Busting the Sell in May and Go Away Myth (Beware: this gentleman decries market timing but then links to the book he has for sale to defend his assertion)
How Overnight Ranges Have Expanded in Recent Years
Extended View of SPLV (Low Vol) and SPHB (High Beta) ETFs
How Does ConnorsRSI Compare to RSI(2)?
My New Research Paper on Absolute Momentum
You can find these articles, and more, over at The Whole Street.
The blog Pragmatic Capitalism also had a post on the Sell in May concept, http://pragcap.com/sell-in-may-and-go-away-2. Mr. Roche was pretty dismissive and referred to the same CXO study as Ferri. I’m upset that both Ferri and Roche just copy someone else’s work, especially one that is behind a paywall that most of us can’t read – no background, no review of academic studies (some come to different conclusions), no independent calculations, no theory as to why there might be variations in results. Poor postings in my view. I have Ferri’s book; some good data and charts, and useful if you believe past performance can be used to construct good portfolios (that’s intended as sarcasm).
Thumbs up on the MarketSci and ConnorsRSI links; good stuff.
I couldn’t have said it better. I struggled for a while as to what to write about that link. I don’t really want to editorialize in my “what I’m reading posts”, but I couldn’t let it go.
IMHO, Ferri’s post comes across as “market timing doesn’t work so buy my book” yet I have yet to find any proof that what he is selling is any better than buy and hope.
MarketSci is top-tier. Be sure to read his recent post on Sell in May. IMO, his approach to the problem is valuable.
I like ConnorsRSI. I am extremely concerned that the edge will erode very, very quickly as they are absolutely saturating the market with it. I watch the indicator daily but do not use it to make any decisions.
I also like the walk-forward approach that Market Sci uses. Two limitations that I usually see in sell-in-may trading systems is that 1. there is no “after tax return” calculation (which gives buy-and-hold a huge advantage over sell-in-may) and 2. the rigid timeframe of selling right on May 1st. and vice-versa in November. That’s why I like systems like Sy Hardings MACD trigger, that squeezes all the juice out of a bull trend that might be going on in early May.