End of the month investment

March 1, 2010
By

[This article was first published on Quantitative thoughts » EN, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

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.

To leave a comment for the author, please follow the link and comment on their blog: Quantitative thoughts » EN.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: , ,

Comments are closed.

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)