Are you saying that an "oversold" level is much lower? We bounced up since I posted the thread, did not we? To me this supports my argument that we indeed were oversold (short-term). p.s. i am somewhat puzzled by your phrase "the illogical nature of the question". my arguments were very logical as far as i can tell.
Independence Day has one of the most pronounced Long biases among the major holidays in US. This year the time to buy is on Thursday and Friday if one believes into this type of biases. Of course this time around we also have the Greek vote on Wed and Thur so it could be interesting.
I am sorry, but this is useless as the holding periods are different, so it is not even the same return or volatility adjusted
the returns must have been normalized and should be directly comparable. are they 1 and 2 day returns annualized? i am assuming that what stockcharts.com did (where i got the table)
i would check it myself but i don't know how to code the holidays. what you say does not make sense given the data in the table. how do you explain "buying 1 day" and "buying 2 days" to have >20% difference in some cases?
I am not trying to explain the table. I am just reading it at face value. It says buy 1-2 days before, and sell at year end. That should favor holidays that occur earlier in the year if the long term up bias holds. (It also depends on whether we are doing a 2007-2011 backtest or for much longer.) I agree that we go up before holidays. I just don't know how to use the data unfortunately. You are also right -- how can there be a 20% return on T-2 to T-1, if you take the difference of the strategy.
Because I like you... here you go 3 Day Before 2 Day Before Holiday Day Before Holiday Day After 2 Day After All Days -0.02% 0.09% 0.04% 0.15% -0.09% 0.04%