Post #5597 by randomdoc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Mungofitch said:
I'm not sure that the "sell in May" thing is the best way to invest your money

Curious 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%

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