17 15.8 6 -7.84 74 2.01
CPB Campbell Soup Co. 23 3.85 16.37 -3.83 18 5.48 5 -2.01 78 2.73
DIS Walt Disney Co. 23 3.49 15.68 -15.57 18 6.04 5 -5.68 78 1.06
EIX Edison International 23 4.42 25.26 -10.79 17 8.14 6 -6.13 74 1.33
GPS Gap Inc. 23 6.8 28.66 -26.84 20 9.19 3 -9.15 87 1.01
INTU Intuit Inc. 20 8.42 61.17 -20.74 15 13.9 5 -7.87 75 1.76
NUE Nucor Corporation 23 4.9 19.44 -15.24 17 9.12 6 -7.08 74 1.29
ORLY O’Reilly Automotive Inc. 20 6.32 31.96 -8.4 15 9.66 5 -3.67 75 2.63
PEP Pepsico, Inc. 23 2.85 19.36 -20.01 17 5.5 6 -4.65 74 1.18
SO Southern Company 23 2.17 16.5 -9.54 17 4.23 6 -3.65 74 1.16
SYY Sysco Corp. 23 4.3 14.59 -14.42 19 6.5 4 -6.14 83 1.06
TRV The Travelers Companies, Inc. 23 3.61 19.74 -13.05 18 6.28 5 -5.97 78 1.05

High Odds Seasonal Trades definitions

  • # : Total number of instances
  • Avg: Average October Monthly Returns in percentage
  • Max : Best October Monthly returns in percentage
  • Min: Worst October Monthly returns in percentage
  • # Wins : Number of winning October Months ( i’e number of months when returns are positive)
  • Avg if Win : Average % change if the returns in October month are positive
  • # Loss: Number of loosing October Months ( i’e number of months when returns are negative)
  • Avg if Loss : Average % change if the returns in October month are negative
  • % Wins: Percentage times that October 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 .

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

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