I am a bit late posting about the Thanksgiving trade which buys the market the week prior to Thanksgiving and exits the market in the third week of January. (This may have been fortuitous as entering on November 19 would currently put the trade 2.5% under water.)
Over the last 20 years, the trade has been a winner 80% of the time with an average return of 2.6% per trade. The standard deviation was 4% and the win/loss ratio was 1.5. A chart of the equity curve and a bar chart of the return for each of the last 20 years is included above. The method has been reliable with only small losers with the notable exception of 2007 where the trade lost 7.2%. 2003 was a recent big winner returning 9.1%. In light of the devastating market plunge the past two months, can we dare to hope for a year end rally?
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