Best Day to buy Bovespa – Part 2

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