best/worst month of the year in history ?

Discussion in 'Trading' started by aqtrader, Sep 12, 2005.

  1. aqtrader


    This Sept looks doing great so far. In history, September looks terrible for all major indexes. Jan and Dec are usually great. To find out how bad or how good a month of year is, see the attached doc.

    Which month is the best/worst of the year for major indexes in history?

    I did not find satisfying information anywhere. I tried to do it myself
    using program aq. Here just share my results with anyone here
    interested. The results are based on data I currently have, Nasdaq
    from 1985 to current, Dow from 1960 and S&P500 from 1960. I use 5
    criteria to rank months from Jan (1) to Dec (12). These criteria are
    average percentage change, best case percentage change, worst case
    percentage change, median percentage change, and winning rate.

    A short summary here.

    By average percentage change, the best month for Nasdaq is Jan (3.93%)
    following by Dec (2.77%). The worst month for Nasdaq is Sept (-1.17%),
    July (-0.25). For Dow, the best April (1.67%), Jan (1.61%). The worst
    month for Dow is Sept (-1.22%), June (-0.28%). The best month for S&P
    500 is Jan (1.59%), following by Nov/Dec (1.54%). The worst month for
    S&P 500 is Sept (-0.85%), June (0.07%).


  2. aqtrader


    more details here.