The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing

URL:  http://boards.fool.com/senco-asked-have-you-tested-how-seasonality-26110250.aspx

Subject:  Re: The Best Measure for the Best Blend Date:  11/18/2007  3:58 AM
Author:  Zeelotes Number:  204020 of 263003

Senco asked:
Have you tested how Seasonality compares with the NDX 40/140 EMA crossover for bullish/bearish screen selection?

Well, to test that fully would take quite a bit of time, but the following tables I can produce in less than a minute. This shows the average returns for all the various tests with ranks 1-10 -- 5 screens. As you can easily see, Jensen pops out on top. The top row in each table shows the average of all the results. So about 96% of the years are positive for all results. The % POS column shows the # of years with a positive return. The High is the highest year return, while Low is the lowest return. The StdDev tells us the standard deviation of all the year returns. The tables are sorted by the average return of all the years for each test. The most difficult period for the bullish season was Oct 2000 to May 2001. The absolute best measure for this period was UPI with a three or five year lookback.
Bullish Period
      Nov 1 to April 30                                                         
Title AVG StdDev % POS P N High Low
18.66% 13.79 95.60% 17 1 53.80% -1.34%
Jensen, 9.00 27.17% 24.95 88.89% 16 2 88.95% -3.83%
Jensen, 21.00 26.58% 23.39 83.33% 15 3 72.49% -4.37%
Jensen, 23.00 26.50% 23.12 88.89% 16 2 72.49% -4.37%
Jensen, 15.00 26.47% 23.04 83.33% 15 3 72.49% -4.37%
Jensen, 25.00 26.47% 22.99 83.33% 15 3 72.49% -4.37%
Jensen, 13.00 26.42% 23.45 83.33% 15 3 72.49% -4.37%
Jensen, 29.00 26.37% 23.37 83.33% 15 3 72.49% -4.37%
Jensen, 27.00 26.37% 23.37 83.33% 15 3 72.49% -4.37%
Jensen, 17.00 26.29% 22.93 83.33% 15 3 72.49% -4.37%
UPI, 3.00 26.23% 24.15 83.33% 15 3 65.81% -2.83%
Jensen, 19.00 26.22% 22.81 83.33% 15 3 72.49% -4.37%
Jensen, 5.00 25.14% 25.03 94.44% 17 1 85.79% -4.90%
Jensen, 11.00 24.75% 20.43 88.89% 16 2 62.35% -4.37%
Jensen, 3.00 24.37% 20.59 94.44% 17 1 66.86% -11.23%
UPI, 5.00 23.86% 21.95 94.44% 17 1 75.78% -4.41%
Jensen, 1.00 23.20% 29.35 88.89% 16 2 112.55% -24.27%
Jensen, 7.00 22.35% 19.11 94.44% 17 1 66.54% -5.20%
Sharpe, 1.00 21.22% 22.47 88.89% 16 2 90.08% -7.05%
Sharpe, 3.00 20.64% 17.72 94.44% 17 1 65.81% -6.23%
Sharpe, 9.00 20.24% 13 100.00% 18 0 58.66% 0.70%
Sharpe, 13.00 20.19% 12.89 100.00% 18 0 60.59% 0.70%
Sortino, 3.00 20.16% 16.44 94.44% 17 1 66.12% -6.23%
Sortino, 1.00 20.14% 22.24 88.89% 16 2 90.08% -6.93%
Sharpe, 15.00 19.79% 12.39 100.00% 18 0 57.30% 0.70%
Sharpe, 11.00 19.55% 11.4 100.00% 18 0 51.63% 0.70%
Ulcer Performance Index, 1.00 19.40% 21.25 83.33% 15 3 81.68% -9.87%
Ulcer Performance Index, 3.00 19.35% 15.89 94.44% 17 1 64.55% -8.22%
Sharpe, 17.00 19.35% 11.62 100.00% 18 0 53.54% 0.70%
UI, 3.00 19.22% 15.97 94.44% 17 1 64.55% -8.22%
Ulcer Performance Index, 17.00 19.18% 11.85 100.00% 18 0 49.19% 3.42%
Sortino, 5.00 19.17% 10.8 100.00% 18 0 42.41% 1.24%
UPI, 7.00 19.16% 23.33 83.33% 15 3 78.34% -4.79%
Ulcer Performance Index, 13.00 19.09% 11.83 100.00% 18 0 49.19% 3.42%
UI, 1.00 19.07% 21.25 83.33% 15 3 80.98% -17.69%
Ulcer Performance Index, 15.00 19.03% 11.79 100.00% 18 0 49.19% 3.42%
UPI, 13.00 18.91% 18.92 94.44% 17 1 62.14% -3.87%
UPI, 27.00 18.90% 19.67 88.89% 16 2 60.70% -5.61%
UPI, 19.00 18.88% 19.04 94.44% 17 1 61.78% -4.82%
UI, 15.00 18.87% 11.93 100.00% 18 0 49.19% 1.48%
Ulcer Performance Index, 19.00 18.86% 11.41 100.00% 18 0 49.19% 3.42%
Sharpe, 19.00 18.76% 9.86 100.00% 18 0 42.38% 0.70%
UI, 19.00 18.68% 11.89 100.00% 18 0 49.19% 1.48%
UI, 17.00 18.68% 11.89 100.00% 18 0 49.19% 1.48%
UPI, 21.00 18.68% 17.98 94.44% 17 1 58.16% -5.61%
UPI, 29.00 18.67% 19.21 88.89% 16 2 58.26% -5.61%
Sharpe, 27.00 18.65% 10.05 100.00% 18 0 43.68% 0.70%
Sharpe, 23.00 18.65% 10.05 100.00% 18 0 43.68% 0.70%
Sharpe, 29.00 18.65% 10.05 100.00% 18 0 43.68% 0.70%
Sharpe, 25.00 18.65% 10.05 100.00% 18 0 43.68% 0.70%
Sharpe, 21.00 18.65% 10.05 100.00% 18 0 43.68% 0.70%
Ulcer Performance Index, 25.00 18.61% 11.36 100.00% 18 0 49.19% 3.42%
Ulcer Performance Index, 29.00 18.61% 11.36 100.00% 18 0 49.19% 3.42%
Ulcer Performance Index, 23.00 18.61% 11.36 100.00% 18 0 49.19% 3.42%
Ulcer Performance Index, 27.00 18.61% 11.36 100.00% 18 0 49.19% 3.42%
Ulcer Performance Index, 21.00 18.61% 11.36 100.00% 18 0 49.19% 3.42%
UI, 13.00 18.60% 11.86 100.00% 18 0 49.19% 1.48%
UPI, 17.00 18.57% 18.08 94.44% 17 1 58.16% -4.82%
Ulcer Performance Index, 11.00 18.49% 11.41 100.00% 18 0 49.19% 3.42%
UI, 21.00 18.44% 11.83 100.00% 18 0 49.19% 1.48%
Sharpe, 5.00 18.44% 9.14 100.00% 18 0 43.73% 3.51%
UPI, 11.00 18.43% 18.12 88.89% 16 2 62.14% -3.87%
Sortino, 9.00 18.41% 12.93 100.00% 18 0 58.66% 1.22%
UI, 11.00 18.31% 11.87 100.00% 18 0 49.19% 1.48%
Sortino, 15.00 18.28% 13 100.00% 18 0 60.59% 1.84%
UPI, 25.00 18.28% 18.6 88.89% 16 2 58.59% -5.61%
UPI, 15.00 18.18% 18.1 94.44% 17 1 62.14% -3.87%
UPI, 23.00 18.16% 17.86 94.44% 17 1 58.16% -5.61%
UI, 29.00 18.11% 11.49 100.00% 18 0 49.19% 1.48%
UI, 27.00 18.11% 11.49 100.00% 18 0 49.19% 1.48%
UI, 23.00 18.11% 11.49 100.00% 18 0 49.19% 1.48%
UI, 25.00 18.11% 11.49 100.00% 18 0 49.19% 1.48%
UPI, 9.00 18.04% 20.01 88.89% 16 2 63.11% -6.51%
Sortino, 11.00 17.99% 11.22 100.00% 18 0 50.29% 2.16%
UI, 9.00 17.78% 11.47 100.00% 18 0 49.23% 1.48%
Ulcer Performance Index, 9.00 17.78% 11.23 100.00% 18 0 45.27% 3.42%
Sortino, 13.00 17.73% 11.23 100.00% 18 0 52.22% 2.29%
Sortino, 17.00 17.69% 11.47 100.00% 18 0 52.20% 1.45%
UPI, 1.00 17.67% 18.93 88.89% 16 2 62.33% -4.57%
Sharpe, 7.00 17.53% 9.52 100.00% 18 0 42.38% 0.70%
Upside Potential Ratio, 17.00 17.25% 11.26 94.44% 17 1 52.57% -0.59%
Upside Potential Ratio, 23.00 17.25% 11.33 94.44% 17 1 53.00% -0.59%
Upside Potential Ratio, 29.00 17.25% 11.33 94.44% 17 1 53.00% -0.59%
Upside Potential Ratio, 25.00 17.25% 11.33 94.44% 17 1 53.00% -0.59%
Upside Potential Ratio, 27.00 17.25% 11.33 94.44% 17 1 53.00% -0.59%
Upside Potential Ratio, 5.00 17.24% 12.01 94.44% 17 1 50.21% -2.65%
Upside Potential Ratio, 21.00 17.23% 11.25 94.44% 17 1 52.57% -0.59%
Upside Potential Ratio, 15.00 17.20% 11.33 94.44% 17 1 53.71% -0.80%
Sortino, 19.00 17.17% 9.81 100.00% 18 0 42.38% 1.45%
Upside Potential Ratio, 13.00 17.13% 11.31 94.44% 17 1 53.71% -0.80%
UI, 5.00 17.07% 9.99 94.44% 17 1 38.62% -1.07%
Ulcer Performance Index, 5.00 16.97% 10.16 94.44% 17 1 41.68% 0.00%
Sortino, 23.00 16.89% 9.88 100.00% 18 0 43.68% 1.45%
Sortino, 29.00 16.89% 9.88 100.00% 18 0 43.68% 1.45%
Sortino, 27.00 16.89% 9.88 100.00% 18 0 43.68% 1.45%
Sortino, 25.00 16.89% 9.88 100.00% 18 0 43.68% 1.45%
Upside Potential Ratio, 11.00 16.89% 11.02 94.44% 17 1 51.83% -1.26%
Sortino, 21.00 16.84% 9.94 100.00% 18 0 44.31% 1.45%
Upside Potential Ratio, 9.00 16.71% 12.09 100.00% 18 0 55.03% 0.22%
Sortino, 7.00 16.71% 9.82 100.00% 18 0 42.38% 1.22%
Upside Potential Ratio, 7.00 16.65% 11.37 94.44% 17 1 50.21% -0.22%
GSD, 1.00 16.47% 19.29 83.33% 15 3 73.16% -12.80%
UI, 7.00 16.43% 10.24 94.44% 17 1 38.62% -1.74%
Ulcer Performance Index, 7.00 16.15% 10.92 94.44% 17 1 41.68% -6.27%
GSD, 3.00 16.14% 13.8 100.00% 18 0 61.66% 2.38%
Upside Potential Ratio, 3.00 16.10% 14.46 94.44% 17 1 64.96% -2.65%
GSD, 15.00 15.07% 9.3 100.00% 18 0 46.25% 2.68%
GSD, 5.00 15.05% 7.28 100.00% 18 0 29.24% 3.14%
Upside Potential Ratio, 1.00 14.76% 13.54 88.89% 16 2 39.97% -14.94%
GSD, 13.00 14.45% 7.53 100.00% 18 0 37.27% 2.68%
GSD, 17.00 14.21% 5.91 100.00% 18 0 29.24% 2.68%
GSD, 19.00 14.21% 5.91 100.00% 18 0 29.24% 2.68%
GSD, 9.00 14.12% 6.68 100.00% 18 0 30.59% 2.68%
GSD, 11.00 14.09% 6.08 100.00% 18 0 30.59% 2.68%
GSD, 25.00 14.04% 5.94 100.00% 18 0 29.24% 2.68%
GSD, 21.00 14.04% 5.94 100.00% 18 0 29.24% 2.68%
GSD, 29.00 14.04% 5.94 100.00% 18 0 29.24% 2.68%
GSD, 27.00 14.04% 5.94 100.00% 18 0 29.24% 2.68%
GSD, 23.00 14.04% 5.94 100.00% 18 0 29.24% 2.68%
GSD, 7.00 13.96% 6.28 100.00% 18 0 29.24% 2.68%
Upside Potential Ratio, 19.00 2.32% 0.93 100.00% 18 0 4.11% 0.64%

Bearish Period
      May 1 to October 31                                                      
Title AVG StdDev % POS P N High Low
8.32% 13.22 74.39% 14 5 33.06% -16.01%
Jensen, 17.00 12.38% 17.51 73.68% 14 5 45.34% -16.36%
Jensen, 13.00 11.91% 16.8 73.68% 14 5 45.34% -16.36%
Jensen, 15.00 11.75% 16.63 73.68% 14 5 45.34% -14.72%
Jensen, 21.00 11.62% 16.98 73.68% 14 5 45.34% -16.36%
UPI, 27.00 11.53% 14.51 78.95% 15 4 37.11% -16.28%
Jensen, 25.00 11.50% 16.86 73.68% 14 5 45.34% -16.36%
UPI, 19.00 11.47% 14.52 78.95% 15 4 37.11% -16.28%
Jensen, 23.00 11.47% 16.82 73.68% 14 5 45.34% -16.36%
Jensen, 11.00 11.46% 16.12 73.68% 14 5 42.69% -14.72%
Jensen, 19.00 11.37% 17.49 68.42% 13 6 45.34% -16.36%
UPI, 21.00 11.31% 14.46 78.95% 15 4 37.11% -16.28%
UPI, 29.00 11.18% 14.36 78.95% 15 4 37.11% -16.28%
UPI, 25.00 11.05% 14.34 78.95% 15 4 37.11% -16.28%
Jensen, 29.00 11.04% 16.77 68.42% 13 6 45.34% -16.36%
Jensen, 27.00 11.04% 16.77 68.42% 13 6 45.34% -16.36%
Jensen, 9.00 10.91% 17.48 73.68% 14 5 45.34% -19.15%
UPI, 17.00 10.85% 14.52 78.95% 15 4 37.40% -16.28%
UPI, 23.00 10.78% 14.68 78.95% 15 4 37.40% -16.28%
Sortino, 1.00 10.69% 13.63 78.95% 15 4 34.76% -12.49%
UPI, 7.00 10.42% 15.86 73.68% 14 5 38.68% -16.28%
UPI, 15.00 10.42% 14.86 73.68% 14 5 37.40% -16.28%
Sharpe, 1.00 10.11% 13.14 84.21% 16 3 34.13% -16.11%
UPI, 3.00 10.10% 14.33 68.42% 13 6 28.40% -13.23%
UPI, 11.00 9.93% 14.79 73.68% 14 5 36.33% -16.28%
UPI, 1.00 9.84% 17.84 73.68% 14 5 42.63% -23.79%
Upside Potential Ratio, 1.00 9.46% 11.37 84.21% 16 3 33.22% -10.52%
UPI, 5.00 9.43% 14.87 68.42% 13 6 32.97% -15.77%
UPI, 13.00 9.31% 15.74 68.42% 13 6 41.01% -16.28%
Ulcer Performance Index, 1.00 9.18% 12.3 78.95% 15 4 28.76% -15.64%
Upside Potential Ratio, 15.00 8.93% 11.42 84.21% 16 3 27.38% -12.72%
Sharpe, 13.00 8.66% 12.84 78.95% 15 4 33.12% -16.58%
UPI, 9.00 8.59% 15.55 73.68% 14 5 36.33% -16.28%
Ulcer Performance Index, 15.00 8.55% 12.31 73.68% 14 5 31.63% -14.97%
Sortino, 13.00 8.54% 12.83 73.68% 14 5 34.55% -16.58%
UI, 1.00 8.48% 12.18 78.95% 15 4 28.76% -14.72%
Sortino, 11.00 8.39% 12.65 73.68% 14 5 34.55% -16.58%
Ulcer Performance Index, 17.00 8.38% 12.25 73.68% 14 5 31.63% -14.97%
Upside Potential Ratio, 9.00 8.36% 10.87 84.21% 16 3 26.59% -12.72%
Sortino, 9.00 8.36% 12.89 73.68% 14 5 34.55% -16.58%
Jensen, 1.00 8.36% 17.17 68.42% 13 6 40.05% -18.46%
Jensen, 7.00 8.36% 19.44 57.89% 11 8 54.58% -19.15%
Ulcer Performance Index, 19.00 8.32% 12.23 73.68% 14 5 31.63% -14.97%
UI, 17.00 8.27% 11.92 78.95% 15 4 31.63% -14.97%
UI, 19.00 8.27% 11.92 78.95% 15 4 31.63% -14.97%
Sharpe, 5.00 8.24% 13.92 68.42% 13 6 33.42% -16.58%
Sharpe, 9.00 8.23% 13.43 73.68% 14 5 33.12% -16.58%
Sharpe, 11.00 8.22% 12.5 78.95% 15 4 33.12% -16.58%
Sharpe, 7.00 8.22% 13.88 68.42% 13 6 36.86% -16.58%
Sharpe, 15.00 8.20% 12.71 78.95% 15 4 33.12% -16.58%
Sortino, 15.00 8.18% 12.61 73.68% 14 5 34.55% -16.58%
Ulcer Performance Index, 27.00 8.17% 12.31 73.68% 14 5 31.63% -14.97%
Ulcer Performance Index, 25.00 8.17% 12.31 73.68% 14 5 31.63% -14.97%
Ulcer Performance Index, 23.00 8.17% 12.31 73.68% 14 5 31.63% -14.97%
Ulcer Performance Index, 29.00 8.17% 12.31 73.68% 14 5 31.63% -14.97%
Ulcer Performance Index, 21.00 8.17% 12.31 73.68% 14 5 31.63% -14.97%
Upside Potential Ratio, 17.00 8.15% 12.91 78.95% 15 4 28.42% -14.91%
UI, 21.00 8.12% 12 78.95% 15 4 31.63% -14.97%
Sortino, 17.00 8.10% 12.8 73.68% 14 5 34.55% -16.58%
UI, 25.00 8.05% 11.98 78.95% 15 4 31.63% -14.97%
UI, 29.00 8.05% 11.98 78.95% 15 4 31.63% -14.97%
UI, 23.00 8.05% 11.98 78.95% 15 4 31.63% -14.97%
UI, 27.00 8.05% 11.98 78.95% 15 4 31.63% -14.97%
Sortino, 19.00 8.03% 12.5 73.68% 14 5 34.55% -16.58%
Upside Potential Ratio, 11.00 8.00% 12.53 78.95% 15 4 27.14% -13.53%
Upside Potential Ratio, 13.00 7.92% 12.65 78.95% 15 4 27.38% -14.98%
Upside Potential Ratio, 21.00 7.87% 13.48 78.95% 15 4 28.42% -20.23%
GSD, 1.00 7.84% 10.45 78.95% 15 4 25.53% -15.07%
GSD, 5.00 7.81% 11.62 73.68% 14 5 28.47% -14.99%
Upside Potential Ratio, 29.00 7.78% 13.39 78.95% 15 4 28.42% -20.23%
Upside Potential Ratio, 23.00 7.78% 13.39 78.95% 15 4 28.42% -20.23%
Upside Potential Ratio, 27.00 7.78% 13.39 78.95% 15 4 28.42% -20.23%
Upside Potential Ratio, 25.00 7.78% 13.39 78.95% 15 4 28.42% -20.23%
Sharpe, 17.00 7.70% 12.76 78.95% 15 4 33.12% -16.58%
Sharpe, 19.00 7.66% 12.73 78.95% 15 4 33.12% -16.58%
GSD, 9.00 7.65% 11.12 73.68% 14 5 28.47% -13.53%
Sortino, 21.00 7.61% 12.86 73.68% 14 5 34.55% -18.04%
Sortino, 23.00 7.56% 12.85 73.68% 14 5 34.55% -18.04%
Sortino, 27.00 7.56% 12.85 73.68% 14 5 34.55% -18.04%
Sortino, 25.00 7.56% 12.85 73.68% 14 5 34.55% -18.04%
Sortino, 29.00 7.56% 12.85 73.68% 14 5 34.55% -18.04%
UI, 15.00 7.53% 12.93 73.68% 14 5 31.63% -14.97%
GSD, 15.00 7.46% 11.25 68.42% 13 6 28.47% -13.53%
Ulcer Performance Index, 13.00 7.43% 13.28 68.42% 13 6 31.63% -14.97%
Ulcer Performance Index, 11.00 7.41% 13.14 68.42% 13 6 31.63% -14.97%
UI, 11.00 7.36% 12.85 73.68% 14 5 31.63% -14.97%
Sortino, 5.00 7.33% 12.95 73.68% 14 5 34.55% -16.58%
Jensen, 5.00 7.33% 16.88 68.42% 13 6 33.51% -19.15%
UI, 13.00 7.32% 12.97 73.68% 14 5 31.63% -14.97%
Sharpe, 23.00 7.28% 12.92 78.95% 15 4 33.12% -19.33%
Sharpe, 29.00 7.28% 12.92 78.95% 15 4 33.12% -19.33%
Sharpe, 21.00 7.28% 12.92 78.95% 15 4 33.12% -19.33%
Sharpe, 25.00 7.28% 12.92 78.95% 15 4 33.12% -19.33%
Sharpe, 27.00 7.28% 12.92 78.95% 15 4 33.12% -19.33%
Ulcer Performance Index, 9.00 7.27% 13.97 68.42% 13 6 32.30% -14.97%
GSD, 11.00 7.27% 11.19