Replies to post #3697 on Profunds index and sector trading (PRO)

[doniam]

The Technical Analysis of Stocks and Commodities Magazine December 2002 had a lengthy article on several seasonal timing systems and they showed good results.

I tried to check out the information at the Keystone Financial Planning site yesterday with mixed results I couldn't understand, for instance, that the seasonality model was on a buy since 2/26/03. The answer that I got was that the dates were all wrong but that they were in the market. I'd like some more information on their models before I'd follow them. Perhaps one of you experts could backtest.

[was Steve]

DROOY sold at 2.67 from 2.52 or 5.95%. Held since last thursday.
steve

[Tom K]

WLD, don't worry, I'm not a one indicator type of guy. On the other hand, Hulbert is pretty rigorous in tracking methods. Note I say "tracking", not "testing". What's interesting is these results aren't the derived from curve-fitting, data-torturing, or the over-optimization you frequently see when somebody is touting a trading system. These are the real-time performance results during the tenure of HFD.

What's also interesting is that end of month seasonality has a logical explaination - end of month cash flows to institutions and fund managers.