I was going through some old issues of Technical Analysis of Stocks & Commodities looking for some ideas to test. In the November 2019 issue, I came across “Stock Market Seasonality: A Global Phenomenon” by Jay Kaeppel. The basic idea was that global markets share the same “buy in November and sell in May” phenomenon as the US market.
This got me thinking about how markets have changed since 2012 or so. My theory is that before 2012, this pattern was better than either buy and hold or other start and end months. But after this time, buy and hold or longer hold dates would be better. The reason is that the Fed is involved in the market more and keeping bear markets much shorter.
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Good Quant Trading,
Cesar
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