December 2013 Seasonal Trades Walkforward Performance

December 2013 Seasonal Trades Walkforward Performance

Four_seasons

Here the performance figures in 100/30 Long /Short portfolio methodology for December 2013 Seasonal Trades

Bearish Stocks for December Performance 

ps: the performance is adjusted for dividend pay-outs 

Ticker Name Dec Nov Change % P/L%
BBY Best Buy Co. Inc. 39.88 40.38 -1.25 1.25
HAS Hasbro Inc. 55.01 53.82 2.16 -2.16
Average P/L -0.45

Bullish Stocks for December Performance 

Ticker Name Dec Nov Change % P/L%
DHR Danaher Corp. 77.2 74.78 3.13 3.13
ESRX Express Scripts Inc. 70.24 67.35 4.11 4.11
PHM PulteGroup, Inc. 20.37 18.71 8.15 8.15
POM Pepco Holdings, Inc. 19.13 18.81 1.67 1.67
SO Southern Company 41.11 40.63 1.17 1.17
SYK Stryker Corp. 75.14 74.12 1.36 1.36
Average P/L 3.27

100/30 Long /Short Portfolio of Seasonality S&P 500 Stocks for December- 2013 performance

(3.27*100+(-0.45)*30)/130 = 2.41 against 2.53% for $SPY

0.1% under-performance !

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

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

Four_seasons

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 gaining in the month of December 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 gain in December is at-least 4%
  • Percentage win rate for December is at-least 80%
  • Pay-Off Ratio ( defined as Avg win% divided by Avg Loss% ) more than 2

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

Symbol Company Name Month # Avg # Wins Avg if Win # Loss Avg if Loss % Wins Avg Win/ Avg Loss
DHR Danaher Corp. Dec 23 4.72 19 6.16 4 -2.11 83 2.93
ESRX Express Scripts Inc. Dec 21 8.84 17 11.64 4 -3.08 81 3.79
PHM PulteGroup, Inc. Dec 23 8.55 19 10.91 4 -2.69 83 4.06
POM Pepco Holdings, Inc. Dec 23 3.34 19 4.41 4 -1.74 83 2.54
SO Southern Company Dec 23 3.47 19 4.59 4 -1.84 83 2.5
SYK Stryker Corp. Dec 23 7.02 19 9.09 4 -2.85 83 3.19

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 .

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

check out Quant-Ideas ( starting from $ 49.95 per month) to aid the speculators to find high probability winning trades.

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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