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Kui ENNE warningut oli target ja reiting madalamad, siis PÄRAST warningut tõstetakse reitingut ja hinnasihti. Nahhuj, nagu mingil krdi möbiuse lehel elaks, mitte planeet maal.
Leidsin ühe foorumi suvest, kus üks James Altucheri strateegia välja toodud. Enamus tema ideid päris hoolikalt backtestitud. Nii ka järgmine:
On Dec. 13, I wrote about a system that has historically worked to take advantage of tax-loss selling. The idea is initially derived from the "Free Lunch System" discussed in the Stock Trader's Almanac, by Yale and Jeffrey Hirsch.
As I wrote at the time, the Hirsch system calls for investors to buy stocks on Dec. 30 that are trading near their one-year lows and sell on Feb. 15. The idea is to take advantage of stocks that might have sold off particularly hard at year-end because of tax-loss selling and then ride the wave of inflows as these stocks pop back up at the beginning of the year.
I modified the system, calling it the "Tax-Selling System," and designed it particularly to focus on the idea that stocks that are sold because of any sort of tax selling quickly rebound in the first two weeks of the new year. My system calls for traders to buy any stock in the S&P 1500 on the last trading day of December that has sold off 5% or more for the month, and sell two weeks later.
For example, consider Vitesse (VTSS:Nasdaq - commentary - research) from December 2003. The stock had dropped 18% in the month, and buying on Dec. 31 at $6.00 and selling on Jan. 15 at $7.46 resulted in a profit of 24%.
The results of the system, which was tested on S&P 1500 stocks from 1999 to 2004, were:
Number of trades: 1,294
Number of successful trades: 893 (69%)
Average return per trade: 7.53%
Average return per winning trade: 14.0%
Average return per losing trade: -7.11%
For those interested in playing with this system, the stocks that were down 5% or more in December are listed below. It's not practical to buy all of these stocks and sell them all in two weeks, so I would take a look at each individual stock and investigate the underlying fundamentals that might have caused the selloff.
| Ticker Symbol | Percent Change in December | Ticker Symbol | Percent Change in December | |||
| AA | -7.59 | KTO | -5.19 | |||
| ABM | -9.68 | LEG | -6.12 | |||
| ABS | -5.89 | LMT | -8.61 | |||
| ACI | -6.96 | LPNT | -4.79 | |||
| ADPT | -5.4 | MCHP | -2.59 | |||
| ADTN | -16 | MRCY | -6.22 | |||
| AHC | -6.9 | MRO | -5.1 | |||
| ALLP | -15 | MUR | -5.22 | |||
| ALTR | -10.93 | NCEH | -9.38 | |||
| APA | -6.65 | NEM | -6.39 | |||
| APC | -6.77 | NFX | -6.55 | |||
| APOG | -9.08 | NOVN | -8.75 | |||
| ASF | -17.47 | NYFX | -8.45 | |||
| AXTI | -6.51 | OLG | -13.43 | |||
| BBA | -19.59 | ORB | -9 | |||
| BJS | -7.69 | OSG | -16.2 | |||
| BMET | -9.92 | PDG | -12.97 | |||
| BR | -5.86 | PENX | -6.54 | |||
| BW | -4.88 | PGR | -6.53 | |||
| CAS | -5.11 | PLAB | -8.75 | |||
| CASY | -8.24 | PLXS | -5.57 | |||
| CATT | -6.36 | PRGX | -5.36 | |||
| CBK | -6.97 | PXR | -5.71 | |||
| CDE | -14.57 | R | -10.91 | |||
| CDIS | -6.49 | REM | -5.6 | |||
| COG | -8.54 | RI | -5.3 | |||
| COMS | -5.23 | RKT | -5.65 | |||
| CRR | -11.19 | ROG | -9.45 | |||
| CRUS | -7.55 | SFP | -7.53 | |||
| CUNO | -11.28 | SFY | -6.37 | |||
| DEL | -5.88 | SGY | -6.17 | |||
| DSS | -12.37 | SII | -10.27 | |||
| DVN | -6.1 | SLR | -15.34 | |||
| DYN | -18.95 | SMD | -8.75 | |||
| EAGL | -11.89 | SMSC | -27.26 | |||
| EOG | -5.55 | STEI | -6.14 | |||
| EPIC | -11.83 | STLD | -7.11 | |||
| ESL | -8.03 | STTX | -5.26 | |||
| FE | -0.98 | SWC | -5.3 | |||
| FITB | -6.28 | SWN | -7.32 | |||
| FOSL | -6.42 | SYMC | -20.98 | |||
| FST | -6.79 | SYMM | -10.86 | |||
| GDYS | -6.16 | TALX | -12.83 | |||
| GGC | -13.39 | TGX | -6.4 | |||
| GLW | -6.59 | TNM | -7.42 | |||
| GRP | -7.24 | TSA | -9.97 | |||
| GTW | -10.95 | TTI | -7.21 | |||
| HAL | -2.9 | UCL | -6 | |||
| HMY | -14.33 | UIS | -11.48 | |||
| HRS | -6.72 | VLNC | -13.13 | |||
| HVT | -8.19 | VPI | -8.17 | |||
| IGI | -5.45 | WGR | -6.23 | |||
| IMGC | -14.25 | WOR | -8.3 | |||
| IVC | -8.99 | WTFC | -5.9 | |||
| JILL | -13.64 | XEC | -5.94 | |||
| KMG | -6.05 | YRK | -6.16 | |||
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The January Barometer Revisited
By James Altucher
RealMoney.com Contributor
1/4/2005 7:35 AM EST
I've been reading a lot in the media about the January five-day barometer. The idea being that if the first five days of the month are up, then one should buy and hold for the rest of the year. If the first five days of the month are down, then one should sell (or short) and hold that position for the rest of the year.
At first glance, this "early warning system" appears to be superficially true. Since 1956, the first five days have been up on 31 occasions. Buying at the close of the fifth day and holding until the end of the year resulted in success in 23 out of 31 occasions, for a success rate of 74%.
However, while it seems predictive, the question to ask is: "As compared to what?" Is it any more or less predictive than any other five-day period?
In fact, since 1956, buying at the close of any positive five-day period, and holding for 245 trading days, has resulted in success on 71% of the 6,835 occurrences.
So the predictability of the first five days is not really any more or less than that of any random five-day period, and I would not base a yearlong allocation on this so-called "early warning system."
A Kernel of Truth
However, using the month of January as a predictor is not completely without merit. Since 1956, the market has been up for the entire month of January on 30 occasions. In 26 of those years (86%), the market was up from Jan. 31 until Dec. 31 for an average return per trade of 11.38%.
On all other months, if that month was up, buying and holding for 11 months worked on only 72% of occasions for an average return of 7.6% per trade.
None of this is something I would build a trading system around. However, it's interesting to note that while the five-day barometer has zero merit, January as a whole may offer slightly more predictability. However, this only works with confidence when January is up. In the 18 occasions when January has been negative, the remainder of the year was positive nine times and negative nine times.