spx day of month strategy 2003

Wednesday, May 07, 2003

Average Daily S&P 500 change, annualized by time segment and by month:

1950- March, 2001:

	1950- 3/01:		1980-3/01:
Average daily S&P 500 % change:		Annualized:
all days:	0.037%	9.6%	0.052%	13.8%
1	0.073%	20.1%	0.095%	26.9%
2	0.000%	-0.1%	0.014%	3.7%
3	0.047%	12.6%	0.037%	9.6%
4	0.062%	16.7%	0.067%	18.2%
5	0.008%	2.1%	0.062%	16.9%
6	0.018%	4.6%	0.044%	11.7%
7	0.053%	14.1%	0.054%	14.4%
8	0.003%	0.6%	-0.032%	-7.6%
9	-0.018%	-4.5%	0.040%	10.6%
10	0.030%	7.9%	0.085%	23.7%
11	0.075%	20.7%	0.042%	11.2%
12	0.086%	23.9%	0.128%	37.8%
11-4:	0.058%	15.5%	0.064%	17.3%
5-10:	0.016%	4.0%	0.042%	11.1%
0	0.016%	4.0%	0.042%	11.1%
	0.000%	0.0%	0.000%	0.0%

Although this table presents monthly data, daily data show a strong pattern also, bulging with profitability at the end, beginning and middle.

Days 1-4 are most profitable (23-18 days prior to the end of the month). The 5th to the last through 2nd to last (but notably not the last) trading day of the month are also profitable at an above average rate.

	Average % change:
Days until end of month:	Day:	Annualized:
1	-0.055%	-12.8%
2	0.151%	45.7%
3	0.094%	26.6%
4	0.056%	15.1%
5	0.080%	22.2%
6	-0.002%	-0.5%
7	-0.121%	-26.2%
8	0.041%	10.8%
9	-0.017%	-4.2%
10	-0.014%	-3.5%
11	0.099%	28.2%
12	0.286%	104.0%
13	0.069%	18.8%
14	0.075%	20.5%
15	-0.019%	-4.6%
16	-0.052%	-12.3%
17	0.016%	4.1%
18	0.149%	45.2%
19	0.020%	5.1%
20	0.078%	21.6%
21	0.120%	35.0%
22	0.252%	87.5%
23	0.150%	45.5%

1950-1990:
Days until end of month:	Days until end of month:
1	0.173%	54.2%
2	0.035%	9.1%
3	0.041%	10.9%
4	0.059%	15.9%
5	-0.133%	-28.2%
6	-0.018%	-4.3%
7	0.017%	4.4%
8	-0.006%	-1.6%
9	-0.042%	-10.0%
10	-0.027%	-6.6%
11	0.084%	23.3%
12	0.016%	4.1%
13	-0.050%	-11.7%
14	0.041%	10.7%
15	0.075%	20.7%
16	-0.012%	-2.9%
17	0.045%	11.8%
18	0.016%	4.0%
19	0.090%	25.2%
20	0.133%	39.3%
21	0.093%	26.3%
22	0.138%	41.1%
23	0.142%	42.5%

Optimized day-trade table, 1991-3/01:
Days to go:	p inv:
1	0
2	2
3	2
4	1
5	2
6	0
7	0
8	1
9	0
10	0
11	2
12	4
13	2
14	2
15	0
16	0
17	1
18	2
19	1
20	1
21	1
22	2
23	2

Optimized day-trade table from 1950-1990:
1	2
2	2
3	2
4	2
5	0
6	0
7	0
8	0
9	0
10	0
11	2
12	0
13	0
14	2
15	2
16	0
17	2
18	0
19	2
20	2
21	2
22	2
23	2

183,008,224	<= $10,000 becomes
696,477	<= versus B&H
27.8%	<= annualized return
11.2%	<= B&H return

50d%:	Day:	Annualized:
>10%	-0.524%	-73.1%
>9%	-0.067%	-15.5%
>8%	-.004%	-0.9%
>7%	.064%	17.3%
>6%	.042%	11.0%
>5%		22.3
>4		13.5
>3		12.6
>2		12.0
>1		3.0
>0		8.6
<0		28.2
<-1		43.8
<-2		71.4
<-3		82.5
<-4		171.0
<-5		214.9
<-6		141.8
<-7		34.3
<-8		122.3
<-9		795
<-10		1411.5
<-11%		1453.3%

Not that this table compares the percentage the S&P 500 is above or below a 50 day moving average PRIOR to the day of measurement.