Monthly statistics for the S&P500 based on the closing price between year 1950-1958 and 2014 or 1995 to 2014. In pictures, mean, median, win rate per trading day, sum %, profit factor, avg. trade %, quartiles and percentiles.
Quartiles and Percentiles on monthly development, graph at top is the gathering graph for all quartiles and percentiles for the month. The rest are zoomed in on different levels, based on closing price of previous month.
To the left OR at top (1950-1958 to 2014) to the right OR below (1995-2014)
Green bar represents the mean of positive trading day and red for negative. Win rate is the line that marks how each trading day has performed in the S&P500 history since 1950 to 2014 (top) OR 1995 to 2014 (below).
Matrices data from 1957 (left) and 1995 (right), read from left and up for variation of ENTRY and EXIT. The matrices show different things such as index points, sum, win rate, avg. trade, profit factor, total net profit and avg. trade net profit.
Total net profit is calculated at 100 000 and no specific currency. Total net profit is profit minus loss and avg. trade profit is average profit per trade. Count matrix is how many trades there are in the data set, most are 58 but the last days of the month can vary because some months is longer or shorter than others.
Matrix graphs, sum %, win rate %, avg. trade %, profit factor, net profit graphs, median trade % and STDEV, with various ENTRY.
Statistics are presented with graphs and matrices. The three graphs, first graph at top is all percentiles and quartiles and MAX and MIN, next is reduced to P90 and P10, the bottom graph is scaled to the upper and lower quartile.
Third graph from the top is the one that is most useful, noting the normal range for this month end with the mean and median in the middle of the field. In this post there are matrices that show different values for the calculated period and most importantly win rate, profit factor and avg. trade %, but also index points, sum % and drawdown.
I would say that from trading day -3 (close) until trading day 4 (close) are recommended to go LONG. According to profit factor -3 to 4 has given high return over the years 19.72 in value and high win rate (82%).
Looking at the overall statistics for all, the end of the month so is strongest period between trading -3 to 4. BUY and SELL according to statistics is always done at closing price.
The graph shows how often the S&P500 has been below zero for the stock market year since 1957. When the stock market year is complete nulled value in order to be able to see what come next year and if it was below zero. As one can see in the graph so it’s not very often that we are below zero, but only for short periods.