Saturday, September 29, 2007

More on Deconstructing the Qs

This chart is a continuation of the study begun today. My goal was to look at how select ETFs perform 1 month after each quarter and to discern if there were any seasonal patterns revealed that might provide a trading edge. The initial study posted this morning suggested that October might be a good time to get bullish on the Qs and I wondered if the same pattern was reflected in the DIA and the IWM. Based on the above results, the Qs clearly stand out as the best bet, with the IWMs taking second place and the DOW showing good results, but not outstanding. One must also consider the the relative value of each of these instruments: a $9 gain in the $50 Qs reflects a much higher ROI than a $10 gain in the $138 DIAs.
Next I want to look at a breakdown of weekly performance after the quarter to determine if there is a surge pattern. I hope to present those results on Sunday in order to identify possible entry points.

2 comments:

Mike G said...

I'm not sure what statistics you're analyzing here.

Since tech is popular now, couldn't you just estimate that the tech heavy Nasdaq Q's will outperform the Dow and Russell indices anyway?

bzbtrader said...

What I'm analyzing is the monthly point gain following the end of each quarter for the 3 ETFs. I'm looking for seasonal patterns and convergence of signals. A common assumption is that the Fall always represents momo activity. Since I have an enquiring mind, I'm always looking to test such assumptions. Given the skew of the DOW (20% in construction and financials) I already assume the Qs will outperform the other indicies in total return. I'm simply exploring additonal ways to verify and support taking an all-in approach at this point because if I lose money I've got nobody to blame but the guy in the mirror.