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 68.42% 13 6 28.47% -13.53%
Sortino, 3.00 7.24% 13.7 68.42% 13 6 35.20% -16.58%
GSD, 13.00 7.20% 11.3 68.42% 13 6 28.47% -13.53%
GSD, 19.00 7.18% 11.09 68.42% 13 6 28.73% -13.53%
GSD, 17.00 7.18% 11.09 68.42% 13 6 28.73% -13.53%
Sharpe, 3.00 7.15% 14.07 68.42% 13 6 33.83% -16.58%
GSD, 25.00 7.07% 11.25 68.42% 13 6 28.73% -15.18%
GSD, 21.00 7.07% 11.25 68.42% 13 6 28.73% -15.18%
GSD, 27.00 7.07% 11.25 68.42% 13 6 28.73% -15.18%
GSD, 29.00 7.07% 11.25 68.42% 13 6 28.73% -15.18%
GSD, 23.00 7.07% 11.25 68.42% 13 6 28.73% -15.18%
Upside Potential Ratio, 7.00 7.04% 11.62 78.95% 15 4 26.59% -16.02%
Sortino, 7.00 6.98% 12.14 73.68% 14 5 31.81% -16.58%
UI, 9.00 6.92% 13.29 73.68% 14 5 30.04% -14.97%
GSD, 7.00 6.78% 10.91 68.42% 13 6 27.18% -13.53%
GSD, 3.00 6.64% 11.45 73.68% 14 5 23.05% -17.53%
Upside Potential Ratio, 5.00 6.39% 11.73 78.95% 15 4 28.22% -19.68%
Ulcer Performance Index, 7.00 6.37% 13.62 68.42% 13 6 29.95% -14.97%
UI, 5.00 6.10% 12.63 68.42% 13 6 29.95% -14.97%
Ulcer Performance Index, 5.00 6.09% 12.09 68.42% 13 6 29.95% -14.97%
Upside Potential Ratio, 3.00 6.00% 11.27 78.95% 15 4 32.22% -16.45%
UI, 7.00 5.91% 12.9 73.68% 14 5 29.95% -14.97%
Jensen, 3.00 5.86% 14.73 73.68% 14 5 26.25% -23.32%
Ulcer Performance Index, 3.00 5.30% 12.48 63.16% 12 7 23.61% -14.97%
UI, 3.00 5.12% 12.97 63.16% 12 7 24.63% -14.97%
Upside Potential Ratio, 19.00 2.41% 0.97 100.00% 19 0 4.26% 0.60%
One very important thing to remember is that when the market is really tanking big time, nothing wins, no matter what measure you use. Here are the percent of the results that were positive for each year during the summer months. Note that in 2002, 1998 and 1990, nothing worked. The only thing that would have saved you during those three periods was being 100% in cash. It is also interesting to note that this year has been extremely difficult as well. One would be better served using a super-defensive position during these times, rather than just move into another blend. The problem is, how do you know whether it will be one of those years or not.
2007 42.50%
2006 86.67%
2005 100.00%
2004 100.00%
2003 100.00%
2002 0.83%
2001 72.50%
2000 31.67%
1999 82.50%
1998 9.17%
1997 100.00%
1996 100.00%
1995 100.00%
1994 85.83%
1993 100.00%
1992 99.17%
1991 100.00%
1990 0.83%
1989 100.00%
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