End of the month investment

March 1, 2010
By

(This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers)

It is know, that the first day of the month provides bullish edge. According to Quantifiable edges not all the months are equal. So, I made a test on S&P500 index, from January, 1980 until February, 2010. It is true, March isn’t the best month to run this strategy.

Photobucket

Only 3 months have significant results based on p-values:
“month 5, p-value 0.0399233570186162″
“month 7, p-value 0.0466800163648646″
“month 11, p-value 0.0218919220125013″

p.s. if somebody is interested in R-Language code to repeat this test, then let me know.

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