No. of Recommendations: 0
Using kuperman's data from gritton's backtest engine,
I took the #1 thru #3 stock of each screen (1986-1998)
and averaged the results for all 18 screens -

                CAGR    GSD     Ratio

Monthly		40.8	35.4	1.194
				
Quarterly				
J		34.6	36.7	0.992
F		32.2	34.8	0.928
M		35.1	31.4	1.147
Avg		34.0	34.3	1.022
				
SemiAnnual				
J		31.1	38.1	0.920
F		31.6	39.0	0.885
M		35.6	32.0	1.169
A		32.0	39.4	0.884
M		30.8	31.0	1.027
J		31.8	34.6	0.998
Avg		32.1	35.7	0.980
				
Annual				
J		30.9	34.5	0.964
F		35.4	31.4	1.192
M		34.6	28.9	1.234
A		27.4	38.9	0.763
M		24.9	31.1	0.827
J		22.8	29.9	0.792
J		21.5	29.7	0.760
A		22.8	40.0	0.610
S		24.5	46.3	0.572
O		23.4	55.1	0.456
N		22.1	51.2	0.484
D		31.6	39.1	0.929
Avg		26.8	38.0	0.799

The surprising result is that March start dates, 
on average, have the highest reward/risk ratios
for quarterly, semi-annual or annual holding periods.

So the "January Effect" seems to have migrated
to the first week in March.  This result makes some
sense to me, since the quarterly earnings reports
are not all in until the middle of February
(and then again in mid-May, mid-August & mid-November).

October and November start dates do the worst 
for annual holds, primarily because the volatility
jumps up while the CAGR declines.

 

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