No. of Recommendations: 10
How does this sound as an experiment:

Using the 1926-2012 industry return data set from Fama/French.

Start in, say, 1935 or 1940 allowing a lookback to have a bit of priming,
stepping one year at a time to the present.

Use the Sy Harding seasonal autumn-buy and spring-sell signal dates.

On each autumnal buy date, find the N sectors that did best overall in the
winter periods up till then, and this winter hold only the ones (say, 10-15% of industries) that were best in hindsight up to the prior year.

Thus the sectors held in any given good/winter period are not subject to any
hindsight, they are always based only on the returns for all winters prior to that date.

I'd do the testing with the sector returns themselves, to find out
how well strategy is working. Only if it does would I concern myself
about what exact ETF or trading vehicle best corresponds to the
industries that the test recommends. Since you'd have only one
buy and one sell per year, simply buying all the main stocks making up
an industry would be pretty viable, e.g. top 10 equal weight.

The same test could be done at industry or sector level.

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