No. of Recommendations: 5
So my conclusion now is: trade on either of the last 2 days of the month using 1 day earlier from the day you trade to find closing prices to do calculations of 9 month momentum and (if you use my timing rule) the timing rule.
I should add this:
For a couple of years I was doing this -- run the screen(s) in the evening of the next-to-last trading day of the month and do the trades in the morning of the last trading day of the month.
It was a bit hectic; a lot of work had to be done that evening, especially if you are running more than one screen. Given the extreme volatility of this type of screen I think any day-of-month effect is tiny compared to the daily volatility of the stocks.
LITE being a case in point, 10.9% gain in that one day, 13.7% swing between high and low.
AMD had a similar story that same day, just not as big.
