March has consistently been a winning month for the S&P 500.
Click on the chart to enlarge.
From 1960 to 2010. Calculations start at the open of the first trading day of the month and end on the close of the last trading day.
March Statistics:
- Average Monthly Profit/Loss = 1.11%
- Winning Months= 64.71%
- Worst March = 1980 loss of -10.18%
- Best March = 2000 gain of +9.67% (2009 gained +9.36%)
Profit Distributions:
Equity Curve:
For a simple seasonality setup, it sure makes a nice equity curve, generating a Sharpe Ratio of 0.88
The equity curve shows that results have been skewed because the last two years March has seen large gains of roughly 9% and 6%.
So, do we bet against March in 2011?
[polldaddy poll=4637640]
Very cool.
I plan to play the Power Dip more aggressively this month assuming there is no blatant market craziness!
I was very light the Power Dip during January and February much to my chagrin.
You’ve got to play no matter what the market is doing! I know, easier said that done…
Another interesting statistic that you can apply to the March number is Standard Deviation. The March data set for the past 51 years of S&P data has a 3.51 SD. So, assuming a bell curve, 68% of all historic data points for March fall between -2.40% and 4.62%.
Thanks Alvari. Good stuff. Had I calculated that I might have structured the poll a little differently.
That is, 68% of future returns could be assumed to fall between -2.40% and +4.62%. For S & G: using 3SD, 99.7% of future returns for March could be expected to fall between -9.42% and 11.64%.
Hey Shed, sorry I missed your last reply.
To answer, the ATR reversion is basically a code I wrote that looks for stocks more than 5% below the 16 day, that have a last price greater than the open and is above yesterday’s close (ie is in the process actively of reversing) and is also more than 2*ATR14 from the 21 p MA. All of the numbers (5%, 16 day, 2* 14ATR) were arbitrarily selected by me. The scan is high risk high reward, in that you should find low risk setups that provide about 2% risk til stop, with expected 6-10% gains.
I look for either very low risk hammer type plays on volume, or a stock that has found support (say, wicked around) at a number for a few days and provides the risk profile explained above.
Congrats on the PDS outperformance too!