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Best Day to buy Bovespa – Part 2

March 23, 2011 by sanz prophet Leave a Comment

If you bought Bovespa on Thursday and sold on Friday every week since 2003, you would be rich (if you compounded). We know this. If one was to follow such a strategy, in real-time, would it make money?

In the following strategy an investor would buy at the Close of the “optimal” day that performed best in the 5 past years. She would buy on this day (sell on the next close) for 6 months. At the end of 6 months she would re-optimize, find the “optimal” day of the past 5 years from the current date and follow it for another 6 months. So here is a walk-forward back-test that shows how she would do.

Results are NOT compounded (hence the huge difference).
Initial Capital:   $100,000 – Profit:  $127,438.7




Begin
End No. Net Profit Net % Profit day of week Profit $$
34820 34826 1 3809.68 3.81 1
34826 35186 1 9849.84 9.85 4 13659.52
35186 35192 1 15842.02 15.84 4 29501.54
35192 35551 1 6754.01 6.75 4 36255.55
35551 35557 1 12394.78 12.39 4 48650.33
35557 35916 1 -19902.37 -19.9 4 28747.96
35916 35922 1 10016.43 10.02 1 38764.39
35922 36281 1 22435.88 22.44 1 61200.27
36281 36287 1 -16342.55 -16.34 1 44857.72
36287 36647 1 15916.31 15.92 4 60774.03
36647 36653 1 4610.77 4.61 4 65384.8
36653 37012 1 7781.22 7.78 4 73166.02
37012 37018 1 -10523.76 -10.52 4 62642.26
37018 37377 1 -12518.35 -12.52 1 50123.91
37377 37383 1 -3076.38 -3.08 4 47047.53
37383 37742 1 4480.75 4.48 4 51528.28
37742 37748 1 9594.63 9.59 4 61122.91
37748 38108 1 3838.22 3.84 4 64961.13
38108 38114 1 21109.48 21.11 4 86070.61
38114 38473 1 8833.46 8.83 4 94904.07
38473 38479 1 3687.74 3.69 4 98591.81
38479 38838 1 8690.9 8.69 4 107282.71
38838 38844 1 8881.05 8.88 4 116163.76
38844 39203 1 -4282.91 -4.28 4 111880.85
39203 39209 1 12311.72 12.31 4 124192.57
39209 39569 1 -767.54 -0.77 4 123425.03
39569 39575 1 -2413.08 -2.41 4 121011.95
39575 39934 1 -9401.48 -9.4 4 111610.47
39934 39940 1 14681.36 14.68 4 126291.83
39940 40299 1 3449.71 3.45 4 129741.54
40299 40305 1 -3704.01 -3.7 4 126037.53
40305 40664 1 1401.17 1.4 4 127438.7

Filed Under: ETF trading, Seasonal

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