4 thoughts on “27th day of $QQQ short term up-trend”
Does “end of quarter” really show a positive bias? Let’s look.
Backtest results show a definite end-of-month positive bias, something that’s been reported in many places.
However if just looking at end-of-quarter performance there appears to be nothing special about the quarter. Looking since 1993, using SPY as the vehicle, the last 5 days + 1st day of the quarter. End of quarter (March, June, Sept, Dec) is actually a bit worse than the average month end. (avg trade .46% vs .56% for the average month end). Using QQQ (since 1999) avg month end vs quarter end is essentially the same.
So … end of month bias yes, end of quarter window dressing, doesn’t look like it.
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Very nice! But keep in mind that the general market might not pick up the window dressing that is focused on strong recent leaders. Would you get an end of quarter effect if you limited your analysis to leaders showing relative strength during the most recent 2-3 months?
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yes, good point. I had a similar thought. It will take a bit more work to do that kind of analysis rather than on just a single index. Will report back when (or if) I’m able to get some results
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I did a little more looking at this. Taking the 5 Nasdaq 100 stocks with the best 3 month return, since 1/1/1996: end of quarter compared to end of the average month is slightly worse. Seems like window dressing is an interesting concept, but not necessarily supported by the numbers.
Does “end of quarter” really show a positive bias? Let’s look.
Backtest results show a definite end-of-month positive bias, something that’s been reported in many places.
However if just looking at end-of-quarter performance there appears to be nothing special about the quarter. Looking since 1993, using SPY as the vehicle, the last 5 days + 1st day of the quarter. End of quarter (March, June, Sept, Dec) is actually a bit worse than the average month end. (avg trade .46% vs .56% for the average month end). Using QQQ (since 1999) avg month end vs quarter end is essentially the same.
So … end of month bias yes, end of quarter window dressing, doesn’t look like it.
Very nice! But keep in mind that the general market might not pick up the window dressing that is focused on strong recent leaders. Would you get an end of quarter effect if you limited your analysis to leaders showing relative strength during the most recent 2-3 months?
yes, good point. I had a similar thought. It will take a bit more work to do that kind of analysis rather than on just a single index. Will report back when (or if) I’m able to get some results
I did a little more looking at this. Taking the 5 Nasdaq 100 stocks with the best 3 month return, since 1/1/1996: end of quarter compared to end of the average month is slightly worse. Seems like window dressing is an interesting concept, but not necessarily supported by the numbers.