No. of Recommendations: 3
d) don't enter any position on trade day if that particular stock's 5 day share volume (not dollar volume) is less than its 60 day share volume;
Market days, right? Not calendar days? And average N-day volume, right?
Ha! Turns out you don't need to pay for this, or to try to scrape it from Yahoo or other web sites.
GoogleFinance spreadsheet will grab daily volumes, all you need to do is calculate the averages.
Finviz shows "RelVolume" which is the ratio of a stock's current DAY trading volume to its 3-month average volume. That might be good enough. At this moment (market is open) the only fails are #17 & 18, CSCO & ADI.
Not sure how they handle "day volume", as RelVolume is live when the market is open. Obviously the volume 2 hours after market open is not comparable to an entire day's volume.
Barchart has all the volume averages you would ever need.
e) during the month after purchase, exist any stock no longer meeting "d" criteria i.e. make sure daily,
Ah well, can't automate checking the google spreadsheet (I think), have to check manually.
How often does this happen? Often enough so it isn't just a few rare but big events?
"Unique stocks sold early 45" Out of how many stock-months? I think you said from 1999, so 27 years * 12 mo/yr * 5 stocks/mo = 1620.
45 occurrences out of 1620 candidates is just noise.
Oh: "So the rule is not consistently predictive. It is basically a coin flip by count."
So no need to bother. Simpler is better, so just trade at end of month and go to sleep until the next month's trade date.
The more rules there are, the more likely that the rules are (over)tuned for that one specific history.
My read: the entry filter is cleaner than the mid-month exit. The mid-month exit helps some headline metrics slightly, but its edge is not broad; it depends on a small number of exits.
This screen is extremely volatile. Probably what we are seeing here is just a natural outcome of that volatility. "CAGR +0.26 pts" is well within the range of CAGRs we see just between the trading cycles of one day apart. It's just random noise. You cannot predict random noise.
That simplifies the "exit" rules to use, viz. don't try to be clever, just look once a month.
... recovered from its worst drawdown in only 44 trading days ...
I'm not sure that "days to recover" is useful or meaningful when using a good timing method.
Example:
Sell at 2% below 52 week SMA of ^IXIC (Nasdaq 100 index), monthly check.
peak 11/2007 @ $2012
OUT 2/2008 @ $1663 (-17% drop)
IN 9/2009 @ $1623
recover 1/2010 @ $2025
recovery time 26 months.
Untimed:
peak 11/2007 @ $2517
recover 1/2011 @ $2524
recovery time 39 months.
Bottom: 3/2009 @ $1195 (-50% drop)
The goal of timing is to sidestep the large drawdowns. Which it did. How long it takes to recover is up to the stock, which timing has no control over. Unless you have a superb bottom detector.
