Simple Tests of Sy Harding’s Seasonal Timing Strategy

Posted in Calendar Effects, Technical Trading

 

Several readers have inquired about the performance of Sy Harding’s Street Smart Report Online, which includes the Seasonal Timing Strategy. This strategy combines “the market’s best average calendar entry [October 16] and exit [April 20] days with a technical indicator, the Moving Average Convergence Divergence (MACD).” According to Street Smart Report Online, applying this strategy to a Dow Jones Industrial Average (DJIA) index fund generated a cumulative return of 213% during 1999 through 2012, compared to 93% for the DJIA itself. As a robustness test, we apply this strategy to the SPDR S&P 500 (SPY) exchange-traded fund since its inception. Using daily dividend-adjusted closing prices for SPY and daily¬†13-week Treasury bill (T-bill) yields¬†during 1/29/93 (inception of SPY) through 9/30/14, we find that: (more…)

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