Performance Numbers for Jay’s Financial Index Method

  • SumoMe

Hi Jay, welcome back to your own blog.  Yes it has been a little while since I have posted anything new.  Sorry about that.  I was a little busy preparing for a webinar I taught on 11/20 for MTA.  Also, there wasn’t anything really compelling happening in the markets that jumped out at me.

For the record I should probably point out that in a good week I will probably post two new items.  First off, I tend not to write “short” pieces (although, shorter ad more frequent pots is something I am aiming for in the future), plus I don’t foresee ever posting “daily commentary”.

If you took the sum total of all “Daily financial market commentary”, in a nutshell it basically amounts to “blah blah blah.”  No disrespect to anyone writing daily commentary, its jut that there I not always anything meaningful driving the markets on any particular day.  But if your job is to write about the markets today, well, you have to say “something.”  So there tends to be a lot of after the fact causation assigned to random events.  For example:

“The Dow rose 66 points today as investors looked at their checking accounts and found that they actually had a few more dollars there than they thought and were cheered, which somehow resulted in high frequency trading programs kicking into “buy mode” for a good portion of the afternoon, which was really the only time of day that the market did anything all day.  In “economic news”, financial “experts” adjusted their estimates for 4th quarter GDP growth from +1.2% to +1.2000000001%, which I am also going to claim somehow compelled people to buy stocks aggressively enough to make the market go up, even though as I have already said, today’s action was solely based on high frequency trading programs.”

Insightful or what!?

Anyway, in my MTA presentation one of the things I talked about was the tendency for financial stocks to perform much better during the last 4 and first 2 trading days of the month than during the rest of the month (and when I say “much better”, I mean “MUCH better” – like +1,863% versus -87% over the last 25 years).  Also, one of the points I made in regards to trading in general is the importance of “consistency of returns”.  The more consistent the returns from any trading method the easier it becomes to continue to follow the method without second guessing things based on “current events.”

So one of the questions that an attendee raised was the month-to-month consistency of my seasonal systems for financial stocks.  So here are the figures:

Measure Result
Number of Month UP 198 (66.2%)
Number of Months DOWN 101 (33.8%)
Average UP Month +2.74%
Average DOWN Month -2.21%
Median UP Month +2.00%
Median DOWN Month -1.44%

Figures for Jay’s Seasonal Financial Index Trading System

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