So in this last post, I data-mined the hell out of the S&P500 index (well ok SPY) and found an “anomaly”: every time SPY drops more than 1% from the previous close to the current close, you wait (that’s Day 0). You then buy at the close 13 days later, and sell at the close of Day 14. This showed significantly better return than if you did the same thing but owned all the Day 16s instead. Here’s the graph from the last post.
But with only 177 samples of data between 2010-2015, that’s probably just a fluke….right?
So just for chuckles and grins, I checked an out-of-sample data set: 2000-2009. Admittedly this is an *earlier* data set, which sometimes people frown upon as being Wrong and Evil. But hey, I’m not trying to create a trading system ya’ll! I’m just mining for data. So here’s what day 14 vs day 16 look like in a much larger, OOS data set. I added the dates in the horizontal axis for this graph.
Hmm. Those statistical anomalies can be weirdly persistent.