|Stock Market Quantitative Investment Strategies|
Jefferey A. Hirsch and Yale Hirsch (founder of the Stock Trader’s Almanac) discovered that most of the market's gains occur during the months of November through April. An analysis of the average gains for each month shows that November, December, January, March and April have been outstanding months since 1950.
This strategy was enhanced by market timer Sy Harding, in his book, Riding The Bear. He used the MACD indicator to enter the "Best Six Months" period up to several weeks earlier, if the market was in an uptrend. Conversely, Harding would exit up to several weeks later as long as the market kept moving up.
We have used two portfolios for this strategy. One is the S&P 500 Index using the SPDR ETF SPY and the other is the Nasdaq 100 Index using the Proshares ETF QQQ.
Proshares S&P 500 Index ETF (SPY)
Proshares Nasdaq 100 Index ETF (QQQ)
There are only two trades per year with this strategy. A buy signal on October 16th if the MACD is positive or on the first date thereafter when the MACD turns positive and a sell signal on April 20th of the following year if the MACD is negative or on the first date thereafter when MACD turns negative.
Portfolio changes are made at the market opening price on the following morning after a signal is issued.
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