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Strategies & Market Trends : Buying SPLITs and other Strategies
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To: Terry Whitman who wrote (825)4/15/2006 11:56:13 AM
From: rolatzi  Read Replies (1) of 1163
 
I have looked over my data again and find that 6 or 7 days holding period is optimal but depending on the index. For SPX the maximum gain is in 5 days. For DJ30 it is in 7 days. For COMP it is in 7 days. This represents data from 1990 to the present. The trade is initiated at the close of the third trading day before the end of the month. I also examined the monthly performance of these indices and find that for DJ30 and COMP, April, Sept and Oct were the weakest months regardless of market conditions. The monthly designation refers to the month of the sale of the index not the month at which the trade is initiated. I don't know whether this is consistent with the bear/bull market difference you found. I could readily do a further fine slicing of the data but the more selective you become the more likely that you are overanalyzing and thereby cherry picking data.

<<You said, What I found upon inspection however, is that it depended on Bear or Bull period again. During the Bear period('00 -'02), if you refrained from any trades at start of July, August and September-your return increased by 10% total. If you did the same during the Bull period('03-'05), your return decreased by 11% total. This was on the RUT.>>

We agree on September but it's unclear to me whether your August is my September and your September my October.

I also found that if two days before the buy day of the month is down, the end of month performance is improved. Since there are less such tradeable events, one strategy would be to trade all end of month events but to increase the amount invested if the day before the buy day is a down day.

That's all for now.
Rolatzi
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