End of Month Investment Strategy for SPY's

The End of Month Investment Strategy for the SPY's uses a 5 Day Stochastic which isn't smoothed and focuses on the last 6 days of the month and the first 4 days of the following month.  Thus during this 10 day window when the 5 Day Stochastic drops to 10 or below a Buy Signal is generated.  A simple example is shown below.

Back in late February and early March the 5 Day Slow Stochastic closed below 10 on 2/27 (point A) which was followed by a gain of $2 on 2/28/07 which was the entry day (point B).  Meanwhile on 3/2/07 the 5 Day Stochastic once again closed below 10 (point C) with the entry date on 3/5/07 (point D) was followed by a gain of over $3 the next few days (points D to E).  Furthermore the 5 Day Stochastic closed below 10 on 3/5/07 as well (point F) with the entry date on on 3/6/07 (point G) which was then followed by a $2 gain over the next few days (points G to E).   

The table below shows the backtested results going back to 1987 which includes 236 signals during the last 21 years and compares the results using a 5 Day Holding Period versus a 10 Day Holding Period.  As you can see the odds of having a positive return of $1 or more in the SPY's improves if you hold the position for 10 Days versus 5 Days.

5 Day Holding Period (SPY) 1987-2007
  5 Day Gain 5 Day Gain 5 Day Gain
  $1 or More $2 or More $3 or More
Probability 84% 58% 34%

10 Day Holding Period (SPY) 1987-2007

  10 Day Gain 10 Day Gain 10 Day Gain
  $1 or More $2 or More $3 or More
Probability 92% 77% 59%

The table below shows all of the Buy Signals going back to 1987.  Keep in mind the SPY's began in 1993 so I had to use the S&P 500 values before 1993 and divided by 10 to get a simulated SPY price.  Also the SPY's were adjusted prior to 1998 to account for the much lower prices in those days as well.  For example in 1993 the SPY's traded in the $40's versus today's prices which are in the mid 100's.  Thus a 50 cent gain in 1993 is more like a $1.50 gain based on today's levels in the SPY's.

End of Month Buy Signals for the SPY's from 1987-2007 

        Max Max   Adjusted Adjusted
Signal Open Price 5 Day 10 Day 5 Day 10 Day   5 Day 10 Day
Date Next Day High High Gain Gain   Gain Gain
                 
6/26/2007 148.24 152.50 153.36 4.26 5.12   4.26 5.12
6/6/2007 151.56 152.07 153.66 0.51 2.10   0.51 2.10
3/5/2007 138.78 141.42 141.42 2.64 2.64   2.64 2.64
3/2/2007 137.93 141.42 141.42 3.49 3.49   3.49 3.49
2/27/2007 140.39 141.98 141.98 1.59 1.59   1.59 1.59
1/5/2007 140.82 143.24 143.46 2.42 2.64   2.42 2.64
12/22/2006 140.81 142.70 142.70 1.89 1.89   1.89 1.89
11/27/2006 138.24 141.55 142.30 3.31 4.06   3.31 4.06
11/1/2006 136.51 139.05 140.45 2.54 3.94   2.54 3.94
9/6/2006 130.06 132.45 132.77 2.39 2.71   2.39 2.71
6/27/2006 124.24 128.01 128.01 3.77 3.77   3.77 3.77
5/23/2006 125.68 128.38 129.43 2.70 3.75   2.70 3.75
2/28/2006 128.60 130.07 130.07 1.47 1.47   1.47 1.47
2/3/2006 126.44 127.60 129.40 1.16 2.96   1.16 2.96
2/2/2006 126.61 127.60 129.21 0.99 2.60   0.99 2.60
12/30/2005 125.10 129.06 129.44 3.96 4.34   3.96 4.34
12/29/2005 125.00 128.58 129.44 3.58 4.44   3.58 4.44
12/27/2005 125.74 127.49 129.06 1.75 3.32   1.75 3.32
11/30/2005 126.02 127.74 128.09 1.72 2.07   1.72 2.07
10/5/2005 119.78 120.26 120.26 0.48 0.48   0.48 0.48
10/4/2005 121.29 121.31 121.31 0.02 0.02   0.02 0.02
8/26/2005 120.41 123.15 124.74 2.74 4.33   2.74 4.33
8/24/2005 121.35 122.66 124.13 1.31 2.78   1.31 2.78
8/5/2005 123.17 124.50 124.50 1.33 1.33   1.33 1.33
6/24/2005 118.97 120.40 122.10 1.43 3.13   1.43 3.13
6/23/2005 119.88 120.40 120.65 0.52 0.77   0.52 0.77
4/28/2005 115.07 118.00 118.08 2.93 3.01   2.93 3.01
3/29/2005 116.78 118.99 119.26 2.21 2.48   2.21 2.48
3/23/2005 117.46 118.46 119.26 1.00 1.80   1.00 1.80
2/22/2005 118.97 121.52 123.25 2.55 4.28   2.55 4.28
1/24/2005 116.91 118.25 120.52 1.34 3.61   1.34 3.61
1/5/2005 118.44 119.46 119.62 1.02 1.18   1.02 1.18
10/22/2004 109.40 113.29 117.29 3.89 7.89   3.89 7.89
9/27/2004 110.56 114.09 114.33 3.53 3.77   3.53 3.77
9/23/2004 110.82 111.63 114.33 0.81 3.51   0.81 3.51
9/22/2004 111.25 111.50 114.33 0.25 3.08   0.25 3.08
8/5/2004 107.28 108.06 109.82 0.78 2.54   0.78 2.54
7/23/2004 108.84 110.55 111.01 1.71 2.17   1.71 2.17
7/6/2004 111.46 112.22 112.22 0.76 0.76   0.76 0.76
4/30/2004 111.02 112.91 112.91 1.89 1.89   1.89 1.89
11/20/2003 103.89 106.31 107.42 2.42 3.53   2.42 3.53
9/26/2003 99.95 103.93 104.87 3.98 4.92   3.98 4.92
9/25/2003 100.09 102.21 104.87 2.12 4.78   2.12 4.78
9/24/2003 101.06 101.83 104.04 0.77 2.98   0.77 2.98
8/22/2003 99.36 101.13 103.53 1.77 4.17   1.77 4.17
8/5/2003 96.34 99.24 100.59 2.90 4.25   2.90 4.25
8/1/2003 97.96 98.65 99.50 0.69 1.54   0.69 1.54
6/30/2003 96.90 100.94 101.55 4.04 4.65   4.04 4.65
6/27/2003 97.87 100.55 101.55 2.68 3.68   2.68 3.68
6/25/2003 97.42 99.44 101.05 2.02 3.63   2.02 3.63
3/31/2003 84.90 90.50 90.50 5.60 5.60   5.60 5.60
3/4/2003 82.26 83.19 87.00 0.93 4.74   0.93 4.74
1/30/2003 83.80 86.46 86.46 2.66 2.66   2.66 2.66
1/24/2003 85.38 86.83 86.83 1.45 1.45   1.45 1.45
12/27/2002 87.44 93.14 93.29 5.70 5.85   5.70 5.85
12/5/2002 89.77 91.82 91.82 2.05 2.05   2.05 2.05
9/24/2002 83.02 85.62 85.62 2.60 2.60   2.60 2.60
9/3/2002 88.26 91.43 92.98 3.17 4.72   3.17 4.72
8/28/2002 90.92 93.04 93.04 2.12 2.12   2.12 2.12
8/5/2002 84.88 91.59 95.40 6.71 10.52   6.71 10.52
7/2/2002 94.27 99.35 99.35 5.08 5.08   5.08 5.08
6/25/2002 94.85 100.15 100.15 5.30 5.30   5.30 5.30
6/21/2002 98.26 100.54 100.54 2.28 2.28   2.28 2.28
6/6/2002 101.43 104.19 104.68 2.76 3.25   2.76 3.25
6/3/2002 103.80 105.25 105.25 1.45 1.45   1.45 1.45
5/29/2002 106.20 108.21 108.21 2.01 2.01   2.01 2.01
5/6/2002 105.75 109.01 110.90 3.26 5.15   3.26 5.15
4/29/2002 106.67 109.56 109.56 2.89 2.89   2.89 2.89
4/26/2002 107.58 109.56 109.56 1.98 1.98   1.98 1.98
4/24/2002 108.86 109.66 109.66 0.80 0.80   0.80 0.80
4/23/2002 110.21 111.46 111.46 1.25 1.25   1.25 1.25
3/25/2002 113.17 115.42 115.42 2.25 2.25   2.25 2.25
2/21/2002 108.00 112.51 116.80 4.51 8.80   4.51 8.80
1/29/2002 110.04 113.04 113.04 3.00 3.00   3.00 3.00
12/31/2001 114.76 117.64 117.64 2.88 2.88   2.88 2.88
12/3/2001 113.56 117.65 117.65 4.09 4.09   4.09 4.09
11/28/2001 113.31 117.65 117.65 4.34 4.34   4.34 4.34
10/31/2001 106.25 112.77 115.05 6.52 8.80   6.52 8.80
10/30/2001 106.55 112.13 114.20 5.58 7.65   5.58 7.65
9/7/2001 107.35 110.72 110.72 3.37 3.37   3.37 3.37
9/6/2001 109.67 110.90 110.90 1.23 1.23   1.23 1.23
8/29/2001 114.50 116.44 116.44 1.94 1.94   1.94 1.94
8/6/2001 119.82 121.18 121.18 1.36 1.36   1.36 1.36
7/6/2001 119.14 121.12 122.63 1.98 3.49   1.98 3.49
7/5/2001 120.96 121.23 122.63 0.27 1.67   0.27 1.67
5/30/2001 125.08 128.88 128.88 3.80 3.80   3.80 3.80
5/29/2001 126.24 128.88 128.88 2.64 2.64   2.64 2.64
5/25/2001 127.87 128.88 128.88 1.01 1.01   1.01 1.01
4/3/2001 110.22 117.40 125.65 7.18 15.43   7.18 15.43
2/21/2001 126.00 127.49 127.49 1.49 1.49   1.49 1.49
2/2/2001 134.45 136.35 136.35 1.90 1.90   1.90 1.90
11/22/2000 133.27 136.34 137.99 3.07 4.72   3.07 4.72
10/25/2000 136.77 143.34 143.93 6.57 7.16   6.57 7.16
9/6/2000 149.90 150.73 150.73 0.83 0.83   0.83 0.83
8/30/2000 150.71 153.21 153.21 2.50 2.50   2.50 2.50
7/28/2000 142.59 146.27 148.87 3.68 6.28   3.68 6.28
7/26/2000 145.59 146.27 148.87 0.68 3.28   0.68 3.28
7/24/2000 147.40 147.49 147.49 0.09 0.09   0.09 0.09
6/23/2000 145.02 146.63 147.09 1.61 2.07   1.61 2.07
2/25/2000 133.02 141.37 141.37 8.35 8.35   8.35 8.35
2/24/2000 134.84 138.77 141.37 3.93 6.53   3.93 6.53
1/28/2000 135.46 143.65 144.21 8.19 8.75   8.19 8.75
1/6/2000 139.96 146.56 147.24 6.60 7.28   6.60 7.28
1/4/2000 139.59 146.56 147.24 6.97 7.65   6.97 7.65
11/30/1999 138.96 144.99 144.99 6.03 6.03   6.03 6.03
8/30/1999 132.59 135.93 136.27 3.34 3.68   3.34 3.68
8/27/1999 134.99 135.93 136.27 0.94 1.28   0.94 1.28
8/4/1999 130.52 131.65 134.40 1.13 3.88   1.13 3.88
7/30/1999 132.40 133.52 133.52 1.12 1.12   1.12 1.12
7/26/1999 135.65 136.96 136.96 1.31 1.31   1.31 1.31
7/23/1999 134.52 136.96 136.96 2.44 2.44   2.44 2.44
5/27/1999 128.65 132.84 133.84 4.19 5.19   4.19 5.19
5/25/1999 128.96 130.65 133.84 1.69 4.88   1.69 4.88
3/2/1999 122.74 129.59 131.31 6.85 8.57   6.85 8.57
12/3/1998 116.28 119.40 119.40 3.12 3.12   3.12 3.12
11/30/1998 115.78 119.18 119.40 3.40 3.62   3.40 3.62
10/1/1998 98.53 100.93 106.90 2.40 8.37   2.40 8.37
9/30/1998 99.68 101.18 101.18 1.50 1.50   1.50 1.50
8/31/1998 95.71 102.65 104.09 6.94 8.38   6.94 8.38
8/27/1998 104.62 105.37 105.37 0.75 0.75   0.75 0.75
8/4/1998 107.59 110.24 110.24 2.65 2.65   2.65 2.65
8/3/1998 111.87 111.87 111.87 0.00 0.00   0.00 0.00
6/3/1998 107.90 112.12 112.12 4.22 4.22   4.22 4.22
5/26/1998 109.18 110.46 112.12 1.28 2.94   1.28 2.94
5/6/1998 110.15 112.21 112.34 2.06 2.19   2.06 2.19
10/27/1997 84.78 94.03 94.93 9.25 10.15   16.37 17.96
10/24/1997 92.67 93.59 94.93 0.92 2.26   1.49 3.66
9/25/1997 94.09 95.84 98.15 1.75 4.06   2.79 6.47
9/24/1997 93.90 95.46 98.15 1.56 4.25   2.49 6.79
8/28/1997 89.78 94.09 94.09 4.31 4.31   7.20 7.20
8/26/1997 90.65 93.65 94.09 3.00 3.44   4.96 5.69
6/23/1997 87.90 89.90 92.15 2.00 4.25   3.41 7.25
4/2/1997 74.09 76.70 76.70 2.61 2.61   5.28 5.28
3/31/1997 74.90 76.28 76.70 1.38 1.80   2.76 3.60
2/28/1997 78.40 80.81 81.45 2.41 3.05   4.61 5.84
2/27/1997 78.90 80.56 81.45 1.66 2.55   3.16 4.85
1/27/1997 77.28 79.06 79.12 1.78 1.84   3.45 3.57
1/24/1997 76.53 79.06 79.12 2.53 2.59   4.96 5.08
12/31/1996 74.03 75.43 77.04 1.40 3.01   2.84 6.10
12/3/1996 74.53 75.32 75.32 0.79 0.79   1.59 1.59
10/28/1996 69.71 70.81 73.17 1.10 3.46   2.37 7.45
10/25/1996 70.03 70.81 73.09 0.78 3.06   1.67 6.55
10/24/1996 69.88 70.53 72.95 0.65 3.07   1.40 6.59
8/26/1996 66.37 66.65 66.65 0.28 0.28   0.63 0.63
7/5/1996 65.28 65.50 65.50 0.22 0.22   0.51 0.51
5/31/1996 66.53 68.15 68.15 1.62 1.62   3.65 3.65
3/27/1996 64.15 65.26 65.38 1.11 1.23   2.60 2.88
2/29/1996 64.28 65.63 65.63 1.35 1.35   3.15 3.15
2/28/1996 63.78 65.53 65.63 1.75 1.85   4.12 4.35
10/25/1995 58.03 58.50 59.03 0.47 1.00   1.21 2.58
6/27/1995 53.90 54.72 55.96 0.82 2.06   2.28 5.73
6/26/1995 54.00 54.40 55.60 0.40 1.60   1.11 4.44
12/30/1994 45.44 45.90 46.68 0.46 1.24   1.52 4.09
12/1/1994 45.21 45.47 45.68 0.26 0.47   0.86 1.56
11/22/1994 44.68 45.60 45.60 0.92 0.92   3.09 3.09
11/4/1994 46.09 46.98 46.98 0.89 0.89   2.90 2.90
10/24/1994 45.65 47.36 47.36 1.71 1.71   5.62 5.62
10/4/1994 44.93 46.40 46.98 1.47 2.05   4.91 6.84
6/24/1994 44.08 44.67 44.68 0.59 0.60   2.01 2.04
6/23/1994 43.71 44.67 44.67 0.96 0.96   3.29 3.29
3/30/1994 44.13 44.78 44.78 0.65 0.65   2.21 2.21
3/29/1994 44.78 44.90 44.90 0.12 0.12   0.40 0.40
3/25/1994 45.65 45.72 45.72 0.07 0.07   0.23 0.23
2/24/1994 46.32 46.71 46.71 0.39 0.39   1.26 1.26
2/4/1994 46.50 47.09 47.34 0.59 0.84   1.90 2.71
1/3/1994 46.19 47.25 47.25 1.06 1.06   3.44 3.44
12/31/1993 46.25 46.71 47.25 0.46 1.00   1.49 3.24
11/4/1993 45.38 46.28 46.47 0.90 1.09   2.97 3.60
10/22/1993 46.06 46.62 46.65 0.56 0.59   1.82 1.92
9/7/1993 45.57 46.21 46.21 0.64 0.64   2.11 2.11
7/6/1993 43.85 44.74 44.84 0.89 0.99   3.04 3.39
4/26/1993 43.00 43.97 44.40 0.97 1.40   3.38 4.88
4/23/1993 43.44 43.94 44.40 0.50 0.96   1.73 3.31
4/6/1993 43.90 44.71 44.81 0.81 0.91   2.77 3.11
10/6/1992 40.42 41.15 41.7 0.73 1.28   2.71 4.75
10/5/1992 40.72 40.86 41.49 0.14 0.77   0.52 2.84
10/2/1992 40.76 41.05 41.17 0.29 0.41   1.07 1.51
8/24/1992 41.16 41.58 42.03 0.42 0.87   1.53 3.17
8/6/1992 41.88 42.34 42.34 0.46 0.46   1.65 1.65
4/2/1992 40.15 40.59 41.63 0.44 1.48   1.64 5.53
3/30/1992 40.37 40.59 40.61 0.22 0.24   0.82 0.89
3/27/1992 40.3 40.59 40.59 0.29 0.29   1.08 1.08
3/5/1992 40.44 40.92 41.08 0.48 0.64   1.78 2.37
3/4/1992 40.65 40.93 41.08 0.28 0.43   1.03 1.59
1/29/1992 41.16 41.62 41.81 0.46 0.65   1.68 2.37
11/5/1991 39 39.74 39.82 0.74 0.82   2.85 3.15
10/25/1991 38.95 39.51 39.64 0.56 0.69   2.16 2.66
10/24/1991 38.42 39.31 39.51 0.89 1.09   3.47 4.26
10/4/1991 37.95 38.15 39.38 0.20 1.43   0.79 5.65
9/6/1991 38.85 38.93 38.94 0.08 0.09   0.31 0.35
9/5/1991 38.91 39.07 39.07 0.16 0.16   0.62 0.62
9/4/1991 38.91 39.09 39.09 0.18 0.18   0.69 0.69
7/24/1991 38.09 38.78 39.16 0.69 1.07   2.72 4.21
4/29/1991 37.53 38.21 38.39 0.68 0.86   2.72 3.44
1/7/1991 31.49 32.07 33.22 0.58 1.73   2.76 8.24
1/4/1991 31.54 32.09 33.22 0.55 1.68   2.62 7.99
1/3/1991 32.1 32.23 32.8 0.13 0.70   0.61 3.27
10/29/1990 30.41 31.46 31.97 1.05 1.56   5.18 7.69
10/26/1990 30.18 31.46 31.97 1.28 1.79   6.36 8.90
9/24/1990 30.83 31.49 31.97 0.66 1.14   3.21 5.55
9/21/1990 30.46 31.49 31.97 1.03 1.51   5.07 7.44
8/6/1990 33.48 34.09 34.19 0.61 0.71   2.73 3.18
8/3/1990 33.44 34.48 34.48 1.04 1.04   4.67 4.67
8/2/1990 34.48 35.15 35.15 0.67 0.67   2.91 2.91
7/27/1990 35.55 35.75 35.75 0.20 0.20   0.84 0.84
6/26/1990 35.51 36.07 36.12 0.56 0.61   2.37 2.58
6/25/1990 35.21 35.96 36.07 0.75 0.86   3.20 3.66
4/24/1990 33.2 33.38 34.2 0.18 1.00   0.81 4.52
4/23/1990 33.04 33.38 34.11 0.34 1.07   1.54 4.86
2/23/1990 32.86 33.55 34.06 0.69 1.20   3.15 5.48
2/22/1990 32.41 33.44 34.06 1.03 1.65   4.77 7.64
1/30/1990 32.91 33.22 33.61 0.31 0.70   1.41 3.19
1/29/1990 32.29 33.22 33.61 0.93 1.32   4.32 6.13
1/26/1990 32.52 33.21 33.61 0.69 1.09   3.18 5.03
1/25/1990 32.58 32.99 33.61 0.41 1.03   1.89 4.74
11/6/1989 33.48 34.05 34.22 0.57 0.74   2.55 3.32
10/30/1989 34.03 34.17 34.17 0.14 0.14   0.62 0.62
10/27/1989 33.51 34.17 34.17 0.66 0.66   2.95 2.95
10/26/1989 33.5 34.17 34.17 0.67 0.67   3.00 3.00
6/30/1989 31.92 32.71 33.3 0.79 1.38   3.71 6.48
6/29/1989 31.79 32.59 33.19 0.80 1.40   3.77 6.61
11/4/1988 27.39 27.63 27.63 0.24 0.24   1.31 1.31
10/27/1988 27.85 28.04 28.04 0.19 0.19   1.02 1.02
7/22/1988 26.47 27.2 27.42 0.73 0.95   4.14 5.38
3/28/1988 26 26.16 27.21 0.16 1.21   0.92 6.98
3/25/1988 25.8 26.16 27.04 0.36 1.24   2.09 7.21
3/24/1988 25.85 26.34 27.02 0.49 1.17   2.84 6.79
12/4/1987 22.87 24.01 24.92 1.14 2.05   7.48 13.45
11/30/1987 23.2 23.45 24.23 0.25 1.03   1.62 6.66
10/6/1987 31.85 31.94 31.94 0.09 0.09   0.42 0.42
9/4/1987 31.36 32.38 32.38 1.02 1.02   4.88 4.88
9/3/1987 31.67 32.38 32.38 0.71 0.71   3.36 3.36
8/28/1987 32.98 33.22 33.22 0.24 0.24   1.09 1.09
7/1/1987 30.56 30.96 31.28 0.40 0.72   1.96 3.53
3/30/1987 29.17 30.36 30.36 1.19 1.19   6.12 6.12
12/31/1986 24.64 25.92 26.72 1.28 2.08   7.79 12.66

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