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'Sell in May and go away'. Is it applicable in the Philippines?

richpulubi · 26 · 6717

joey_anan

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TSO

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That's easy enough to update.

Since the year 2000, we have the following values for May:

    > 620.71
    > 747.12
    > 757.58
    > 685.42
    > 969.47
    > 1,174.54
    > 1,434.77
    > 2,222.59
    > 1,741.79
    > 1,567.87
    > 2,065.03
    > 2,971.72
    > 3,377.15
    > 4,292.03

And their % change from April month-end figures are as follows:

    2000: (1.22%)
    2001: 2.74%
    2002: 1.43%
    2003: 1.88%
    2004: (0.21%)
    2005: 3.28%
    2006: 1.87%
    2007: 6.92%
    2008: 1.53%
    2009: 15.30%
    2010: 1.03%
    2011: (2.81%)
    2012: (2.66%)
    2013: (2.67%)

Because these fourteen figures represent only a sample, I use hypothesis testing to determine whether the average of May month-end changes are above zero.

The average of this sample is calculated at 1.89%. Sample standard deviation is 4.7%, with standard error at 1.25% and 13 degrees of freedom. The hypothesis "population average is greater than 0%" requires a critical T-stat of 2.65 or greater. HOWEVER, calculated t-stat (sample mean less proposed mean, divided by standard error) results in a score of 1.50.. This effectively invalidates the proposed hypothesis.

In layman's terms, "Sell in May and Go Away" does not statistically exist.

But try not to take this conclusion at face value. The sample data alone violates the assumption that the sampling distribution is approximately "normal", which applies if--with a sample size of 14, must the data is symmetric, unimodal, and devoid of outliers. Unfortunately, the first and third are already broken to begin with.



There. Hope that helps.


INDO

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lemreyes

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How about data where it only includes the years where there was a rally in the first quarter?


jasonmiles

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Kung may rally dapat mag sell kung wala bakit ka magsesell?
« Last Edit: Apr 15, 2014, 10:53 AM by jasonmiles »


TSO

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You mean, if there will be an uptick in May given the condition that Q1 returns ≥ 0%?

Lol we might not have enough datapoints for that, but I'll check tomorrow. it's easy to pull up the data from Reuters.


jasonmiles

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Ang masama eh eh mag correct upto 6000 level kung makatapak lang tayo sa 6700....

Halatang gusto kongmagka correction eh..


kikay_trader

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singkit_1588

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Kung sell in May, kailan naman po ang Buy?

after MAY...

kasi may pampabili ka na kung nagbenta ka ng MAY.hahahah
:rofl:


kulatir

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Kung sell in May, kailan naman po ang Buy?

For me august ako bibili, because some are afraid of the ghost month.


 


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